Deutsche Asset Management
Deutsche Invest I Semiannual Report 2016
Investment company with variable capital incorporated under Luxembourg law
Contents Semiannual report 2016 for the period from January 1, 2016, through June 30, 2016 General information
3
Semiannual report, Deutsche Invest I SICAV
2016
Deutsche Invest I Africa
8
Deutsche Invest I Asian Bonds
9
Deutsche Invest I Asian Equities Unconstrained
10
Deutsche Invest I Asian Small/Mid Cap
11
Deutsche Invest I Brazilian Equities
12
Deutsche Invest I China Bonds
13
Deutsche Invest I Chinese Equities
14
Deutsche Invest I Convertibles
15
Deutsche Invest I Corporate Hybrid Bonds
16
Deutsche Invest I CROCI Flexible Allocation
17
Deutsche Invest I CROCI Sectors
18
Deutsche Invest I Emerging Markets Corporates
19
Deutsche Invest I Emerging Markets IG Sovereign Debt
20
Deutsche Invest I Emerging Markets Satellites
21
Deutsche Invest I Emerging Markets Sovereign Debt
22
Deutsche Invest I Emerging Markets Top Dividend
23
Deutsche Invest I Euro Bonds (Premium)
24
Deutsche Invest I Euro Bonds (Short)
25
Deutsche Invest I Euro Corporate Bonds
26
Deutsche Invest I Euro High Yield Corporates
27
Deutsche Invest I Euro-Gov Bonds
28
Deutsche Invest I European Small Cap
29
Deutsche Invest I Financial Hybrid Bonds
30
Deutsche Invest I German Equities
31
Deutsche Invest I Global Agribusiness
32
Deutsche Invest I Global Bonds
33
Deutsche Invest I Global Bonds Dynamic Plus
34
Deutsche Invest I Global Commodities Blend
35
Deutsche Invest I Global Corporate Bonds
36
Deutsche Invest I Global Emerging Markets Equities
37
Deutsche Invest I Global Infrastructure
38
Deutsche Invest I Global Real Estate Securities
39
Deutsche Invest I Global Short Duration (formerly: Deutsche Invest I Global Bonds (Short))
40
1
Deutsche Invest I Global Thematic
41
Deutsche Invest I Gold and Precious Metals Equities
42
Deutsche Invest I Latin American Equities
43
Deutsche Invest I Liquidity Fund
44
Deutsche Invest I Multi Asset Balance
45
Deutsche Invest I Multi Asset Defensive
46
Deutsche Invest I Multi Asset Dynamic
47
Deutsche Invest I Multi Asset Income
48
Deutsche Invest I Multi Asset Total Return
49
Deutsche Invest I Multi Credit
50
Deutsche Invest I Multi Opportunities
51
Deutsche Invest I New Resources
52
Deutsche Invest I Nomura Japan Growth
53
Deutsche Invest I Quant Equity Low Volatility World
54
Deutsche Invest I Real Assets Income
55
Deutsche Invest I Senior Secured High Yield Corporates
56
Deutsche Invest I Short Duration Credit
57
Deutsche Invest I Top Asia
58
Deutsche Invest I Top Dividend
59
Deutsche Invest I Top Euroland
60
Deutsche Invest I Top Europe
61
Deutsche Invest I USD Corporate Bonds
62
Semiannual financial statements 64
2
General information The funds described in this report
The corresponding benchmarks – if
Issue and redemption prices
are sub-funds of a SICAV (Société
available – are also presented in the
The current issue and redemption
d’Investissement à Capital Variable)
report. All financial data in this publi
prices and all other information for
incorporated under Luxembourg law.
cation is as of June 30, 2016 (unless
shareholders may be requested at any
otherwise stated).
time at the registered office of the
Performance
Management Company and from the
The investment return, or performance,
Sales prospectuses
paying agents. In addition, the issue
of a mutual fund investment is meas
Fund shares are purchased on the
and redemption prices are published in
ured by the change in value of the
basis of the current sales prospectus,
every country of distribution through
fund’s shares. The net asset values per
the key investor information document
appropriate media (such as the
share (= redemption prices) with the
and the articles of incorporation and
Internet, electronic information
addition of intervening distributions,
by-laws of the SICAV, in combination
systems, newspapers, etc.).
which are, for example, reinvested
with the latest audited annual report
free of charge within the scope of
and any semiannual report that is more
investment accounts at Deutsche
recent than the latest annual report.
Asset Management S.A., are used as the basis for calculating the value. Past performance is not a guide to future results.
The following companies were renamed effective 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.
3
Liquidations of share classes The FCH (P) share class for the sub-fund Deutsche Invest I Global Agribusiness was closed effective May 27, 2016, following a resolution to that effect by the Management Board of Deutsche Asset Management S.A. authorized by the Board of Directors. The FCH (P) share class for the sub-fund Deutsche Invest I Global Thematic was closed effective May 29, 2016, following a resolution to that effect by the Management Board of Deutsche Asset Management S.A. authorized by the Board of Directors.
Renaming of sub-funds The sub-fund Deutsche Invest I Global Bonds (Short) was renamed Deutsche Invest I Global Short Duration effective March 31, 2016.
Renaming of share classes The share class GBP RD of the sub-fund Deutsche Invest I Africa was renamed GBP D RD effective March 31, 2016. The share class GBP RD of the sub-fund Deutsche Invest I Chinese Equities was renamed GBP D RD effective March 31, 2016. The share class GBP RDH of the sub-fund Deutsche Invest I Convertibles was renamed GBP DH RD effective March 31, 2016. The share class GBP RD of the sub-fund Deutsche Invest I Global Agribusiness was renamed GBP D RD effective March 31, 2016. The share class FCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed FC effective March 31, 2016. The share class LDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed LD effective March 31, 2016. The share class PFCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed PFC effective March 31, 2016. The share class PFDQH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed PFDQ effective March 31, 2016. The share class LCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed LC effective March 31, 2016. The share class NCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed NC effective March 31, 2016. The share class GBP IDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed GBP IDH effective March 31, 2016. The share class GBP DH (P) RD of the sub-fund Deutsche Invest I Global Bonds was renamed GBP DH RD effective March 31, 2016. The share class GBP CH (P) RD of the sub-fund Deutsche Invest I Global Bonds was renamed GBP CH RD effective March 31, 2016. The share class CHF ICH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed CHF ICH effective March 31, 2016. The share class USD LCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed USD LCH effective March 31, 2016. The share class USD FCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed USD FCH effective March 31, 2016. The share class ICH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed IC effective March 31, 2016. The share class CHF FCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed CHF FCH effective March 31, 2016. The share class CHF FDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed CHF FDH effective March 31, 2016. The share class CHF LCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed CHF LCH effective March 31, 2016. The share class CHF LDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed CHF LDH effective March 31, 2016.
4
The share class FDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed FD effective March 31, 2016. The share class IDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed ID effective March 31, 2016. The share class SEK FCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed SEK FCH effective March 31, 2016. The share class SEK LCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed SEK LCH effective March 31, 2016. The share class GBP RD of the sub-fund Deutsche Invest I Global Thematic was renamed GBP D RD effective March 31, 2016. The share class GBP RD of the sub-fund Deutsche Invest I Top Asia was renamed GBP D RD effective March 31, 2016. The share class GBP RD of the sub-fund Deutsche Invest I Top Dividend was renamed GBP D RD effective March 31, 2016. The share class GBP RD of the sub-fund Deutsche Invest I Top Euroland was renamed GBP D RD effective March 31, 2016. The share class GBP RDH of the sub-fund Deutsche Invest I Top Euroland was renamed GBP DH RD effective March 31, 2016.
5
Semiannual report
Deutsche Invest I Africa Deutsche Invest I Africa Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU0329759764
1.6%
Class FC
LU0329759921 2.1% LU0363465583 1.6%
Class LD
LU0329759848 1.2%
Class NC
Class GBP D RD
LU0399357671 14.6%
Class USD LC
LU0329761075 3.4%
1
2
in GBP 2 in USD 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
8
Deutsche Invest I Asian Bonds Deutsche Invest I Asian Bonds Performance of share classes vs. benchmark (in USD) Share class
ISIN
6 months
Class USD FC
LU0813325502
11.6%
Class FCH1
LU0813324794 10.9%
JP Morgan Asian Credit Index 1
6.6%
in EUR
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
9
Deutsche Invest I Asian Equities Unconstrained Deutsche Invest I Asian Equities Unconstrained Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0544569055
-4.2%
Class FC
LU0544569303
-3.8%
Class LD
LU0544569139
-4.2%
MSCI AC Asia ex Japan EUR Net Index since March 16, 2015 (previously: MSCI AC Asia ex Japan)
0.7%
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
10
Deutsche Invest I Asian Small/Mid Cap Deutsche Invest I Asian Small/Mid Cap Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0236153390
-0.9%
Class FC
LU0236154950
-0.5%
Class LD
LU0236153556 -0.9%
Class LS
LU0254485450
-0.9%
Class NC
LU0236154448
-1.3%
Class GBP C RD1 LU0982753047
2.9%3
Class USD FC
LU0273175025
1.3%
Class USD LC
LU0273161744 0.9%
2 2
MSCI AC Asia ex Japan Small Cap since April 12, 2012 (in euro) (previously: FTSE Asia Pacific SmallCap ex Japan (Euro)) 1 2 3
-3.1%
in GBP in USD Launched on March 31, 2016
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
11
Deutsche Invest I Brazilian Equities Deutsche Invest I Brazilian Equities Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0616856935
44.6%
Class FC
LU0616857586
45.3%
Class NC
LU0616857313
44.1%
MSCI Brazil 10/40 in EUR
46.7%
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
12
Deutsche Invest I China Bonds Deutsche Invest I China Bonds Performance of share classes (in USD) Share class
ISIN
6 months
Class LCH LU0632805262 2.0% 1
Class FCH1 LU0632808951 2.2% Class FDH1 LU0740831374 2.2% Class IDH1 LU0982747312 2.4% Class LDH1 LU0740830996 2.0% Class NC1
LU0616855887 0.6%
Class NCH LU0740831614 1.8% 1
Class NDH1 LU0740832000 1.8% Class PFCH1 LU1054325854 1.8% Class PFDQH1 LU1054325938 1.7% Class CHF FCH2 LU0813328357
1.8%
Class CHF LCH LU0813327896
1.7%
Class RMB FC LU0813328860
4.4%
2
3
Class RMB LC LU0813328787 3
4.1%
Class SEK FCH4
LU1322112480
2.0%
Class SEK LCH4
LU1322112563
1.8%
LU0616856778
2.9%
Class USD FC Class USD FCH (P)
LU1322112647
2.3%
Class USD LC
LU0616856422
2.6%
Class USD LCH (P)
LU1360450164 2.8%5
Class USD LDH (P)
LU1322112720
2.0%
LU1322112993
2.0%
Class USD LDMH (P)
in EUR 2 in CHF 3 in CNY 4 in SEK 5 Launched on February 29, 2016 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
13
Deutsche Invest I Chinese Equities Deutsche Invest I Chinese Equities Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0273157635
-8.2%
Class FC
LU0273146190
-7.9%
LU0273145622
-8.6%
Class NC
Class GBP D RD LU0333022746 1
3.2%
Class USD FC LU0273176932 -6.3% 2
Class USD LC2 LU0273164177 -6.7% MSCI China 10/40 (in euro)
-6.5%
in GBP 2 in USD 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
14
Deutsche Invest I Convertibles Deutsche Invest I Convertibles Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU0179219752
-4.9%
Class FC
LU0179220412
-4.7%
Class FC (CE)
LU0740833669
-3.5%
Class FD
LU0616868518
-4.7% -3.6%
Class LC (CE)
LU0740833404
Class LD
LU0179219919 -4.9%
Class NC
LU0179220255
-5.1%
Class PFC
LU1054326076
-5.3%
Class RC
LU1371981348
-1.6%5
Class CHF FCH1 LU0616868195
-5.0%
Class CHF LCH1 LU0616867890
-5.2%
Class CHF RCH
-0.7%6
1
LU1414757382
Class GBP DH RD2 LU0399358133
-4.4%
Class SEK FCH LU1282658647
-5.0%
Class SEK LCH3 LU1282658720
-5.2%
Class USD FCH LU0273179522
-4.2%
Class USD LCH LU0273170141
-4.5%
3
4 4
in CHF 2 in GBP 3 in SEK 4 in USD 5 Launched on March 30, 2016 6 Launched on June 15, 2016 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
15
Deutsche Invest I Corporate Hybrid Bonds Deutsche Invest I Corporate Hybrid Bonds Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU1245923484
4.0%
Class FC
LU1245923302
4.1%
Class LD
LU1245923641
4.0%
Class XC
LU1292896948
4.4%
Class XD
LU1292897086
4.4%
Class CHF FCH1 LU1292896518
3.8%
Class CHF LCH1 LU1292896609
3.7%
Class USD FCH LU1292896781
4.7%
Class USD LCH LU1292896864
4.5%
2
2
in CHF 2 in USD 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
16
Deutsche Invest I CROCI Flexible Allocation Deutsche Invest I CROCI Flexible Allocation Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU1278916991
-1.1%
Class FC
LU1278916728
-0.8%
Class LCH (P)
LU1308296513
-1.0%
Class NC
LU1278917023
-1.4%
Class XC
LU1308296943
-0.9%
Class USD LC1
LU1278917296
0.7%
Class USD LCH (P) LU1308296786 1
1
-0.5%
in USD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
17
Deutsche Invest I CROCI Sectors Deutsche Invest I CROCI Sectors Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU1278917452
-2.7%
Class FC
LU1278917379
-2.3%
Class NC
LU1278917536
-3.1%
Class XC
LU1308283701
-2.1%
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
18
Deutsche Invest I Emerging Markets Corporates Deutsche Invest I Emerging Markets Corporates Performance of share classes vs. benchmark (in USD) Share class
ISIN
6 months
Class USD LC
LU0273170737
9.6%
Class USD FC
LU0273179951
9.9%
Class USD ID
LU1054326746
10.0%
Class USD LD
LU0273170653
9.6%
Class USD LDM
LU0544572273
9.6%
Class CHF FCH1 LU0616861778 8.9% Class FCH2
LU0507270097
9.3%
Class LC (BRIC) LU0616861935 20.2% 2
Class LCH2
LU0436052673
9.0%
Class LDH2
LU0507269834
8.9%
Class NCH2
LU0436053051
8.7%
Class ND
LU1054326233 7.5%
Class NDH
LU0544572190
Class PFCH
LU1054327124 8.8%
2
2
2
8.8%
Class PFDQH2 LU1054327397 8.7% Class SEK FCH3 LU1297621101 9.1% Class SEK LCH3 LU1297621283 9.0% Class SGD LDMH4 JPM CEMBI
LU0911034782
9.9% 9.1%
in CHF in EUR in SEK 4 in SGD 1 2 3
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
19
Deutsche Invest I Emerging Markets IG Sovereign Debt Deutsche Invest I Emerging Markets IG Sovereign Debt Performance of share classes (in euro) Share class
ISIN
6 months
Class IDH
LU0982740572
9.6%
Class LDH
LU0982740143
9.9%1
1
Launched on January 14, 2016
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
20
Deutsche Invest I Emerging Markets Satellites Deutsche Invest I Emerging Markets Satellites Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0616852603
6.3%
Class FC
LU0616853247
6.7%
Class LD
LU0616852868
6.3%
LU0616853080
5.9%
LU0813332623
3.0%
Class NC Class SGD LC 1
MSCI Frontier Emerging Markets since March 31, 2016, previously: MSCI Emerging Markets Daily Net EUR since March 16, 2015 (previously: MSCI EM+FM ex Selected Countries Capped index) 1
7.5%
in SGD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
21
Deutsche Invest I Emerging Markets Sovereign Debt Deutsche Invest I Emerging Markets Sovereign Debt Performance of share classes vs. benchmark (in USD) Share class
ISIN
6 months
Class USD IC
LU0982741976
11.3%
Class IDH1 LU0982741547 10.6% Class LDH1 LU0982741208 10.2% JPM EMBI Global Diversified 1
10.3%
in EUR
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
22
Deutsche Invest I Emerging Markets Top Dividend Deutsche Invest I Emerging Markets Top Dividend Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU0329760002
3.4%
Class FC
LU0329760267 3.8%
LU0363468686 3.4%
Class NC
LU0329760184 3.1%
Class PFC
LU1054329336
2.9%
Class PFD
LU1054329419
2.8%
Class LD
LU0329761406 5.7%
Class USD FC
1
LU0329761232 5.3%
Class USD LC
1
Class USD LDQ
1
1
LU0911034865 5.3%
in USD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
23
Deutsche Invest I Euro Bonds (Premium) Deutsche Invest I Euro Bonds (Premium) Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU0254489874
1.8%
Class FC
LU0254490534
2.0%
Class LD
LU0254491003 1.8%
Class NC
LU0254489106
1.6%
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
24
Deutsche Invest I Euro Bonds (Short) Deutsche Invest I Euro Bonds (Short) Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0145655824
1.0%
Class FC
LU0145657366
1.2%
Class LD
LU0145656475 1.0%
Class NC
LU0145656715
0.7%
Class PFC
LU1054330268
0.6%
Class PFDQ
LU1054330342
0.7%
Class SEK FCH1 LU1333039870
1.2%2
Class SEK LCH1 LU1333039953
1.0%2
iBoxx € Overall 1-3Y
0.5%
in SEK 2 Launched on January 14, 2016 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
25
Deutsche Invest I Euro Corporate Bonds Deutsche Invest I Euro Corporate Bonds Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0300357554
4.3%
Class FC
LU0300357802
4.5%
Class IC
LU0982748476
4.6%
Class LD
LU0441433728 4.3%
Class NC
LU0300357638
4.1%
Class PFC
LU1054330854
4.0%
LU1054330938
4.0%
Class PFDQ
Class GBP CH RD LU1322113371 1
4.9%
Class SEK FCH LU1322113538 4.3% 2
Class SEK LCH2 LU1322113611 4.2% iBoxx € Corporates
4.1%
in GBP 2 in SEK 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
26
Deutsche Invest I Euro High Yield Corporates Deutsche Invest I Euro High Yield Corporates Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0616839501
5.0%
Class FC
LU0616840772
5.2%
Class FD
LU0813334322
5.2%
Class LD
LU0616839766
5.0%
Class NC
LU0616840186
4.8%
Class ND
LU0616840426
4.8%
Class PFC
LU1054332470
4.7%
LU1054332553
4.6%
Class PFDQ
Class CHF FCH LU1426784200
-0.3%4
Class SEK FCH2 LU1322113025
5.0%
Class SEK LCH2 LU1322113298
4.8%
Class USD FCH LU0911036480
5.8%
Class USD LCH LU0911036308
5.5%
Class USD LDMH LU0616840939
5.5%
ML Euro BB-B Non-Financial Fixed & FRN HY Constr. Index
4.3%
1
3 3
3
in CHF 2 in SEK 3 in USD 4 Launched on June 15, 2016 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
27
Deutsche Invest I Euro-Gov Bonds Deutsche Invest I Euro-Gov Bonds Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0145652052
5.4%
Class FC
LU0145654009
5.5%
Class IC
LU1370690676
3.1%1
Class LD
LU0145652300 5.4%
Class NC
LU0145652649
iBoxx Sovereign Eurozone Overall 1
5.0% 5.6%
Launched on March 15, 2016
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
28
Deutsche Invest I European Small Cap Deutsche Invest I European Small Cap Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0236146774
-12.1%
Class FC
LU0236150610
-11.7%
Class ID
LU0435837868
-11.7%
Class LD
LU0236146857 -12.1%
Class NC
LU0236147079
STOXX Europe Small 200 since May 27, 2013 (previously: 50% STOXX Europe Mid 200, 50% STOXX Europe Small 200)
-12.4% -10.7%
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
29
Deutsche Invest I Financial Hybrid Bonds Deutsche Invest I Financial Hybrid Bonds Performance of share classes (in euro) Share class
ISIN
6 months
Class FC
LU1318737514
-4.7%
Class FD
LU1322112308
-4.7%
Class IC
LU1318737787
-4.5%
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
30
Deutsche Invest I German Equities Deutsche Invest I German Equities Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0740822621
-12.7%
Class FC
LU0740823785
-12.4%
Class LD
LU0740822977
-12.7%
Class NC
LU0740823439
-13.0%
Class PFC
LU1054333015
-13.4%
LU1054332983
-13.0%
Class GBP CH RD1
Class USD FCH LU0911036993
-12.0%
Class USD LC LU0740824916
-11.1%
Class USD LCH LU0911036720
-12.4%
2
2
2
CDAX
-8.8%
in GBP 2 in USD 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
31
Deutsche Invest I Global Agribusiness Deutsche Invest I Global Agribusiness Performance of share classes (in USD) Share class
ISIN
6 months
Class LC
LU0273158872 -4.9%
Class FC1
LU0273147834 -4.5%
1
Class FCH (P) LU0813334751 -13.2%3 1
Class LD1
LU0363470070 -4.9%
Class NC
LU0273147594 -5.2%
Class PFC1
LU1054333528 -5.5%
1
Class GBP LD DS2 LU0329762636
6.8%
Class GBP D RD LU0435837942
7.2%
2
Class USD FC
LU0273177401
-2.8%
Class USD IC
LU1203060063
-2.7%
Class USD JD
LU0300358362 -2.8%
Class USD LC
LU0273164847
-3.2%
in EUR 2 in GBP 3 Since the beginning of the shortened fiscal year / Liquidation date on May 27, 2016 / Last share price calculation on January 25, 2016 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
Liquidation proceeds for the share classes (in euro) Share class Class FCH (P)
32
ISIN
Liquidation proceeds per share
LU0813334751
73.18
Deutsche Invest I Global Bonds Deutsche Invest I Global Bonds Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU0616844923
0.0%
Class FC
LU0616846035
0.2%
Class FD
LU1054334179
0.2%
Class IC
LU1054333791
0.3%
Class ID
LU1054333874
0.3%
Class LD
LU0616845144
0.0%
Class NC
LU0616845490
-0.3%
Class PFC
LU1054334252
-0.4%
Class PFDQ
LU1054334336
-0.4%
Class CHF FCH1 LU1054335655 -0.2% Class CHF FDH1 LU1054335739 -0.1% Class CHF ICH1 LU1054335499 0.0% Class CHF LCH1 LU1054335812 -0.3% Class CHF LDH1 LU1054335903 -0.3% Class GBP CH RD2 LU1249493864
0.6%
Class GBP DH RD LU1054335226
0.6%
Class GBP IDH
0.6%
2
2
LU1054335069
Class SEK FCH LU1281067584 0.1% 3
Class SEK LCH3 LU1281067741 -0.1% Class USD FCH4 LU1054334682
0.7%
Class USD LCH LU1054334849
0.5%
4
in CHF 2 in GBP 3 in SEK 4 in USD 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
33
Deutsche Invest I Global Bonds Dynamic Plus Deutsche Invest I Global Bonds Dynamic Plus Performance of share classes (in euro) Share class
ISIN
6 months
Class FC
LU0616844766
0.1%
Class FD
LU1264174118
0.2%
Class LC
LU0616843958
-0.1%
Class LD
LU0616844170
-0.1%
Class NC
LU0616844337
-0.5%
Class ND
LU1272329464
-0.5%
Class CHF FCH LU1272328656 -0.2% 1
Class CHF LCH1 LU1272328813 -0.4% 1
in CHF
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
34
Deutsche Invest I Global Commodities Blend Deutsche Invest I Global Commodities Blend Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0982743675
7.9%
Class FC
LU0982743832
8.3%
LU0982743758
7.6%
Class NC
Class USD FC LU1205724070 10.3% 1
Class USD LC1
LU1205730390
Bloomberg Commodity Index Total Return 1
9.8% 12.1%
in USD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
35
Deutsche Invest I Global Corporate Bonds Deutsche Invest I Global Corporate Bonds Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class FC
LU0982744301
Class FD
LU0982744483 6.1%
Class ID
LU1054336893
Barclays Global Aggregate Corporate (hedged EUR) since August 17, 2015. Previously: Barclays Capital Global Aggregate Credit-hedged (EUR)
6.1% 6.3% 6.0%
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
36
Deutsche Invest I Global Emerging Markets Equities Deutsche Invest I Global Emerging Markets Equities Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0210301635
2.4%
Class FC
LU0210302369
2.8%
Class LD
LU0210302013 2.4%
Class NC
LU0210302286
2.1%
Class PFC
LU1054337511
1.9%
Class USD FC1 LU0273227354 4.7% Class USD LC1 LU0273227784 3.9% MSCI Emerging Markets since May 27, 2013 (previously: MSCI BRIC) 1
4.9%
in USD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
37
Deutsche Invest I Global Infrastructure Deutsche Invest I Global Infrastructure Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0329760770
Class FC
LU0329760937 11.1%
Class FCH (P)
LU0813335303
12.7%
Class FD
LU1222730084
11.1%
Class FDH (P)
LU1222730241
12.7%
Class IDH (P)
LU1217772315
12.8%
Class LD
LU0363470237 10.6%
Class LDH (P)
LU1277647191
Class NC
LU0329760853
10.6%
12.3% 10.3%
Class CHF FDH (P)1 LU1277646979
12.6%
Class CHF LCH1 LU0616865175
10.4%
Class GBP RD
24.5%
LU1054338162
2
Class GBP DH (P) RD LU1222731132
12.9%
Class SEK FCH (P)3 LU1278214884
12.4%
Class SEK LCH (P) LU1278222390
11.9%
Class SGD LDMH (P) LU1054338089
12.8%
2
3
4
Class USD FC
LU0329761745
5
13.0%
Class USD FDM5 LU1277647274
13.1%
Class USD ID5 LU1277647357
13.2%
Class USD LC LU0329761661
12.6%
Class USD LCH (P) LU1222731306
12.8%
5
5
Class USD LD LU1277647431
12.6%
Class USD LDMH (P)5 LU1225178372
12.9%
DJ Brookfield Global Infrastructure since November 29, 2013 (previously: UBS Developed Infrastructure & Utilities)
13.8%
5
in CHF in GBP in SEK 4 in SGD 5 in USD 1 2 3
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
38
Deutsche Invest I Global Real Estate Securities Deutsche Invest I Global Real Estate Securities Performance of share classes (in USD) ISIN
6 months
Class USD FC
Share class
LU0507268943
6.3%
Class USD LC
LU0507268869 6.0%
Class USD LDMH (P)
LU1316036653
Class CHF LDH (P)
LU1212621004 3.2%
1
Class FDH (P)2 LU1316036224
4.8% 3.7%
Class LD2 LU0507268513 4.1% Class GBP DH (P) RD3 LU1316036497
4.2%
Class SEK FCH (P) LU1316036570
3.6%
4
in CHF 2 in EUR 3 in GBP 4 in SEK 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
39
Deutsche Invest I Global Short Duration (formerly: Deutsche Invest I Global Bonds (Short))
Deutsche Invest I Global Short Duration Performance of share classes vs. benchmark (in USD) Share class
ISIN
6 months
Class USD LC
LU1211655896 1.8%
Class USD FC
LU1211655540
Class FCH
LU1189352500 1.3%
1
1.9%
Class LCH
LU1189343186 1.2%
Class NCH1
LU1189343772 0.9%
1
Barclays Global Aggregate 1-3 Y 1
1.3%
in EUR
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
40
Deutsche Invest I Global Thematic Deutsche Invest I Global Thematic Performance of share classes vs. benchmark (in USD) Share class
ISIN
6 months
Class USD FC
LU0273177237
Class USD LC
LU0273164680 -4.0%
Class LC 1
-3.5%
LU0273158526 -5.7%
Class FC
LU0273147164 -5.4%
Class NC1
LU0298697664 -6.0%
1
Class GBP FC2
LU0363470583
– 3
Class GBP D RD LU0507270337
6.4%
MSCI World
0.2%
2)
in EUR 2 in GBP 3 Liquidation date May 19, 2016 / Last share price calculation on December 17, 2015 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
Liquidation proceeds for the share classes (in GBP) Share class Class GBP FC
ISIN
Liquidation proceeds per share
LU0363470583
147.41
41
Deutsche Invest I Gold and Precious Metals Equities Deutsche Invest I Gold and Precious Metals Equities Performance of share classes (in USD) Share class
ISIN
6 months
Class USD FC
LU0273177823
94.3%
Class USD LC
LU0273165570 93.5%
Class FC
LU0273148212 90.4%
1
Class LC
LU0273159177 90.0%
Class LD1
LU0363470401 90.0%
Class NC1
LU0273148055 89.2%
1
1
in EUR
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
42
Deutsche Invest I Latin American Equities Deutsche Invest I Latin American Equities Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0399356780
27.8%
Class FC
LU0399356863
28.4%
LU0813337002
27.3%
Class NC
Class USD LC LU0813337184
30.7%
MSCI EM Latin America 10/40 Index
24.1%
1
1
in USD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
43
Deutsche Invest I Liquidity Fund Deutsche Invest I Liquidity Fund Performance of share classes (in euro) Share class
ISIN
6 months
Class NC
LU0416134160
-0.1%
Class FC
LU0416134327
-0.1%
LU0416134244 -0.1%
Class ND
Class USD LCH 1
LU0740835953 0.4%
Class USD LDH LU0740835797 1
1
0.4%
in USD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
44
Deutsche Invest I Multi Asset Balance Deutsche Invest I Multi Asset Balance Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU0544571200
-2.8%
Class FC
LU1054338832
-2.4%
Class NC
LU1054338758
-3.0%
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
45
Deutsche Invest I Multi Asset Defensive Deutsche Invest I Multi Asset Defensive Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU1054319964
-0.9%
Class FD
LU1303742552
-0.5%
Class LD
LU1054320038 -0.9%
Class NC
LU1054320111
-1.1%
Class PFC
LU1217771937
2.4%1
1
Launched on February 15, 2016
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
46
Deutsche Invest I Multi Asset Dynamic Deutsche Invest I Multi Asset Dynamic Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU1054320384
-5.9%
Class LD
LU1054320467
-5.9%
Class NC
LU1054320541 -6.1%
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
47
Deutsche Invest I Multi Asset Income Deutsche Invest I Multi Asset Income Performance of share classes (in euro) Share class
ISIN
6 months
Class LD
LU1054320970
-2.3%
Class FC
LU1186220148 -2.0%
Class LC
LU1054320897
-2.3%
Class NC
LU1186218753
-2.4%
Class ND
LU1054321192
-2.4%
Class PFD
LU1217772232
3.0%1
1)
Launched on January 19, 2016
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
48
Deutsche Invest I Multi Asset Total Return Deutsche Invest I Multi Asset Total Return Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU0544571895
-8.0%
Class FC
LU1254146720
-7.6%
Class NC
LU1054338915 -8.1%
Class RD
LU1254146993
Class USD RDH1 LU1267926977 1
-7.9% -7.4%
in USD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
49
Deutsche Invest I Multi Credit Deutsche Invest I Multi Credit Performance of share classes (in USD) Share class
ISIN
6 months
Class USD LD
LU1249492460
4.9%
Class USD FC
LU1249492387
5.1%
Class FCH LU1249492031 4.5% 1
Class LDH1 LU1249492114 4.3% 1)
in EUR
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
50
Deutsche Invest I Multi Opportunities Deutsche Invest I Multi Opportunities Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU1054321358
1.1%
Class FC
LU1054322166
1.4%
Class FD
LU1254146480
1.4%
Class LD
LU1254146563
1.2%
Class LDQ
LU1054321515
1.1%
Class NC
LU1054321606
0.9%
Class NDQ
LU1054321861
0.9%
Class PFC
LU1054321945
0.7%
Class PFDQ
LU1054322083
0.7%
Class AUD LCH2
LU1196385774 1.9%
Class AUD LDMH2 LU1254146217
1.9%
Class CHF FCH LU1254146308
1.2%
Class RMB LDMH LU1289539220
3.6%
5
Class GBP CH RD LU1220887316
1.6%
Class HKD LDMH6
LU1230072123 1.3%
3
4
Class SEK FCH7 LU1289020239
1.1%
Class SEK LCH LU1289020312
0.8%
7
Class SGD LDMH
LU1196386152 1.6%
Class USD FCH9
LU1224427564 1.7%
8
LU1196394099 1.5%
Class USD LCH
9
Class USD LDMH LU1254146647
1.6%
Class USD RDMH LU1433454672
0.0%1
9
9
Launched on June 30, 2016 in AUD in CHF 4 in CNY 5 in GBP 6 in HKD 7 in SEK 8 in SGD 9 in USD 1 2 3
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
51
Deutsche Invest I New Resources Deutsche Invest I New Resources Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU0237014641
-5.3%
Class FC
LU0237015887
-4.9%
Class LD
LU0237015291 -5.3%
Class NC
LU0237015457
-5.6%
Class USD FC1 LU0273228162 -3.2% Class USD LC1 LU0273227941 -3.6% 1
in USD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
52
Deutsche Invest I Nomura Japan Growth Deutsche Invest I Nomura Japan Growth Performance of share classes (in euro) Share class
ISIN
6 months
Class MFCH
LU1218760608
-14.8%
LU1302557449
-15.0%
Class FCH
Class JPY FC LU1342482384 -6.0%1 2
1 2
Launched on January 29, 2016 in JPY
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
53
Deutsche Invest I Quant Equity Low Volatility World Deutsche Invest I Quant Equity Low Volatility World Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU1230072479
5.0%
Class FC
LU1230072396 5.4%
Class FC EB
LU1236797764
5.6%
Class FCH (P) EB
LU1236813124
5.4%
Class FD
LU1342482624
8.2%1
Class LD
LU1230072552
5.0%
LU1230072636
4.6%
Class ND
Class USD LC LU1230072719 2
6.9%
Launched on January 29, 2016 2 in USD 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
54
Deutsche Invest I Real Assets Income Deutsche Invest I Real Assets Income Performance of share classes (in euro) Share class
ISIN
6 months 9.4%
Class LD
LU1279614413
Class LDH (P)
LU1279614504 9.4%
Class LDQ
LU1279614686
9.4%
LU1279614926
10.1%
Class XD
Class USD LD LU1279614769 12.0% 1
Class USD XD1 LU1279614843 12.0% 1
in USD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
55
Deutsche Invest I Senior Secured High Yield Corporates Deutsche Invest I Senior Secured High Yield Corporates Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class FC
LU0982745456
3.5%
Class FD
LU0982745530
4.2%1
Class ID
LU0982745613
3.6%
Class LD
LU0982745373
4.0%1
3M EURIBOR 1)
-0.1%
Launched on January 14, 2016
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
56
Deutsche Invest I Short Duration Credit Deutsche Invest I Short Duration Credit Performance of share classes vs. benchmark (in euro) ISIN
6 months
Class LC
Share class
LU0236145453
2.0%
Class FC
LU0236146428
2.1%
Class LD
LU0507269321
2.0%
Class NC
LU0236146006 1.7%
iBoxx Euro Corporates 1-3Y since August 16, 2011
1.0%
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
57
Deutsche Invest I Top Asia Deutsche Invest I Top Asia Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0145648290
-2.7%
Class FC
LU0145649181
-2.3%
Class LD
LU0145648456 -2.7%
Class NC
LU0145648886
Class GBP D RD LU0399358562 1
-3.0% 9.7%
Class USD FC2 LU0273174648
-0.6%
Class USD LC2 LU0273161231
0.2%
50% MSCI AC Far East, 50% MSCI AC Far East ex Japan 1 2
-0.9%
in GBP in USD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
58
Deutsche Invest I Top Dividend Deutsche Invest I Top Dividend Performance of share classes (in euro) Share class
ISIN
6 months
Class LC
LU0507265923
3.6%
Class FC
LU0507266228
4.0%
Class FD
LU0740838205
4.0%
Class ID
LU0616863808
4.1%
Class IDH (P)
LU0911039310
4.4%
Class LD
LU0507266061
3.6%
Class NC
LU0507266145
3.2%
Class ND
LU0544572786
3.2%
Class PFC
LU1054340812
3.1%
Class PFD
LU1054340903
3.0%
Class CHF FCH (P) LU0616864285
3.9%
Class CHF LCH (P) LU0616864012
3.5%
1 1
Class GBP C RD LU1263963255 16.8% 2
Class GBP LD DS2 LU0511520347 Class GBP LDMH (P) LU1279615063 2
16.4% 4.0%
Class GBP RD LU0911038932 16.8% 2
Class SEK FCH (P)3 LU1282658993
3.8%
Class SEK LCH (P)3 LU1282659025
3.4%
LU0740838460 0.4%
Class SGD LC4
LU0740838544 4.4%
Class SGD LCH (P)
4
LU0616864442 0.4%
Class SGD LDQ
4
Class SGD LDQH (P)
LU0911038858 4.4%
Class USD FC5
LU0507266574 5.8%
4
Class USD FCH (P)
LU0813338588
Class USD LC5
LU0507266491 5.5%
5
0.0%6
5
Class USD LCH (P)
LU0544572604 4.3%
Class USD LDH (P)5
LU0740838031 4.3%
5
Class USD LDM LU0911038429
5.4%
5
LU0911038775 5.4%
Class USD LDQ
in CHF 2 in GBP 3 in SEK 4 in SGD 5 in USD 6 Launched on June 30, 2016 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
59
Deutsche Invest I Top Euroland Deutsche Invest I Top Euroland Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0145644893
-14.9%
Class FC
LU0145647722
-14.6%
Class FD
LU0740840441
-14.6%
Class IC
LU0616864954
-14.5%
Class LD
LU0145647052
-14.9%
Class NC
LU0145647300
-15.2%
LU1054342354
-15.7%
LU0911039740
-4.6%
Class PFC Class GBP D RD 1
Class GBP DH RD LU1054342438
-15.2%
Class SGD LCH (P)2
-14.6%
1
LU1054341976
Class USD FCH3 LU0911039666 -14.1% Class USD LCH3
LU0986127263
EURO STOXX 50
-14.4% -10.8%
in GBP 2 in SGD 3 in USD 1
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
60
Deutsche Invest I Top Europe Deutsche Invest I Top Europe Performance of share classes vs. benchmark (in euro) Share class
ISIN
6 months
Class LC
LU0145634076
-10.2%
Class FC
LU0145635479
-9.9%
Class LD
LU0145634662 -10.2%
Class NC
LU0145635123
-10.6%
Class USD LC1 LU0273160340
-8.7%
MSCI Europe EUR
-7.2%
1
in USD
“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
61
Deutsche Invest I USD Corporate Bonds Deutsche Invest I USD Corporate Bonds Performance of share classes (in USD) ISIN
Since inception*
Class USD LC
Share class
LU1333038716
6.4%
Class USD FC
LU1333038633 6.7%
Class USD LD
LU1333038807
6.4%
Class USD XC
LU1333038989
6.9%
Class FCH1
LU1333038393 6.1%
Class LCH1
LU1333038476 5.8%
Class LDH
LU1333038559 5.8%
Class XCH
LU1333039011 6.4%
1 1
* Launched on January 15, 2016 1 in EUR “BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016
62
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 y c es th/ rities d y/mon in secu rtfolio is “da o ment p
Semiannual financial statements
Deutsche Invest I Africa Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 67 547 208.72 Equities Choppies Enterprises Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 250 000 250 000 BWP 4 413 574.54 Cleopatra Hospital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 424 000 424 000 EGP 10 429 523.97 Commercial International Bank Egypt SAE. . . . . . . . . . . . . . . . Count 1 000 592 750 EGP 39.5 4 001.46 Edita Food Industries SAE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 1 000 249 000 EGP 15 3 039.08 Egyptian Financial Group-Hermes Holding. . . . . . . . . . . . . . . . Count 1 500 000 1 350 000 3 600 000 EGP 10.57 1 606 156.25 EL EZZ Ceramics and Porcelain Co.. . . . . . . . . . . . . . . . . . . . . Count 1 726 800 126 800 368 500 EGP 3.59 627 997.67 ElSwedy Electric Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 125 000 100 000 EGP 43 544 502.67 Medinet Nasr Housing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 200 000 1 069 650 593 980 EGP 11.91 1 447 819.94 Orascom Construction Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 150 000 150 000 EGP 52.31 794 872.60 Orascom Telecom Media And Technology Holding SAE. . . . . Count 7 000 000 19 500 000 12 500 000 EGP 0.55 390 015.87 Oriental Weavers. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 400 000 975 000 EGP 5.24 743 157.51 Palm Hills Developments SAE . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 050 50 EGP 2.22 236.14 Six of October Development & Investment. . . . . . . . . . . . . . . Count 1 000 1 749 000 EGP 10 1 013.03 Talaat Moustafa Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 900 000 3 150 000 4 500 000 EGP 4.88 1 433 637.55 Telecom Egypt Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 500 000 1 650 000 2 900 000 EGP 8.16 1 239 946.55 Bollore SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 125 000 350 000 225 000 EUR 3.046 380 750.00 Centamin Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 750 000 1 250 000 GBP 1.275 1 541 092.34 Lekoil Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 750 000 1 250 000 250 000 GBP 0.188 396 604.65 Old Mutual Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 750 000 250 000 800 000 GBP 1.943 4 109 881.74 Petra Diamonds Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 249 000 GBP 1.15 1 390.00 Randgold Resources Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 500 5 000 5 000 GBP 82.8 3 252 611.35 Savannah Petroleum Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 GBP 0.236 285 555.34 SEPLAT Petroleum Development Co. Plc. . . . . . . . . . . . . . . . . Count 500 000 500 000 GBP 0.698 421 534.08 Tullow Oil Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 975 000 1 475 000 500 000 GBP 2.607 3 072 303.55 Co-operative Bank of Kenya Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 1 167 KES 16.2 168.22 East African Breweries Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 678 900 1 171 100 KES 276 1 667 231.10 Equity Bank Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 000 000 4 999 000 KES 38.5 1 712 819.68 Kenya Commercial Bank Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 500 000 1 250 000 2 250 000 KES 34 2 571 453.97 Kenya Electricity Generating Co., Ltd. . . . . . . . . . . . . . . . . . . . Count 26 000 000 26 000 000 KES 7 1 619 393.16 Safaricom Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 000 000 4 500 000 KES 17.5 2 179 952.32 Umeme Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 750 000 3 750 000 KES 17 567 232.49 Attijariwafa Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 500 2 500 MAD 344 395 534.05 Maroc Telecom. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 000 70 000 MAD 118.75 1 256 165.54 Residences Dar Saada. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 000 17 500 35 000 MAD 175 402 432.90 Cadbury Nigeria Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 162 000 1 338 000 NGN 17 171 017.38 Dangote Cement Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 NGN 190.21 605.15 Diamond Bank Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 12 113 901 NGN 2.25 7.16 FBN Holdings Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 6 999 000 NGN 3.88 12.34 Flour Mills of Nigeria Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 100 NGN 22.52 78.81 Guaranty Trust Bank Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 NGN 23.26 74.00 International Breweries Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 000 000 2 500 000 NGN 19.95 253 882.25 Nestle Nigeria Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 NGN 850 2 704.26 Nigerian Breweries Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 NGN 134.31 427.30 Stanbic IBTC Holdings Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 501 000 7 500 000 NGN 16.2 386 601.59 United Bank for Africa Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 751 000 3 750 000 NGN 4.7 56 088.57 Zenith Bank Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 NGN 15.77 50.17 Atlas Mara Co-Nvest Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 245 250 43 501 54 750 USD 3.925 865 925.93 Commercial International Bank Egypt SAE. . . . . . . . . . . . . . . . Count 1 750 000 937 500 USD 3.579 5 634 194.22 Ecobank Transnational, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 666 XOF 32 520.33 AngloGold Ashanti Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 175 000 137 500 162 500 ZAR 268.37 2 870 582.53 Curro Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 700 000 428 633 ZAR 39 1 668 632.39 EOH Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 150 000 150 000 ZAR 138.86 1 273 111.50 FirstRand Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 850 000 600 000 1 250 000 ZAR 44.98 2 336 879.93 Holdsport Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 300 000 170 943 100 000 ZAR 59.01 1 082 043.93 Mondi Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 000 25 000 ZAR 271.09 414 239.52 Naspers Ltd -N-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 57 500 13 750 22 750 ZAR 2 252.42 7 916 172.37 Netcare Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 850 000 850 000 ZAR 31.09 1 615 242.27 Rand Merchant Investment Holdings Ltd. . . . . . . . . . . . . . . . . Count 175 000 175 000 ZAR 41.13 439 941.35 Steinhoff International Holding NV. . . . . . . . . . . . . . . . . . . . . . Count 475 000 200 000 225 000 ZAR 84 2 438 770.42 Telkom SA SOC Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 000 473 371 850 000 ZAR 66.94 1 636 604.43 Transaction Capital Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 000 100 000 ZAR 11.2 68 456.71 Woolworths Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 175 000 175 000 ZAR 84.21 900 740.60
85.08
Securities admitted to or included in organized markets 0.00 Equities Flour Mills 30/09/2015. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 458 NGN 0 0.00
0.00
Total securities portfolio 67 547 208.72 Cash at bank 12 837 097.24 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 892 168.84 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 359 929 435 046.29
64
% of net assets
0.52 0.54 0.01 0.00 2.02 0.79 0.69 1.82 1.00 0.49 0.94 0.00 0.00 1.81 1.56 0.48 1.94 0.50 5.18 0.00 4.10 0.36 0.53 3.87 0.00 2.10 2.16 3.24 2.04 2.75 0.71 0.50 1.58 0.51 0.22 0.00 0.00 0.00 0.00 0.00 0.32 0.00 0.00 0.49 0.07 0.00 1.09 7.10 0.00 3.62 2.10 1.60 2.94 1.36 0.52 9.97 2.03 0.55 3.07 2.06 0.09 1.14
0.00 85.08 16.17 4.90
0.55
Deutsche Invest I Africa Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Deposits in non-EU/EEA currencies Egyptian pound. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EGP 72 750 433 7 369 824.18 9.28 Botswana pula. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BWP 161 416 13 351.48 0.02 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 2 475 1 714.74 0.00 Kenyan shilling. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KES 5 265 000 46 846.73 0.06 Moroccan dirham . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MAD 1 022 890 94 090.19 0.12 Nigerian naira. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NGN 174 563 401 555 370.30 0.70 South African rand. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 7 013 580 428 684.49 0.54 Time deposits Other assets 285 629.02 0.36 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272 954.04 0.34 Receivables from exceeding the expense cap. . . . . . . . . . . . . 12 674.98 0.02 Receivables from share certificate transactions 118 750.49 0.15 Total assets 80 788 685.47 101.76 Short-term liabilities -370 701.25 -0.47 Loans in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD -412 090 -370 701.25 -0.47 Other liabilities -502 666.88 -0.63 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -158 247.26 -0.20 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -344 419.62 -0.43 Liabilities from share certificate transactions -519 016.46 -0.66 Total liabilities -1 392 384.59 -1.76 Net assets 79 396 300.88 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 94.46 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 87.09 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 87.09 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 83.58 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 134.54 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 64.53 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 206 631 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 350 021 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 473 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 191 527 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 314 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 166 015 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI EFM AFRICA - Total Return Net Dividend in EUR Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 46.479 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 60.404 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 52.025 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date.
65
Deutsche Invest I Africa Exchange rates (indirect quotes) As of: June 30, 2016 Botswana pula. . . . . . . . . . . . . . . . . . . BWP 12.089719 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Egyptian pound. . . . . . . . . . . . . . . . . . EGP 9.871393 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Kenyan shilling. . . . . . . . . . . . . . . . . . . KES 112.387779 = EUR 1 Moroccan dirham . . . . . . . . . . . . . . . . MAD 10.871378 = EUR 1 Nigerian naira. . . . . . . . . . . . . . . . . . . . NGN 314.318937 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 CFA franc. . . . . . . . . . . . . . . . . . . . . . . XOF 655.956775 = EUR 1 South African rand. . . . . . . . . . . . . . . . ZAR 16.360704 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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 valued to a minor extent 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/ Purchases/ Sales/ Description units/ additions disposals currency
Securities traded on an exchange Equities Atlas Mara Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Barclays Africa Group Ltd . . . . . . . . . . . . . . . . . . . Count 55 000 Barclays Bank of Kenya Ltd . . . . . . . . . . . . . . . . . Count Brait SE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 Consolidated Infrastructure Group Ltd. . . . . . . . . Count Curro Holdings Ltd -Rights Exp 13May16. . . . . . . Count 50 000 First Quantum Minerals Ltd . . . . . . . . . . . . . . . . . Count Investec Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count KenGen -Rights Exp 10Jun16. . . . . . . . . . . . . . . . Count 6 000 000 Mediclinic International Ltd . . . . . . . . . . . . . . . . . Count 115 000 Mediclinic International Plc. . . . . . . . . . . . . . . . . . Count 140 000 Mr Price Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 75 000 MTN Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . Count Nampak Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Nedbank Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count PSG Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Qalaa Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 500 000 Sanlam Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Sefalana Holding Co. Ltd. . . . . . . . . . . . . . . . . . . . Count Standard Bank Group Ltd . . . . . . . . . . . . . . . . . . . Count The Foschini Group Ltd. . . . . . . . . . . . . . . . . . . . . Count 125 000 Securities admitted to or included in organized markets
43 175 16 406 135 84 50 125 1 6 000 115 140 225 350 1 1 85 10 000 300 200 200 125
501 000 100 000 253 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000
Equities South Valley Cement. . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000
66
Deutsche Invest I Asian Bonds Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
% of net assets
Securities traded on an exchange 20 317 056.00 72.83 Interest-bearing securities 9.00 % Alam Synergy Pte Ltd 2014/2019. . . . . . . . . . . . . . . USD 750 000 750 000 % 104.406 783 045.00 2.81 6.95 % Alam Synergy Pte Ltd -Reg- 2013/2020. . . . . . . . . . USD 500 000 500 000 % 98.367 491 835.00 1.76 5.75 % AusNet Services Holdings Pty Ltd 2016/2076 *. . . . USD 500 000 500 000 % 106.482 532 410.00 1.91 7.25 % Biostime International Holdings Ltd -Reg2016/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 103.593 1 035 930.00 3.71 6.525 % China Aoyuan Property Group Ltd 2016/2019 . . . . . USD 500 000 1 000 000 500 000 % 100.901 504 505.00 1.81 7.50 % China Shanshui Cement Group Ltd 2015/2020. . . . . USD 1 000 000 % 77.351 773 510.00 2.77 8.25 % Golden Legacy Pte Ltd -Reg- 2016/2021 . . . . . . . . . USD 1 200 000 2 000 000 800 000 % 102.175 1 226 100.00 4.40 5.95 % Indonesia Government International Bond (MTN) -Reg- 2015/2046 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 4 500 000 3 500 000 % 118.254 1 182 540.00 4.24 9.75 % Marquee Land Pte Ltd -Reg- 2014/2019. . . . . . . . . . USD 1 200 000 1 200 000 % 107.725 1 292 700.00 4.63 6.875 % MIE Holdings Corp. (MTN) 2013/2018. . . . . . . . . . . USD 750 000 1 250 000 500 000 % 79.04 592 800.00 2.12 9.00 % Moon Wise Global Ltd. 2014/2049*. . . . . . . . . . . . . USD 1 000 000 500 000 500 000 % 109.396 1 093 960.00 3.92 4.875 % Newmont Mining Corp. 2012/2042. . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 98.657 986 570.00 3.54 3.625 % Noble Group Ltd 2013/2018. . . . . . . . . . . . . . . . . . . USD 1 300 000 1 300 000 % 86.087 1 119 131.00 4.01 9.625 % Oceanwide Holdings International 2015 Co., Ltd 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 107.974 539 870.00 1.94 5.375 % Pelabuhan Indonesia II PT -Reg- 2015/2045. . . . . . . USD 500 000 1 000 000 500 000 % 94.648 473 240.00 1.70 6.45 % Pertamina Persero PT -Reg- (MTN) 2014/2044. . . . . USD 1 200 000 2 200 000 1 000 000 % 106.507 1 278 084.00 4.58 5.25 % Perusahaan Listrik Negara PT 2012/2042. . . . . . . . . USD 500 000 1 500 000 1 000 000 % 96.42 482 100.00 1.73 6.25 % Royal Capital BV 2015/2049 *. . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 103.894 519 470.00 1.86 6.125 % Star Energy Geothermal Wayang Windu Ltd -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 101.999 509 995.00 1.83 8.50 % STATS ChipPAC Ltd 2015/2020 . . . . . . . . . . . . . . . . USD 500 000 500 000 % 103.971 519 855.00 1.86 8.50 % Studio City Finance Ltd 2012/2020. . . . . . . . . . . . . . USD 1 550 000 2 800 000 1 250 000 % 101.867 1 578 938.50 5.66 5.875 % Vale Overseas Ltd 2016/2021. . . . . . . . . . . . . . . . . . USD 250 000 500 000 250 000 % 100.091 250 227.50 0.90 8.25 % Vedanta Resources Plc -Reg- 2011/2021. . . . . . . . . USD 700 000 1 950 000 1 250 000 % 82.892 580 244.00 2.08 6.00 % Vedanta Resources Plc -Reg- 2013/2019. . . . . . . . . USD 2 300 000 3 300 000 1 000 000 % 85.652 1 969 996.00 7.06 Securities admitted to or included in organized markets 4 664 324.75 16.72 Interest-bearing securities 6.875 % Harvest Operations Corp. 2012/2017. . . . . . . . . . . . USD 1 750 000 1 750 000 % 98.062 1 716 093.75 6.15 6.95 % Listrindo Capital BV -Reg- 2012/2019. . . . . . . . . . . . USD 800 000 1 000 000 200 000 % 103.964 831 712.00 2.98 5.75 % Newcrest Finance Pty Ltd 2011/2041. . . . . . . . . . . . USD 1 700 000 1 700 000 % 94.682 1 609 594.00 5.77 4.20 % Newcrest Finance Pty Ltd 2012/2022. . . . . . . . . . . . USD 500 000 500 000 500 000 % 101.385 506 925.00 1.82 Total securities portfolio 24 981 380.75 89.55 Derivatives (Minus signs denote short positions) Currency derivatives -262 464.10 -0.94 Receivables/payables Currency futures Currency futures (short) Closed positions USD/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -6.96 0.00 Currency futures (long) Open positions EUR/USD 16.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -262 457.14 -0.94 Cash at bank 3 149 821.49 11.29 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 330 367.37 0.00 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 149 454.12 11.29 Other assets 1 268 368.60 4.55 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397 757.68 1.43 Receivables from exceeding the expense cap. . . . . . . . . . . . . 14 722.03 0.05 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 855 888.89 3.07 Total assets ** 29 399 570.84 105.39 Other liabilities -1 240 357.14 -4.45 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 240 357.14 -4.45 Total liabilities -1 502 821.24 -5.39 Net assets 27 896 749.60 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
67
Deutsche Invest I Asian Bonds Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 114.61 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 115.90 Number of shares outstanding Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 145 473 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 784 Composition of the reference portfolio (according to CSSF circular 11/512) JPMorgan ASIAN CREDIT INDEX in USD TR - JACI Index Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 80.318 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 186.499 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 131.399 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations Contracting party for currency futures State Street Bank and Trust Company Exchange rates (indirect quotes) As of: June 30, 2016 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0.899564 = USD 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Floating interest rate. ** Does not include positions with a negative balance, if such exist.
68
Deutsche Invest I Asian Bonds 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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Interest-bearing securities 4.85 % ABJA Investment Co Pte Ltd 2014/2020. . . . . . . . . . . . . . . . . . . . . . USD 500 000 4.00 % A frican Export-Import Bank (MTN) 2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 9.875 % A gile Property Holdings Ltd 2012/2017. . . . . . . . . . . . . . . . . . . . . . USD 7.50 % Argentine Republic Government International Bond -Reg- 2016/2026. . USD 500 000 7.50 % A rgentine Republic Government International Bond -Reg- 2016/2026. . USD 216 000 1.00 % Bluestar Fin Holdings 2015/2049 . . . . USD 6.50 % Cablevision SA/Argentina -Reg2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 500 000 6.125 % C AR, Inc. -Reg- 2015/2020. . . . . . . . . USD 500 000 2.375 % CCBL Cayman 1 Corp., Ltd (MTN) 2016/2019. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 3.50 % CCCI Treasure Ltd 2015/2049 *. . . . . USD 6.50 % Central China Real Estate Ltd 2013/2018. . . . . . . . . . . . . . . . . . . . . . USD 2.241 % Central Nippon Expressway Co., Ltd 2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 500 000 1.674 % C entral Nippon Expressway Co., Ltd 2016/2021 * . . . . . . . . . . . . . . . . . . . . USD 1 000 000 7.125 % C entral Plaza Development Ltd 2014/2049 * . . . . . . . . . . . . . . . . . . . . USD 11.25 % China Aoyuan Property Group Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . . USD 6.125 % C hina Energy Reserve and Chemicals Group International Co., Ltd 2016/2019. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 3.375 % C hina Overseas Finance Cayman III Ltd 2013/2018. . . . . . . . . . . . . . . . . . . . . . USD 7.75 % C IFI Holdings Group Co., Ltd 2015/2020. . . . . . . . . . . . . . . . . . . . . . USD 3.70 % C ITIC Ltd (MTN) 2016/2026 . . . . . . . . USD 2 000 000 5.625 % C loverie Plc for Zurich Insurance Co., Ltd 2016/2046 *. . . . . . . . . . . . . . . . . USD 500 000 7.00 % Cosan Luxembourg SA -Reg2016/2027. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 5.625 % Demeter Investments BV for Swiss Re Ltd 2016/2052 * . . . . . . USD 1 000 000 3.908 % DP World Crescent Ltd -Reg2016/2023. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 7.50 % eHi Car Services Ltd -Reg2015/2018. . . . . . . . . . . . . . . . . . . . . . USD 500 000 2.00 % E xport-Import Bank of China/The 2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 500 000 2.625 % Export-Import Bank of Korea 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 6.25 % Future Land Development Holdings Ltd 2015/2017. . . . . . . . . . . . . . . . . . . USD 9.00 % G olden Legacy Pte. Ltd -Reg2014/2019. . . . . . . . . . . . . . . . . . . . . . USD 1 250 000 8.00 % G reenko Dutch BV -Reg- 2014/2019. . USD 6.25 % G TH Finance BV -Reg- 2016/2020 . . . USD 1 000 000 3.375 % G uangzhou Metro Investment Finance BVI Ltd 2015/2020. . . . . . . . . USD 3.25 % H uarong Finance II Co., Ltd 2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 500 000 6.00 % Hutchison Whampoa International 12 Ltd -Reg- 2012/2049 *. . . . . . . . . . USD 7.00 % Indo Energy Finance BV -Reg2011/2018. . . . . . . . . . . . . . . . . . . . . . USD 500 000 5.25 % Indonesia Government International Bond -Reg- 2012/2042 . . . . . . . . . . . . USD 1 750 000 4.50 % Israel Government International Bond 2013/2043. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 2.875 % Israel Government International Bond 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2.80 % J apan Tobacco, Inc. (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 500 000 4.75 % JSW Steel Ltd 2014/2019. . . . . . . . . . USD 1 000 000 3.25 % Kia Motors Corp. -Reg- 2016/2026. . . USD 500 000
500 000 1 000 000 1 000 000 500 000 216 000 1 000 000 500 000 500 000 1 000 000 400 000 400 000 500 000 1 000 000 1 100 000 1 000 000 1 000 000 250 000 500 000 2 000 000 500 000 1 000 000 1 000 000 1 000 000 500 000 500 000 2 000 000 1 000 000 1 250 000 500 000 1 000 000 500 000 500 000 250 000 500 000 1 750 000 1 000 000 2 000 000 500 000 1 000 000 500 000
2.25 % K ookmin Bank -Reg- 2016/2021. . . . . 8.975 % KWG Property Holding Ltd -Reg2014/2019. . . . . . . . . . . . . . . . . . . . . . 2.75 % LTC GB Ltd 2016/2021. . . . . . . . . . . . 8.00 % Marfrig Holdings Europe BV -Reg2016/2023. . . . . . . . . . . . . . . . . . . . . . 2.375 % M idea Investment Development Co. (MTN) 2016/2019 . . . . . . . . . . . . . . . . 2.95 % M itsubishi UFJ Financial Group, Inc. 2016/2021. . . . . . . . . . . . . . . . . . . . . . 10.875 % Mongolia Government International Bond (MTN) -Reg- 2016/2021. . . . . . . 4.70 % Nippon Life Insurance Co. -Reg2016/2046 * . . . . . . . . . . . . . . . . . . . . 11.75 % O ceanwide Real Estate International Holdings Co., Ltd 2014/2019 . . . . . . . 4.625 % O NGC Videsh Ltd -Reg- 2014/2024 . . 2.65 % O RIX Corp. (MTN) 2016/2021. . . . . . . 5.875 % OVPH Ltd 2016/2049 . . . . . . . . . . . . . 4.55 % P erusahaan Penerbit SBSN ndonesia III 2016/2026. . . . . . . . . . . . 8.375 % P etrobras Global Finance BV 2016/2021. . . . . . . . . . . . . . . . . . . . . . 3.70 % P hilippine Government International Bond 2016/2041. . . . . . . . . . . . . . . . . 5.50 % P rofit Fast Ltd 2015/2018. . . . . . . . . . 4.125 % P roven Honour Capital Ltd 2016/2026. . . . . . . . . . . . . . . . . . . . . . 9.125 % Provincia de Buenos Aires/Argentina 2016/2024. . . . . . . . . . . . . . . . . . . . . . 5.25 % P rudential Plc (MTN) 2016/2049. . . . . 4.875 % PTT Exploration & Production PCL -Reg- 2014/2049 *. . . . . . . . . . . . . . . . 5.875 % Q BE Insurance Group Ltd (MTN) 2016/2046 * . . . . . . . . . . . . . . . . . . . . 9.875 % Road King Infrastructure Finance 2012 Ltd (MTN) 2012/2017. . 9.625 % Shui On Development Holding Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . . 10.25 % S ino-Ocean Land Perpetual Finance Ltd -Reg- 2011/2049 *. . . . . . 2.125 % Sinopec Group Overseas Development 2016 Ltd -Reg2016/2019. . . . . . . . . . . . . . . . . . . . . . 7.125 % S OHO China Ltd 2012/2022. . . . . . . . 2.934 % Sumitomo Mitsui Financial Group, Inc. 2016/2021 . . . . . . . . . . . . . . . . . . 8.75 % S unac China Holdings Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . . 3.625 % Swire Properties MTN Financing Ltd (MTN) 2016/2026 . . . . . . . . . . . . . . . . 6.50 % T exhong Textile Group Ltd 2013/2019. . . . . . . . . . . . . . . . . . . . . . 7.625 % Texhong Textile Group Ltd -Reg2011/2016. . . . . . . . . . . . . . . . . . . . . . 0.00 % TPK Holding Co., Ltd -Reg2015/2020. . . . . . . . . . . . . . . . . . . . . . 0.50 % U nited States Treasury Note/Bond 2015/2017. . . . . . . . . . . . . . . . . . . . . . 2.00 % U nited States Treasury Note/Bond 2015/2025. . . . . . . . . . . . . . . . . . . . . . 2.25 % U nited States Treasury Note/Bond 2015/2025. . . . . . . . . . . . . . . . . . . . . . 5.50 % Vedanta Resources Jersey Ltd 2009/2016. . . . . . . . . . . . . . . . . . . . . . 9.50 % Vedanta Resources PLC 2008/2018. . . . . . . . . . . . . . . . . . . . . . 6.75 % Vedanta Resources Plc -Reg2011/2016. . . . . . . . . . . . . . . . . . . . . . 6.50 % W est China Cement Ltd 2014/2019. . 2.85 % W estpac Banking Corp. 2016/2026 . . 5.73 % Yancoal International Resources Development Co., Ltd -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . 10.625 % Y anlord Land Group Ltd -Reg2011/2018. . . . . . . . . . . . . . . . . . . . . . 4.95 % ConocoPhillips Co. 2016/2026 . . . . . .
USD
1 000 000
1 000 000
USD USD 1 000 000
1 000 000 1 000 000
USD
1 000 000
1 000 000
USD
1 000 000
1 000 000
USD
1 000 000
1 000 000
USD
1 000 000
1 000 000
USD
1 000 000
1 000 000
USD USD 500 000 USD 1 500 000 USD 500 000
1 000 500 1 500 500
000 000 000 000
USD
1 000 000
1 000 000
USD
2 000 000
2 000 000
USD 200 000 USD
200 000 1 000 000
USD
1 000 000
1 000 000
USD USD
200 000 800 000
200 000 800 000
USD
500 000
500 000
USD
2 000 000
2 000 000
USD
1 800 000
USD
500 000
USD
500 000
USD 2 000 000 USD
2 000 000 500 000
USD
2 000 000
2 000 000
USD
500 000
500 000
USD
500 000
500 000
USD
900 000
USD
1 000 000
USD
500 000
500 000
USD
2 000 000
2 000 000
USD
2 000 000
2 000 000
USD
1 000 000
1 000 000
USD
1 300 000
1 300 000
USD
250 000
250 000
USD 1 000 000 USD USD 2 000 000
1 000 000 1 000 000 2 000 000
USD
500 000
500 000
USD USD 500 000
900 000 500 000
69
Deutsche Invest I Asian Bonds Count/ Purchases/ Sales/ Description units/ additions disposals currency
Securities admitted to or included in organized markets Interest-bearing securities 6.25 % B HP Billiton Finance USA Ltd 2015/2075. . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 6.75 % BHP Billiton Finance USA Ltd -Reg2015/2075 * . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 5.45 % Diamond 1 Finance Corp Via Diamond 2 Finance Corp -Reg2016/2023. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 6.875 % F MG Resources August 2006 Pty Ltd -Reg- 2012/2022. . . . . . . . . . . . . . . . . USD 750 000 750 000 9.75 % FMG Resources August 2006 Pty Ltd -Reg- 2015/2022. . . . . . . . . . . . . . . . . USD 500 000 500 000 6.375 % Indo Energy Finance II BV -Reg2013/2023. . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 5.20 % Meiji Yasuda Life Insurance Co 2015/2045*. . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 3.375 % N ational Australia Bank Ltd/New York 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 4.45 % N ewcrest Finance Pty Ltd -Reg2011/2021. . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 2.50 % Qihoo 360 Technology Co., Ltd. 2013/2018. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 2.05 % Sumitomo Mitsui Banking Corp. 2016/2019. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 1.00 % United States Treasury Note/Bond 2015/2017. . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 1.625 % United States Treasury Note/Bond 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 Unlisted securities Interest-bearing securities 8.625 % Provincia de Neuquen Argentina -Reg2016/2028. . . . . . . . . . . . . . . . . . . . . . USD 150 000 150 000 Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000) Futures contracts Currency futures (short) Futures contracts to sell currencies USD/EUR USD 106 725 Currency futures (long) Futures contracts to purchase currencies EUR/USD USD 88 344
70
Deutsche Invest I Asian Equities Unconstrained Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 4 602 256.43 Equities AIA Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 101 79 599 HKD 46.25 182 856.65 China Communications Construction Co., Ltd -H- . . . . . . . . . . Count 69 000 103 000 34 000 HKD 8.3 66 398.63 China Construction Bank Corp. -H-. . . . . . . . . . . . . . . . . . . . . . Count 187 110 386 190 HKD 5.13 111 287.47 China Mobile Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 587 13 913 HKD 88.75 139 805.37 China Overseas Land & Investment Ltd. . . . . . . . . . . . . . . . . . Count 44 243 39 792 90 549 HKD 24.5 125 673.17 CK Hutchison Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 238 9 909 9 671 HKD 84.55 2 333.04 Hengan International Group Co., Ltd. . . . . . . . . . . . . . . . . . . . . Count 7 000 10 000 3 000 HKD 64.65 52 468.48 Industrial & Commercial Bank of China Ltd -H-. . . . . . . . . . . . Count 219 918 234 482 HKD 4.29 109 383.04 PetroChina Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 86 436 86 000 79 564 HKD 5.29 53 012.98 Ping An Insurance Group Co. of China Ltd. . . . . . . . . . . . . . . . Count 31 000 31 000 60 000 HKD 34.15 122 739.49 Power Assets Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 6 000 HKD 71.05 49 425.06 Qinqin Foodstuffs Group Cayman Co., Ltd. . . . . . . . . . . . . . . . Count 1 400 1 400 HKD 11 1 785.47 Shenzhou International Group Holdings Ltd. . . . . . . . . . . . . . . Count 18 027 18 973 HKD 37.45 78 272.14 Sun Hung Kai Properties Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 546 21 282 10 736 HKD 93 113 711.04 Techtronic Industries Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 827 42 173 HKD 32.25 66 656.10 Tencent Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 389 17 411 HKD 176.3 334 993.73 Xinjiang Goldwind Science & Technology Co., Ltd. . . . . . . . . . Count 54 200 81 800 27 600 HKD 10.54 66 232.60 Bank Mandiri Tbk PT. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 65 311 69 689 IDR 9 525 42 354.39 Bank Rakyat Indonesia Persero Tbk PT . . . . . . . . . . . . . . . . . . Count 68 194 72 806 IDR 10 800 50 143.77 Cikarang Listrindo Tbk PT 144A . . . . . . . . . . . . . . . . . . . . . . . . Count 590 300 590 300 IDR 1 500 60 285.26 Kino Indonesia Tbk PT. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 184 000 616 000 IDR 6 675 83 621.15 Cheil Industries, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 870 932 KRW 123 000 83 571.94 Daelim Industrial Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 971 1 469 498 KRW 76 000 57 632.70 Hyundai Motor Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 845 905 KRW 135 500 89 419.48 Korea Electric Power Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 980 4 100 2 120 KRW 60 400 93 398.15 KT&G Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 290 310 KRW 136 500 30 914.82 LG Chem Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 483 299 196 KRW 260 000 98 074.62 LG Household & Health Care Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 71 148 77 KRW 1117 000 61 936.64 Medy-Tox, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 193 524 331 KRW 431 400 65 023.99 NAVER Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 169 181 KRW 710 000 93 708.98 Samsung Fire & Marine Insurance Co., Ltd . . . . . . . . . . . . . . . Count 235 623 KRW 263 500 48 359.81 Shinhan Financial Group Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 1 090 5 350 KRW 38 000 32 347.91 SK Telecom Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 309 331 KRW 215 500 52 004.62 GT Capital Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 665 7 295 PHP 1 440 73 376.20 Metropolitan Bank & Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 000 76 610 39 613 PHP 90.35 63 918.33 Universal Robina Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 770 22 230 PHP 208 82 602.91 DBS Group Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 200 6 200 SGD 15.76 65 220.89 Innovalues Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 117 400 117 400 SGD 1.015 79 537.69 Minor International PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 124 500 133 400 THB 40.25 128 281.95 Siam Cement PCL. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 400 6 900 THB 476 77 986.11 Largan Precision Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 2 000 TWD 2 945 41 061.66 Mega Financial Holding Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 107 000 125 000 18 000 TWD 24.3 72 505.54 PharmaEngine, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 000 12 000 TWD 220.5 73 785.50 Sporton International, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 6 000 TWD 166.5 27 857.79 Taiwan Semiconductor Manufacturing Co., Ltd. . . . . . . . . . . . Count 12 000 64 000 52 000 TWD 162.5 54 377.07 Alibaba Group Holding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 109 1 033 1 561 USD 78.8 149 497.82 Baidu, Inc. -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 354 1 256 USD 162.49 51 744.23 Ctrip.com International Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . Count 1 505 1 505 USD 40.81 55 250.37 HDFC Bank Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 169 1 251 USD 65.39 68 763.49 ICICI Bank Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 851 6 262 USD 7.04 37 053.98 Samsung Electronics Co., Ltd -GDR Reg-. . . . . . . . . . . . . . . . . Count 646 40 649 USD 617.5 358 840.58 Taiwan Semiconductor Manufacturing Co., Ltd -ADR-. . . . . . . Count 9 238 9 889 USD 25.905 215 275.01 Tarena International, Inc. -ADR- . . . . . . . . . . . . . . . . . . . . . . . . Count 7 922 11 982 4 060 USD 10.24 72 973.78 Tata Motors Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 069 1 146 USD 33.81 32 512.84
% of net assets
86.00 3.42 1.24 2.08 2.61 2.35 0.04 0.98 2.04 0.99 2.29 0.92 0.03 1.46 2.12 1.25 6.26 1.24 0.79 0.94 1.13 1.56 1.56 1.08 1.67 1.75 0.58 1.83 1.16 1.22 1.75 0.90 0.60 0.97 1.37 1.19 1.54 1.22 1.49 2.40 1.46 0.77 1.36 1.38 0.52 1.02 2.79 0.97 1.03 1.29 0.69 6.71 4.02 1.36 0.61
Investment fund units 51 487.80 0.96 In-group fund units db x-trackers - FTSE Vietnam ETF -1C- EUR - (0.650%). . . . . . Units 2 415 2 585 EUR 21.32 51 487.80 0.96 Total securities portfolio 4 653 744.23 86.96 Derivatives (Minus signs denote short positions) Derivatives on individual securities 156 456.79 2.92 Warrants on securities Equity warrants Shree Cement Ltd 20/04/2020. . . . . . . . . . . . . . . . . . . . . . . . . Count 531 569 USD 215.3913 102 885.64 1.92 HCL Technologies Ltd 17/01/2017. . . . . . . . . . . . . . . . . . . . . . Count 5 506 5 894 USD 10.8159 53 571.15 1.00
71
Deutsche Invest I Asian Equities Unconstrained Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Cash at bank 515 922.65 9.64 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 39 152.38 0.73 Deposits in non-EU/EEA currencies Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 1 345 685 156 018.24 2.91 Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 14 843 835 1 010.63 0.02 Malaysian ringgit. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 16 942 3 780.38 0.07 New Taiwan dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 5 157 059 143 808.07 2.69 Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 313 617 5 996.46 0.11 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 2 743 1 830.60 0.03 South Korean won. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 81 927 192 63 982.94 1.20 Thai baht. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 247 256 6 329.60 0.12 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 104 510 94 013.35 1.76 Other assets 52 849.25 0.99 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 594.13 0.50 Receivables from exceeding the expense cap. . . . . . . . . . . . . 26 255.12 0.49 Total assets 5 378 972.92 100.51 Other liabilities -22 366.63 -0.42 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -22 366.63 -0.42 Liabilities from share certificate transactions -4 837.17 -0.09 Total liabilities -27 203.80 -0.51 Net assets 5 351 769.12 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 126.58 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 121.30 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 120.45 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 253 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 732 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 428 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI AC ASIA ex JAPAN Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % -0.869 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 124.409 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 100.822 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 156 643.96 as of the reporting date. Exchange rates (indirect quotes) As of: June 30, 2016 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687.670916 = EUR 1 South Korean won. . . . . . . . . . . . . . . . KRW 1 280.453642 = EUR 1 Malaysian ringgit. . . . . . . . . . . . . . . . . MYR 4.481616 = EUR 1 Philippine peso . . . . . . . . . . . . . . . . . . PHP 52.300337 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 Thai baht. . . . . . . . . . . . . . . . . . . . . . . THB 39.063368 = EUR 1 New Taiwan dollar. . . . . . . . . . . . . . . . TWD 35.860706 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1
72
Deutsche Invest I Asian Equities Unconstrained Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period.
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
Warrants
Securities traded on an exchange Equities 7-Eleven Malaysia Holdings Bhd. . . . . . . . . . . . . . Count Anhui Conch Cement Co., Ltd -H-. . . . . . . . . . . . . Count 73 000 Cathay Financial Holding Co., Ltd. . . . . . . . . . . . . Count Chailease Holding Co., Ltd . . . . . . . . . . . . . . . . . . Count China Gas Holdings Ltd. . . . . . . . . . . . . . . . . . . . . Count China Life Insurance Co., Ltd -H- . . . . . . . . . . . . . Count China Merchants Bank Co., Ltd -H-. . . . . . . . . . . . Count China Overseas Property Holdings Ltd. . . . . . . . . Count China Resources Gas Group Ltd. . . . . . . . . . . . . . Count China Resources Power Holdings Co., Ltd. . . . . . Count 70 000 China State Construction International Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count China Unicom Hong Kong Ltd. . . . . . . . . . . . . . . . Count CNOOC Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Dongfeng Motor Group Co., Ltd -H-. . . . . . . . . . . Count E.Sun Financial Holding Co., Ltd. . . . . . . . . . . . . . Count Eclat Textile Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . Count Great Wall Motor Co., Ltd -H-. . . . . . . . . . . . . . . . Count Haier Electronics Group Co., Ltd. . . . . . . . . . . . . . Count Hana Financial Group, Inc.. . . . . . . . . . . . . . . . . . . Count Hanjaya Mandala Sampoerna Tbk PT. . . . . . . . . . Count Hermes Microvision, Inc. . . . . . . . . . . . . . . . . . . . Count Huadian Fuxin Energy Corp. Ltd . . . . . . . . . . . . . Count Hyundai Wia Corp.. . . . . . . . . . . . . . . . . . . . . . . . . Count IMAX China Holding Inc . . . . . . . . . . . . . . . . . . . . Count Kangwon Land, Inc.. . . . . . . . . . . . . . . . . . . . . . . . Count Kasikornbank PCL. . . . . . . . . . . . . . . . . . . . . . . . . Count LG Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 908 Lifestyle International Holdings Ltd. . . . . . . . . . . . Count Major Cineplex Group PCL. . . . . . . . . . . . . . . . . . Count MediaTek, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count New Oriental Education & Technology Group, Inc. -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 466 Pegatron Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 62 000 Shinsegae Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count SK Hynix, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Taiwan Cement Corp.. . . . . . . . . . . . . . . . . . . . . . Count Vipshop Holdings Ltd -ADR-. . . . . . . . . . . . . . . . . Count 6 216
347 73 109 54 1 66 48 31 105 94
300 000 545 912 000 700 362 666 000 700
46 140 92 76 246 8 72 70 4 28 2 292
000 700 000 500 712 008 000 000 750 100 700 000 740 300 666 000 908 500 000 400
26 1 35 1 32 107 15
options
Additions
Disposals
Warrants on securities Equity warrants KT&G Corp. 05/03/2019 . . . . . . . . . . . . . . . . . . . . Count Lupin Ltd 20/02/2017 . . . . . . . . . . . . . . . . . . . . . . Count
200 10 000
1 466 62 000 854 4 086 90 900 6 216
73
Deutsche Invest I Asian Small/Mid Cap Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 70 078 750.43 Equities Aupu Group Holding Co Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 264 000 532 000 HKD 2.59 379 558.53 Best Pacific International Holdings Ltd. . . . . . . . . . . . . . . . . . . Count 4 686 000 1 854 000 HKD 5.75 3 123 935.38 Changan Minsheng APLL Logistics Co., Ltd. . . . . . . . . . . . . . . Count 700 000 HKD 6.66 540 510.56 China Maple Leaf Educational Systems Ltd. . . . . . . . . . . . . . . Count 3 748 000 5 480 000 HKD 6.96 3 024 410.48 China Meidong Auto Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . Count 24 774 000 2 546 000 HKD 0.83 2 383 999.38 Clear Media Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 300 000 492 000 HKD 6.76 1 802 629.38 Emperor Entertainment Hotel Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 3 550 000 5 590 000 HKD 1.86 765 549.38 Greentown China Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 1 500 000 HKD 5.43 1 259 104.39 Hua Hong Semiconductor Ltd 144A. . . . . . . . . . . . . . . . . . . . . Count 700 000 700 000 HKD 7.22 585 958.89 Nine Dragons Paper Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 1 700 000 1 700 000 HKD 5.91 1 164 845.47 Perfect Shape PRC Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 9 106 000 4 892 000 HKD 0.76 802 367.17 Playmates Toys, Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 332 000 HKD 1.45 560 150.73 Shenzhou International Group Holdings Ltd. . . . . . . . . . . . . . . Count 200 000 200 000 HKD 37.45 868 387.83 TK Group Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 000 000 2 316 000 HKD 1.97 1 827 208.58 Xinjiang Goldwind Science & Technology Co., Ltd. . . . . . . . . . Count 1 053 400 1 053 400 HKD 10.54 1 287 258.70 XTEP International Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 1 800 000 1 800 000 HKD 4.18 872 329.78 Multipolar Tbk PT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 68 682 200 4 655 900 IDR 370 1 730 186.78 Sumber Alfaria Trijaya Tbk PT. . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 750 000 IDR 600 1 828 063.83 Bajaj Finance Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 000 5 000 INR 7 990 1 597 344.18 Bosch Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 571 2 571 INR 22 600 774 410.05 Dr Lal PathLabs Ltd 144A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 000 46 000 INR 848.75 520 353.03 Shree Cement Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 000 8 000 INR 14 490 1 544 965.68 CJ O Shopping Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 000 2 280 KRW 175 400 958 878.92 Halla Visteon Climate Control Corp. . . . . . . . . . . . . . . . . . . . . . Count 160 000 248 116 150 145 KRW 10 500 1 312 035.00 i-SENS, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 822 KRW 36 700 2 345 159.01 Korea Kolmar Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 000 5 000 KRW 100 000 390 486.61 KT Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 77 000 KRW 29 650 1 783 000.90 LG Household & Health Care Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 2 500 2 500 KRW 1117 000 2 180 867.71 LIG Nex1 Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 000 18 000 KRW 97 100 1 364 984.99 Medy-Tox, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 089 2 089 KRW 431 400 703 808.85 Samsung Electronics Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 043 KRW 1425 000 2 273 627.80 ABS-CBN Holdings Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 281 620 1 580 650 PHP 47.4 2 067 841.15 COL Financial Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 707 200 13 700 PHP 14.4 1 846 712.40 BreadTalk Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 300 000 255 000 SGD 1.12 1 719 430.78 City Developments Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 000 SGD 8.14 1 358 323.62 iFAST Corp., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 371 500 28 500 SGD 0.99 245 489.46 Innovalues Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 149 000 1 149 000 SGD 1.015 778 439.58 QAF Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 999 987 1 593 000 SGD 1.06 1 415 050.30 Riverstone Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 000 000 2 294 200 1 983 200 SGD 0.905 1 812 210.63 Sarine Technologies Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 600 100 984 500 SGD 1.7 1 815 661.50 SPCG PCL. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 500 000 1 714 700 THB 20.4 1 827 799.36 Advanced Semiconductor Engineering, Inc. 21/01/2020 . . . . . Count 728 000 1 100 000 372 000 TWD 36.65 744 023.28 KD Holding Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 375 000 TWD 179 1 871 825.96 PChome Online, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 99 810 127 000 TWD 354 985 277.32 PharmaEngine, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 107 000 107 000 TWD 220.5 657 920.68 St Shine Optical Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 000 25 000 TWD 723 1 612 907.46 Sunspring Metal Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 304 000 TWD 41.6 2 320 088.19 Taiwan Semiconductor Manufacturing Co., Ltd. . . . . . . . . . . . Count 350 000 50 000 TWD 162.5 1 585 997.78 Taiwan Taxi Co Ltd, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 394 048 111 000 TWD 55.6 610 949.18 China Distance Education Holdings Ltd -ADR-. . . . . . . . . . . . . Count 134 845 USD 10.25 1 243 342.50 Phoenix New Media Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . Count 305 500 USD 3.65 1 003 081.33
96.47 0.52 4.30 0.74 4.16 3.28 2.48 1.05 1.73 0.81 1.60 1.10 0.77 1.20 2.52 1.77 1.20 2.38 2.52 2.20 1.07 0.72 2.13 1.32 1.81 3.23 0.54 2.45 3.00 1.88 0.97 3.13 2.85 2.54 2.37 1.87 0.34 1.07 1.95 2.49 2.50 2.52 1.02 2.58 1.36 0.91 2.22 3.19 2.18 0.84 1.71 1.38
Total securities portfolio 70 078 750.43 96.47 Cash at bank 2 527 587.30 3.48 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 132 894.67 0.18 Deposits in non-EU/EEA currencies Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 3 743 860 434 061.73 0.60 Indian rupee. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . INR 33 790 345 450 353.03 0.62 Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 417 516 991 28 426.36 0.04 Malaysian ringgit. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 9 719 2 168.60 0.00 New Taiwan dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 14 914 257 415 894.13 0.58 Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 3 786 365 72 396.57 0.10 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 118 879 79 349.35 0.11 South Korean won. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 513 669 969 401 162.49 0.55 Thai baht. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 2 892 408 74 044.01 0.10 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 485 609 436 836.36 0.60 Other assets 218 446.32 0.30 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174 769.33 0.24 Receivables from exceeding the expense cap. . . . . . . . . . . . . 25 361.85 0.03 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 315.14 0.03 Receivables from share certificate transactions 6 252.37 0.01 Total assets 72 831 038.44 100.26
74
Deutsche Invest I Asian Small/Mid Cap Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Other liabilities -122 394.12 -0.17 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -122 394.12 -0.17 Liabilities from share certificate transactions -68 727.92 -0.09 Total liabilities -191 120.02 -0.26 Net assets 72 639 916.40 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 213.37 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 196.49 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 190.34 Class LS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 202.78 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 182.65 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 174.76 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 164.27 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 072 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 417 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 746 Class LS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 849 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 94 093 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 092 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 031 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI AC ASIA ex JAPAN SMALL CAP Index in EUR Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 65.054 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 85.616 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 70.552 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Exchange rates (indirect quotes) As of: June 30, 2016 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687.670916 = EUR 1 Indian rupee. . . . . . . . . . . . . . . . . . . . . INR 75.030793 = EUR 1 South Korean won. . . . . . . . . . . . . . . . KRW 1 280.453642 = EUR 1 Malaysian ringgit. . . . . . . . . . . . . . . . . MYR 4.481616 = EUR 1 Philippine peso . . . . . . . . . . . . . . . . . . PHP 52.300337 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 Thai baht. . . . . . . . . . . . . . . . . . . . . . . THB 39.063368 = EUR 1 New Taiwan dollar. . . . . . . . . . . . . . . . TWD 35.860706 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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.
75
Deutsche Invest I Asian Small/Mid Cap 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/ Purchases/ Sales/ Description units/ additions disposals currency
Securities traded on an exchange Equities Cosmax, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 Emami Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Future Bright Holdings Ltd . . . . . . . . . . . . . . . . . . Count Glenmark Pharmaceuticals Ltd. . . . . . . . . . . . . . . Count NAVER Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Pegatron Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 000 SK Hynix, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count West China Cement Ltd. . . . . . . . . . . . . . . . . . . . Count
76
6 14 5 592 54 5 250 72 11 396
000 331 000 341 000 000 000 000
Deutsche Invest I Brazilian Equities Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 38 493 979.19 98.11 Equities AES Tiete Energia SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 147 000 215 000 68 000 BRL 14.42 593 865.21 1.51 Ambev SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 527 837 275 000 108 000 BRL 18.87 2 790 467.81 7.11 B2W Cia Digital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 87 472 73 000 BRL 9.4 230 357.42 0.59 Banco Bradesco SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 222 495 20 227 1 BRL 26.59 1 657 463.14 4.23 Banco Bradesco SA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 277 750 161 750 191 500 BRL 24.87 1 935 241.37 4.93 Banco do Brasil SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 640 500 725 000 623 000 BRL 16.39 2 941 056.55 7.50 Banco do Estado do Rio Grande do Sul SA . . . . . . . . . . . . . . . Count 380 981 740 000 564 019 BRL 8.29 884 836.71 2.26 Banco Santander Brasil SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 345 400 283 400 313 000 BRL 17.75 1 717 615.61 4.38 BM&FBovespa SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 339 000 175 000 282 000 BRL 17.61 1 672 493.12 4.26 BR Malls Participacoes SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 181 035 316 035 400 000 BRL 12.86 652 242.42 1.66 BRF SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 138 352 67 000 66 000 BRL 44.16 1 711 669.03 4.36 CETIP SA - Mercados Organizados. . . . . . . . . . . . . . . . . . . . . . Count 45 000 45 000 BRL 43.27 545 512.49 1.39 Cia de Transmissao de Energia Eletrica Paulista -Pref-. . . . . . . Count 25 042 759 8 500 BRL 61.72 433 012.28 1.10 Cia Energetica de Minas Gerais -Pref- . . . . . . . . . . . . . . . . . . . Count 240 000 612 000 372 000 BRL 6.96 467 978.36 1.19 CPFL Energia SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 94 006 116 006 22 000 BRL 20.41 537 531.75 1.37 EDP - Energias do Brasil SA. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 222 000 110 000 53 000 BRL 13.31 827 820.77 2.11 Eletropaulo Metropolitana Eletricidade de Sao Paulo SA -Pref- Count 171 000 171 000 BRL 8.35 400 025.68 1.02 Iguatemi Empresa de Shopping Centers SA. . . . . . . . . . . . . . . Count 228 500 284 000 55 500 BRL 28.02 1 793 740.53 4.57 Investimentos Itau SA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 767 454 164 314 198 000 BRL 7.38 1 586 770.08 4.05 Itau Unibanco Holding SA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . Count 232 016 253 000 225 000 BRL 29.63 1 925 993.75 4.91 JHSF Participacoes SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 723 528 620 000 BRL 1.1 531 148.94 1.35 Lojas Americanas SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 000 70 000 BRL 11.2 219 645.01 0.56 Lojas Americanas SA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 358 501 304 750 153 000 BRL 15.87 1 593 943.15 4.06 Lojas Renner SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 291 000 172 000 21 000 BRL 23.24 1 894 673.58 4.83 LPS Brasil Consultoria de Imoveis SA. . . . . . . . . . . . . . . . . . . . Count 560 057 194 000 BRL 3.95 619 775.80 1.58 Multiplan Empreendimentos Imobiliarios SA . . . . . . . . . . . . . . Count 113 500 15 000 23 500 BRL 60.12 1 911 701.67 4.87 Ouro Fino Saude Animal Participacoes SA. . . . . . . . . . . . . . . . Count 138 000 10 000 BRL 43.15 1 668 265.52 4.25 Petroleo Brasileiro SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 000 250 000 BRL 11.29 790 750.07 2.02 Raia Drogasil SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 136 045 30 000 40 500 BRL 62.06 2 365 373.04 6.03 Tractebel Energia SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 300 37 000 38 000 BRL 38.08 856 678.31 2.18 Ambev SA -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 69 000 107 000 38 000 USD 5.865 364 040.06 0.93 Anheuser-Busch InBev NV -ADR-. . . . . . . . . . . . . . . . . . . . . . . Count 3 200 USD 129.33 372 289.96 0.95 Total securities portfolio 38 493 979.19 98.11 Cash at bank 223 142.88 0.57 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 217 098.25 0.56 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 483 583.22 0.00 Deposits in non-EU/EEA currencies Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 2 095 1 451.41 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 458 4 010.00 0.01 Other assets 1 236 283.63 3.15 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135 573.74 0.35 Receivables from exceeding the expense cap. . . . . . . . . . . . . 589.71 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 100 120.18 2.80 Receivables from share certificate transactions 851.16 0.00 Total assets 39 954 256.86 101.83 Short-term liabilities -253 407.43 -0.65 Loans in non-EU/EEA currencies Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL -904 511 -253 407.43 -0.65 Other liabilities -265 334.42 -0.68 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -81 805.85 -0.21 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -183 528.57 -0.47 Liabilities from share certificate transactions -200 666.98 -0.50 Total liabilities -719 408.83 -1.83 Net assets 39 234 848.03 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
77
Deutsche Invest I Brazilian Equities Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 71.34 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 66.46 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 64.84 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 640 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 530 027 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 899 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI BRAZIL 10/40 Index in EUR Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 88.631 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 108.402 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 102.650 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Exchange rates (indirect quotes) As of: June 30, 2016 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3.569396 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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/ Purchases/ Sales/ Description units/ additions disposals currency
Securities traded on an exchange Equities AES Tiete SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count B2W Cia Digital -Rights Exp 30Jun16. . . . . . . . . . Count 27 976 Banco Bradesco S.A. 05/02/2016. . . . . . . . . . . . . Count Banco Bradesco S.A. 05/02/2016. . . . . . . . . . . . . Count Banco Bradesco SA -ADR- . . . . . . . . . . . . . . . . . . Count 30 000 BB Seguridade Participacoes . . . . . . . . . . . . . . . . Count 35 000 CCR SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 354 538 Cia de Transmissao de Energia Eletrica Paulista. . Count 759 Cielo SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Companhia de Transmissao de Energia Eletrica Paulista -Rights Exp 05May16. . . . . . . . . . . . . . . . Count 719 EDP - Energias do Brasil SA -Rights Exp 03Jun16. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 67 195 Gafisa SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Marcopolo SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . Count Randon Participacoes SA -Pref-. . . . . . . . . . . . . . . Count Telefonica Brasil SA. . . . . . . . . . . . . . . . . . . . . . . . Count
78
115 27 10 6 30 122 354
000 976 072 625 000 000 538 759 100 500 719
67 195 1 500 000 1 200 000 1 460 600 98 500
Deutsche Invest I China Bonds Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
Securities traded on an exchange 411 990 823.56 Interest-bearing securities 6.875 % 21Vianet Group, Inc. 2014/2017. . . . . . . . . . . . . . . . CNH 28 400 000 16 300 000 % 100.896 4 295 924.98 4.70 % Beijing Cap Hoing Kong 2014/2017 . . . . . . . . . . . . . CNH 47 960 000 30 000 000 % 100.542 7 229 178.26 3.70 % Cagamas Global Plc 2014/2017. . . . . . . . . . . . . . . . . CNH 34 000 000 1 000 000 % 99.35 5 064 178.47 5.35 % China City Construct International 2014/2014. . . . . CNH 130 597 539 47 402 461 % 98.688 19 322 421.04 4.70 % China Electronics Corp. 2014/2017. . . . . . . . . . . . . . CNH 158 000 000 62 000 000 % 99.546 23 579 962.97 3.10 % China Government Bond 2012/2022. . . . . . . . . . . . . CNH 10 000 000 10 000 000 % 98.905 1 482 800.24 4.00 % China Government Bond 2014/2024. . . . . . . . . . . . . CNH 30 000 000 30 000 000 % 104.681 4 708 184.97 3.38 % China Government Bond 2014/2024. . . . . . . . . . . . . CNH 50 000 000 50 000 000 % 100.077 7 501 855.28 3.39 % China Government Bond 2015/2025. . . . . . . . . . . . . CNH 21 500 000 21 500 000 % 100.017 3 223 863.78 5.50 % China New Town Development Co., Ltd 2015/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 31 880 000 7 000 000 % 99.416 4 751 614.31 5.50 % Datang Telecom Hong Kong Holdings Co., Ltd 2014/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 64 700 000 30 000 000 % 100.375 9 736 306.53 3.75 % Eastern Creation II Investment Holdings Ltd (MTN) 2014/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 6190000 6190000 % 100.1075 929012.73 .00 % Fuqing Investment Management Ltd 2015/2018. . . CNH 92 000 000 % 100.375 13 844 516.24 4.25 % Gazprombank 2014/2017 . . . . . . . . . . . . . . . . . . . . . CNH 10 000 000 % 99.355 1 489 546.71 5.50 % Greenland Hong Kong Holdings Ltd 2017/2018. . . . CNH 121 500 000 45 000 000 % 98.95 18 024 310.92 8.00 % ITNL International Pte. Ltd 2014/2017 . . . . . . . . . . . CNH 17 800 000 % 98.5 2 628 576.57 4.75 % Jinchuan Group 2014/2017. . . . . . . . . . . . . . . . . . . . CNH 193 500 000 62 000 000 % 93.742 27 194 406.42 4.30 % Jingneng Clean Energy Co., Ltd 2014/2017. . . . . . . CNH 10 000 000 10 000 000 % 100.494 1 506 615.29 4.50 % Maikun Investment Co. Ltd 2014/2017 . . . . . . . . . . CNH 130 000 000 % 100.375 19 562 903.38 5.50 % New World China Land Ltd 2013/2018. . . . . . . . . . . CNH 12 600 000 21 900 000 % 101.664 1 920 446.17 3.95 % Panda Funding Investment 2013 2013/2016 . . . . . . CNH 157 000 000 75 000 000 % 99.872 23 507 573.29 4.40 % Ping An International Finance 2014/2017. . . . . . . . . CNH 20 000 000 % 100.26 3 006 229.25 10.75 % Powerlong Real Estate Holdings Ltd 2014/2017 . . . CNH 51 500 000 10 000 000 % 103.114 7 961 396.67 5.25 % Rosy Capital Global Ltd 2015/2018. . . . . . . . . . . . . . CNH 6 360 000 6 360 000 % 100.09 954 359.95 4.50 % Sinitrans Sailing Ltd 2014/2017. . . . . . . . . . . . . . . . . CNH 63 500 000 42 000 000 % 100.099 9 529 450.61 5.55 % Start Plus Investments Ltd 2015/2018. . . . . . . . . . . CNH 87100000 35000000 % 100.5625 13131629.35 0.00 % Starway Assets Enterprises, Inc. 2014/2017 . . . . . . CNH 27 110 000 80 000 000 % 100.264 4 075 086.00 10.00 % Trade and Development Bank of Mongolia 2014/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 3 000 000 1 000 000 % 100.519 452 099.28 5.60 % Unican Ltd 2014/2017. . . . . . . . . . . . . . . . . . . . . . . . CNH 112 600 000 10 000 000 % 101.233 17 089 324.53 5.70 % Universal Number One Co., Ltd 2014/2017. . . . . . . CNH 58 900 000 7 000 000 % 100.096 8 838 863.29 0.00 % Vast Expand Ltd 2014/2017 . . . . . . . . . . . . . . . . . . . CNH 80 200 000 % 98.242 11 812 280.53 5.15 % Yieldking Investment Ltd 2014/2017 . . . . . . . . . . . . CNH 31 100 000 18 000 000 % 99.909 4 658 320.88 7.25 % 361 Degrees International Ltd 2016/2021 . . . . . . . . USD 980 000 980 000 % 103.828 1 017 514.40 8.375 % Agile Property Holdings Ltd 2014/2019 . . . . . . . . . . USD 700 000 700 000 1 900 000 % 107.076 749 532.00 7.25 % Biostime International Holdings Ltd -Reg2016/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 600 000 1 600 000 % 103.593 1 657 488.00 8.75 % Central China Real Estate Ltd 2015/2021. . . . . . . . . USD 1 220 000 2 680 000 % 105.512 1 287 246.40 6.25 % Chalco Hong Kong Investment Co. -Reg2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 900 000 600 000 % 101.676 915 084.00 10.875 % China Aoyuan Property Group Ltd 2015/2018 . . . . . USD 4 030 000 2 120 000 % 108.882 4 387 944.60 6.525 % China Aoyuan Property Group Ltd 2016/2019 . . . . . USD 600 000 1 340 000 740 000 % 100.901 605 406.00 4.00 % China Life Insurance Co. 2015/2075 * . . . . . . . . . . . USD 15 370 000 11 700 000 % 100.289 15 414 419.30 10.00 % China SCE Property Holdings Ltd 2015/2020. . . . . . USD 3 350 000 2 200 000 % 111.113 3 722 285.50 8.25 % China South City Holdings Ltd 2014/2019 . . . . . . . . USD 2 460 000 4 360 000 % 100.085 2 462 091.00 2.75 % CICC Hong Kong Finance 2016 MTN Ltd (MTN) 2016/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 000 000 3 000 000 % 100.973 3 029 190.00 3.70 % CITIC Ltd (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . . USD 6 700 000 6 700 000 % 100.893 6 759 831.00 3.00 % CNOOC Finance 2013 Ltd 2013/2023 . . . . . . . . . . . USD 3 000 000 3 000 000 % 99.643 2 989 290.00 7.50 % Country Garden Holdings Co., Ltd 2015/2020 . . . . . USD 2 600 000 2 600 000 % 107.823 2 803 398.00 7.875 % Credit Agricole SA -Reg- 2014/2049 * . . . . . . . . . . . USD 1 500 000 1 500 000 % 96.066 1 440 990.00 6.25 % Credit Suisse Group AG -Reg- 2014/2049 *. . . . . . . USD 1 500 000 1 500 000 % 94.519 1 417 785.00 5.50 % Dawn Victor Ltd 2015/2018 . . . . . . . . . . . . . . . . . . . USD 17 400 000 13 400 000 % 103.159 17 949 666.00 2.875 % Double Charm Ltd 2015/2018. . . . . . . . . . . . . . . . . . USD 8 420 000 18 580 000 % 101.187 8 519 945.40 3.625 % Double Rosy Ltd 2014/2019. . . . . . . . . . . . . . . . . . . USD 1 800 000 2 000 000 200 000 % 103.124 1 856 232.00 5.55 % Far East Horizon Ltd 2014/2049 *. . . . . . . . . . . . . . . USD 1 400 000 400 000 % 101.702 1 423 828.00 10.25 % Future Land Development Holdings Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 221 000 1 150 000 1 050 000 % 110.473 2 453 605.33 5.875 % Greentown China Holdings Ltd 2015/2020. . . . . . . . USD 625 000 625 000 % 106.289 664 306.25 6.875 % HSBC Holdings Plc 2016/2049 *. . . . . . . . . . . . . . . . USD 2 800 000 2 800 000 % 99.983 2 799 524.00 3.75 % Huarong Finance II Co Ltd 2015/2020 . . . . . . . . . . . USD 4 600 000 5 000 000 400 000 % 103.885 4 778 710.00 11.25 % Logan Property Holdings Co., Ltd -Reg2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 225 000 200 000 % 111.275 1 363 118.75 6.75 % Longfor Properties Co., Ltd 2013/2023. . . . . . . . . . . USD 500 000 900 000 400 000 % 107.931 539 655.00 9.625 % Oceanwide Holdings International 2015 Co., Ltd 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 660 000 1 200 000 % 107.974 2 872 108.40 11.75 % Oceanwide Real Estate International Holdings Co., Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 5 100 000 % 111.18 444 720.00 4.125 % Proven Honour Capital Ltd 2016/2026 . . . . . . . . . . . USD 2 000 000 2 000 000 % 104.001 2 080 020.00 2.875 % Rail Transit International Investment Co., Ltd 2016/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 5 000 000 5 000 000 % 98.991 4 949 550.00 8.375 % Shimao Property Holdings Ltd 2015/2022 . . . . . . . . USD 1 250 000 1 250 000 1 980 000 % 113.185 1 414 812.50 8.00 % Societe Generale SA -Reg- 2015/2049 *. . . . . . . . . . USD 2 000 000 2 000 000 % 95.869 1 917 380.00 8.50 % STATS ChipPAC Ltd 2015/2020 . . . . . . . . . . . . . . . . USD 2 400 000 600 000 % 103.971 2 495 304.00 8.75 % Sunac China Holdings Ltd 2014/2019. . . . . . . . . . . . USD 1 308 000 1 200 000 % 109.683 1 434 653.64 11.45 % Times Property Holdings Ltd 2015/2020 . . . . . . . . . USD 480 000 200 000 % 112.839 541 627.20 8.50 % Trillion Chance Ltd 2014/2019. . . . . . . . . . . . . . . . . . USD 2 250 000 2 250 000 % 106.492 2 396 070.00
% of net assets
83.40 0.87 1.46 1.03 3.91 4.77 0.30 0.95 1.52 0.65 0.96 1.97 0.19 2.80 0.30 3.65 0.53 5.50 0.30 3.96 0.39 4.76 0.61 1.61 0.19 1.93 2.66 0.82 0.09 3.46 1.79 2.39 0.94 0.21 0.15 0.34 0.26 0.19 0.89 0.12 3.09 0.75 0.50 0.61 1.37 0.61 0.57 0.29 0.29 3.63 1.72 0.37 0.29 0.50 0.13 0.57 0.97 0.28 0.11 0.58 0.09 0.42 1.00 0.29 0.39 0.51 0.29 0.11 0.49
79
Deutsche Invest I China Bonds Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
5.375 % Tuspark Forward Ltd 2015/2018. . . . . . . . . . . . . . . . USD 4 400 000 200 000 % 102.362 4 503 928.00 6.875 % UBS Group AG 2016/2049 *. . . . . . . . . . . . . . . . . . . USD 1 800 000 1 800 000 % 98.101 1 765 818.00 5.25 % Unigroup International Holdings Ltd 2015/2018. . . . USD 3 000 000 3 000 000 % 103.422 3 102 660.00 9.00 % Yuzhou Properties Co. 2014/2019. . . . . . . . . . . . . . . USD 900 000 % 109.376 984 384.00 6.95 % Zhongrong International Bond 2016 Ltd 2016/2019. USD 5 050 000 7 600 000 2 550 000 % 100.326 5 066 463.00 Securities admitted to or included in organized markets 2 027 700.00 Interest-bearing securities 4.20 % Newcrest Finance Pty Ltd 2012/2022. . . . . . . . . . . . USD 2 000 000 2 000 000 % 101.385 2 027 700.00 Unlisted securities 36 173 769.36 Interest-bearing securities 6.40 % Bohai General Capital 2014/2017 . . . . . . . . . . . . . . . CNH 34 000 000 % 75.146 3 830 444.59 4.50 % Eastern Dragon International 2014/2019. . . . . . . . . . CNH 71 000 000 % 101.358 10 788 989.75 6.90 % UA Finance BVI Ltd (MTN) 2013/2018. . . . . . . . . . . CNH 7 300 000 3 700 000 % 100.925 1 104 551.62 5.15 % Unican Ltd 2015/2018. . . . . . . . . . . . . . . . . . . . . . . . CNH 44 060 000 35 000 000 % 100.554 6 642 176.37 0.00 % Yunnan Energy Investement Overseas Co., Ltd 2014/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 60 000 000 % 99.318 8 933 907.03 5.50 % Bank of East Asia Ltd/The 2015/49/1*. . . . . . . . . . . USD 5 000 000 500 000 2 000 000 % 97.474 4 873 700.00
% of net assets
0.91 0.36 0.63 0.20 1.03 0.41
0.41 7.32 0.78 2.18 0.22 1.34 1.81 0.99
Investment fund units 23 014 749.14 4.66 In-group fund units Deutsche Invest II - DWS Invest II China High Income Bonds -E2- USD - (0.600%). . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 179 508 79 219 USD 128.21 23 014 749.14 4.66 Total securities portfolio 473 207 042.05 95.79 Derivatives (Minus signs denote short positions) Interest rate derivatives -712 218.76 -0.14 Receivables/payables Interest rate futures US Treasury Notes 10 year Futures 09/2016 (CBT). . . . . . . . . Count -63 -63 -712 218.76 -0.14 Currency derivatives -6 404 775.48 -1.30 Receivables/payables Currency futures Currency futures (short) Closed positions USD/CHF 1.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 752.59 0.00 USD/EUR 10.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -91 319.21 -0.02 Currency futures (long) Open positions CHF/USD 21.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -215 094.78 -0.04 CNH/USD 1 080.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 144 419.82 -0.43 EUR/USD 243 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 950 189.08 -0.81 Cash at bank 19 720 556.78 3.99 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 89 026 98 965.67 0.02 Deposits in non-EU/EEA currencies Chinese offshore yuan renminbi. . . . . . . . . . . . . . . . . . . . . . . . CNH 74 897 476 11 228 754.38 2.27 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 8 392 836.73 1.70 Other assets 10 127 209.42 2.05 Prepaid placement fee **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95 427.11 0.02 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 238 403.38 1.26 Receivables from exceeding the expense cap. . . . . . . . . . . . . 6 521.57 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 786 857.36 0.77 Receivables from share certificate transactions 57 178.54 0.01 Total assets *** 503 111 986.79 101.84 Other liabilities -597 564.77 -0.12
80
Deutsche Invest I China Bonds Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
% of net assets
Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -597 564.77 -0.12 Liabilities from share certificate transactions -1 367 686.73 -0.28 Total liabilities -9 082 245.74 -1.84 Net assets 494 029 741.05 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 106.94 Class CHF LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 105.15 Class RMB FC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 116.76 Class RMB LC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 115.16 Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 115.78 Class FDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.40 Class IDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 93.77 Class LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 112.91 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.53 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 125.54 Class NCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 111.13 Class NDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92.73 Class PFCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.11 Class PFDQH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 95.46 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 995.29 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 992.53 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 118.16 Class USD FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 101.17 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 115.23 Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 102.84 Class USD LDH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100.27 Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 98.78 Number of shares outstanding Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 130 Class CHF LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 176 532 Class RMB FC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 762 109 Class RMB LC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 427 185 Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 283 198 Class FDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class IDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 104 Class LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 016 043 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 727 722 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 56 012 Class NCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 135 301 Class NDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 329 Class PFCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 606 Class PFDQH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 538 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 191 239 Class USD FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 68 563 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 879 251 Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class USD LDH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 539 Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106 Composition of the reference portfolio (according to CSSF circular 11/512) DB Offshore Renminbi Bond Index USD Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 85.704 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 97.796 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 90.579 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.4, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 184 912 683.21 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes.
81
Deutsche Invest I China Bonds Market abbreviations
Futures exchanges CBT = Chicago Board of Trade Contracting parties for currency futures Crédit Suisse London Branch (GFX), HSBC Bank USA and State Street Bank and Trust Company Exchange rates (indirect quotes)
As of: June 30, 2016
Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 0.974750 = USD 1 Chinese offshore yuan renminbi. . . . . CNH 6.670150 = USD 1 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0.899564 = USD 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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 valued to a small extent at derived market values. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Floating interest rate. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). *** Does not include positions with a negative balance, if such exist.
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Unlisted securities Interest-bearing securities Interest-bearing securities 3.70 % Banco Bradesco SA 2013/2016 . . . . . CNH 35 000 000 4.10 % Banco BTG Pactual Cayman 8.125 % Shimao Property Holding Ltd 2013/2016. . . . . . . . . . . . . . . . . . . . . . CNH 135 000 000 2014/2021. . . . . . . . . . . . . . . . . . . . . . USD 1 520 000 7.875 % China Singyes Solar Technologies Holdings Ltd 2014/2017. . . . . . . . . . . CNH 20 000 000 4.50 % Far East Horizon Ltd 2013/2016. . . . . CNH 184 000 000 Derivatives (option premiums realized in opening transactions, or total options 3.60 % Russian Agricultural Bank JSC transactions; in the case of warrants, purchases and sales are shown) 2013/2016. . . . . . . . . . . . . . . . . . . . . . CNH 44 370 000 5.80 % Unican Ltd 2014/2017. . . . . . . . . . . . . CNH 10 700 000 Value (’000) 4.75 % Value Success International Ltd Futures contracts 2013/2018. . . . . . . . . . . . . . . . . . . . . . CNH 70 500 000 6.00 % Indust. & Comm. Bank China Interest rate futures 2014/2049 * . . . . . . . . . . . . . . . . . . . . EUR 13 038 000 13 038 000 Contracts purchased 9.00 % Agile Property Holdings Ltd (Underlying: US Treasury Note 10-Year) USD 57 767 2015/2020. . . . . . . . . . . . . . . . . . . . . . USD 970 000 3.50 % Bluestar Finance Holdings Ltd Currency futures (short) 2015/2018. . . . . . . . . . . . . . . . . . . . . . USD 5 085 000 6.875 % China Hongqiao Group Ltd Futures contracts to sell currencies 2014/2018. . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 1 500 000 CNY/CNH USD 113 509 6.80 % CITIC Pacific Ltd -Reg- 2012/2023 . . . USD 3 000 000 3 000 000 USD/CHF USD 160 962 3.90 % HSBC Holdings Plc 2016/2026. . . . . . USD 3 400 000 3 400 000 USD/CNH USD 73 000 8.50 % Hsin Chong Construction Group Ltd USD/CNY USD 20 000 2016/2019. . . . . . . . . . . . . . . . . . . . . . USD 1 200 000 1 200 000 USD/EUR USD 2 030 544 6.00 % Industrial & Commercial Bank of China Ltd -Reg- 2014/2049 * . . . . . USD 1 000 000 1 000 000 Currency futures (long) 8.25 % KWG Property Holding Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 Futures contracts to purchase currencies 3.905 % Malayan Banking Bhd 2016/2026 * . . USD 2 200 000 2 200 000 CHF/USD USD 130 510 5.875 % QBE Insurance Group Ltd (MTN) CNH/USD USD 158 000 2016/2046 * . . . . . . . . . . . . . . . . . . . . USD 3 900 000 3 900 000 CNY/CNH USD 376 936 10.125 % Shui On Development Holding Ltd CNY/USD USD 60 000 -Reg- 2012/2049 *. . . . . . . . . . . . . . . . USD 1 000 000 EUR/USD USD 1 634 611 3.108 % TMB Bank PCL/Cayman Islands (MTN) 2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 7.20 % Yancoal International Trading Co., Ltd 2014/2049 *. . . . . . . . . . . . . . . . . USD 1 000 000
82
Deutsche Invest I Chinese Equities Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 120 007 777.16 Equities AAC Technologies Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 365 500 211 000 HKD 65.9 2 792 574.12 Alibaba Health Information Technology Ltd . . . . . . . . . . . . . . . Count 768 000 HKD 5.69 506 646.91 Alibaba Pictures Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 110 000 2 110 000 HKD 1.8 440 338.72 Bank of China Ltd -H- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 003 000 5 594 000 HKD 3.1 4 314 032.50 BBMG Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 725 000 6 210 500 2 167 500 HKD 2.31 1 801 093.18 Beijing Enterprises Water Group Ltd . . . . . . . . . . . . . . . . . . . . Count 2 758 000 1 466 000 960 000 HKD 4.67 1 493 286.21 Beijing Urban Construction Design & Development Group Co Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 960 000 1 960 000 HKD 4.2 954 415.04 Brilliance China Automotive Holdings Ltd. . . . . . . . . . . . . . . . . Count 716 000 960 000 954 000 HKD 7.91 656 631.05 BYD Electronic International Co., Ltd. . . . . . . . . . . . . . . . . . . . Count 1 251 000 1 251 000 HKD 4.34 629 475.67 China Communications Construction Co., Ltd -H- . . . . . . . . . . Count 2 507 000 2 992 000 485 000 HKD 8.3 2 412 483.43 China Construction Bank Corp. -H-. . . . . . . . . . . . . . . . . . . . . . Count 10 964 000 3 100 000 5 332 000 HKD 5.13 6 521 061.62 China Galaxy Securities Co Ltd. . . . . . . . . . . . . . . . . . . . . . . . . Count 809 000 1 006 500 HKD 6.94 650 938.42 China Insurance International Holdings Co., Ltd. . . . . . . . . . . . Count 715 000 586 800 HKD 14.44 1 197 030.31 China Longyuan Power Group Corp.. . . . . . . . . . . . . . . . . . . . . Count 1 703 000 1 703 000 HKD 6.39 1 261 674.77 China Mengniu Dairy Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Count 419 000 419 000 HKD 13.48 654 840.95 China Merchants Bank Co., Ltd -H-. . . . . . . . . . . . . . . . . . . . . . Count 724 500 291 500 HKD 17.3 1 453 169.94 China Mobile Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 940 500 512 000 322 500 HKD 88.75 9 677 408.51 China Overseas Land & Investment Ltd. . . . . . . . . . . . . . . . . . Count 1 364 000 382 000 HKD 24.5 3 874 470.58 China Pacific Insurance Group Co., Ltd. . . . . . . . . . . . . . . . . . . Count 349 400 171 800 HKD 26.1 1 057 292.91 China Petroleum & Chemical Corp. -H-. . . . . . . . . . . . . . . . . . . Count 6 174 000 4 822 000 2 602 000 HKD 5.59 4 001 385.05 China Resources Land Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 579 111 194 000 790 000 HKD 18.1 1 215 268.67 China Shenhua Energy Co., Ltd -H-. . . . . . . . . . . . . . . . . . . . . . Count 858 000 858 000 HKD 14.26 1 418 530.66 China Unicom Hong Kong Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 448 000 1 624 000 HKD 8.04 3 214 069.16 China Vast Industrial Urban Development Co., Ltd 144A. . . . . Count 6 759 000 3 539 000 HKD 2.94 2 303 889.73 Chu Kong Shipping Enterprise Group Co., Ltd. . . . . . . . . . . . . Count 8 274 000 1 148 000 HKD 2 1 918 569.01 CITIC Securities Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 601 000 601 000 HKD 17.04 1 187 342.39 Far East Horizon Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 886 000 HKD 6.02 618 389.53 Guangzhou Automobile Group Co., Ltd . . . . . . . . . . . . . . . . . . Count 574 000 574 000 HKD 9.22 613 584.99 Huaneng Renewables Corp. Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 4 066 000 9 202 000 11 010 000 HKD 2.56 1 206 810.98 Industrial & Commercial Bank of China Ltd -H-. . . . . . . . . . . . Count 12 246 956 4 696 000 7 331 000 HKD 4.29 6 091 403.41 Longfor Properties Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 582 000 475 000 HKD 10.06 678 817.26 Maanshan Iron & Steel Co Ltd. . . . . . . . . . . . . . . . . . . . . . . . . Count 5 004 000 6 440 000 8 162 000 HKD 1.66 963 068.77 Metallurgical Corp of China Ltd. . . . . . . . . . . . . . . . . . . . . . . . . Count 7 289 000 7 289 000 HKD 2.36 1 994 398.16 Moulin Global Eyecare. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 880 000 HKD 0 10.20 Nexteer Automotive Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . Count 1 368 000 1 368 000 1 551 000 HKD 7.06 1 119 754.23 Ourgame International Holdings Ltd. . . . . . . . . . . . . . . . . . . . . Count 1 345 000 617 000 HKD 3.47 541 107.65 PetroChina Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 298 000 2 884 000 2 468 000 HKD 5.29 2 636 052.14 PICC Property & Casualty Co., Ltd. . . . . . . . . . . . . . . . . . . . . . Count 850 000 HKD 12.14 1 196 381.05 Ping An Insurance Group Co. of China Ltd. . . . . . . . . . . . . . . . Count 752 500 312 500 HKD 34.15 2 979 402.14 Semiconductor Manufacturing International Corp.. . . . . . . . . . Count 16 834 000 HKD 0.62 1 210 071.20 Shanghai Jin Jiang International Hotels Group Co., Ltd. . . . . . Count 2 342 000 HKD 2.54 689 687.76 Shenzhen International Holdings Ltd . . . . . . . . . . . . . . . . . . . . Count 1 384 500 919 500 728 500 HKD 11.2 1 797 806.29 Sinopharm Group Co. Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 435 200 201 200 161 200 HKD 36.95 1 864 383.46 Sunny Optical Technology Group Co., Ltd . . . . . . . . . . . . . . . . Count 203 000 203 000 HKD 27.2 640 172.26 Tencent Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 575 290 233 400 HKD 176.3 11 759 017.85 Texwinca Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 884 000 142 000 HKD 5.76 590 346.05 Tongda Group Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 430 000 3 430 000 HKD 1.51 600 486.13 58.com, Inc. -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 446 14 208 11 279 USD 46.38 1 812 644.38 Alibaba Group Holding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 142 397 99 639 USD 78.8 10 093 902.93 Baidu, Inc. -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 791 8 187 4 049 USD 162.49 1 431 151.98 Ctrip.com International Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . Count 51 245 50 547 15 905 USD 40.81 1 881 265.79 JD.com, Inc. -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 73 922 34 762 53 011 USD 20.41 1 357 215.40 NetEase, Inc. -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 462 16 462 USD 187.4 2 775 135.87 New Oriental Education & Technology Group, Inc. -ADR-. . . . Count 49 853 49 625 USD 41.79 1 874 112.84 SINA Corp./China. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 830 33 473 15 643 USD 51.36 823 774.65 Vipshop Holdings Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 57 219 57 219 USD 10.87 559 502.30
93.28
Total securities portfolio 120 007 777.16 Cash at bank 6 705 137.05 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 6 327 882.70 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 551 1 875.01 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 0 0.26 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 3 237 704 375 378.24 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 0.84
93.28
2.17 0.39 0.34 3.35 1.40 1.16 0.74 0.51 0.49 1.88 5.07 0.51 0.93 0.98 0.51 1.13 7.52 3.01 0.82 3.11 0.94 1.10 2.50 1.79 1.49 0.92 0.48 0.48 0.94 4.73 0.53 0.75 1.55 0.00 0.87 0.42 2.05 0.93 2.32 0.94 0.54 1.40 1.45 0.50 9.14 0.46 0.47 1.41 7.85 1.11 1.46 1.05 2.16 1.46 0.64 0.43
5.21 4.92
0.00
0.00 0.29 0.00
83
Deutsche Invest I Chinese Equities Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Other assets 1 490 400.44 1.16 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 478 934.80 1.15 Receivables from exceeding the expense cap. . . . . . . . . . . . . 3 290.83 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 174.81 0.01 Receivables from share certificate transactions 1 542 085.47 1.20 Total assets 129 745 460.15 100.85 Other liabilities -865 353.26 -0.67 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -209 386.05 -0.16 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -655 967.21 -0.51 Liabilities from share certificate transactions -228 142.71 -0.18 Total liabilities -1 093 556.00 -0.85 Net assets 128 651 904.15 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 179.87 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 166.04 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 156.24 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 108.35 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 154.20 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 143.96 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 84 400 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 561 206 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 922 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 067 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 086 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 517 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI China 10/40 Index in EUR Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 88.620 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 106.718 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 98.137 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach).. The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1
84
Deutsche Invest I Chinese Equities Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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 valued to a minor extent 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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Equities 3SBio, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 576 000 Air China Ltd -H- . . . . . . . . . . . . . . . . . . . . . . . . . . Count Aluminum Corp. of China Ltd -H- . . . . . . . . . . . . . Count Anhui Conch Cement Co., Ltd -H-. . . . . . . . . . . . . Count 305 000 Bitauto Holdings Ltd -ADR-. . . . . . . . . . . . . . . . . . Count 27 785 China Biologic Products, Inc.. . . . . . . . . . . . . . . . . Count China CITIC Bank Corp., Ltd -H-. . . . . . . . . . . . . . Count China Everbright Ltd. . . . . . . . . . . . . . . . . . . . . . . Count China International Capital Corp Ltd. . . . . . . . . . . Count China Life Insurance Co., Ltd -H- . . . . . . . . . . . . . Count China Pharmaceutical Group Ltd. . . . . . . . . . . . . . Count China Power International Development Ltd . . . . Count China Resources Cement Holdings Ltd . . . . . . . . Count 2 438 000 China Shipping Development Co., Ltd -H- . . . . . . Count China ZhengTong Automotive Service Holding Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count CNOOC Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Country Garden Holdings Co., Ltd . . . . . . . . . . . . Count 481 000 CRCC High Tech Equipment. . . . . . . . . . . . . . . . . Count 500 Dongfeng Motor Group Co., Ltd -H-. . . . . . . . . . . Count 598 000 Dynagreen Environmental Protection Group Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Greentown China Holdings Ltd. . . . . . . . . . . . . . . Count Guangzhou R&F Properties Co., Ltd -H-. . . . . . . . Count 1 786 400 Harbin Bank Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . Count Hong Kong Exchanges and Clearing Ltd. . . . . . . . Count Huarong International Financial Holdings Ltd. . . . Count 1 613 000 IMAX China Holding Inc . . . . . . . . . . . . . . . . . . . . Count 118 800 Nameson Holdings Ltd. . . . . . . . . . . . . . . . . . . . . Count 2 888 000
576 000 1 048 000 8 110 000 305 000 27 785 6 725 4 068 000 630 000 595 200 511 000 882 000 4 136 000 2 438 000 2 170 000 2 3 2 1
428 192 178 390 598
000 000 000 000 000
078 743 504 438 65 1 613 118 2 888
000 000 800 000 200 000 800 000
3 1 3 2
New China Life Insurance Co., Ltd. . . . . . . . . . . . Nine Dragons Paper Holdings Ltd. . . . . . . . . . . . . Sihuan Pharmaceutical Holdings Group Ltd . . . . . Sino Biopharmaceutical Ltd. . . . . . . . . . . . . . . . . . Sino-Ocean Land Holdings Ltd. . . . . . . . . . . . . . . Sinotruk Hong Kong Ltd . . . . . . . . . . . . . . . . . . . . SouFun Holdings Ltd -ADR- . . . . . . . . . . . . . . . . . Xinyi Glass Holding Co., Ltd . . . . . . . . . . . . . . . . . Zhuzhou CSR Times Electric Co., Ltd -H-. . . . . . . Zijin Mining Group Co., Ltd -H-. . . . . . . . . . . . . . . Zoomlion Heavy Industry Science and Technology Co., Ltd. . . . . . . . . . . . . . . . . . . .
Count Count Count Count Count Count Count Count Count Count
851 000 3 223 000 1 737 500 1 170 000 2 376 000
Count 4 698 000
506 944 340 223 827 737 270 1 170 231 2 376
2 7 3 3 1
000 000 000 000 500 500 701 000 500 000
4 698 000
Investment fund units Non-group fund units Harvest Funds (Hong Kong) ETF - Harvest CSI Smallcap 500 Index ETF HKD - (0.600%). . . . . . .
Units
500 000
500 000
85
Deutsche Invest I Convertibles Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 1 714 626 133.13 Interest-bearing securities 0.00 % Swiss Life Holding AG 2013/2020 *. . . . . . . . . . . . . CHF 24 500 000 % 116.314 26 298 858.52 0.50 % Aabar Investments PJSC 2015/2020 *. . . . . . . . . . . EUR 49 500 000 7 000 000 % 77.721 38 471 895.00 1.00 % Aabar Investments PJSC 2015/2022 . . . . . . . . . . . . EUR 42 500 000 % 71.875 30 546 875.00 0.25 % Adidas AG 2012/2019. . . . . . . . . . . . . . . . . . . . . . . . EUR 4 000 000 26 000 000 % 157.596 6 303 840.00 0.00 % Airbus Group SE 2015/2022 *. . . . . . . . . . . . . . . . . . EUR 14 000 000 2 800 000 % 100.415 14 058 100.00 0.00 % America Movil SAB de CV 2015/2020 . . . . . . . . . . . EUR 70 000 000 4 500 000 32 000 000 % 98.575 69 002 500.00 1.00 % Criteria CaixaHolding SA 2013/2017 * . . . . . . . . . . . EUR 10 000 000 2 600 000 % 98.474 9 847 400.00 0.60 % Deutsche Post AG 2012/2019 *. . . . . . . . . . . . . . . . EUR 25 000 000 2 500 000 9 500 000 % 131.63 32 907 500.00 0.00 % Eni SpA (MTN) 2016/2022 *. . . . . . . . . . . . . . . . . . . EUR 19 800 000 19 800 000 % 103.575 20 507 850.00 3.34 % Fonciere Des Regions 2011/2017. . . . . . . . . . . . . . . EUR 14 500 000 4 500 000 % 95.705 13 877 225.00 0.875 % Fonciere des Regions 2013/2019 * . . . . . . . . . . . . . EUR 10 000 000 % 99.258 9 925 850.00 1.125 % Fresenius Medical Care AG & Co. KGaA 2014/2020 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 17 500 000 12 500 000 % 124.119 21 720 825.00 0.00 % Fresenius SE & Co. KGaA 2014/2019. . . . . . . . . . . . EUR 13 000 000 5 500 000 % 137.765 17 909 450.00 0.00 % Haniel Finance Deutschland GmbH 2015/2020 *. . . EUR 18 300 000 % 102.303 18 721 449.00 0.00 % Iberdrola International BV 2015/2022 *. . . . . . . . . . . EUR 16 000 000 9 900 000 % 96.882 15 501 120.00 0.25 % International Consolidated Airlines Group SA 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 17 800 000 % 88.382 15 731 996.00 0.625 % International Consolidated Airlines Group SA 2015/2022 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 17 800 000 % 87.353 15 548 834.00 3.375 % Magyar Nemzeti Vagyonkezelo Zrt 2013/2019. . . . . EUR 28 500 000 9 000 000 % 112.963 32 194 455.00 0.125 % MTU Aero Engines AG 2016/2023 *. . . . . . . . . . . . . EUR 14 600 000 14 600 000 % 101.232 14 779 872.00 0.00 % RAG-Stiftung (MTN) 2015/2021 *. . . . . . . . . . . . . . . EUR 24 000 000 6 000 000 % 107.14 25 713 600.00 0.375 % Sagerpar SA 2013/2018 . . . . . . . . . . . . . . . . . . . . . . EUR 20 000 000 % 106.135 21 227 000.00 0.00 % Solidium Oyj 2014/2018 *. . . . . . . . . . . . . . . . . . . . . EUR 18 600 000 16 400 000 % 102.111 18 992 646.00 1.25 % Steinhoff Finance Holdings GmbH 2015/2022 *. . . . EUR 37 500 000 % 99.069 37 150 875.00 1.25 % Steinhoff Finance Holdings GmbH 2016/2023. . . . . EUR 30 000 000 30 000 000 % 96.75 29 025 000.00 0.00 % Suez Environnement Co. 2014/2020 *. . . . . . . . . . . EUR 110 000 000 % 19.891 21 880 100.00 0.875 % Technip SA 2016/2021 *. . . . . . . . . . . . . . . . . . . . . . EUR 6 000 000 6 000 000 % 116.762 7 005 720.00 1.125 % Telecom Italia SpA 2015/2022 *. . . . . . . . . . . . . . . . EUR 30 000 000 35 000 000 % 94.84 28 452 000.00 0.00 % Telefonica Participaciones SAU (MTN) 2016/2021. . EUR 30 000 000 30 000 000 % 98.227 29 468 100.00 0.00 % Unibail-Rodamco SE 2014/2021 *. . . . . . . . . . . . . . . EUR 5 055 200 % 318.04 16 077 558.08 0.00 % Unibail-Rodamco SE 2015/2022. . . . . . . . . . . . . . . . EUR 3 980 500 % 347.82 13 844 975.10 0.00 % British Land Company Plc 2015/2020 * . . . . . . . . . . GBP 14 000 000 5 000 000 7 400 000 % 92.336 15 624 996.19 1.50 % British Land Jersey Ltd 2012/2017 *. . . . . . . . . . . . GBP 7 000 000 9 100 000 10 000 000 % 104.004 8 799 631.19 1.125 % Derwent London Capital No 2 Jersey Ltd 2013/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 7 500 000 % 103.7 9 400 663.24 0.90 % National Grid North America Inc 2015/2020. . . . . . . GBP 17 000 000 2 700 000 % 104.142 21 398 991.73 2.625 % Remgro Jersey GBP Ltd 2016/2021. . . . . . . . . . . . . GBP 15 000 000 15 000 000 % 110.377 20 011 899.84 0.00 % Vodafone Group PLC 2015/2020 *. . . . . . . . . . . . . . GBP 25 000 000 5 500 000 % 97.772 29 544 250.94 0.50 % Shenzhou International Group Holdings Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 120 000 000 % 114.75 15 964 887.14 0.00 % Asics Corp. 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . JPY 2 400 000 000 500 000 000 % 104.722 21 996 289.29 0.00 % Chugoku Electric Power Co, Inc. 2015/2018 . . . . . . JPY 1 400 000 000 1 870 000 000 % 100.2 12 277 164.75 0.00 % Chugoku Electric Power Co., Inc. 2015/2020. . . . . . JPY 1 500 000 000 1 840 000 000 % 100.575 13 203 334.53 0.00 % Nagoya Railroad Co Ltd 2014/2024. . . . . . . . . . . . . . JPY 2 470 000 000 400 000 000 % 115.225 24 908 409.49 0.00 % Sony Corp 2015/2022. . . . . . . . . . . . . . . . . . . . . . . . JPY 2 750 000 000 850 000 000 % 104.751 25 211 181.45 0.00 % Sumitomo Forestry Co., Ltd 2013/2018. . . . . . . . . . JPY 1 000 000 000 % 103.765 9 081 408.62 0.00 % Suzuki Motor Corp. 2016/2021. . . . . . . . . . . . . . . . . JPY 1 250 000 000 1 250 000 000 % 103.625 11 336 444.95 0.00 % Suzuki Motor Corp. 2016/2023. . . . . . . . . . . . . . . . . JPY 4 500 000 000 4 500 000 000 % 104.575 41 185 345.51 0.00 % Takashimaya Co., Ltd 2013/2018. . . . . . . . . . . . . . . JPY 2 300 000 000 1 700 000 000 % 99.575 20 043 819.25 0.00 % Takashimaya Co., Ltd Zero Coupon 2013/2020 . . . . JPY 1 500 000 000 1 500 000 000 % 99.75 13 095 029.77 0.00 % Terumo Corp. 2014/2019 . . . . . . . . . . . . . . . . . . . . . JPY 1 520 000 000 1 980 000 000 % 123.525 16 432 391.64 0.00 % Terumo Corp. 2014/2021 . . . . . . . . . . . . . . . . . . . . . JPY 1 890 000 000 300 000 000 1 910 000 000 % 127.102 21 024 139.22 0.00 % Tohoku Electric Power Co Inc 2015/2018. . . . . . . . . JPY 1 130 000 000 % 100.125 9 902 008.60 0.00 % Tohoku Electric Power Co Inc 2015/2020. . . . . . . . . JPY 2 150 000 000 % 100.625 18 934 187.78 0.00 % Toppan Printing Co., Ltd 2013/2019. . . . . . . . . . . . . JPY 3 000 000 000 500 000 000 % 104.5 27 437 205.23 0.00 % Toray Industries, Inc. 2014/2021. . . . . . . . . . . . . . . . JPY 2 360 000 000 300 000 000 % 120.028 24 791 162.91 0.00 % Toray Industries, Inc. 2014/2021. . . . . . . . . . . . . . . . JPY 2 500 000 000 300 000 000 % 113.282 24 785 817.25 0.00 % Unicharm Corp 2015/2020 . . . . . . . . . . . . . . . . . . . . JPY 3 670 000 000 300 000 000 % 115.9 37 226 467.49 0.00 % Yamada Denki Co. Ltd 2014/2019 . . . . . . . . . . . . . . JPY 3 050 000 000 2 800 000 000 % 114.99 30 694 618.50 0.00 % Industrivarden AB 2014/2019. . . . . . . . . . . . . . . . . . SEK 140 000 000 % 110.14 16 346 515.02 1.85 % CapitaLand Ltd 2013/2020 . . . . . . . . . . . . . . . . . . . . SGD 45 000 000 % 95.375 28 647 445.59 1.95 % CapitaLand Ltd -Reg- 2013/2023. . . . . . . . . . . . . . . . SGD 27 500 000 7 500 000 % 99.75 18 309 835.25 0.50 % AYC Finance Ltd -Reg- 2014/2019. . . . . . . . . . . . . . USD 12 000 000 % 107.949 11 652 844.10 1.875 % Brenntag Finance BV 2015/2022 *. . . . . . . . . . . . . . USD 18 250 000 18 250 000 % 103.333 16 964 223.04 0.00 % China Ovres FIN KY 5 2015/2023. . . . . . . . . . . . . . . USD 26 600 000 6 600 000 % 101.366 24 255 384.01 0.00 % China Railway Construction Corp., Ltd 2016/2021. . USD 13 500 000 13 500 000 % 115.891 14 073 935.15 0.00 % CRRC Corp., Ltd 2016/2021. . . . . . . . . . . . . . . . . . . USD 8 000 000 8 000 000 % 103.5 7 448 389.92 1.75 % DP World Ltd 2014/2024. . . . . . . . . . . . . . . . . . . . . . USD 44 400 000 9 000 000 % 98.05 39 161 599.37 0.00 % ENN Energy Holdings Ltd 2013/2018 . . . . . . . . . . . USD 30 000 000 % 104.838 28 292 547.18 0.00 % Gunma Bank Ltd 2014/2019 * . . . . . . . . . . . . . . . . . USD 15 000 000 3 500 000 % 93.396 12 602 351.90 0.00 % LVMH Moet Hennessy Louis Vuitton SE Zero Coupon 2016/2021 *. . . . . . . . . . . . . . . . . . . . . USD 10 000 000 10 000 000 % 249.85 22 475 606.53 1.00 % National Bank of Abu Dhabi PJSC 2013/2018. . . . . USD 19 000 000 11 000 000 % 98.75 16 878 069.54 0.375 % Qiagen NV 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . USD 29 000 000 3 600 000 % 101.5 26 478 666.33 0.00 % ServiceNow, Inc. 2013/2018. . . . . . . . . . . . . . . . . . . USD 10 500 000 10 500 000 % 111.472 10 529 048.04 0.00 % Shizuoka Bank Ltd 2013/2018. . . . . . . . . . . . . . . . . . USD 25 000 000 8 000 000 18 000 000 % 96.625 21 730 092.87 1.05 % Siemens Financieringsmaatschappij NV 2015/2017 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 35 750 000 31 250 000 % 103.77 33 371 822.86
86
% of net assets
64.80 0.99 1.45 1.15 0.24 0.53 2.61 0.37 1.24 0.77 0.52 0.38 0.82 0.68 0.71 0.59 0.59 0.59 1.22 0.56 0.97 0.80 0.72 1.41 1.10 0.83 0.26 1.08 1.11 0.61 0.52 0.59 0.33 0.36 0.81 0.76 1.12 0.60 0.83 0.46 0.50 0.94 0.95 0.34 0.43 1.56 0.76 0.49 0.62 0.79 0.37 0.72 1.04 0.94 0.94 1.41 1.16 0.62 1.08 0.69 0.44 0.64 0.92 0.53 0.28 1.48 1.07 0.48 0.85 0.64 1.00 0.40 0.82 1.26
Deutsche Invest I Convertibles Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
1.65 % S iemens Financieringsmaatschappij NV 2015/2019 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 33 500 000 30 750 000 % 109.062 32 866 263.39 1.24 0.00 % STMicroelectronics NV 2014/2019. . . . . . . . . . . . . . USD 43 000 000 % 92.982 35 966 601.72 1.36 1.00 % Subsea 7 SA 2012/2017. . . . . . . . . . . . . . . . . . . . . . USD 25 000 000 3 000 000 % 96.774 21 763 601.63 0.82 0.00 % The Joyo Bank Ltd -Reg- 2014/2019 *. . . . . . . . . . . USD 18 500 000 % 95.125 15 830 639.71 0.60 0.50 % TOTAL SA 2015/2022 * . . . . . . . . . . . . . . . . . . . . . . USD 53 000 000 3 000 000 % 100.599 47 962 476.57 1.81 0.00 % Yamaguchi Financial Group, Inc. 2013/2018 * . . . . . USD 15 000 000 5 000 000 % 103.85 14 012 958.21 0.53 Securities admitted to or included in organized markets 660 144 999.36 24.94 Interest-bearing securities 0.00 % Akamai Technologies, Inc. . . . . . . . . . . . . . . . . . . . . USD 26 000 000 29 500 000 % 98.174 22 961 470.04 0.87 3.00 % American Realty Capital Properties, Inc. 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 10 000 000 5 000 000 % 98.906 8 897 227.70 0.34 4.75 % Ares Capital Corp. 2012/2018. . . . . . . . . . . . . . . . . . USD 10 000 000 10 000 000 % 103.728 9 330 952.48 0.35 4.375 % Ares Capital Corp. 2013/2019. . . . . . . . . . . . . . . . . . USD 25 000 000 % 103.762 23 335 252.38 0.88 1.375 % Brocade Communications Systems, Inc. 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 24 000 000 24 000 000 % 98.24 21 209 560.16 0.80 0.50 % Citrix Systems, Inc. 2015/2019. . . . . . . . . . . . . . . . . USD 32 700 000 3 000 000 19 300 000 % 111.832 32 896 066.40 1.24 1.25 % Ctrip.com International Ltd 2013/2018. . . . . . . . . . . USD 15 000 000 15 000 000 % 121.092 16 339 500.58 0.62 1.00 % Ctrip.com International Ltd 2015/2020. . . . . . . . . . . USD 21 000 000 21 000 000 % 104.914 19 819 234.52 0.75 2.00 % Hologic Inc 2012/2042 . . . . . . . . . . . . . . . . . . . . . . . USD 13 000 000 6 000 000 % 127.155 14 869 927.85 0.56 0.00 % Illumina, Inc. 2014/2019 . . . . . . . . . . . . . . . . . . . . . . USD 17 208 000 13 000 000 % 97.682 15 120 908.89 0.57 0.50 % Illumina, Inc. 2014/2021 *. . . . . . . . . . . . . . . . . . . . . USD 16 000 000 16 000 000 % 99.557 14 329 262.90 0.54 3.25 % Intel Corp. 144A 2009/2039 . . . . . . . . . . . . . . . . . . . USD 5 500 000 % 159.567 7 894 722.76 0.30 2.95 % Intel Corp. 2006/2035. . . . . . . . . . . . . . . . . . . . . . . . USD 21 160 000 % 127.888 24 343 192.07 0.92 1.875 % Jazz Investments I Ltd 2014/2021 . . . . . . . . . . . . . . USD 10 000 000 % 107.3 9 652 321.72 0.36 1.25 % Lam Research Corp. 2011/2018. . . . . . . . . . . . . . . . USD 6 100 000 8 100 000 12 000 000 % 143.441 7 871 095.94 0.30 1.00 % Liberty Interactive LLC 144A 2013/2043 . . . . . . . . . USD 23 000 000 % 86.562 17 909 653.56 0.68 0.50 % LinkedIn Corp 2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 12 500 000 42 500 000 % 98.78 11 107 422.71 0.42 1.625 % Microchip Technology, Inc. 2015/2025. . . . . . . . . . . USD 51 000 000 56 000 000 5 000 000 % 109.562 50 264 595.78 1.90 3.00 % Micron Technology, Inc. 2013/2043. . . . . . . . . . . . . USD 25 000 000 8 500 000 13 500 000 % 74.92 16 848 833.71 0.64 1.625 % Newmont Mining Corp. 2007/2017. . . . . . . . . . . . . . USD 32 000 000 7 000 000 15 000 000 % 111.114 31 985 185.43 1.21 1.00 % NXP Semicondustor NV 2015/2019 *. . . . . . . . . . . . USD 21 500 000 33 500 000 % 108.734 21 029 739.56 0.79 3.75 % Old Republic International Corp. 2011/2018. . . . . . . USD 18 000 000 18 000 000 % 126.75 20 523 552.65 0.78 1.00 % ON Semiconductor Corp. 2015/2020 . . . . . . . . . . . . USD 22 500 000 22 500 000 % 89.458 18 106 570.36 0.68 0.90 % Priceline Group Inc/The 2014/2021. . . . . . . . . . . . . . USD 17 500 000 14 500 000 % 101.332 15 952 137.07 0.60 4.75 % Prospect Capital Corp. 2014/2020. . . . . . . . . . . . . . . USD 27 000 000 % 94.997 23 073 087.94 0.87 0.25 % Red Hat Inc 2014/2019 * . . . . . . . . . . . . . . . . . . . . . USD 33 000 000 3 000 000 % 121.228 35 987 273.70 1.36 0.25 % Salesforce.com, Inc. 2013/2018. . . . . . . . . . . . . . . . USD 30 000 000 7 000 000 % 128.938 34 796 394.90 1.31 1.25 % Tesla Motors Inc 2014/2021. . . . . . . . . . . . . . . . . . . USD 24 000 000 14 000 000 % 82.848 17 886 390.83 0.68 0.25 % Tesla Motors, Inc. 2014/2019. . . . . . . . . . . . . . . . . . USD 23 500 000 9 500 000 25 000 000 % 89.084 18 832 138.45 0.71 0.35 % The Priceline Group, Inc. 2013/2020 *. . . . . . . . . . . USD 15 500 000 7 000 000 23 500 000 % 117.01 16 314 987.46 0.62 0.50 % Toll Brothers Finance Corp. 2012/2032. . . . . . . . . . . USD 10 000 000 5 000 000 % 97.688 8 787 660.80 0.33 0.25 % Twitter Inc 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . USD 20 000 000 11 500 000 % 91.657 16 490 267.50 0.62 2.75 % WellPoint, Inc. 2012/2042. . . . . . . . . . . . . . . . . . . . . USD 6 500 000 % 182.928 10 696 074.58 0.40 2.625 % Xilinx, Inc. 2010/2017 . . . . . . . . . . . . . . . . . . . . . . . . USD 7 000 000 % 158.646 9 989 887.61 0.38 0.00 % Yahoo!, Inc. 2013/2018. . . . . . . . . . . . . . . . . . . . . . . USD 16 500 000 7 000 000 % 98.987 14 692 448.37 0.56 Unlisted securities 37 109 345.19 1.40 Interest-bearing securities 0.00 % LIXIL Group Corp 2015/2020. . . . . . . . . . . . . . . . . . . JPY 2 010 000 000 % 97.725 17 191 115.70 0.65 0.00 % LIXIL Group Corp 2015/2022. . . . . . . . . . . . . . . . . . . JPY 2 380 000 000 380 000 000 % 95.625 19 918 229.49 0.75 Total securities portfolio 2 411 880 477.68 91.14 Derivatives (Minus signs denote short positions) Equity index derivatives -6 275 768.83 -0.24 Receivables/payables Equity index futures DJ EURO STOXX 50 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . Count -1 900 -1 900 -6 275 768.83 -0.24 Currency derivatives 9 337 964.79 0.35 Receivables/payables Currency futures Euro Futures 09/2016 (CME). . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 304 2 304 -5 777 365.00 -0.22
87
Deutsche Invest I Convertibles Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Currency futures Currency futures (short) Open positions EUR/CHF 21.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -27 669.99 0.00 EUR/GBP 89.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -513 703.02 -0.02 EUR/HKD 376.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170 812.51 0.01 EUR/JPY 51 791.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 422 679.16 0.17 EUR/SEK 146.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 858.15 0.00 EUR/SGD 68.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -81 432.54 0.00 EUR/USD 977.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 203 154.91 0.16 Closed positions EUR/CHF 476.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/GBP 7.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/HKD 6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/JPY 1 795.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/SEK 18.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/SGD 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/USD 71.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1 198 -7 2 255 -21 4 651
117.26 705.17 213.37 397.23 991.32 534.81 487.60
0.05 0.00 0.00 0.01 0.00 0.00 0.02
322 -481 39 1 199 -864 54 4 571
596.67 611.53 373.99 154.69 230.62 776.39 517.24
0.01 -0.02 0.00 0.05 -0.03 0.00 0.16
Currency futures (long) Open positions CHF/EUR 70 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/EUR 8.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD/EUR 24.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY/EUR 3 093.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/EUR 632.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/EUR 4.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/EUR 355.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Cash at bank 200 649 268.14 7.58 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 55 368 779.99 2.08 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 6 041 701 7 302 602.87 0.28 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 611 505 170 837.75 0.01 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 660 277 441 699.31 0.02 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 239 262 767 27 740 036.81 1.05 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 2 312 653 475 20 240 111.01 0.76 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 465 212 429 328.79 0.02 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 652 390 435 457.61 0.02 South Korean won. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 4 187 520 3 270.34 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 98 400 051 88 517 143.66 3.34 Other assets 42 519 652.92 1.61 Prepaid placement fee **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 206 414.03 0.01 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 559 984.24 0.17 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 753 254.65 1.43 Receivables from share certificate transactions 31 404 462.52 1.19 Total assets *** 2 703 567 535.24 102.16 Other liabilities -29 371 615.80 -1.11 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -29 371 615.80 -1.11 Liabilities from share certificate transactions -13 678 090.64 -0.52 Total liabilities -57 101 184.46 -2.16 Net assets 2 646 466 350.78 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
88
Deutsche Invest I Convertibles Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 126.82 Class CHF LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 100.11 Class CHF RCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 99.35 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 174.24 Class FC (CE). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 137.68 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104.59 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 161.76 Class LC (CE). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 114.14 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 154.57 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 153.54 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98.28 Class RC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98.41 Class GBP DH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 159.37 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 978.69 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 975.61 Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 165.06 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 157.73
Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Number of shares outstanding Class CHF FCH Count 491 813 Class CHF LCH Count 65 614 Class CHF RCH Count 2 229 126 Class FC Count 8 093 280 Class FC (CE) Count 1 258 919 Class FD Count 648 125 Class LC Count 1 738 694 Class LC (CE) Count 20 808 Class LD Count 270 725 Class NC Count 509 992 Class PFC Count 130 520 Class RC Count 100 Class GBP DH RD Count 15 662 Class SEK FCH Count 554 433 Class SEK LCH Count 83 289 Class USD FCH Count 1 066 685 Class USD LCH Count 584 876 Composition of the reference portfolio (according to CSSF circular 11/512) 25% Citi - EuroBIG Corporate Index - A sector, 25% Citi - WorldBIG Corporate A in EUR, 25% MSCI THE WORLD INDEX in EUR Constituents, 25% STOXX 50 Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 13.780 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 28.655 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 21.604 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 1.1, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 3 040 819 594.29 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations
Futures exchanges CME = Chicago Mercantile Exchange EUR = Eurex Contracting parties for currency futures Barclays Bank PLC Wholesale, Citigroup Global Markets Limited, Crédit Suisse London Branch (GFX), Goldman Sachs International, JP Morgan Securities PLC, Nomura International PLC, Skandinaviska Enskilda Banken AG, State Street Bank and Trust Company and State Street Bank London
89
Deutsche Invest I Convertibles Securities lending The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
Securities loans Total market value in EUR Perpetual
Total
.00 0 % Swiss Life Holding AG 2013/2020 CHF 13 800 000 14 813 234.64 0.50 % Aabar Investments PJSC 2015/2020 EUR 3 000 000 2 331 630.00 0.00 % Airbus Group SE 2015/2022 EUR 6 800 000 6 828 220.00 1.00 % Criteria CaixaHolding SA 2013/2017 EUR 9 100 000 8 961 134.00 0.60 % Deutsche Post AG 2012/2019 EUR 24 500 000 32 249 350.00 0.00 % Eni SpA (MTN) 2016/2022 EUR 19 800 000 20 507 850.00 0.875 % Fonciere des Regions 2013/2019 EUR 6 924 305 6 872 961.34 1.125 % Fresenius Medical Care AG & Co. KGaA 2014/2020 EUR 9 500 000 11 791 305.00 0.00 % Haniel Finance Deutschland GmbH 2015/2020 EUR 13 200 000 13 503 996.00 0.00 % Iberdrola International BV 2015/2022 EUR 19 800 000 19 182 636.00 0.625 % International Consolidated Airlines Group SA 2015/2022 EUR 15 000 000 13 102 950.00 0.125 % MTU Aero Engines AG 2016/2023 EUR 2 900 000 2 935 728.00 0.00 % RAG-Stiftung (MTN) 2015/2021 EUR 18 300 000 19 606 620.00 0.00 % Solidium Oyj 2014/2018 EUR 5 200 000 5 309 772.00 1.25 % Steinhoff Finance Holdings GmbH 2015/2022 EUR 200 000 198 138.00 0.00 % Suez Environnement Co. 2014/2020 EUR 2 755 500 548 096.51 0.875 % Technip SA 2016/2021 EUR 4 800 000 5 604 576.00 1.125 % Telecom Italia SpA 2015/2022 EUR 9 300 000 8 820 120.00 0.00 % Unibail-Rodamco SE 2014/2021 EUR 14 403 000 45 807 301.20 0.00 % British Land Company Plc 2015/2020 GBP 4 000 000 4 464 284.64 1.50 % British Land Jersey Ltd 2012/2017 GBP 4 200 000 5 279 778.71 0.00 % Vodafone Group PLC 2015/2020 GBP 25 000 000 29 544 251.00 1.875 % Brenntag Finance BV 2015/2022 USD 11 000 000 10 225 011.17 0.00 % Gunma Bank Ltd 2014/2019 USD 200 000 168 031.36 0.50 % Illumina, Inc. 2014/2021 USD 8 100 000 7 254 189.33 0.00 % LVMH Moet Hennessy Louis Vuitton SE Zero Coupon 2016/2021 USD 21 050 000 47 311 151.68 1.00 % NXP Semicondustor NV 2015/2019 USD 1 000 000 978 127.42 0.25 % Red Hat Inc 2014/2019 USD 33 000 000 35 987 273.85 1.05 % Siemens Financieringsmaatschappij NV 2015/2017 USD 5 000 000 4 667 387.80 1.65 % Siemens Financieringsmaatschappij NV 2015/2019 USD 34 500 000 33 847 345.91 0.00 % The Joyo Bank Ltd -Reg- 2014/2019 USD 4 000 000 3 422 841.00 0.35 % The Priceline Group, Inc. 2013/2020 USD 15 801 000 16 631 814.05 0.50 % TOTAL SA 2015/2022 USD 52 800 000 47 781 486.19 0.00 % Yamaguchi Financial Group, Inc. 2013/2018 USD 7 400 000 6 913 059.35 Total receivables from securities loans 493 451 652.15 493 451 652.15 Contracting parties for securities loans BNP Paribas Arbitrage SNC, Barclays Capital Securities Limited, Citigroup Global Markets, Crédit Suisse Securities (Europe) Ltd. FI, J.P. Morgan Sec Ltd., Morgan Stanley Intl. FI, Morgan Stanley Intl. London EQ, Nomura International PLC, UBS AG London Branch, Unicredit Bank AG, Zuercher Kantonalbank Total collateral pledged by third parties for securities loans EUR 492 619 747.31 thereof: Bonds EUR 440 788 321.00 Equities EUR 51 831 426.31 Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR South Korean won. . . . . . . . . . . . . . . . KRW 1 280.453642 = EUR Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Some or all of these securities are lent. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). *** Does not include positions with a negative balance, if such exist.
90
Deutsche Invest I Convertibles 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
Securities traded on an exchange Interest-bearing securities 0.25 % BNP Paribas SA (MTN) 2013/2016. . . EUR 0.00 % CEZ MH BV (MTN) 2014/2017. . . . . . EUR 0.875 % Deutsche Wohnen AG 2014/2021 . . . EUR 1.25 % GBL Verwaltung SA 2013/2017 . . . . . EUR 0.25 % Grand City Properties SA 2016/2022. EUR 6 100 000 1.875 % Industrivarden AB -Reg- 2011/2017 . . EUR 0.00 % Ingenico Group SA 2015/2022 . . . . . . EUR 0.875 % Marine Harvest ASA 2014/2019. . . . . EUR 0.00 % RAG-Stiftung 2014/2018. . . . . . . . . . . EUR 0.25 % Technip SA 2011/2017. . . . . . . . . . . . EUR 0.00 % Hengan International Group Co., Ltd 2013/2018. . . . . . . . . . . . . . . . . . . . . . HKD 0.00 % S hine Power International Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . . HKD 0.00 % Kawasaki Kisen Kaisha Ltd 2013/2018. . . . . . . . . . . . . . . . . . . . . . JPY 0.00 % L otte Shopping Co., Ltd (MTN) 2013/2018. . . . . . . . . . . . . . . . . . . . . . KRW 25 0.875 % Qiagen NV 2014/2021. . . . . . . . . . . . . USD Securities admitted to or included in organized markets Interest-bearing securities 5.75 % Ares Capital Corp. 2012/2016. . . . . . . USD 1.375 % Brocade Communications Systems, Inc. 144A 2015/2020. . . . . . . . . . . . . . USD 1.00 % C trip.com International Ltd 2015/2020. . . . . . . . . . . . . . . . . . . . . . USD 6 000 000 1.125 % Jarden Corp. 2014/2034. . . . . . . . . . . USD 0.50 % Lam Research Corp. 2011/2016. . . . . USD 1.625 % Microchip Technology, Inc. 144A 2015/2025. . . . . . . . . . . . . . . . . . . . . . USD 1.00 % Nvidia Corp. 2014/2018. . . . . . . . . . . . USD 1.00 % ON Semiconductor Corp 2015/2020. . USD 0.50 % SanDisk Corp. 144A 2013/2020 . . . . . USD
10 27 8 57 6 18 4 13 25 18
000 300 000 000 100 000 856 300 000 000
000 000 000 000 000 000 600 000 000 000
220 000 000 50 000 000 870 000 000 000 000 000 10 000 000
5 000 000 24 000 000 21 000 000 20 000 000 17 500 000 56 12 22 51
000 000 500 000
000 000 000 000
Unlisted securities Interest-bearing securities 0.125 % Marine Harvest ASA 2015/2020. . . . . EUR 9 900 000 9 900 000
options
Value (’000) Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures) EUR 394 656 Contracts sold (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures) EUR 235 248 Currency futures Contracts sold (Underlying: IRO) EUR 1 336 497 Currency futures (short) Futures contracts to sell currencies EUR/CHF EUR 1 814 298 EUR/GBP EUR 234 536 EUR/HKD EUR 90 610 EUR/JPY EUR 697 329 EUR/KRW EUR 16 308 EUR/SEK EUR 411 843 EUR/SGD EUR 84 311 EUR/USD EUR 3 850 355 EUR/USD EUR 2 295
Currency futures (long) Futures contracts to purchase currencies CHF/EUR EUR 1 543 372 GBP/EUR EUR 315 273 HKD/EUR EUR 142 071 JPY/EUR EUR 1 086 800 KRW/EUR EUR 49 048 SEK/EUR EUR 385 024 SGD/EUR EUR 133 123 USD/EUR EUR 4 499 406 Option contracts Options on equity index derivatives Options on equity indices Call options sold (Underlying: DJ Euro Stoxx 50) EUR
33 615
91
Deutsche Invest I Corporate Hybrid Bonds Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Securities traded on an exchange Interest-bearing securities 0.75 % Air Liquide Finance SA (MTN) 2016/2024. . . . . . . . . 1.25 % Air Liquide Finance SA (MTN) 2016/2028. . . . . . . . . 3.25 % Alliander NV 2013/2049 *. . . . . . . . . . . . . . . . . . . . . 6.375 % America Movil SAB de CV 2013/2073 *. . . . . . . . . . 5.125 % America Movil SAB de CV 2013/2073 *. . . . . . . . . . 2.75 % Anheuser-Busch InBev SA/NV (MTN) 2016/2036. . . 4.75 % Arkema SA 2015/2049 . . . . . . . . . . . . . . . . . . . . . . . 2.375 % Bayer AG 2015/2075 * . . . . . . . . . . . . . . . . . . . . . . . 3.50 % Bertelsmann SE & Co KGaA (MTN) 2015/2075 *. . . 3.00 % Bertelsmann SE & Co KGaA 2015/2075 * . . . . . . . . 6.50 % BG Energy Capital Plc 2012/2072 * . . . . . . . . . . . . . 4.75 % BHP Billiton Finance Ltd 2015/2076*. . . . . . . . . . . . 3.00 % Centrica Plc 2015/2076 * . . . . . . . . . . . . . . . . . . . . . 2.75 % Deutsche Boerse AG 2015/2041* . . . . . . . . . . . . . . 0.625 % Deutsche Telekom International Finance BV (MTN) 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.25 % DONG Energy A/S 2013/3013 *. . . . . . . . . . . . . . . . 3.00 % DONG Energy A/S 2015/3015. . . . . . . . . . . . . . . . . . 5.375 % Electricite de France SA (MTN) 2013/2049 *. . . . . . 4.125 % Electricite de France SA (MTN) 2014/2049 *. . . . . . 5.00 % Electricite de France SA (MTN) 2014/2049 *. . . . . . 7.375 % EnBW Energie Baden-Wuerttemberg AG (MTN) 2011/2072 *. . . . . . . . . . . . . . . . . . . . . . . . . . 3.625 % EnBW Energie Baden-Wuerttemberg AG (MTN) 2014/2076 *. . . . . . . . . . . . . . . . . . . . . . . . . . 3.25 % Eneco Holding NV 2014/2049 * . . . . . . . . . . . . . . . . 5.00 % ENEL SpA 2014/2075 *. . . . . . . . . . . . . . . . . . . . . . . 3.375 % Gas Natural Fenosa Finance BV 2015/2049. . . . . . . 3.875 % GDF Suez 2014/2049 *. . . . . . . . . . . . . . . . . . . . . . . 3.00 % GDF Suez 2014/2049 *. . . . . . . . . . . . . . . . . . . . . . . 5.25 % Glencore Finance Europe SA (MTN) 2010/2017. . . . 4.625 % Glencore Finance Europe SA (MTN) 2012/2018. . . . 3.75 % Hutchison Whampoa Europe Finance 13 Ltd 2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.75 % Iberdrola International BV (MTN) 2013/2049 *. . . . . 1.65 % Johnson & Johnson 2016/2035 . . . . . . . . . . . . . . . . 6.125 % Koninklijke KPN NV 2013/2049 * . . . . . . . . . . . . . . . 2.625 % Merck KGaA 2014/2074 *. . . . . . . . . . . . . . . . . . . . . 3.375 % Merck KGaA 2014/2074 *. . . . . . . . . . . . . . . . . . . . . 1.25 % Molson Coors Brewing Co. 2016/2024. . . . . . . . . . . 4.25 % NGG Finance Plc 2013/2076 * . . . . . . . . . . . . . . . . . 6.75 % OMV AG (MTN) 2011/2049 *. . . . . . . . . . . . . . . . . . 1.00 % OMV AG 2015/2049. . . . . . . . . . . . . . . . . . . . . . . . . 5.00 % Orange SA (MTN) 2014/2049 *. . . . . . . . . . . . . . . . . 5.25 % Orange SA 2014/2049 *. . . . . . . . . . . . . . . . . . . . . . 4.00 % Origin Energy Finance Ltd 2014/2074 *. . . . . . . . . . 1.00 % RTE Reseau de Transport d‘Electricite SA (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.00 % RTE Reseau de Transport d‘Electricite SA (MTN) 2016/2036. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.50 % RWE AG 2015/2075* . . . . . . . . . . . . . . . . . . . . . . . . 8.25 % Santos Finance Ltd (MTN) 2010/2070 *. . . . . . . . . . 4.625 % SES SA 2016/2049 *. . . . . . . . . . . . . . . . . . . . . . . . . 5.869 % Solvay Finance SA 2015/2049. . . . . . . . . . . . . . . . . . 1.00 % Southern Power Co. 2016/2022. . . . . . . . . . . . . . . . 2.375 % SSE Plc 2015/2049. . . . . . . . . . . . . . . . . . . . . . . . . . 3.00 % Suez Environnement Co. 2014/2049 *. . . . . . . . . . . 2.50 % Suez Environnement Co. 2015/2049 *. . . . . . . . . . . 7.625 % Telefonica Europe BV 2013/2049 *. . . . . . . . . . . . . . 5.875 % Telefonica Europe BV 2014/2049 *. . . . . . . . . . . . . . 5.00 % Telefonica Europe BV 2015/2049. . . . . . . . . . . . . . . 6.655 % TenneT Holding BV 2010/2049 * . . . . . . . . . . . . . . . 2.25 % Total SA (MTN) 2015/2049 *. . . . . . . . . . . . . . . . . . . 3.875 % TOTAL SA (MTN) 2016/2049 *. . . . . . . . . . . . . . . . . 1.00 % Total SA 2015/2049 *. . . . . . . . . . . . . . . . . . . . . . . . 3.00 % Vattenfall AB 2015/2077 * . . . . . . . . . . . . . . . . . . . . 3.875 % Volkswagen International Finance NV 2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.75 % Volkswagen International Finance NV 2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.50 % Volkswagen International Finance NV 2015/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.50 % Volkswagen International Finance NV 2015/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
92
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
EUR EUR EUR EUR EUR EUR
200 200 300 655 600 150 900 1 000 500 400 400 196 1 500 780
Total market value in EUR
43 082 098.61
000 200 000 000 200 000 000 300 000 000 355 000 500 000 000 000 740 000 590 000 000 400 000 200 000 000 300 000 000 200 000 000 000 000 000 800 000 300 000 000 200 000
% % % % % % % % % % % % % %
101.983 104.312 105 112.447 105.319 115.739 103.814 95.279 92.867 98.576 107.549 105.244 93.191 102.533
210 000 210 000 500 000 200 000 100 000 300 000 200 000 500 000 500 000 600 000 600 000 900 000 700 000 700 000
% % % % % %
102.209 109.66 98.359 99.367 94.784 94.253
EUR
200 000
%
EUR EUR EUR EUR EUR EUR EUR EUR
1 100 000 600 000 1 500 000 400 000 300 000 800 000 400 000 900 000 200 000 400 000 1 000 000 900 000 400 000 400 000 200 000 200 000 200 000
% % % % % % % %
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
400 000 400 000 700 000 200 000 215 000 615 000 400 000 300 000 400 000 1 000 000 400 000 130 000 130 000 500 000 800 000 800 000 300 000 500 000 500 000 600 000 300 000 100 000 300 000 200 000
EUR
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
EUR
EUR
91.12
966.00 624.00 000.00 527.85 914.00 608.50 326.00 790.00 335.00 304.00 196.00 278.24 865.00 757.40
0.43 0.44 0.67 1.56 1.34 0.37 1.98 2.01 0.98 0.83 0.91 0.44 2.96 1.69
214 638.90 548 300.00 295 077.00 496 835.00 568 704.00 659 771.00
0.45 1.16 0.62 1.05 1.20 1.40
104.148
208 296.00
0.44
96.725 99.561 105.477 89.421 105.715 102.88 103.304 105.761
1 063 975.00 1 493 415.00 843 816.00 804 789.00 1 057 150.00 411 520.00 206 608.00 211 522.00
2.25 3.16 1.78 1.70 2.24 0.87 0.44 0.45
% % % % % % % % % % % % %
102.545 106.921 110.45 106.715 101.782 102.542 100.604 106.411 108.076 103.543 104.313 107.423 87.408
410 180.00 748 447.00 237 467.50 320 145.00 407 128.00 1 025 420.00 130 785.20 532 055.00 864 608.00 517 715.00 625 878.00 107 423.00 262 224.00
0.87 1.58 0.50 0.68 0.86 2.17 0.28 1.13 1.83 1.09 1.32 0.23 0.55
100 000
%
101.553
101 553.00
0.21
100 000 100 000 500 000 800 000 300 000 700 000 950 000 950 000 1 085 000 300 000 230 000 230 000 600 000 100 000 600 000 300 000 400 000 200 000 200 000 200 000 400 000 300 000 300 000 900 000 500 000 400 000 930 000 930 000 800 000 900 000 700 000 300 000
% % % % % % % % % % % % % % % % %
108.376 78.123 101.751 99.451 104.464 101.022 93.888 103.469 100.919 111.182 102.335 101.095 104.827 96.849 103.907 92.969 82.177
108 376.00 390 615.00 814 008.00 944 784.50 1 133 434.40 232 350.60 563 328.00 103 469.00 605 514.00 444 728.00 204 670.00 404 380.00 314 481.00 871 641.00 966 335.10 743 752.00 739 593.00
0.23 0.83 1.72 2.00 2.40 0.49 1.19 0.22 1.28 0.94 0.43 0.86 0.67 1.84 2.04 1.57 1.56
200 000
%
102.792
205 584.00
0.43
300 000
%
101.905
305 715.00
0.65
EUR
500 000
300 000
%
95.126
475 630.00
1.01
EUR
600 000
%
90.351
542 106.00
1.15
100 000
203 208 315 736 631 173 934 952 464 394 430 206 1 397 799
% of net assets
Deutsche Invest I Corporate Hybrid Bonds Description
4.625 % Volkswagen International Finance NV -Reg- 2014/2049 *. . . . . . . . . . . . . . . . . . . . . . . . . . 4.20 % Volvo Treasury AB 2014/2075. . . . . . . . . . . . . . . . . . 4.85 % Volvo Treasury AB 2014/2078 *. . . . . . . . . . . . . . . . 4.625 % Vonovia Finance BV 2014/2074. . . . . . . . . . . . . . . . . 4.00 % Vonovia Finance BV 2015/2049. . . . . . . . . . . . . . . . . 6.375 % America Movil SAB de CV 2013/2073 * . . . . . . . . . 5.25 % Centrica Plc 2015/2075 * . . . . . . . . . . . . . . . . . . . . . 7.75 % Enel SpA 2013/2075. . . . . . . . . . . . . . . . . . . . . . . . . 6.625 % Enel SpA 2014/2076 *. . . . . . . . . . . . . . . . . . . . . . . . 6.875 % Koninklijke KPN NV (MTN) 2013/2073 *. . . . . . . . . . 5.625 % NGG Finance Plc 2013/2073 * . . . . . . . . . . . . . . . . . 5.875 % Orange SA 2014/2049 *. . . . . . . . . . . . . . . . . . . . . . 7.00 % RWE AG 2015/2049 . . . . . . . . . . . . . . . . . . . . . . . . . 4.85 % Veolia Environnement SA 2015/2049. . . . . . . . . . . . 6.50 % BG Energy Capital PLC 2012/2072*. . . . . . . . . . . . . 5.25 % Electricite de France SA 2013/2049 *. . . . . . . . . . . . 8.75 % Enel SpA 144A 2013/2073 *. . . . . . . . . . . . . . . . . . . 6.00 % Hutchison Whampoa International 12 Ltd -Reg2012/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.00 % RWE AG 2012/2072 *. . . . . . . . . . . . . . . . . . . . . . . . 5.625 % SSE Plc 2012/2049 *. . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
EUR EUR EUR EUR EUR GBP GBP GBP GBP GBP GBP GBP GBP GBP USD USD USD
600 000 600 000 100 000 300 000 1 200 000 500 000 1 100 000 900 000 400 000 200 000 500 000 300 000 100 000 100 000 100 000 200 000 200 000 330 000 200 000 100 000 300 000 300 000 1 000 000 1 000 000 800 000
% % % % % % % % % % % % % % % % %
103.016 100.572 100.494 104.214 101.64 104.751 94.586 106.626 102.385 103.788 105.005 102.637 98.398 102.313 104.65 95.835 114.454
618 096.00 100 572.00 301 482.00 1 250 568.00 1 118 040.00 253 225.04 571 630.43 128 878.83 123 752.74 125 448.54 253 839.06 409 389.18 237 867.30 123 665.71 282 418.12 862 097.16 823 669.58
1.31 0.21 0.64 2.64 2.36 0.54 1.21 0.27 0.26 0.27 0.53 0.87 0.50 0.26 0.60 1.82 1.74
USD USD USD
400 000 150 000 800 000 700 000 300 000
% % %
103.482 101.898 102.935
372 354.73 137 495.66 648 176.34
0.79 0.29 1.37
Securities admitted to or included in organized markets 2 704 167.80 Interest-bearing securities 1.00 % Bhp Billiton Finance Ltd 2015/2079 . . . . . . . . . . . . . EUR 683 000 400 000 % 106.277 725 871.91 1.00 % OMV AG 2015/2049. . . . . . . . . . . . . . . . . . . . . . . . . EUR 690 000 400 000 % 105.336 726 818.40 1.00 % Repsol International Finance 2015/2049. . . . . . . . . . EUR 200 000 200 000 200 000 % 91.543 183 086.00 1.00 % BHP Billiton Finance Ltd 2015/2077 . . . . . . . . . . . . GBP 315 000 % 103.342 393 464.81 6.25 % BHP Billiton Finance USA Ltd 2015/2075. . . . . . . . . USD 300 000 200 000 % 105.978 286 001.98 5.75 % Dominion Resources, Inc. 2014/2054 *. . . . . . . . . . USD 200 000 % 99.612 179 213.84 5.625 % Transcanada Trust 2015/2075 * . . . . . . . . . . . . . . . . USD 250 000 % 93.25 209 710.86 Total securities portfolio 45 786 266.41 Derivatives (Minus signs denote short positions) Interest rate derivatives -79 013.86 Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . . Count -10 -10 -37 700.00 UK Treasury Notes 09/2016 (IFLL) . . . . . . . . . . . . . . . . . . . . . . Count -6 -6 -41 313.86 Currency derivatives 44 242.23 Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 2.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134 424.75 EUR/USD 4.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -103 441.86 Closed positions EUR/GBP 1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -36 363.35 Currency futures (long) Open positions CHF/EUR 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 803.37 USD/EUR 3.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46 819.32 Cash at bank 941 164.20
5.72
1.54 1.54 0.39 0.83 0.60 0.38 0.44 96.83
-0.17
-0.08 -0.09 0.09
0.28 -0.22 -0.08
0.01 0.10 1.99
93
Deutsche Invest I Corporate Hybrid Bonds Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 420 033.46 0.89 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 85 417 103 243.17 0.22 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 464 545 417 887.57 0.88 Other assets 769 075.52 1.63 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 723 186.73 1.53 Receivables from exceeding the expense cap. . . . . . . . . . . . . 45 888.79 0.10 Total assets ** 47 680 553.57 100.84 Other liabilities -175 682.74 -0.37 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -46 007.74 -0.10 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -129 675.00 -0.27 Total liabilities -394 501.81 -0.84 Net assets 47 286 051.76 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF Class CHF LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Class XD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD Number of shares outstanding Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class CHF LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class XD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Presentation of the maximum limit (according to CSSF circular 11/512) 4.0% of portfolio value (January 1, 2016 - March 30, 2016)
Net asset value per share in the respective currency
103.75 103.54 101.93 101.59 100.02 104.63 103.68 104.88 104.64 5 625 210 394 663 888 700 10 000 19 750 34 288 113
Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 2.704 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 3.333 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 2.945
94
Presentation of the maximum limit (according to CSSF circular 11/512) 8.0% of portfolio value (March 31, 2016 - June 30, 2016) Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 2.551 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 3.598 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 3.104 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.3, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 11 228 830.03 as of the reporting date.
Deutsche Invest I Corporate Hybrid Bonds Market abbreviations Futures exchanges EUR = Eurex IFLL = ICE Futures Europe - Financial Products Division Contracting parties for currency futures Deutsche Bank AG Frankfurt, Morgan Stanley and Co. International PLC and State Street Bank and Trust Company Exchange rates (indirect quotes) British pound . . . . . . . . . . . . . . . . . . . GBP U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD
As of: June 30, 2016
0.827335 = EUR 1.111650 = EUR
1 1
Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Floating interest rate. ** Does not include positions with a negative balance, if such exist.
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Interest-bearing securities 1.50 % America Movil SAB de CV 2016/2024. . . . . . . . . . . . . . . . . . . . . . 1.25 % A mgen, Inc. 2016/2022. . . . . . . . . . . . 2.75 % Anglo American Capital PLC 2012/2019. . . . . . . . . . . . . . . . . . . . . . 0.875 % Anheuser-Busch InBev SA/NV (MTN) 2016/2022. . . . . . . . . . . . . . . . . . . . . . 1.50 % A nheuser-Busch InBev SA/NV (MTN) 2016/2025. . . . . . . . . . . . . . . . . . . . . . 1.00 % Covestro AG (MTN) 2016/2021. . . . . . 1.75 % C ovestro AG 2016/2024. . . . . . . . . . . 1.875 % CRH Funding BV 2015/2024. . . . . . . . 1.50 % Deutsche Telekom International Finance BV (MTN) 2016/2028. . . . . . . 6.50 % E nel SpA 2013/2074 * . . . . . . . . . . . . 0.50 % F edEx Corp. 2016/2020 . . . . . . . . . . . 1.00 % FedEx Corp. 2016/2023 . . . . . . . . . . . 1.625 % F edEx Corp. 2016/2027 . . . . . . . . . . . 5.50 % GE Capital Trust II 2010/2067 * . . . . . 5.50 % G eneral Electric Capital Corp 2007/2067. . . . . . . . . . . . . . . . . . . . . . 0.65 % H oneywell International, Inc. 2016/2020. . . . . . . . . . . . . . . . . . . . . . 1.30 % Honeywell International, Inc. 2016/2023. . . . . . . . . . . . . . . . . . . . . . 1.50 % Kinder Morgan, Inc. 2015/2022. . . . . . 2.25 % Kraft Heinz Foods Co. 2016/2028. . . . 3.75 % Petroleos Mexicanos (MTN) 2016/2019. . . . . . . . . . . . . . . . . . . . . . 2.75 % RWE AG 2015/2075. . . . . . . . . . . . . . 6.375 % Solvay Finance SA 2006/2104. . . . . . . 4.00 % TeliaSonera AB (MTN) 2011/2022. . . . 4.00 % TeliaSonera AB 2015/2022. . . . . . . . . 1.625 % Vonovia Finance BV 2015/2020 . . . . . 2.75 % Z F North America Capital, Inc. 2015/2023. . . . . . . . . . . . . . . . . . . . . . 6.00 % E lectricite de France SA (MTN) 2013/2049 * . . . . . . . . . . . . . . . . . . . . 5.875 % E lectricite de France SA (MTN) 2014/2049 * . . . . . . . . . . . . . . . . . . . .
EUR EUR
270 000 270 000
270 000 270 000
EUR
400 000
EUR
310 000
310 000
EUR 270 000 EUR 150 000 EUR 110 000 EUR
270 150 110 150
000 000 000 000
EUR 100 000 EUR EUR 150 000 EUR 100 000 EUR 210 000 EUR
100 700 150 100 210 400
000 000 000 000 000 000
EUR
200 000
EUR
160 000
160 000
EUR 100 000 EUR EUR 300 000
100 000 400 000 300 000
EUR 120 000 EUR EUR EUR 300 000 EUR EUR
120 400 200 300 300 500
EUR
100 000
GBP
500 000
GBP
300 000
000 000 000 000 000 000
6.50 % G eneral Electric Capital Corp 2007/2067. . . . . . . . . . . . . . . . . . . . . . GBP 400 000 5.75 % Orange SA (MTN) 2014/2049 * . . . . . GBP 200 000 6.125 % S iemens Financieringsmaatschappij NV 2006/2066. . . . . . . . . . . . . . . . . . . GBP 292 000 5.375 % C olombia Telecomunicacio 2015/2049. . . . . . . . . . . . . . . . . . . . . . USD 300 000 Securities admitted to or included in organized markets Interest-bearing securities 1.00 % E nergias de Portugal SA 2015/2075. . . . . . . . . . . . . . . . . . . . . . EUR 400 000 1.00 % R epsol International Finance 2015/2075. . . . . . . . . . . . . . . . . . . . . . EUR 200 000 Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000) Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Notes 10 year, UK Treasury Notes) EUR 8 431 Currency futures (short) Futures contracts to sell currencies EUR/CHF EUR 1 747 EUR/GBP EUR 9 371 EUR/USD EUR 18 704 Currency futures (long) Futures contracts to purchase currencies CHF/EUR EUR 1 726 GBP/EUR EUR 9 071 USD/EUR EUR 18 522
95
Deutsche Invest I CROCI Flexible Allocation Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Securities traded on an exchange Equities Barratt Developments Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . easyJet Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Persimmon Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Gilead Sciences, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count Count Count Count
3 128 736 909 1 139
3 128 736 909 633 1 269 130
GBP GBP GBP USD
Total market value in EUR
123 699.94 3.969 10.6 14.11 81.75
15 9 15 83
% of net assets
3.12
006.05 429.79 502.77 761.33
0.38 0.24 0.39 2.11
Investment fund units In-group fund units Deutsche Global Liquidity Series Plc Managed Euro Fund -Z- EUR - (0.000%). . . . . . . . . . . . . . . . . . Units 39 19 8 EUR 9 985.794
384 662.77
9.69
384 662.77
9.69
Total securities portfolio
508 362.71
12.81
Derivatives (Minus signs denote short positions) Currency derivatives 125.38 Receivables/payables Currency futures Currency futures (short) EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.62 EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2.24 EUR/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.21 USD/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.67 USD/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.62
0.00 0.00 0.00 0.00 0.00
Open positions EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
0.00 0.00 0.00 0.00
6.99 -4.44 8.62 -2.84
0.00
Currency futures (long) Open positions USD/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114.83 0.00 Cash at bank 3 444 731.32 86.78 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 271 803.24 6.85 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 7 682 9 285.75 0.23 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 4 313 879 37 754.64 0.95 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 89 919 80 887.69 2.04 Time deposits USD deposits (DZ Privatbank S.A. 0.01% 22/07/2016).. . . . . . EUR 550 000 550 000.00 13.85 USD deposits (Landesbank Baden Wurttemberg 0.01% 01/07/2016).. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 450 000 450 000.00 11.34 USD deposits (Bayerische Landesbank 0.01% 01/07/2016).. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 500 000.00 12.60 USD deposits (Norddeutsche Landesbank 0.01% 06/07/2016).. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 250 000 250 000.00 6.30 USD deposits (Norddeutsche Landesbank 0.01% 15/07/2016).. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 375 000 375 000.00 9.45 USD deposits (Unicredit Bank 0.01% 22/07/2016). . . . . . . . . . EUR 375 000 375 000.00 9.45 USD deposits (Dekabank 0.01% 13/07/2016).. . . . . . . . . . . . . EUR 545 000 545 000.00 13.72 Other assets 16 369.65 0.41 Receivables from exceeding the expense cap. . . . . . . . . . . . . 15 127.41 0.38 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 242.24 0.03 Total assets * 3 969 600.41 100.00 Total liabilities -11.35 0.00 Net assets 3 969 589.06 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
96
Deutsche Invest I CROCI Flexible Allocation Net asset value per share and number of shares outstanding
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class LCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ currency
Net asset value per share in the respective currency
EUR EUR EUR EUR EUR USD USD
Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class LCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Presentation of the maximum limit (according to CSSF circular 11/512) 14.14% of portfolio value
99.01 98.64 99.22 98.24 98.97 102.17 99.85 29 400 100 100 100 10 201 107 107
Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure % 0.615 Highest market risk exposure % 1.186 Average market risk exposure % 0.908 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. 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 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnote * Does not include positions with a negative balance, if such exist.
97
Deutsche Invest I CROCI Flexible Allocation 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
Futures contracts
Securities traded on an exchange Equities Bridgestone Corp.. . . . . . . . . . . . . . . . . . . . . . . . . Cisco Systems, Inc.. . . . . . . . . . . . . . . . . . . . . . . . Cummins, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Garmin Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . International Business Machines Corp.. . . . . . . . . Johnson & Johnson. . . . . . . . . . . . . . . . . . . . . . . . QUALCOMM, Inc.. . . . . . . . . . . . . . . . . . . . . . . . .
Count Count Count Count Count Count Count
100 2 134 59 377 110
800 2 134 219 437 377 698 1 159
Value (’000)
Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR EUR/JPY EUR EUR/USD EUR USD/GBP EUR USD/JPY EUR Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR JPY/EUR EUR USD/EUR EUR USD/GBP EUR USD/JPY EUR
98
options
2 2 61 2 2
2 2 56 2 1
Deutsche Invest I CROCI Sectors Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Securities traded on an exchange Interest-bearing securities Adecco SA -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Ryanair Holdings Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Bridgestone Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Central Japan Railway Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Denso Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Isuzu Motors Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Kyocera Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Mitsubishi Electric Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Murata Manufacturing Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . SMC Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Sumitomo Electric Industries Ltd. . . . . . . . . . . . . . . . . . . . . . . Suzuki Motor Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Tokyo Electron Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Toyota Motor Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Telefonaktiebolaget LM Ericsson -B- . . . . . . . . . . . . . . . . . . . . Apple, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Applied Materials, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BorgWarner, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Cisco Systems, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Cummins, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Delta Air Lines, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Eaton Corp., Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Fluor Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Garmin Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Goodyear Tire & Rubber Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . Intel Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . International Business Machines Corp.. . . . . . . . . . . . . . . . . . . Michael Kors Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . QUALCOMM, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Southwest Airlines Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
3 13 6 1 6 17 4 17 1
559 3 559 990 13 990 400 6 400 200 100 000 6 000 300 17 300 400 4 400 000 2 000 3 000 900 1 900 800 900 100 15 500 15 500 8 200 8 200 2 800 2 800 4 000 4 000 26 993 5 613 2 238 432 8 986 1 913 6 451 6 451 7 467 1 930 359 5 597 5 597 3 351 575 4 182 323 339 5 054 5 054 7 874 7 874 6 612 975 1 440 4 265 4 265 4 139 5 297 5 297
CHF EUR JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY SEK USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
48.89 11.455 3 269 18 125 3 577 1 248.5 4 842 1 208 11 380 24 905 1 340.5 2 753.5 8 575 5 052 64.15 94.48 23.6 28.79 28.21 109.72 35.94 58.195 48.3 41.23 25.46 32.16 148.85 48.43 52.66 38.71
Total market value in EUR
% of net assets
5 535 290.02
99.59
160 578.30 160 255.45 183 103.74 190 353.82 187 833.27 189 032.72 186 457.47 179 729.01 189 233.57 174 372.85 181 844.78 197 606.52 210 133.11 176 858.39 183 569.23 190 209.43 190 770.18 167 070.89 189 487.82 190 491.31 180 952.86 175 425.28 181 703.47 187 447.93 180 337.43 191 285.02 192 816.15 185 808.50 196 068.74 184 452.78
2.89 2.88 3.29 3.43 3.38 3.40 3.36 3.23 3.40 3.14 3.27 3.56 3.78 3.18 3.30 3.42 3.43 3.01 3.41 3.43 3.26 3.16 3.27 3.37 3.24 3.44 3.47 3.34 3.53 3.32
Total securities portfolio 5 535 290.02 99.59 Cash at bank 5 475.41 0.10 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 786.80 0.03 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 261 315.85 0.01 Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 2 338 314.19 0.01 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 2 470 261.83 0.00 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 222 174 1 944.44 0.03 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 353 325.88 0.01 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 585 526.42 0.01 Other assets 24 304.25 0.43 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 264.39 0.18 Receivables from exceeding the expense cap. . . . . . . . . . . . . 12 254.42 0.22 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 785.44 0.03 Total assets 5 565 069.68 100.12 Other liabilities -6 729.66 -0.12 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -6 729.66 -0.12 Total liabilities -6 729.66 -0.12 Net assets 5 558 340.02 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ currency
EUR EUR EUR EUR
Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count
Net asset value per share in the respective currency
94.43 94.03 93.49 94.66 32 200 199 100 26 300
99
Deutsche Invest I CROCI Sectors Presentation of the maximum limit (according to CSSF circular 11/512) 14.14% of portfolio value Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 9.788 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 11.653 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 10.704 The values-at-risk were calculated for the period from November 18, 2015, through December 31, 2015, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Exchange rates (indirect quotes) As of: June 30, 2016 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 Danish krone. . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Equities AES Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AP Moeller - Maersk A/S. . . . . . . . . . . . . . . . . . . . Centrica Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CRH Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E.ON AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Eastman Chemical Co. . . . . . . . . . . . . . . . . . . . . . Emerson Electric Co.. . . . . . . . . . . . . . . . . . . . . . . Exelon Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GDF Suez . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Johnson Matthey Plc. . . . . . . . . . . . . . . . . . . . . . . Koninklijke DSM NV . . . . . . . . . . . . . . . . . . . . . . . LyondellBasell Industries NV. . . . . . . . . . . . . . . . . Micron Technology, Inc. . . . . . . . . . . . . . . . . . . . . Mitsubishi Chemical Holdings Corp.. . . . . . . . . . . Monsanto Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . .
100
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
7 535 2 868 5 692 3 893 2 387 5 708 38 500 2 276
20 907 149 61 955 7 535 21 474 2 868 4 374 7 400 11 159 5 692 3 893 2 387 19 454 38 500 2 276
Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . National Grid Plc . . . . . . . . . . . . . . . . . . . . . . . . . . Nitto Denko Corp.. . . . . . . . . . . . . . . . . . . . . . . . . Osaka Gas Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . PACCAR, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Parker Hannifin Corp. . . . . . . . . . . . . . . . . . . . . . . Rolls-Royce Holdings Plc. . . . . . . . . . . . . . . . . . . . Seagate Technology Plc . . . . . . . . . . . . . . . . . . . . Sempra Energy. . . . . . . . . . . . . . . . . . . . . . . . . . . SSE Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Sumitomo Metal Mining Co., Ltd. . . . . . . . . . . . . Tokyo Gas Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . Western Digital Corp. . . . . . . . . . . . . . . . . . . . . . .
Count Count Count Count Count Count Count Count Count Count Count Count Count
7 079 3 300 19 000 1 283
7 14 3 56 4 2 23 5 2 8 19 42 4
079 451 300 000 331 067 064 900 013 918 000 000 597
Securities admitted to or included in organized markets Equities Rolls-Royce Holdings Plc. . . . . . . . . . . . . . . . . . . .
Count 1 477 155
1 477 155
Deutsche Invest I Emerging Markets Corporates Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
Securities traded on an exchange 318 031 652.97 Interest-bearing securities 3.50 % Votorantim Cimentos SA -Reg- 2015/2022. . . . . . . . EUR 1 200 000 1 200 000 % 87.172 1 162 856.67 7.25 % 361 Degrees International Ltd 2016/2021 . . . . . . . . USD 1 000 000 2 000 000 1 000 000 % 103.828 1 038 280.00 5.95 % ABJA Investment Co. Pte Ltd 2014/2024. . . . . . . . . USD 1 100 000 500 000 200 000 % 95.014 1 045 154.00 6.50 % Abu Dhabi National Energy Co. -Reg- 2006/2036 . . USD 600 000 200 000 400 000 % 128.224 769 344.00 4.375 % Abu Dhabi National Energy Co. PJSC -Reg2016/2026 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 718 000 718 000 % 106.376 763 779.68 4.50 % ADCB Finance Cayman Ltd (MTN) 2013/2023. . . . . USD 1 000 000 % 104.008 1 040 080.00 4.00 % African Export-Import Bank (MTN) 2016/2021**. . . USD 1 250 000 1 850 000 600 000 % 100.58 1 257 250.00 9.00 % Agile Property Holdings Ltd 2015/2020** . . . . . . . . USD 700 000 200 000 300 000 % 111.069 777 483.00 4.50 % AIA Group Ltd (MTN) 2016/2046 . . . . . . . . . . . . . . . USD 540 000 540 000 % 109.29 590 166.00 3.20 % AIA Group Ltd 2015/2025. . . . . . . . . . . . . . . . . . . . . USD 800 000 200 000 % 102.956 823 648.00 5.00 % Akbank TAS 2012/2022. . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 102.675 410 700.00 5.125 % Akbank TAS 2015/2025**. . . . . . . . . . . . . . . . . . . . . USD 700 000 300 000 % 100.944 706 608.00 6.95 % Alam Synergy Pte Ltd -Reg- 2013/2020. . . . . . . . . . USD 1 300 000 1 300 000 % 98.367 1 278 771.00 7.75 % Alfa Bank 2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 % 113.927 797 489.00 7.75 % ALFA Bank 2014/2021 . . . . . . . . . . . . . . . . . . . . . . . USD 550 000 750 000 200 000 % 113.927 626 598.50 2.50 % Alibaba Group Holding Ltd 2015/2019 . . . . . . . . . . . USD 2 000 000 500 000 % 101.277 2 025 540.00 3.60 % Alibaba Group Holding Ltd 2015/2024 . . . . . . . . . . . USD 2 200 000 2 100 000 1 650 000 % 102.916 2 264 152.00 4.97 % Alpha Star Holding Ltd -Reg- 2014/2019. . . . . . . . . . USD 1 200 000 1 200 000 % 94.604 1 135 248.00 7.75 % ALROSA Finance SA -Reg- 2010/2020. . . . . . . . . . . USD 1 000 000 500 000 % 114.196 1 141 960.00 6.50 % Altice Financing SA 2013/2022**. . . . . . . . . . . . . . . USD 1 750 000 % 100.375 1 756 562.50 6.625 % Altice Financing SA 2015/2023. . . . . . . . . . . . . . . . . USD 1 500 000 800 000 1 300 000 % 97.875 1 468 125.00 5.00 % America Movil SAB de CV 2010/2020 . . . . . . . . . . . USD 1 650 000 1 950 000 1 800 000 % 110.658 1 825 857.00 3.125 % America Movil SAB de CV 2012/2022 . . . . . . . . . . . USD 1 000 000 1 000 000 % 102.721 1 027 210.00 4.375 % America Movil SAB de CV 2012/2042 . . . . . . . . . . . USD 1 000 000 1 000 000 % 101.425 1 014 250.00 5.375 % AngloGold Ashanti Holdings Plc 2010/2020. . . . . . . USD 600 000 600 000 % 104.51 627 060.00 5.125 % AngloGold Ashanti Holdings Plc 2012/2022. . . . . . . USD 1 250 000 1 250 000 % 102.234 1 277 925.00 8.50 % AngloGold Ashanti Holdings Plc 2013/2020. . . . . . . USD 400 000 300 000 % 106.875 427 500.00 5.00 % Arcelik AS 2013/2023**. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 700 000 700 000 % 99.215 992 150.00 7.625 % Argentine Republic Government International Bond -Reg- 2016/2046 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 418 000 568 000 150 000 % 108.411 453 157.98 2.625 % Azure Orbit III International Finance Ltd 2016/2021. USD 700 000 1 670 000 970 000 % 101.35 709 450.00 7.375 % B Communications Ltd 144A 2014/2021 . . . . . . . . . USD 2 300 000 2 300 000 % 107.344 2 468 912.00 4.125 % Baidu, Inc. 2015/2025. . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 500 000 % 105.598 1 055 980.00 4.00 % Banco BTG Pactual SA/Cayman Islands -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 600 000 1 400 000 % 86.514 1 384 224.00 6.25 % Banco de Bogota SA -Reg- 2016/2026. . . . . . . . . . . USD 1 400 000 2 500 000 1 100 000 % 101.899 1 426 586.00 6.25 % Banco do Brasil SA -Reg- 2013/2049 * ** . . . . . . . . USD 2 100 000 900 000 1 300 000 % 61.319 1 287 699.00 4.125 % Banco Inbursa SA Institucion de Banca Multiple -Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 1 200 000 700 000 % 100.247 501 235.00 4.125 % Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 2012/2022. . . . . USD 700 000 700 000 % 103.446 724 122.00 6.125 % Bancolombia SA 2010/2020 . . . . . . . . . . . . . . . . . . . USD 500 000 % 107.322 536 610.00 5.95 % Bancolombia SA 2011/2021 . . . . . . . . . . . . . . . . . . . USD 1 000 000 500 000 1 500 000 % 109.304 1 093 040.00 5.125 % Bancolombia SA 2012/2022 . . . . . . . . . . . . . . . . . . . USD 400 000 850 000 950 000 % 102.409 409 636.00 5.00 % Bank of China Ltd -Reg- 2014/2024 . . . . . . . . . . . . . USD 2 000 000 1 250 000 1 250 000 % 106.926 2 138 520.00 4.50 % Bank of Communications Co., Ltd 2014/2024 *. . . . USD 650 000 200 000 800 000 % 103.451 672 431.50 6.125 % Bank of East Asia Ltd/The 2010/2020**. . . . . . . . . . USD 700 000 700 000 % 113.05 791 350.00 3.125 % Bank of India/Jersey 2015/2020. . . . . . . . . . . . . . . . USD 500 000 500 000 % 99.301 496 505.00 4.25 % Batelco International Finance No 1 Ltd 2013/2020. . USD 500 000 % 98.605 493 025.00 6.75 % BBVA Bancomer SA/Texas -Reg- 2012/2022. . . . . . USD 1 250 000 1 300 000 3 250 000 % 111.573 1 394 662.50 4.00 % Bharat Petroleum Corp., Ltd 2015/2025. . . . . . . . . . USD 1 000 000 500 000 % 102.399 1 023 990.00 5.125 % Bharti Airtel International Netherlands BV 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 900 000 1 800 000 900 000 % 108.539 2 062 241.00 4.375 % Bharti Airtel Ltd. 2015/2025 . . . . . . . . . . . . . . . . . . . USD 700 000 400 000 1 200 000 % 104.562 731 934.00 7.25 % Biostime International Holdings Ltd -Reg2016/2021**. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 250 000 1 250 000 % 103.593 1 294 912.50 4.875 % Black Sea Trade & Development Bank (MTN) -Reg- 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 2 410 000 1 810 000 % 104.727 628 362.00 3.875 % BOC Aviation Pte Ltd (MTN) -Reg- 2016/2026. . . . . USD 430 000 430 000 % 103.211 443 807.30 4.375 % BOC Aviation Pte Ltd 2013/2023 . . . . . . . . . . . . . . . USD 500 000 700 000 950 000 % 106.957 534 785.00 3.00 % BOC Aviation Pte Ltd 2015/2020 . . . . . . . . . . . . . . . USD 400 000 400 000 % 102.273 409 092.00 6.45 % Braskem Finance Ltd 2014/2024 . . . . . . . . . . . . . . . USD 1 300 000 1 300 000 % 100.945 1 312 285.00 5.375 % Braskem Finance Ltd -Reg- 2012/2022. . . . . . . . . . . USD 570 000 500 000 % 98.637 562 230.90 3.95 % BRF SA 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 200 000 % 97.262 680 834.00 7.25 % Burgan Tier 1 Financing Ltd 2014/2049 *. . . . . . . . . USD 800 000 600 000 800 000 % 98.48 787 840.00 7.25 % Caixa Economica Federal -Reg- 2014/2024 *. . . . . . USD 750 000 1 750 000 1 000 000 % 84.504 633 780.00 3.25 % CBQ Finance Ltd (MTN) 2016/2021. . . . . . . . . . . . . USD 1 400 000 2 000 000 600 000 % 102.444 1 434 216.00 2.75 % CCBL Cayman 1 Corp., Ltd (MTN) 2016/2021**. . . USD 600 000 800 000 200 000 % 100.051 600 306.00 9.375 % Cemex Finance LLC -Reg- 2012/2022 . . . . . . . . . . . USD 1 000 000 1 000 000 % 109.897 1 098 970.00 7.75 % Cemex SAB de CV 2016/2026 . . . . . . . . . . . . . . . . . USD 700 000 1 750 000 1 050 000 % 105.23 736 610.00 4.875 % Cencosud SA 2012/2023. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 102.654 1 026 540.00 8.75 % Central China Real Estate Ltd 2015/2021. . . . . . . . . USD 700 000 900 000 200 000 % 105.512 738 584.00 3.125 % China Cinda Finance 2015 I Ltd (MTN) -Reg2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 400 000 200 000 300 000 % 101.715 1 424 010.00 4.25 % China Cinda Finance 2015 I Ltd (MTN) -Reg2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 600 000 600 000 300 000 % 102.117 1 633 872.00 6.875 % China CITIC Bank International Ltd (MTN) 2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 496 000 200 000 % 113.114 561 045.44 6.00 % China CITIC Bank International Ltd 2013/2024 * . . . USD 1 000 000 200 000 1 000 000 % 105.87 1 058 700.00
% of net assets
84.63 0.31 0.28 0.28 0.20 0.20 0.28 0.33 0.21 0.16 0.22 0.11 0.19 0.34 0.21 0.17 0.54 0.60 0.30 0.30 0.47 0.39 0.49 0.27 0.27 0.17 0.34 0.11 0.26 0.12 0.19 0.66 0.28 0.37 0.38 0.34 0.13 0.19 0.14 0.29 0.11 0.57 0.18 0.21 0.13 0.13 0.37 0.27 0.55 0.19 0.34 0.17 0.12 0.14 0.11 0.35 0.15 0.18 0.21 0.17 0.38 0.16 0.29 0.20 0.27 0.20 0.38 0.43 0.15 0.28
101
Deutsche Invest I Emerging Markets Corporates Description
4.25 % China Construction Bank Asia Corp., Ltd (MTN) 2014/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.875 % China Construction Bank Corp. 2015/2025 * . . . . . . 4.00 % China Life Insurance Co. 2015/2075 * . . . . . . . . . . . 6.375 % China Overseas Finance Cayman III Ltd 2013/2043 3.85 % China Railway Resources Huitung Ltd 2013/2023. . 4.50 % China Resources Gas Group Ltd 2012/2022. . . . . . . 4.375 % China Resources Land Ltd 2014/2019 . . . . . . . . . . . 7.50 % China Shanshui Cement Group Ltd 2015/2020. . . . . 5.45 % China Taiping Insurance Holdings Co., Ltd 2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75 % CIFI Holdings Group Co., Ltd 2015/2020 . . . . . . . . . 5.75 % CIMPOR Financial Operations BV 2014/2024. . . . . . 3.70 % CITIC Ltd (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . . 6.80 % CITIC Pacific Ltd -Reg- 2012/2023 . . . . . . . . . . . . . . 3.00 % CNOOC Finance 2013 Ltd 2013/2023 . . . . . . . . . . . 3.50 % CNOOC Finance 2015 USA LLC 2015/2025. . . . . . . 4.25 % CNOOC Nexen Finance 2014 ULC 2014/2024. . . . . 2.75 % CNPC General Capital Ltd -Reg- 2014/2019. . . . . . . 3.875 % Coca-Cola Femsa SAB de CV 2013/2023. . . . . . . . . 5.375 % Colombia Telecomunicacio 2015/2049. . . . . . . . . . . 5.375 % Colombia Telecomunicaciones SA ESP -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.375 % Columbus International, Inc. -Reg- 2014/2021. . . . . 6.875 % Comcel Trust -Reg- 2014/2024. . . . . . . . . . . . . . . . . 6.75 % CorpGroup Banking SA 2013/2023. . . . . . . . . . . . . . 4.50 % COSL Singapore Capital Ltd 2015/2025. . . . . . . . . . 7.50 % Country Garden Holdings Co., Ltd 2015/2020** . . . 7.25 % Country Garden Holdings Co., Ltd -Reg- 2013/2021 3.95 % CRCC Yupeng Ltd 2014/2049 * . . . . . . . . . . . . . . . . 8.70 % Credit Bank of Moscow Via CBOM Finance Plc -Reg- 2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00 % Croatia Government International Bond 2013/2024. 3.60 % DIB Sukuk Ltd 2016/2021. . . . . . . . . . . . . . . . . . . . . 3.908 % DP World Crescent Ltd -Reg- 2016/2023. . . . . . . . . 6.85 % DP World Ltd (MTN) -Reg- 2007/2037 . . . . . . . . . . . 5.875 % Ecopetrol SA 2014/2045. . . . . . . . . . . . . . . . . . . . . . 5.375 % Ecopetrol SA 2015/2026. . . . . . . . . . . . . . . . . . . . . . 3.542 % EI Sukuk Co., Ltd 2016/2021 . . . . . . . . . . . . . . . . . . 8.625 % Eldorado Intl. Finance GmbH -Reg- 2016/2021. . . . . 5.05 % Embraer Netherlands Finance BV 2015/2025. . . . . . 3.25 % Emirates NBD PJSC (MTN) 2014/2019. . . . . . . . . . . 4.25 % Empresa Nacional de Electricidad SA 2014/2024. . . 4.75 % ENTEL Chile SA -Reg- 2014/2026. . . . . . . . . . . . . . . 6.25 % ESAL GmbH -Reg- 2013/2023. . . . . . . . . . . . . . . . . . 12.00 % Evergrande Real Estate Group Ltd 2015/2020. . . . . 8.75 % Evergrande Real Estate Group Ltd -Reg2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.75 % Evraz Group SA 2016/2022. . . . . . . . . . . . . . . . . . . . 6.50 % Evraz Group SA-Reg- 2013/2020**. . . . . . . . . . . . . . 5.25 % Fibria Overseas Finance Ltd 2014/2024. . . . . . . . . . 6.25 % Finansbank AS/Turkey -Reg- 2014/2019. . . . . . . . . . 2.625 % First Gulf Bank PJSC (MTN) 2015/2020. . . . . . . . . . 4.25 % FirstRand Bank Ltd (MTN) 2015/2020. . . . . . . . . . . . 4.375 % Fomento Economico Mexicano SAB de CV 2013/2043. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.75 % Franshion Brilliant Ltd 2014/2019. . . . . . . . . . . . . . . 5.50 % Fresnillo Plc 2013/2023. . . . . . . . . . . . . . . . . . . . . . . 10.25 % Future Land Development Holdings Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00 % Gazprom Neft OAO Via GPN Capital SA 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.95 % Gazprom OAO -Reg- 2012/2022 . . . . . . . . . . . . . . . 3.85 % Gazprom OAO Via Gaz Capital SA -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.96 % Gazprombank OJSC Via GPB Eurobond Finance Plc (MTN) -Reg- 2014/2019. . . . . . . . . . . . . . . . . . . . . . . 7.875 % Gazprombank OJSC Via GPB Eurobond Finance Plc 2012/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.25 % Golden Legacy Pte Ltd -Reg- 2016/2021 . . . . . . . . . 4.375 % GPN Capital SA 2012/2022 . . . . . . . . . . . . . . . . . . . 8.00 % Greenko Dutch BV -Reg- 2014/2019. . . . . . . . . . . . . 4.875 % Grupo Bimbo SAB de CV -Reg- 2014/2044. . . . . . . . 7.875 % Grupo Idesa SA de CV -Reg- 2013/2020. . . . . . . . . . 5.00 % Grupo Televisa SAB 2014/2045** . . . . . . . . . . . . . . 4.625 % Grupo Televisa SAB 2015/2026 . . . . . . . . . . . . . . . . 6.00 % GTB Finance BV 2013/2018 . . . . . . . . . . . . . . . . . . . 7.25 % GTH Finance BV -Reg- 2016/2023 . . . . . . . . . . . . . . 7.25 % GTH Finance BV -Reg- 2016/2023 . . . . . . . . . . . . . . 7.25 % GTL Trade Finance, Inc. -Reg- 2014/2044. . . . . . . . . 5.893 % GTLTradeFinance, Inc. 2015/2024 . . . . . . . . . . . . . . 3.50 % Haitong International Finance Holdings 2015 Ltd 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
102
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
% of net assets
USD USD USD USD USD USD USD USD
800 000 800 000 300 000 1 500 000 700 000 700 000 1 600 000 1 000 000 400 000 500 000 1 000 000 1 200 000 200 000 455 000 1 105 000 1 450 000 500 000 250 000 250 000 200 000
% % % % % % % %
102.655 101.507 100.289 120.179 104.856 109.044 105.732 77.351
821 240.00 1 522 605.00 1 604 624.00 600 895.00 1 048 560.00 496 150.20 528 660.00 154 702.00
0.22 0.40 0.43 0.16 0.28 0.13 0.14 0.04
USD USD USD USD USD USD USD USD USD USD USD
400 000 600 000 700 000 700 000 600 000 400 000 1 500 000 2 000 000 500 000 1 000 000 200 000 400 000 1 750 000 1 250 000 750 000 1 800 000 200 000 1 000 000 800 000 800 000 700 000 700 000 1 000 000 1 000 000 750 000 750 000
% % % % % % % % % % %
104.887 107.713 74.199 100.893 121.298 99.643 101.736 106.663 101.964 106.825 88.236
419 548.00 753 991.00 445 194.00 1 513 395.00 1 212 980.00 1 743 752.50 1 831 248.00 1 066 630.00 713 748.00 1 068 250.00 661 770.00
0.11 0.20 0.12 0.40 0.32 0.46 0.49 0.28 0.19 0.28 0.18
USD USD USD USD USD USD USD USD
700 2 000 400 1 500 700 500 2 200 1 550
000 700 000 000 1 400 000 650 000 000 300 000 000 600 000 600 000 000 700 000 000 1 500 000 000 2 200 000 000 200 000
% % % % % % % %
94.747 105.299 97.524 94.051 104.756 107.823 106.71 103.093
663 2 105 390 1 410 733 539 2 347 1 597
229.00 980.00 096.00 765.00 292.00 115.00 620.00 941.50
0.18 0.56 0.10 0.38 0.19 0.14 0.62 0.42
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1 200 000 1 200 000 500 000 500 000 700 000 1 600 000 900 000 1 200 000 3 000 000 1 800 000 600 000 1 400 000 1 600 000 2 600 000 2 250 000 1 350 000 2 100 000 1 000 000 600 000 1 000 000 400 000 4 000 000 4 000 000 400 000 1 000 000 1 950 000 500 000 750 000 250 000 600 000 600 000 900 000 900 000 800 000 1 500 000 1 800 000 400 000 600 000 1 000 000
% % % % % % % % % % % % % % %
103.517 109.316 102.108 100.626 110.108 86.392 96.912 101.667 96.641 98.795 102.833 105.918 99.542 98.627 105.547
1 242 204.00 546 580.00 714 756.00 1 207 512.00 660 648.00 1 382 272.00 1 308 312.00 610 002.00 3 865 640.00 395 180.00 514 165.00 635 508.00 895 878.00 789 016.00 422 188.00
0.33 0.15 0.19 0.32 0.18 0.37 0.35 0.16 1.03 0.11 0.14 0.17 0.24 0.21 0.11
USD USD USD USD USD USD USD
1 200 000 300 000 850 000 2 200 000 3 000 000 800 000 600 000 1 200 000 500 000 900 000 1 400 000 1 400 000 1 400 000 400 000 250 000 400 000 800 000
% % % % % % %
99.601 101.7 102.479 102.591 106.573 101.041 101.894
1 195 212.00 2 237 400.00 614 874.00 512 955.00 1 492 022.00 404 164.00 407 576.00
0.32 0.59 0.16 0.14 0.40 0.11 0.11
USD USD USD
1 000 000 1 000 000 1 200 000
1 000 000 300 000 800 000 2 600 000 2 100 000
% % %
104.618 107.62 107.659
1 046 180.00 1 076 200.00 1 291 908.00
0.28 0.29 0.34
USD
600 000
600 000
%
110.473
662 838.00
0.18
USD USD
800 000 450 000 600 000
900 000 1 050 000
% %
107.351 103.599
858 808.00 621 594.00
0.23 0.17
USD
900 000
300 000
%
101.084
909 756.00
0.24
USD
1 200 000
2 000 000
%
103.56
1 242 720.00
0.33
USD USD USD USD USD USD USD USD USD USD USD USD USD
700 000 1 000 000 300 000 2 000 000 3 000 000 1 000 000 1 600 000 200 000 800 000 1 200 000 1 200 000 700 000 300 000 700 000 1 500 000 1 400 000 500 000 400 000 400 000 500 000 2 000 000 2 000 000 500 000 500 000 300 000 300 000 800 000 800 000 800 000 1 000 000
% % % % % % % % % % % % %
97.762 102.175 99.049 107.992 100.275 101.458 95.366 107.301 98.806 104.419 104.419 84.084 88.09
684 334.00 2 043 500.00 1 584 784.00 863 936.00 1 203 300.00 304 374.00 1 430 490.00 429 204.00 1 976 120.00 522 095.00 313 257.00 672 672.00 704 720.00
0.18 0.54 0.42 0.23 0.32 0.08 0.38 0.11 0.53 0.14 0.08 0.18 0.19
%
102.013
816 104.00
0.22
USD
800 000
1 200 000
1 200 000
400 000
Deutsche Invest I Emerging Markets Corporates Description
7.25 % Halyk Savings Bank of Kazakhstan JSC -Reg2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.25 % Huarong Finance II Co., Ltd 2016/2021 . . . . . . . . . . 4.625 % Huarong Finance II Co., Ltd 2016/2026 . . . . . . . . . . 4.625 % Hutchison Whampoa International 11 Ltd -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.375 % ICICI Bank Ltd -Reg- 2007/2022 *. . . . . . . . . . . . . . . 4.25 % IDBI Bank Ltd/DIFC Dubai 2015/2020. . . . . . . . . . . . 5.75 % Indian Oil Corp., Ltd (MTN) 2013/2023. . . . . . . . . . . 4.875 % Industrial & Commercial Bank of China Ltd -Reg2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.50 % InRetail Shopping Malls -Reg- 2014/2021. . . . . . . . . 5.625 % International Bank of Azerbaijan OJSC 2014/2019. . 4.375 % IOI Investment L Bhd 2012/2022. . . . . . . . . . . . . . . 8.75 % IRSA Propiedades Comerciales SA 2016/2023**. . . 4.50 % Israel Chemicals Ltd 144A 2014/2024 . . . . . . . . . . . 6.875 % Israel Electric Corp., Ltd -Reg- 2013/2023 . . . . . . . . 5.125 % Itau Unibanco Holding SA 2012/2023. . . . . . . . . . . . 7.25 % JBS INVESTMENTS GmbH 2014/2024. . . . . . . . . . . 7.75 % JBS Investments GmbH -Reg- 2013/2020. . . . . . . . 4.375 % JGSH Philippines Ltd -Reg- 2013/2023. . . . . . . . . . . 4.75 % JSW Steel Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . 5.25 % Klabin Finance SA -Reg- 2014/2024 . . . . . . . . . . . . . 5.25 % KOC Holding AS 2016/2023 . . . . . . . . . . . . . . . . . . . 3.50 % Korea Gas Corp 2015/2025. . . . . . . . . . . . . . . . . . . . 3.00 % Korea Hydro & Nuclear Power Co., Ltd 2012/2012. 2.625 % Korea National Oil Corp. -Reg- 2016/2026 . . . . . . . . 5.20 % Krung Thai Bank PCL/Cayman Islands 2014/2024 * 5.00 % Kuwait Projects Co. 2016/2023. . . . . . . . . . . . . . . . . 8.975 % KWG Property Holding Ltd -Reg- 2014/2019 . . . . . . 4.70 % Lenovo Group Ltd -Reg- 2014/2019. . . . . . . . . . . . . 6.00 % Li & Fung Ltd -Reg- 2012/2049 *. . . . . . . . . . . . . . . 6.75 % Longfor Properties Co., Ltd 2013/2023. . . . . . . . . . . 4.563 % Lukoil International Finance BV 2013/2023**. . . . . . 6.125 % Lukoil International Finance BV -Reg- 2010/2020. . . 7.125 % MAF Global Securities Ltd 2013/2049 *. . . . . . . . . . 4.50 % MAF Sukuk Ltd 2015/2025. . . . . . . . . . . . . . . . . . . . 8.00 % Marfrig Holdings Europe BV -Reg- 2016/2023 . . . . . 9.75 % Marquee Land Pte Ltd -Reg- 2014/2019. . . . . . . . . . 2.75 % MDC-GMTN BV -Reg- 2016/2023. . . . . . . . . . . . . . . 5.625 % Metalloinvest Finance Ltd 2013/2020. . . . . . . . . . . . 5.875 % Mexichem SAB de CV 2014/2044 . . . . . . . . . . . . . . 8.25 % MHP SA 2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . 7.50 % MIE Holdings Corp. -Reg- 2014/2019. . . . . . . . . . . . 7.75 % Minerva Luxembourg SA -Reg- 2013/2023. . . . . . . . 8.75 % Minerva Luxembourg SA -Reg- 2014/2049 *. . . . . . 5.55 % MMC Norilsk Nickel OJSC via MMC Finance Ltd 2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.625 % MMC Norilsk Nickel OJSC via MMC Finance Ltd 2015/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.00 % Mobile Telesystems OJSC via MTS International Funding Ltd -Reg- 2013/2023**. . . . . . . . . . . . . . . . 6.25 % MOL Group Finance SA (MTN) 2012/2019. . . . . . . . 9.00 % Moon Wise Global Ltd. 2014/2049*. . . . . . . . . . . . . 4.755 % MTN Mauritius Investments Ltd -Reg- 2014/2024. . 5.50 % Myriad International Holdings BV 2015/2025. . . . . . 5.25 % National Bank of Abu Dhabi 2015/2049 *. . . . . . . . . 5.75 % NBK Tier 1 Financing Ltd 2015/2049 . . . . . . . . . . . . 3.625 % Noble Group Ltd 2013/2018. . . . . . . . . . . . . . . . . . . 6.75 % Noble Group Ltd -Reg- 2009/2020** . . . . . . . . . . . . 4.422 % Novatek Finance Ltd 2012/2022. . . . . . . . . . . . . . . . 6.604 % Novatek OAO via Novatek Finance Ltd -Reg2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.50 % Novolipetsk Steel via Steel Funding Ltd -Reg2016/2023**. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.25 % NTPC Ltd (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . 4.75 % NTPC Ltd 2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . 8.875 % OAS Financial Ltd -Reg- 2013/2049 * ** . . . . . . . . . 4.50 % OCP SA -Reg- 2015/2025**. . . . . . . . . . . . . . . . . . . 4.375 % Odebrecht Finance Ltd -Reg- 2013/2025 . . . . . . . . . 5.25 % Odebrecht Finance Ltd -Reg- 2014/2029 . . . . . . . . . 6.75 % Odebrecht Offshore Drilling Finance Ltd -Reg2013/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.00 % Odebrecht Oil & Gas Finance Ltd -Reg2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.75 % Oi SA -Reg- 2012/2022**. . . . . . . . . . . . . . . . . . . . . 5.375 % Oil India Ltd -Reg- 2014/2024. . . . . . . . . . . . . . . . . . 4.50 % Olam International Ltd (MTN) 2016/2021. . . . . . . . . 3.25 % ONGC Videsh Ltd -Reg- 2014/2019 . . . . . . . . . . . . . 4.625 % ONGC Videsh Ltd -Reg- 2014/2024 . . . . . . . . . . . . . 3.25 % Ooredoo International Finance Ltd 2015/2023. . . . . 3.75 % Ooredoo International Finance Ltd -Reg2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
USD USD USD
500 000 1 800 000 1 400 000
USD USD USD USD
700 800 450 1 100
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
Purchases/ Sales/ Market price additions disposals in the reporting period
1 100 000 2 000 000 1 800 000
Total market value in USD
% of net assets
600 000 200 000 400 000
% % %
106.058 100.706 103.606
530 290.00 1 812 708.00 1 450 484.00
0.14 0.48 0.39
000 700 000 000 1 400 000 000 400 000 2 450 000 000 1 000 000 1 400 000
% % % %
112.112 101.716 103.286 113.446
784 813 464 1 247
784.00 728.00 787.00 906.00
0.21 0.22 0.12 0.33
1 700 000 1 900 000 200 000 500 000 500 000 600 000 500 000 400 000 500 000 1 000 000 1 550 000 550 000 800 000 1 000 000 1 000 000 3 500 000 750 000 1 000 000 3 350 000 2 350 000 1 500 000 1 000 000 1 000 000 1 000 000 500 000 500 000 700 000 400 000 800 000 800 000 1 200 000 1 666 000 2 366 000 700 000 1 400 000 400 000 1 200 000 1 200 000 750 000 1 500 000 750 000 1 900 000 1 150 000 950 000 1 250 000 2 250 000 1 000 000 1 500 000 1 000 000 750 000 1 000 000 700 000 1 450 000 400 000 200 000 900 000 1 200 000 800 000 800 000 500 000 3 000 000 1 000 000 1 900 000 900 000 1 000 000 250 000 350 000 200 000 250 000 800 000 4 500 000 3 700 000 1 400 000 1 400 000 360 000 360 000 1 200 000 200 000 1 300 000 1 100 000 1 000 000 1 450 000 200 000 500 000 400 000 400 000 700 000 1 300 000 600 000 1 700 000 200 000 250 000
% % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % %
105.991 104.789 98.193 104.16 106.154 102.576 119.024 99.028 103.352 105.446 103.996 92.267 99.066 103.881 109.646 105.795 101.927 104.483 104.725 107.028 105.548 104.488 107.931 101.388 109.293 104.614 105.453 102.147 107.725 100.266 104.513 91.008 94.761 67.841 102.373 100.539
1 801 847.00 523 945.00 589 158.00 520 800.00 1 061 540.00 820 604.00 4 165 840.00 990 280.00 1 550 280.00 1 054 460.00 519 980.00 645 869.00 792 528.00 1 730 657.46 1 535 044.00 1 269 540.00 764 452.50 1 985 177.00 1 309 062.50 1 605 420.00 1 055 480.00 417 952.00 971 379.00 811 104.00 1 092 930.00 1 046 140.00 369 085.50 817 176.00 1 508 150.00 360 957.60 1 254 156.00 1 183 104.00 1 374 034.50 271 364.00 716 611.00 1 709 163.00
0.48 0.14 0.16 0.14 0.28 0.22 1.11 0.26 0.41 0.28 0.14 0.17 0.21 0.46 0.41 0.34 0.20 0.53 0.35 0.43 0.28 0.11 0.26 0.22 0.29 0.28 0.10 0.22 0.40 0.10 0.33 0.31 0.37 0.07 0.19 0.45
USD
700 000
200 000
%
106.306
744 142.00
0.20
USD
500 000
200 000
1 200 000
%
111.14
555 700.00
0.15
500 000 1 000 000 200 000 1 000 000 800 000 300 000 700 000 1 400 000 3 410 000 2 510 000 1 950 000 250 000 800 000 1 200 000 1 200 000 1 000 000 500 000 200 000 800 000 800 000 500 000 1 950 000 700 000 500 000 2 000 000 500 000 1 700 000
% % % % % % % % % %
103.185 109.36 109.396 97.051 104.223 101.132 101.602 86.087 81.866 100.806
515 925.00 218 720.00 328 188.00 1 358 714.00 2 032 348.50 1 213 584.00 1 016 020.00 688 696.00 1 596 387.00 2 016 120.00
0.14 0.06 0.09 0.36 0.54 0.32 0.27 0.18 0.42 0.54
600 000
%
110.313
661 878.00
0.18
USD USD USD USD USD USD USD
740 000 1 740 000 1 000 000 800 000 2 000 000 1 200 000 400 000 400 000 2 500 000 1 000 000 1 000 000 250 000 250 000 525 000 1 775 000 1 250 000
% % % % % % %
99.691 104.615 110.465 2.258 98.055 43.256 40.554
737 713.40 836 920.00 441 860.00 56 437.50 980 550.00 108 140.00 212 908.50
0.20 0.22 0.12 0.02 0.26 0.03 0.06
USD
1 214 360
1 214 360
%
18.557
225 348.79
0.06
USD USD USD USD USD USD USD
1 000 000 1 000 000 2 200 000 1 000 000 500 000 250 000 750 000 900 000 1 500 000 600 000 750 000 400 000 1 000 000 1 400 000 400 000 800 000 400 000
% % % % % % %
5.814 15.826 110.551 101.667 103.007 107.09 101.131
58 140.00 348 172.00 552 755.00 915 003.00 772 552.50 428 360.00 404 524.00
0.02 0.09 0.15 0.24 0.21 0.11 0.11
USD
1 740 000
%
101.19
1 760 706.00
0.47
USD USD USD USD USD USD USD USD USD USD USD
600 000
1 740 000
103
Deutsche Invest I Emerging Markets Corporates Description
Count/ units/ currency
4.00 % 5.875 % 3.75 % 6.45 % 6.00 % 5.125 %
USD USD USD USD USD
2 500 700 500 1 000 800
000 000 2 000 000 1 300 000 000 500 000 000 1 000 000 000 800 000
% % % % %
104.495 106.15 106.736 106.507 101.459
2 612 743 533 1 065 811
375.00 050.00 680.00 070.00 672.00
0.69 0.20 0.14 0.28 0.22
USD USD USD USD USD USD USD USD USD USD
1 000 000 1 000 000 5 500 000 4 500 000 500 000 500 000 4 500 000 6 350 000 3 100 000 1 750 000 4 500 000 3 250 000 5 000 000 5 000 000 1 000 000 1 000 000 500 000 500 000 1 200 000 1 200 000 500 000 500 000
% % % % % % % % % %
105.864 103.671 91.126 80.738 93.509 100.28 34.867 107.163 105.225 108.456
1 058 640.00 1 036 710.00 455 630.00 3 633 210.00 1 636 407.50 5 014 000.00 348 670.00 535 815.00 1 262 700.00 542 280.00
0.28 0.28 0.12 0.97 0.44 1.33 0.09 0.14 0.34 0.14
USD USD
200 000 1 300 000
1 250 000 1 600 000
2 300 000 300 000
% %
104.62 104.001
209 240.00 1 352 013.00
0.06 0.36
USD USD
2 000 000 600 000
2 000 000 1 290 000 690 000
% %
102.417 100.346
2 048 340.00 602 076.00
0.54 0.16
USD USD USD
900 000 1 200 000 1 100 000
900 000 800 000 650 000
% % %
100.565 109.243 104.277
905 085.00 1 310 916.00 1 147 047.00
0.24 0.35 0.30
USD USD USD USD
300 000 2 360 000 2 060 000 1 250 000 1 250 000 1 200 000 1 200 000 1 750 000 1 000 000
% % % %
101.193 102.351 103.763 100.326
303 579.00 1 279 387.50 1 245 156.00 1 003 260.00
0.08 0.34 0.33 0.27
USD
1 750 000
2 650 000
%
99.726
1 745 205.00
0.46
USD USD USD USD USD USD USD USD USD
800 1 000 400 2 250 500 1 700 1 000 800 750
000 1 000 000 200 000 000 1 000 000 000 800 000 400 000 000 2 250 000 500 000 000 500 000 000 200 000 1 500 000 000 000 1 000 000 1 200 000 000 750 000 1 500 000
% % % % % % % % %
100.289 116.884 107.676 38.999 39.418 100.074 100.259 99.608 108.21
802 1 168 430 877 197 1 701 1 002 796 811
312.00 840.00 704.00 477.50 090.00 258.00 590.00 864.00 575.00
0.21 0.31 0.11 0.23 0.05 0.45 0.27 0.21 0.22
USD USD USD USD USD USD
1 000 000 1 000 000 1 250 000 1 350 000 2 600 000 500 000 500 000 1 000 000 200 000 800 000 800 000 1 250 000 590 000 590 000
% % % % % %
101.385 113.185 103.444 101.387 101.937 101.008
1 013 850.00 1 414 812.50 517 220.00 1 013 870.00 815 496.00 595 947.20
0.27 0.38 0.14 0.27 0.22 0.16
800 000
%
107.301
858 408.00
0.23
1 045 000 1 000 000 2 000 000 1 000 000 250 000 4 200 000 2 700 000 600 000 200 000 1 300 000 1 000 000
% % % % % %
104.304 100.292 107.857 87.664 98.45 101.867
2 1 1 1
016.80 920.00 570.00 960.00 500.00 537.00
0.57 0.27 0.29 0.35 0.26 0.30
versea Chinese Banking 2014/2024 * . . . . . . . . . . O OVPH Ltd 2016/2049 . . . . . . . . . . . . . . . . . . . . . . . . PCCW-HKT Capital No. 5 Ltd -Reg- 2013/2023 . . . . Pertamina Persero PT -Reg- (MTN) 2014/2044. . . . . Pertamina Persero PT -Reg- 2012/2042. . . . . . . . . . Perusahaan Gas Negara Persero Tbk PT -Reg2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.875 % Petrobras Global Finance BV 2009/2019. . . . . . . . . . 2.762 % Petrobras Global Finance BV 2013/2019 *. . . . . . . . 4.375 % Petrobras Global Finance BV 2013/2023. . . . . . . . . . 4.875 % Petrobras Global Finance BV 2014/2020. . . . . . . . . . 8.75 % Petrobras Global Finance BV 2016/2026. . . . . . . . . . 5.50 % Petroleos de Venezuela SA -Reg- 2007/2037. . . . . . 5.25 % Poly Real Estate Finance -Reg- 2014/2019. . . . . . . . 5.625 % Polyus Gold International Ltd -Reg- 2013/2020. . . . . 4.25 % Posco 2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.63 % Powszechna Kasa Oszczednosci Bank Polski SA Via PKO Finance AB 2012/2022. . . . . . . . . . . . . . . . 4.125 % Proven Honour Capital Ltd 2016/2026 . . . . . . . . . . . 7.875 % Provincia de Buenos Aires/Argentina -Reg2016/2027**. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.125 % Provincia de Cordoba -Reg- 2016/2021. . . . . . . . . . . 4.875 % PTT Exploration & Production PCL -Reg2014/2049 * **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.25 % PTT Global Chemical PCL -Reg- 2012/2022 . . . . . . . 4.50 % PTT PCL -Reg- 2012/2042. . . . . . . . . . . . . . . . . . . . . 2.375 % Qatar Government International Bond -Reg2016/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.875 % Reliance Industries Ltd -Reg- 2013/2049 . . . . . . . . . 4.125 % Reliance Industries Ltd -Reg- 2015/2025 . . . . . . . . . 4.875 % Reliance Industries Ltd -Reg- 2015/2045** . . . . . . . 4.199 % Rosneft Oil Co via Rosneft International Finance Ltd -Reg- 2012/2022** . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00 % Russian Agricultural Bank OJSC Via RSHB Capital SA -Reg- 2011/2021 *. . . . . . . . . . . . . . . . . . . . . . . . . . . 5.875 % Russian Foreign Bond - Eurobond -Reg- 2013/2043 5.70 % RZD Capital Ltd 2012/2022. . . . . . . . . . . . . . . . . . . . 4.125 % Samarco Mineracao SA -Reg- 2012/2022. . . . . . . . . 5.75 % Samarco Mineracao SA -Reg- 2013/2023. . . . . . . . . 4.875 % San Miguel Corp. (MTN) 2013/2023. . . . . . . . . . . . . 4.50 % Sasol Financing International Plc 2012/2022. . . . . . . 5.50 % Sberbank of Russia 2014/2024 * . . . . . . . . . . . . . . . 5.717 % Sberbank of Russia Via SB Capital SA 2011/2021 * 5.125 % Sberbank of Russia Via SB Capital SA -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.375 % Shimao Property Holdings Ltd 2015/2022** . . . . . . 3.875 % Shinhan Bank (MTN) -Reg- 2016/2026. . . . . . . . . . . 2.25 % Shinhan Bank -Reg- 2015/2020**. . . . . . . . . . . . . . . 3.914 % Sibur Securities Ltd -Reg- 2013/2018. . . . . . . . . . . . 4.125 % Sigma Alimentos SA de CV -Reg- 2016/2026. . . . . . 6.00 % Sino-Ocean Land Treasure Finance I Ltd (MTN) 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.45 % Sino-Ocean Land Treasure Finance II Ltd 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.125 % Sinopec Capital 2013 Ltd -Reg- 2013/2023. . . . . . . . 6.95 % Sistema International Funding SA -Reg- 2012/2019. 5.25 % Southern Copper Corp. 2012/2042. . . . . . . . . . . . . . 3.875 % Southern Copper Corp. 2015/2025. . . . . . . . . . . . . . 8.50 % Studio City Finance Ltd 2012/2020**. . . . . . . . . . . . 3.375 % Sun Hung Kai Properties Capital Market Ltd (MTN) 2014/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.50 % Swire Pacific MTN Financing Ltd 2013/2023 . . . . . . 4.375 % Swire Properties Financing Ltd (MTN) -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.625 % Swire Properties MTN Financing Ltd (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.50 % Talent Yield Investments Ltd -Reg- 2012/2022**. . . 2.875 % Tencent Holdings Ltd. (MTN) -Reg- 2015/2020 . . . . 3.80 % Tencent Holdings Ltd. -Reg- 2015/2025. . . . . . . . . . 5.50 % Tenedora Nemak SA de CV -Reg- 2013/2023. . . . . . 6.125 % Theta Capital Pte Ltd -Reg- 2012/2020. . . . . . . . . . . 8.50 % Trillion Chance Ltd 2014/2019. . . . . . . . . . . . . . . . . . 5.25 % Trust F/1401 -Reg- 2015/2026**. . . . . . . . . . . . . . . . 6.95 % Trust F/1401 -Reg- 2016/2044. . . . . . . . . . . . . . . . . . 4.125 % Tupras Turkiye Petrol Rafinerileri AS 2012/2018. . . . 4.875 % Turk Telekomunikasyon AS 2014/2024**. . . . . . . . . 5.25 % Turkiye Garanti Bankasi AS -Reg- 2012/2022. . . . . . 4.75 % Turkiye Halk Bankasi AS -Reg- 2015/2021 . . . . . . . . 5.375 % Turkiye Is Bankasi -Reg- 2016/2021. . . . . . . . . . . . . 4.875 % Turkiye Sinai Kalkinma Bankasi AS 2016/2021. . . . . 4.25 % Turkiye Sise ve Cam Fabrikalari AS 2013/2020. . . . . 6.875 % Turkiye Vakiflar Bankasi Tao (MTN) -Reg2015/2025 * **. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
104
Quantity/ principal amount
USD
800 000 045 000 000 500 000 100
000 000 000 000 000 000
Purchases/ Sales/ Market price additions disposals in the reporting period
2 150 000
Total market value in USD
USD USD USD USD USD USD
2 1 1 1 1 1
USD USD
1 000 000 500 000
2 200 000 750 000
% %
102.404 112.251
1 024 040.00 561 255.00
0.27 0.15
USD
750 000
2 750 000
%
111.858
838 935.00
0.22
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
940 000 1 340 000 400 000 500 000 2 500 000 1 500 000 250 000 1 500 000 1 300 000 800 000 400 000 250 000 1 400 000 800 000 800 000 800 000 400 000 1 300 000 1 300 000 800 000 800 000 600 000 200 000 1 350 000 300 000 200 000 800 000 1 000 000 1 100 000 1 198 000 598 000 1 250 000 1 250 000 400 000 1 960 000 1 560 000 1 500 000 500 000
% % % % % % % % % % % % % % % %
106.552 108.876 102.626 105.423 103.637 102.369 106.492 101.672 103.625 101.569 100.147 103.815 99.879 103.062 100.322 100.599
1 001 588.80 544 380.00 2 565 650.00 1 581 345.00 414 548.00 818 952.00 851 936.00 1 321 736.00 829 000.00 609 414.00 1 351 984.50 830 520.00 1 098 669.00 1 288 281.25 401 288.00 1 508 985.00
0.27 0.14 0.68 0.42 0.11 0.22 0.23 0.35 0.22 0.16 0.36 0.22 0.29 0.34 0.11 0.40
USD
1 500 000
%
101.485
1 522 275.00
0.40
1 700 000
1 700 000
133 002 078 314 984 1 120
% of net assets
Deutsche Invest I Emerging Markets Corporates Description
6.25 % Unifin Financiera SAPI de CV SOFOM ENR -Reg2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.875 % Union Andina de Cementos SAA -Reg- 2014/2021. 3.75 % United Overseas Bank Ltd 2014/2024 * **. . . . . . . 6.875 % Vale Overseas Ltd 2006/2036**. . . . . . . . . . . . . . . . 4.375 % Vale Overseas Ltd 2012/2022**. . . . . . . . . . . . . . . . 5.875 % Vale Overseas Ltd 2016/2021**. . . . . . . . . . . . . . . . 6.00 % Vedanta Resources Plc -Reg- 2013/2019. . . . . . . . . 6.902 % Vnesheconombank -Reg- 2010/2020 . . . . . . . . . . . . 6.80 % Vnesheconombank -Reg- 2010/2025 . . . . . . . . . . . . 6.025 % Vnesheconombank Via VEB Finance Plc -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.25 % Votorantim Cimentos SA -Reg- 2011/2041. . . . . . . . 9.50 % VTB Bank OJSC -Reg- 2012/2049 *. . . . . . . . . . . . . 6.95 % VTB Bank OJSC Via VTB Capital SA -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.25 % Wanda Properties International Co., Ltd 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.75 % Woori Bank Co., Ltd 2014/2024. . . . . . . . . . . . . . . . 5.25 % Wynn Macau Ltd -Reg- 2013/2021. . . . . . . . . . . . . . 4.00 % Yapi ve Kredi Bankasi AS 2013/2020 . . . . . . . . . . . . 5.50 % Yapi ve Kredi Bankasi AS -Reg- 2012/2022. . . . . . . . 8.875 % Yasar Holdings AS -Reg- 2014/2020. . . . . . . . . . . . . 8.50 % YPF SA 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . 8.50 % YPF SA -Reg- 2015/2025. . . . . . . . . . . . . . . . . . . . . . 8.625 % Yuzhou Properties Co., Ltd 2014/2019. . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
% of net assets
USD USD USD USD USD USD USD USD USD
750 000 750 000 750 000 400 000 1 000 000 1 000 000 2 250 000 2 250 000 1 000 000 750 000 3 350 000 4 000 000 3 750 000 5 000 000 1 250 000 2 750 000 2 750 000 750 000 750 000 700 000 700 000
% % % % % % % % %
97.944 102.029 103.559 91.552 93.548 100.091 85.652 108.749 110.278
734 580.00 408 116.00 1 035 590.00 2 059 920.00 701 610.00 3 753 412.50 2 355 430.00 815 617.50 771 946.00
0.20 0.11 0.28 0.55 0.19 1.00 0.63 0.22 0.21
USD USD USD
1 700 000 1 200 000 2 000 000
% % %
105.977 91.538 106.348
1 801 609.00 1 098 456.00 2 126 960.00
0.48 0.29 0.57
USD
1 800 000
1 300 000
2 500 000
%
104.763
1 885 734.00
0.50
USD USD USD USD USD USD USD USD USD
950 000 2 100 000 1 500 000 1 400 000 1 000 000 600 000 1 800 000 1 000 000 700 000
250 000 800 000 600 000 2 000 000 1 500 000 200 000 800 000 1 000 000 600 000 400 000 3 240 000 1 440 000 2 900 000 3 400 000 700 000
% % % % % % % % %
109.173 105.925 97.62 100.139 99.969 106.346 107.2 105.987 106.508
1 2 1 1
0.28 0.59 0.39 0.37 0.27 0.17 0.51 0.28 0.20
500 000 300 000 1 100 000 800 000 800 000
037 143.50 224 425.00 464 300.00 401 946.00 999 690.00 638 076.00 1 929 600.00 1 059 870.00 745 556.00
Securities admitted to or included in organized markets 60 113 311.68 Interest-bearing securities 6.875 % Alfa SAB de CV -Reg- 2014/2044. . . . . . . . . . . . . . . USD 1 350 000 900 000 300 000 % 102.583 1 384 870.50 4.50 % Alibaba Group Holding Ltd 2015/2034 . . . . . . . . . . . USD 700 000 700 000 800 000 % 105.672 739 704.00 4.50 % Alpek SAB de CV 2012/2022 . . . . . . . . . . . . . . . . . . USD 1 000 000 750 000 950 000 % 103.425 1 034 250.00 4.00 % Andrade Gutierrez International SA -Reg2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 72.635 363 175.00 3.50 % Baidu, Inc. 2012/2022. . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 1 400 000 1 600 000 % 102.793 616 758.00 5.90 % Banco Bradesco SA/Cayman Islands 2010/2021 . . . USD 1 200 000 1 800 000 600 000 % 103.768 1 245 216.00 5.75 % Banco Bradesco SA/Cayman Islands -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 450 000 1 800 000 2 350 000 % 103.647 466 411.50 6.125 % Banco de Credito del Peru -Reg- 2012/2027 *. . . . . USD 1 500 000 1 800 000 300 000 % 109.479 1 642 185.00 9.00 % Banco do Brasil SA/Cayman -Reg- 2014/2049 *. . . . USD 2 500 000 4 000 000 1 500 000 % 77.6 1 940 000.00 7.375 % Banco do Estado do Rio Grande do Sul SA -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 91.659 183 318.00 9.75 % Banco Hipotecario SA -Reg- 2015/2020. . . . . . . . . . USD 2 500 000 3 500 000 1 000 000 % 108.562 2 714 062.50 5.75 % Banco Internacional del Peru SAA -Reg2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 400 000 1 400 000 % 111.018 1 110 180.00 7.375 % Banco Votorantim SA -Reg- 2010/2020 . . . . . . . . . . USD 1 600 000 1 600 000 800 000 % 103.787 1 660 592.00 5.55 % Bank of China Hong Kong Ltd -Reg- 2010/2020. . . . USD 2 200 000 300 000 % 110.241 2 425 302.00 7.00 % Braskem Finance Ltd -Reg- 2010/2020. . . . . . . . . . . USD 500 000 500 000 % 106.34 531 700.00 5.75 % Braskem Finance Ltd -Reg- 2011/2021. . . . . . . . . . . USD 1 000 000 400 000 % 100.871 1 008 710.00 5.15 % Cencosud SA -Reg- 2015/2025. . . . . . . . . . . . . . . . . USD 1 950 000 1 200 000 1 250 000 % 102.761 2 003 839.50 5.75 % Centrais Eletricas Brasileiras SA -Reg- 2011/2021. . USD 2 500 000 2 400 000 1 900 000 % 91.939 2 298 475.00 5.50 % China Oversea Financial KY II 2010/2020. . . . . . . . . USD 1 450 000 450 000 % 112.117 1 625 696.50 3.95 % China Overseas Fin KY V 2012/2022 . . . . . . . . . . . . USD 650 000 750 000 600 000 % 104.864 681 616.00 3.40 % CNPC General Capital Ltd -Reg- 2013/2023. . . . . . . USD 1 000 000 200 000 200 000 % 102.883 1 028 830.00 5.00 % Cosan Luxembourg SA -Reg- 2013/2023. . . . . . . . . USD 100 000 1 400 000 % 94.474 94 474.00 8.25 % Cosan Overseas Ltd 2010/2049. . . . . . . . . . . . . . . . USD 500 000 250 000 % 95.684 478 420.00 6.50 % CSN Resources SA -Reg- 2010/2020. . . . . . . . . . . . USD 700 000 200 000 750 000 % 51.235 358 645.00 8.25 % Digicel Group Ltd -Reg- 2012/2020. . . . . . . . . . . . . . USD 2 100 000 3 600 000 3 000 000 % 83.664 1 756 944.00 7.125 % Digicel Group Ltd -Reg- 2014/2022. . . . . . . . . . . . . . USD 500 000 500 000 % 74.136 370 680.00 6.00 % Digicel Ltd 2013/2021. . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 % 85.934 859 340.00 5.50 % Dolphin Energy Ltd -Reg- 2012/2021 . . . . . . . . . . . . USD 1 000 000 % 113.696 1 136 960.00 5.00 % Embotelladora Andina SA -Reg- 2013/2023 . . . . . . . USD 1 200 000 300 000 % 109.589 1 315 068.00 8.90 % Empresas ICA SAB de CV 2011/2021. . . . . . . . . . . . USD 400 000 % 15.25 61 000.00 6.00 % ENN Energy Holdings Ltd -Reg- 2011/2021. . . . . . . USD 1 850 000 850 000 % 113.593 2 101 470.50 6.875 % FMG Resources August 2006 Pty Ltd -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 95.441 954 410.00 7.288 % Gaz Capital SA 2013/2037**. . . . . . . . . . . . . . . . . . . USD 500 000 800 000 800 000 % 116.767 583 835.00 4.75 % Gerdau Trade, Inc. -Reg- 2013/2023. . . . . . . . . . . . . USD 1 500 000 2 500 000 1 000 000 % 85.134 1 277 010.00 3.625 % HKT capital no 2 Ltd 2015/2025. . . . . . . . . . . . . . . . USD 500 000 200 000 200 000 % 105.282 526 410.00 3.625 % Hutchison Whampoa International 14 Ltd -Reg2014/2024**. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 500 000 1 300 000 % 106.215 1 593 225.00 3.00 % Hyundai Capital America (MTN) -Reg- 2015/2020. . . USD 1 600 000 1 800 000 200 000 % 103.62 1 657 920.00 3.20 % ICBCIL Finance Co Ltd 2015/2020. . . . . . . . . . . . . . USD 400 000 600 000 970 000 % 102.115 408 460.00 6.375 % Indo Energy Finance II BV -Reg- 2013/2023. . . . . . . USD 1 000 000 1 200 000 200 000 % 56.126 561 260.00 3.231 % Industrial & Commercial Bank of China Ltd (MTN) 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 % 104.09 624 540.00 5.50 % Industrial Senior Trust 2012/2022. . . . . . . . . . . . . . . USD 400 000 200 000 % 98.506 394 024.00 4.75 % Inversiones CMPC SA -Reg- 2014/2024. . . . . . . . . . USD 1 800 000 2 300 000 500 000 % 104.464 1 880 352.00 5.50 % Itau Unibanco Holding SA -Reg- 2012/2022. . . . . . . USD 1 850 000 1 850 000 % 101.445 1 876 732.50 5.75 % JBS USA LLC / JBS USA Finance, Inc. 144A 2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 750 000 750 000 % 94.625 709 687.50
15.98 0.37 0.20 0.27 0.10 0.16 0.33 0.12 0.44 0.52 0.05 0.72 0.30 0.44 0.64 0.14 0.27 0.53 0.61 0.43 0.18 0.27 0.03 0.13 0.10 0.47 0.10 0.23 0.30 0.35 0.02 0.56 0.25 0.16 0.34 0.14 0.42 0.44 0.11 0.15 0.17 0.10 0.50 0.50 0.19
105
Deutsche Invest I Emerging Markets Corporates Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
% of net assets
9.50 % 6.25 % 6.067 % 6.40 % 6.35 %
arfrig Overseas Ltd 2010/2020 . . . . . . . . . . . . . . . USD M 1 200 000 1 200 000 % 103.17 1 238 040.00 0.33 Minsur SA -Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 100.478 502 390.00 0.13 Nakilat, Inc. -Reg- 2006/2033 . . . . . . . . . . . . . . . . . . USD 600 000 400 000 % 113.078 678 468.00 0.18 Nexen Energy ULC 2007/2037. . . . . . . . . . . . . . . . . USD 1 200 000 % 126.717 1 520 604.00 0.40 Odebrecht Drilling Norbe VIII/IX Ltd -Reg2010/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 210 250 % 28.909 86 727.00 0.02 7.125 % Odebrecht Finance Ltd 2012/2042. . . . . . . . . . . . . . USD 1 100 000 1 100 000 1 700 000 % 43.827 482 097.00 0.13 5.125 % Pacific Rubiales Energy Corp. 2013/2023. . . . . . . . . USD 2 850 000 % 18.686 532 551.00 0.14 5.25 % QGOG Atlantic / Alaskan Rigs Ltd -Reg2011/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 503 650 146 825 % 82.087 413 431.18 0.11 6.875 % Sable International Finance Ltd 2015/2022. . . . . . . . USD 250 000 750 000 % 102.457 256 142.50 0.07 5.90 % Severstal OAO Via Steel Capital SA 2012/2022. . . . USD 500 000 1 100 000 % 107.506 537 530.00 0.14 8.25 % Sixsigma Networks Mexico SA de CV -Reg2014/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 250 000 % 99.319 794 552.00 0.21 5.875 % Suzano Trading Ltd -Reg- 2010/2021 . . . . . . . . . . . . USD 1 000 000 500 000 1 600 000 % 103.657 1 036 570.00 0.28 5.70 % Transportadora de Gas Internacional SA ESP -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 1 300 000 900 000 % 104.254 417 016.00 0.11 4.75 % Turkiye Garanti Bank AS -Reg- 2014/2019 . . . . . . . . USD 400 000 400 000 % 103.045 412 180.00 0.11 7.504 % Vimpelcom Holdings BV 2011/2022. . . . . . . . . . . . . USD 700 000 1 000 000 1 300 000 % 110.086 770 602.00 0.20 5.375 % Volcan Cia Minera SAA -Reg- 2012/2022. . . . . . . . . USD 500 000 1 300 000 800 000 % 89.37 446 850.00 0.12 6.875 % VTR Finance BV -Reg- 2014/2024. . . . . . . . . . . . . . . USD 1 700 000 500 000 300 000 % 100.106 1 701 802.00 0.45 Unlisted securities 1 402 688.00 0.37 Interest-bearing securities 7.95 % AES Andres BV Via Dominican Power Partners Via Empresa Generadora de Electricidad It -Reg2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 800 000 200 000 % 103.816 622 896.00 0.16 5.50 % Bank of East Asia Ltd/The 2015/49/1* **. . . . . . . . . USD 800 000 700 000 1 400 000 % 97.474 779 792.00 0.21 Total securities portfolio 379 547 652.65 100.91 Derivatives (Minus signs denote short positions) Interest rate derivatives 99 414.10 Receivables/payables Interest rate futures US Treasury Notes 30 year 09/2016 (CBT). . . . . . . . . . . . . . . . Count 50 50 84 375.00 US Treasury Notes 5 year Futures 09/2016 (CBT). . . . . . . . . . Count 75 75 -24 023.24 Option contracts Options on bond index futures Put US Treasury Notes 10 year 08/2016 130 USD (DB). . . . . . USD 200 000 39 062.34 Currency derivatives -1 997 232.47 Receivables/payables Currency futures Currency futures (short) Open positions USD/EUR 0.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 212.75 Closed positions EUR/BRL 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 233.59 EUR/CNY 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132.75 EUR/INR 11.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 464.49 EUR/RUB 11.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 945.58 USD/BRL 20 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 241 296.12 USD/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58.06 USD/EUR 10.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -112 837.89 USD/RUB 120 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 597.38 USD/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.63
0.03
0.03 -0.01
0.01 -0.53
0.00 0.00 0.00 0.00 0.00 0.07 0.00 -0.03 0.01 0.00
Currency futures (long) Open positions BRL/EUR 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 282.44 0.00 CHF/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -143.25 0.00 CNY/EUR 0.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247.22 0.00 EUR/USD 136.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 204 947.17 -0.58 INR/EUR 9.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 690.70 0.00 RUB/EUR 8.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234.58 0.00 SGD/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 301.81 0.00
106
Deutsche Invest I Emerging Markets Corporates Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
Swaps -6 632 502.12 Receivables/payables Credit default swaps Protection seller Argentine Republic / 5% 20/06/2021 (OTC) (DB). . . . . . . . . . . Count 7 500 000 257 771.93 Brazil / 1% 20/03/2019 (OTC) (DB). . . . . . . . . . . . . . . . . . . . . . Count 4 000 000 -89 501.92 Brazil / 1% 20/12/2020 (OTC) (CIT). . . . . . . . . . . . . . . . . . . . . . Count 5 250 000 -420 034.60 CDX EM 5 Years / 1% 20/12/2020 (OTC) (BC). . . . . . . . . . . . . Count 750 000 -55 754.22 Dubai / 5% 20/03/2019 (OTC) (BR). . . . . . . . . . . . . . . . . . . . . . Count 5 000 000 531 449.10 Federative Republic of Brazil / 1% 20/06/2021 (OTC) (DB). . . . Count 7 000 000 -687 574.30 Federative Republic of Brazil / 1% 20/12/2020 (OTC) (JP). . . . Count 5 250 000 -420 034.60 ICICI Bank / 1% 20/03/2020 (OTC) (DB). . . . . . . . . . . . . . . . . . Count 4 500 000 -89 141.08 ICICI Bank / 1% 20/09/2019 (OTC) (DB). . . . . . . . . . . . . . . . . . Count 5 000 000 -51 444.50 Indonesia 06/09.03.17 144a / 1% 20/12/2020 (OTC) (DB). . . . Count 3 000 000 -87 117.75 iTraxx USD Asia ex-Japan IG 5 Years / 1% 20/12/2020 (OTC) (DB) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 500 000 -103 652.32 MARKIT CDX.EM.25 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (BC) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 250 000 -801 752.85 MARKIT CDX.EM.25 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (JP). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 250 000 -801 752.85 MARKIT ITRX ASIAXJ IG 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (BC) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 000 000 -480 965.50 Petrobas International Finance / 1% 20/06/2019 (OTC) (CIT). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 000 000 -473 724.96 Petroleos Mexicanos / 1% 20/09/2021 (OTC) (DB). . . . . . . . . . Count 9 000 000 -1 005 024.78 Republic of Colombia / 1% 20/06/2021 (OTC) (CIT). . . . . . . . . Count 10 000 000 -511 465.90 Republic of Croatia 1% 20/06/2020 (OTC) (CIT). . . . . . . . . . . . Count 5 250 000 -207 767.65 Republic of Indonesia / 1% 20/12/2020 (OTC) (CIT). . . . . . . . . Count 5 000 000 -145 196.25 Republic of Indonesia / 1% 20/12/2020 (OTC) (DB). . . . . . . . . Count 2 000 000 -58 078.50 Russian Federation / 1% 20/12/2020 (OTC) (BC). . . . . . . . . . . Count 9 500 000 -462 844.75 Russian Federation / 1% 20/06/2021 (OTC) (CIT). . . . . . . . . . . Count 7 000 000 -429 757.44 State Bank of India / 1% 20/06/2019 (OTC) (DB). . . . . . . . . . . Count 7 000 000 -39 136.43
% of net assets
-1.76
0.07 -0.02 -0.11 -0.01 0.14 -0.18 -0.11 -0.03 -0.01 -0.02 -0.03 -0.21 -0.21 -0.13 -0.13 -0.27 -0.14 -0.06 -0.04 -0.02 -0.12 -0.11 -0.01
Cash at bank 14 160 153.92 3.76 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 12 116 13 468.65 0.00 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 0 0.01 0.00 Chinese renminbi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNY 638 96.10 0.00 Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 0 0.01 0.00 Turkish lira. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 1 0.32 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 14 146 588.83 3.76 Other assets 33 927 075.84 9.02 Prepaid placement fee ***. . . . . . . . . . . . . . . . . . . . . . . . . . . . 54 648.56 0.01 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 945 969.12 1.32 Receivables from exceeding the expense cap. . . . . . . . . . . . . 40 157.74 0.01 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 886 300.42 7.68 Receivables from share certificate transactions 199 090.28 0.05 Total assets **** 429 067 328.53 114.07 Other liabilities -42 919 561.27 -11.41 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -42 919 561.27 -11.41 Liabilities from share certificate transactions -270 213.10 -0.07 Total liabilities -52 953 450.70 -14.07 Net assets 376 113 877.83 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
107
Deutsche Invest I Emerging Markets Corporates
Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 106.78 Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 133.66 Class LC (BRIC). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 137.49 Class LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 129.38 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103.67 Class NCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 126.70 Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 109.31 Class NDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103.30 Class PFCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.64 Class PFDQH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 95.05 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 068.65 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 066.59 Class SGD LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 10.12 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 145.27 Class USD ID. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 101.94 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 138.13 Class USD LD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 94.51 Class USD LDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100.15 Number of shares outstanding Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 105 Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 426 236 Class LC (BRIC). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 508 Class LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 86 492 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 429 999 Class NCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 141 902 Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 613 Class NDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 036 Class PFCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 155 Class PFDQH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 225 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 94 Class SGD LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 603 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 886 761 Class USD ID. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 675 781 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95 349 Class USD LD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 368 Class USD LDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 104 Composition of the reference portfolio (according to CSSF circular 11/512) JPM CEMBI in USD Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 101.193 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 148.597 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 124.603 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.5, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 138 049 244.28 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Total collateral pledged by third parties in connection with derivatives USD 1 044 095.00 thereof: Cash at bank USD 1 044 095.00 Market abbreviations
Futures exchanges CBT = Chicago Board of Trade DB = Deutsche Bank AG Contracting parties for derivatives (with the exception of currency futures) BR = Barclays Bank Plc CIT = Citigroup Global Markets Limited DB = Deutsche Bank AG JP = JP Morgan Securities PLC Contracting parties for currency futures Barclays Bank PLC Wholesale and Morgan Stanley and Co. International PLC
108
Deutsche Invest I Emerging Markets Corporates Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
4.375 4.00 9.00 5.125 6.50 5.00 6.25 6.125 5.50 7.25 2.75 7.50 6.50 7.288 5.00 3.625 8.75 4.563 5.00 6.75 4.50 8.875 4.50 5.75 7.875 4.875 4.875 4.199 8.375 2.25 8.50 4.50 5.25 4.875 6.875 3.75 6.875 4.375 5.875
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
% Abu Dhabi National Energy Co. PJSC -Reg- 2016/2026 % African Export-Import Bank (MTN) 2016/2021 % Agile Property Holdings Ltd 2015/2020 % Akbank TAS 2015/2025 % Altice Financing SA 2013/2022 % Arcelik AS 2013/2023 % Banco do Brasil SA -Reg- 2013/2049 * % Bank of East Asia Ltd/The 2010/2020 % Bank of East Asia Ltd/The 2015/49/1* % Biostime International Holdings Ltd -Reg- 2016/2021 % CCBL Cayman 1 Corp., Ltd (MTN) 2016/2021 % Country Garden Holdings Co., Ltd 2015/2020 % Evraz Group SA-Reg- 2013/2020 % Gaz Capital SA 2013/2037 % Grupo Televisa SAB 2014/2045 % Hutchison Whampoa International 14 Ltd -Reg- 2014/2024 % IRSA Propiedades Comerciales SA 2016/2023 % Lukoil International Finance BV 2013/2023 % Mobile Telesystems OJSC via MTS International Funding Ltd -Reg- 2013/2023 % Noble Group Ltd -Reg- 2009/2020 % Novolipetsk Steel via Steel Funding Ltd -Reg- 2016/2023 % OAS Financial Ltd -Reg- 2013/2049 * % OCP SA -Reg- 2015/2025 % Oi SA -Reg- 2012/2022 % Provincia de Buenos Aires/Argentina -Reg- 2016/2027 % PTT Exploration & Production PCL -Reg- 2014/2049 * % Reliance Industries Ltd -Reg- 2015/2045 % Rosneft Oil Co via Rosneft International Finance Ltd -Reg- 2012/2022 % Shimao Property Holdings Ltd 2015/2022 % Shinhan Bank -Reg- 2015/2020 % Studio City Finance Ltd 2012/2020 % Talent Yield Investments Ltd -Reg- 2012/2022 % Trust F/1401 -Reg- 2015/2026 % Turk Telekomunikasyon AS 2014/2024 % Turkiye Vakiflar Bankasi Tao (MTN) -Reg- 2015/2025 * % United Overseas Bank Ltd 2014/2024 * % Vale Overseas Ltd 2006/2036 % Vale Overseas Ltd 2012/2022 % Vale Overseas Ltd 2016/2021
Securities loans Total market value in USD Perpetual
Total
200 000 212 752.00 500 000 502 900.00 700 000 777 483.00 600 000 605 664.00 200 000 200 750.00 1 000 000 992 150.00 1 200 000 735 828.00 700 000 791 350.00 500 000 487 370.00 1 000 000 1 035 930.00 600 000 600 306.00 500 000 539 115.00 600 000 614 874.00 500 000 583 835.00 500 000 476 830.00 1 500 000 1 593 225.00 500 000 530 770.00 800 000 811 104.00 500 000 515 925.00 1 000 000 818 660.00 700 000 697 837.00 500 000 11 287.50 900 000 882 495.00 1 200 000 189 912.00 2 000 000 2 048 340.00 900 000 905 085.00 500 000 501 630.00 1 000 000 997 260.00 1 000 000 1 131 850.00 500 000 506 935.00 1 100 000 1 120 537.00 500 000 544 380.00 1 300 000 1 321 736.00 500 000 500 735.00 400 000 405 940.00 1 000 000 1 035 590.00 900 000 823 968.00 750 000 701 610.00 1 100 000 1 101 001.00
Total receivables from securities loans 28 854 949.50 28 854 949.50 Contracting parties for securities loans Barclays Capital Securities Limited, Citigroup Global Markets, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, Deutsche Bank London, Goldman Sachs Int., J.P. Morgan Securities plc (Fix Income), Morgan Stanley Intl. FI, Nomura International PLC, Zuercher Kantonalbank Total collateral pledged by third parties for securities loans USD 41 933 295.37 thereof: Bonds USD 31 020 149.18 Equities USD 10 913 146.18 Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.344719 = USD 1 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3.210900 = USD 1 Chinese renminbi . . . . . . . . . . . . . . . . CNY 6.643600 = USD 1 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0.899564 = USD 1 Mexican peso . . . . . . . . . . . . . . . . . . . MXN 18.528500 = USD 1 Russian rouble. . . . . . . . . . . . . . . . . . . RUB 64.253750 = USD 1 Turkish lira. . . . . . . . . . . . . . . . . . . . . . TRY 2.884400 = USD 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * ** *** ****
Floating interest rate. Some or all of these securities are lent. The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). Does not include positions with a negative balance, if such exist.
109
Deutsche Invest I Emerging Markets Corporates 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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Interest-bearing securities 1.50 % America Movil SAB de CV 2016/2024 2.00 % CK Hutchison Finance 16 Ltd 2016/2028. . . . . . . . . . . . . . . . . . . . . . 1.75 % Fomento Economico Mexicano SAB de CV 2016/2023 . . . . . . . . . . . . 3.75 % H utchison Whampoa Europe Finance 13 Ltd 2013/2049 *. . . . . . . . 3.75 % Indonesia Government International Bond (MTN) -Reg- 2016/2028. . . . . . . 2.625 % MOL Hungarian Oil & Gas Plc 2016/2023. . . . . . . . . . . . . . . . . . . . . . 2.75 % P etrobras Global Finance BV 2014/2018. . . . . . . . . . . . . . . . . . . . . . 5.125 % Petroleos Mexicanos (MTN) 2016/2023. . . . . . . . . . . . . . . . . . . . . . 1.75 % S tate Grid Overseas Investment 2016 Ltd -Reg- 2016/2025 . . . . . . . . . 2.375 % T urkiye Vakiflar Bankasi TAO 2016/2021. . . . . . . . . . . . . . . . . . . . . . 3.625 % Abu Dhabi National Energy Co. 2 012/2023. . . . . . . . . . . . . . . . . . . . . . . 8.375 % AES Gener SA -Reg- 2013/2073 * . . . 9.875 % A gile Property Holdings Ltd 2012/2017 8.375 % Agile Property Holdings Ltd 2014/2019 6.75 % A gricola Senior Trust 2015/2020. . . . . 7.50 % A lfa Bank AO Via Alfa Bond Issuance PLC 2012/2019. . . . . . . . . . . . . . . . . . 8.75 % Alternatifbank AS 2016/2026 *. . . . . . 7.50 % Altice Financing SA 144A 2016/2026. . . . . . . . . . . . . . . . . . . . . . 6.125 % America Movil SAB de CV 2010/2040. . . . . . . . . . . . . . . . . . . . . . 6.875 % Argentine Republic Government International Bond -Reg- 2016/2021. . 7.50 % Argentine Republic Government International Bond -Reg- 2016/2026. . 7.50 % A rgentine Republic Government International Bond -Reg- 2016/2026. . 7.625 % Argentine Republic Government International Bond -Reg- 2016/2046. . 2.875 % A stra Sedaya Finance PT (MTN) 2015/2018. . . . . . . . . . . . . . . . . . . . . . 3.466 % A xiata SPV2 Bhd 2015/2020. . . . . . . . 4.357 % A xiata SPV2 Bhd 2016/2026. . . . . . . . 2.875 % A xis Bank Ltd Via Dubai (MTN) -Reg- 2016/2021. . . . . . . . . . . . . . . . . 3.25 % Axis Bank Ltd/Dubai (MTN) -Reg2014/2020. . . . . . . . . . . . . . . . . . . . . . 2.75 % Baidu, Inc. 2014/2019. . . . . . . . . . . . . 5.75 % Banco BTG Pactual SA/Cayman Islands 2012/2022. . . . . . . . . . . . . . . . . . . . . . 5.375 % B anco de Bogota SA -Reg- 2013/2023 4.25 % B anco de Credito del Peru 2013/2023 3.875 % Banco do Brasil SA 2012/2022. . . . . . 5.875 % Banco do Brasil SA/Cayman -Reg2011/2022. . . . . . . . . . . . . . . . . . . . . . 6.50 % Banco Nacional de Desenvolvimento Economico e Social -Reg- 2009/2019 5.95 % Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand -Reg- 2013/2024 * 4.80 % Bangkok Bank PCL -Reg- 2010/2020. 3.75 % Bank Muscat SAOG (MTN) 2016/2021 4.875 % B BVA Colombia SA -Reg- 2015/2025 5.50 % B M&FBovespa SA -Reg- 2010/2020. . 7.375 % B raskem Finance Ltd -Reg- 2010/2049 5.00 % B razilian Government International Bond 2014/2045. . . . . . . . . . . . . . . . . 4.75 % BRF SA -Reg- 2014/2024 . . . . . . . . . . 8.75 % Caifu Holdings Ltd -Reg- 2013/2020. . 6.125 % C AR, Inc. -Reg- 2015/2020. . . . . . . . . 3.50 % CCCI Treasure Ltd 2015/2049 *. . . . . 6.125 % Cemex SAB de CV 2015/2025. . . . . . 5.70 % Cemex SAB de CV -Reg- 2014/2025. 8.00 % Central China Real Estate Ltd -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . .
110
EUR
600 000
600 000
EUR
1 060 000
1 060 000
EUR
1 030 000
1 030 000
EUR
500 000
500 000
EUR
1 150 000
1 150 000
EUR
400 000
400 000
EUR
800 000
800 000
EUR
910 000
910 000
EUR
1 035 000
1 035 000
EUR
430 000
430 000
USD 2 270 000 USD USD USD 400 000 USD
2 270 500 1 000 400 150
USD USD
1 700 000 1 100 000
200 000 1 100 000
000 000 000 000 000
USD
210 000
210 000
USD
1 000 000
2 000 000
USD
150 000
150 000
USD
664 000
664 000
USD
494 000
494 000
USD
432 000
432 000
USD USD USD 1 200 000
600 000 500 000 1 200 000
USD
750 000
750 000
USD USD
500 000 455 000
2 100 000 1 205 000
USD 500 000 USD 700 000 USD USD 3 500 000
500 1 200 1 600 3 500
000 000 000 000
USD
1 000 000
1 000 000
USD
500 000
500 000
USD USD USD 1 000 000 USD USD USD
1 800 000 1 500 000 1 000 000 500 000 800 000 500 000
USD 750 000 USD 1 200 000 USD USD 500 000 USD 200 000 USD USD
750 000 3 700 000 1 750 000 500 000 1 100 000 1 200 000 1 000 000
USD
600 000
4.25 % C EZ AS -Reg- 2012/2022 . . . . . . . . . . 6.875 % C halieco Hong Kong Corp., Ltd 2014/2049 * . . . . . . . . . . . . . . . . . . . . 5.375 % Cheung Kong Bond Securities 03 Ltd (MTN) -Reg- 2013/2049. . . . . . . . . . . . 10.875 % C hina Aoyuan Property Group Ltd 2015/2018. . . . . . . . . . . . . . . . . . . . . . 5.95 % C hina Overseas Finance Cayman VI Ltd 2014/2024. . . . . . . . . . . . . . . . . . . . . . 5.125 % C hina Overseas Grand Oceans Finance Cayman II Ltd 2014/2019 . . . 6.00 % China Resources Land Ltd 2014/2024 7.25 % China Resources Power East Foundation Co., Ltd 2011/2049 *. . . . 12.25 % CIFI Holdings Group Co., Ltd 2013/2018. . . . . . . . . . . . . . . . . . . . . . 6.375 % CITIC Ltd (MTN) 2013/2020 . . . . . . . . 2.80 % CITIC Ltd (MTN) 2016/2021 . . . . . . . . 7.875 % CITIC Pacific Ltd 2011/2049 * . . . . . . 4.50 % Colbun SA -Reg- 2014/2024. . . . . . . . 3.875 % Corpbanca SA 2014/2019. . . . . . . . . . 3.50 % COSL Singapore Capital Ltd 2015/2020 7.50 % C ountry Garden Holdings Co., Ltd -Reg- 2013/2023. . . . . . . . . . . . . . . . . 3.25 % DP World Ltd (MTN) -Reg- 2015/2020 5.875 % Ecopetrol SA 2013/2023. . . . . . . . . . . 4.564 % EMG Sukuk Ltd 2014/2024. . . . . . . . . 4.875 % Emirates NBD PJSC 2013/2023. . . . . 6.125 % Empresa de Energia de Bogota SA ESP -Reg- 2011/2021. . . . . . . . . . . . . . . . . 4.56 % Empresa Electrica Guacolda SA -Reg- 2015/2025. . . . . . . . . . . . . . . . . 7.125 % Eskom Holdings SOC Ltd -Reg- 2015/2025. . . . . . . . . . . . . . . . . 3.125 % Export-Import Bank of India (MTN) 2016/2021. . . . . . . . . . . . . . . . . . . . . . 2.875 % Fomento Economico Mexicano SAB de CV 2013/2023 . . . . . . . . . . . . 3.375 % Formosa Group Cayman Ltd 2015/2025. . . . . . . . . . . . . . . . . . . . . . 6.75 % G eorgian Oil and Gas Corp. JSC -Reg- 2016/2021. . . . . . . . . . . . . . . . . 5.75 % G erdau Trade, Inc. -Reg- 2010/2021. . 5.125 % G lobal Bank Corp. -Reg- 2014/2019. . 9.00 % G olden Legacy Pte. Ltd -Reg- 2014/2019. . . . . . . . . . . . . . . . . 2.75 % GRAM International Ltd 2015/2020 . . 4.375 % Greenland Global Investment Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . . 5.875 % Greenland Global Investment Ltd 2014/2024. . . . . . . . . . . . . . . . . . . . . . 5.875 % Greentown China Holdings Ltd 2015/2020. . . . . . . . . . . . . . . . . . . . . . 3.875 % Grupo Bimbo SAB de CV -Reg2014/2024. . . . . . . . . . . . . . . . . . . . . . 6.125 % Grupo Televisa SAB 2015/2046 . . . . . 5.50 % GrupoSura Finance SA -Reg2016/2026. . . . . . . . . . . . . . . . . . . . . . 4.20 % Haitong International Finance 2015 Ltd 2015/2020. . . . . . . . . . . . . . . . . . . 3.625 % HK BAORONG Development 2015/2018. . . . . . . . . . . . . . . . . . . . . . 5.875 % Hrvatska Elektroprivreda 2015/2022. . 3.75 % Huarong Finance II Co Ltd 2015/2020 5.50 % Huarong Finance II Co., Ltd (MTN) 2015/2025. . . . . . . . . . . . . . . . . . . . . . 4.50 % Huarong Finance II Co., Ltd (MTN) -Reg- 2015/2020. . . . . . . . . . . . . . . . . 4.00 % ICICI Bank Ltd/Dubai (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . 3.125 % ICICI Bank Ltd/Dubai 2015/2020. . . . . 6.00 % Industrial & Commercial Bank of China Ltd -Reg- 2014/2049 * 5.25 % InRetail Consumer -Reg- 2014/2021. . 2.85 % Itau Unibanco Holding SA (MTN) -Reg- 2015/2018. . . . . . . . . . . . . . . . . 4.625 % KazAgro National Management Holding JSC 2013/2023 . . . . . . . . . . . 6.375 % KazMunayGas National Co. JSC -Reg- 2010/2021. . . . . . . . . . . . . . . . .
USD
800 000
800 000
USD
600 000
600 000
USD
1 500 000
USD
550 000
USD
750 000
USD USD
1 000 000 1 000 000
USD
1 000 000
USD USD USD 1 000 000 USD USD USD USD
500 750 1 000 700 1 100 800 1 000
000 000 000 000 000 000 000
USD 300 000 USD 600 000 USD 1 000 000 USD USD
1 300 600 1 000 400 750
000 000 000 000 000
USD
1 800 000
USD
750 000
USD
1 500 000
2 100 000
USD
2 500 000
2 500 000
USD
1 000 000
USD
1 250 000
USD 2 261 000 USD USD
2 261 000 250 000 800 000
USD 700 000 USD
700 000 800 000
USD
500 000
500 000
USD
1 000 000
1 000 000
USD
500 000
500 000
USD USD
400 000 750 000
1 100 000 1 000 000
USD
2 480 000
2 480 000
USD
500 000
1 100 000
USD USD 700 000 USD
400 000 1 700 000 1 200 000
USD
1 500 000
USD
500 000
USD USD
2 200 000 500 000
2 200 000 1 000 000
USD USD
1 750 000 550 000
USD
750 000
750 000
USD
750 000
750 000
USD
500 000
500 000
Deutsche Invest I Emerging Markets Corporates
Count/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
3.50 % KOC Holding AS -Reg- 2013/2020 . . . USD 2.50 % Korea Midland Power Co., Ltd 2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 3 000 000 3.75 % Kunlun Energy Co., Ltd -Reg2015/2025. . . . . . . . . . . . . . . . . . . . . . USD 200 000 4.80 % Kuwait Projects Co. (MTN) 2014/2019 USD 6.875 % M arfrig Holding Europe BV -Reg2014/2019. . . . . . . . . . . . . . . . . . . . . . USD 5.00 % Mega Advance Investments Ltd 2011/2021. . . . . . . . . . . . . . . . . . . . . . USD 200 000 4.45 % Novolipetsk Steel via Steel Funding Ltd -Reg- 2013/2018. . . . . . . . . . . . . . USD 400 000 5.625 % N TPC Ltd 2011/2021. . . . . . . . . . . . . . USD 8.375 % Offshore Drilling Holding SA 2013/2020. . . . . . . . . . . . . . . . . . . . . . USD 3.625 % O man Government International Bond -Reg- 2016/2021 . . . . . . . . . . . . USD 2 000 000 5.00 % O oredoo International Finance Ltd 2015/2025. . . . . . . . . . . . . . . . . . . . . . USD 4.55 % Perusahaan Penerbit SBSN Indonesia III 2016/2026. . . . . . . . . . . . USD 1 500 000 6.875 % Petrobras Global Finance BV 2009/2040 USD 600 000 8.375 % P etrobras Global Finance BV 2016/2021 USD 1 240 000 5.375 % P etrobras International Finance Co. 2011/2021. . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 5.25 % P etroleos de Venezuela SA -Reg2007/2017. . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 6.375 % P etroleos Mexicanos -Reg- 2016/2021 USD 710 000 4.204 % Phosagro OAO via Phosagro Bond Funding Ltd -Reg- 2013/2018. . . . . . . USD 3.25 % P oland Government International Bond 2016/2026. . . . . . . . . . . . . . . . . USD 1 400 000 5.625 % P olyus Gold International Ltd -Reg- 2013/2020. . . . . . . . . . . . . . . . . USD 4.125 % P roven Honour Capital Ltd 2015/2025. . . . . . . . . . . . . . . . . . . . . . USD 1 300 000 9.125 % P rovincia de Buenos Aires/Argentina 2016/2024. . . . . . . . . . . . . . . . . . . . . . USD 1 125 000 3.375 % P TT PCL -Reg- 2012/2022. . . . . . . . . . USD 400 000 4.625 % Qatar Government International Bond -Reg- 2016/2046 . . . . . . . . . . . . USD 1 000 000 2.754 % QIB Sukuk Ltd 2015/2020. . . . . . . . . . USD 2.875 % QNB Finance Ltd 2013/2020. . . . . . . . USD 200 000 3.45 % Rizal Commercial Banking Corp 2015/2021. . . . . . . . . . . . . . . . . . . . . . USD 9.875 % R oad King Infrastructure Finance 2012 Ltd (MTN) 2012/2017. . . . . . . . . USD 6.25 % R oyal Capital BV 2015/2049 *. . . . . . . USD 5.10 % R ussian Agricultural Bank OJSC -Reg- 2013/2018. . . . . . . . . . . . . . . . . USD 4.875 % S amvardhana Motherson Automotive Systems Group BV 2016/2021. . . . . . USD 1 020 000 7.75 % S AN Miguel Industrias Pet SA -Reg- 2013/2020. . . . . . . . . . . . . . . . . USD 4.00 % S audi Electricity Global SUKUK Co. 3 -Reg- 2014/2024. . . . . . . . . . . . . . . . . USD 1 300 000 2.625 % S hinsegae Co., Ltd 2015/2045 *. . . . . USD 9.625 % Shui On Development Holding Ltd 2014/2019. . . . . . . . . . . . . . . . . . . . . . USD 700 000 4.25 % S M Investments Corp 2012/2019. . . . USD 4.875 % S outh Africa Government International Bond 2016/2026. . . . . . . . . . . . . . . . . USD 2 000 000 5.875 % S outhern Copper Corp. 2015/2045. . . USD 1 800 000 6.875 % S outhern Gas Corridor CJSC 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 6.85 % S ri Lanka Government International Bond 2015/2025. . . . . . . . . . . . . . . . . USD 6.439 % S tate Bank of India (MTN) 2007/2049 * USD 3.622 % S tate Bank of India -Reg- 2014/2019. USD 4.50 % S unshine Life Insurance Co., Ltd 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 800 000
1 750 000 3 000 000 1 200 000 1 000 000 1 000 000 1 200 000 400 000 1 000 000 1 300 000 2 000 000 1 750 000 1 500 000 600 000 1 240 000 6 100 000
4.375 % S wire Properties (MTN) Financing Limited 2014/2022 . . . . . . . . . . . . . . . 4.75 % TC Ziraat Bankasi AS (MTN) -Reg- 2016/2021. . . . . . . . . . . . . . . . . 5.50 % T elemar Norte Leste SA -Reg- 2010/2020. . . . . . . . . . . . . . . . . 3.375 % Tencent Holdings Ltd 2014/2019. . . . 5.75 % TML Holdings Pte Ltd 2014/2021. . . 5.25 % T rust F/1401 2015/2026. . . . . . . . . . . 6.625 % T upy Overseas SA -Reg- 2014/2024. . 7.85 % T urkiye Is Bankasi -Reg- 2013/2023. . 4.625 % V ale Overseas Ltd 2010/2020. . . . . . . 5.625 % Vale SA 2012/2042. . . . . . . . . . . . . . . 7.748 % Vimpel Communications Via VIP Finance Ireland Ltd OJSC -Reg- 2011/2021. . . . . . . . . . . . . . . . . 5.95 % VimpelCom Holdings BV -Reg- 2013/2023. . . . . . . . . . . . . . . . . 6.50 % West China Cement Ltd 2014/2019. . 8.50 % Yapi ve Kredi Bankasi AS (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . 7.125 % Zhaikmunai LLP 2012/2019. . . . . . . . .
USD
1 550 000
USD
750 000
750 000
USD USD USD USD USD USD 1 106 000 USD 750 000 USD 1 450 000
2 350 000 1 000 000 500 000 500 000 750 000 1 106 000 750 000 2 250 000
USD
500 000
500 000
USD USD 200 000
2 000 000 700 000
USD USD
2 700 000 400 000
2 700 000 400 000
USD USD 400 000 USD
400 000 1 300 000 800 000
USD
2 000 000
USD USD
1 200 000 150 000
1 200 000 1 450 000
USD
300 000
300 000
USD
1 100 000
1 600 000
USD
700 000
900 000
Securities admitted to or included in organized markets
2 000 000 1 800 000
Interest-bearing securities 6.50 % Ajecorp BV -Reg- 2012/2022. . . . . . . . 5.25 % Alfa SAB de CV -Reg- 2014/2024. . . . 9.00 % Axtel SAB de CV -Reg- 2013/2020 *. 7.375 % B Communications Ltd 144A 2014/2021. . . . . . . . . . . . . . . . . . . . . . 9.25 % Banco do Brasil SA -Reg2012/2049 * . . . . . . . . . . . . . . . . . . . . 9.75 % Banco Hipotecario SA 2015/2020. . . . 5.875 % Banco Nacional de Costa Rica -Reg- 2016/2021. . . . . . . . . . . . . . . . . 6.008 % BBVA Bancomer SA/Grand Cayman -Reg- 2007/2022 *. . . . . . . . . . . . . . . . 7.125 % Braskem America Finance Co. -Reg- 2011/2041. . . . . . . . . . . . . . . . . 4.50 % C elulosa Arauco y Constitucion 2014/2024. . . . . . . . . . . . . . . . . . . . . . 6.875 % C ent Elet Brasileiras SA 2009/2019 . . 3.75 % C ielo SA 2012/2022 . . . . . . . . . . . . . . 7.00 % CSN Islands XII Corp. 2010/2049. . . . 1.00 % G lobo Communicacoes Part 2015/2025. . . . . . . . . . . . . . . . . . . . . . 4.875 % Gold Fields Orogen Hold 2010/2020. . 4.75 % G rupo Aval Ltd 2012/2022 . . . . . . . . . 6.25 % G rupo KUO SaB de CV -Reg- 2012/2022. . . . . . . . . . . . . . . . . 5.875 % Intercorp Peru Ltd -Reg- 2015/2025. . 6.00 % ISBank 2012/2022. . . . . . . . . . . . . . . . 6.375 % Petroleos Mexicanos 2014/2045 . . . . 9.95 % Provincia de Buenos Aires 2015/2021. . . . . . . . . . . . . . . . . . . . . . 5.298 % Ras Laffan Liquefied Natural Gas Co., Ltd II -Reg- 2005/2020 . . . . . . . . . . . . 7.00 % R epublic of Angola Via Northern Lights III BV -Reg- 2012/2019. . . . . . . 5.375 % S amarco Mineracao SA -Reg- 2014/2024. . . . . . . . . . . . . . . . . 5.00 % Turkiye is Bankasi A.S 2014/2021. . . .
1 500 000
Unlisted securities
1 000 000 710 000 600 000 1 400 000 400 000 2 500 000 1 125 000 400 000 1 000 000 700 000 1 200 000 1 090 000 750 000 750 000 400 000 1 020 000 300 000 1 300 000 1 000 000 700 000 750 000
450 000 400 000 750 000 800 000
2 250 000
USD USD USD USD
800 700 1 000 750
USD USD 200 000 USD 700 000
1 400 000 800 000 1 200 000
USD USD USD USD 1 000 000
500 500 2 000 1 000
USD
1 000 000
600 000
000 000 000 000
000 000 000 000
USD
525 100
525 100
USD
1 312 500
1 312 500
USD USD 294 000
1 000 000 1 294 000
Interest-bearing securities 7.875 % Grupo Posadas SaB de CV 2015/2022. . . . . . . . . . . . . . . . . . . . . . USD 7.25 % Latam Airlines Group SA 2015/2020. . USD
300 000 1 200 000
111
Deutsche Invest I Emerging Markets Corporates Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Futures contracts
Value (’000)
Equity index futures Contracts sold (Underlying: S & P MINI 500 Futures) USD 5 286 875 Currency futures Contracts purchased BRL/USD USD 25 176 CHF/USD USD 213 CNY/USD USD 6 079 EUR/BRL USD 329 EUR/CNY USD 387 EUR/INR USD 386 EUR/RUB USD 398 EUR/USD USD 364 576 MXN/USD USD 2 581 SGD/USD USD 147 TWD/USD USD 4 497 Contracts sold EUR/BRL USD EUR/CNY USD EUR/INR USD EUR/RUB USD USD/BRL USD USD/CHF USD USD/CNY USD USD/EUR USD USD/INR USD USD/SGD USD USD/TWD USD Interest rate futures Contracts purchased (Underlyings: US Treasury Note 10-Year, US Treasury Note 5-Year) USD Contracts sold (Underlyings: US Treasury Note 10-Year, US Treasury Note 30-Year, US Treasury Note 5-Year) USD
112
326 314 315 320 20 447 315 2 994 495 369 4 373 217 2 246
79 315
69 211
Deutsche Invest I Emerging Markets IG Sovereign Debt Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
Securities traded on an exchange 186 736 464.00 Interest-bearing securities 3.25 % Banco Latinoamericano de Comercio Exterior SA -Reg- 2015/2020 *. . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 4 600 000 % 101.222 2 024 440.00 2.25 % Chile Government International Bond 2012/2022 *. USD 2 400 000 % 101.042 2 425 008.00 3.625 % Chile Government International Bond 2012/2042. . . USD 1 400 000 % 102.25 1 431 500.00 11.75 % Colombia Government International Bond 2000/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 500 000 % 132.248 3 306 200.00 7.375 % Colombia Government International Bond 2006/2037. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 500 000 900 000 % 129.895 3 247 375.00 6.125 % Colombia Government International Bond 2009/2041. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 400 000 600 000 % 115.395 3 923 430.00 4.375 % Colombia Government International Bond 2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 200 000 % 107.28 3 432 960.00 4.00 % Colombia Government International Bond 2013/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 700 000 % 104.2 4 897 400.00 5.625 % Colombia Government International Bond 2014/2044 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 200 000 1 800 000 % 110.565 2 432 430.00 5.00 % Colombia Government International Bond 2015/2045. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 700 000 % 103.617 2 797 659.00 4.75 % Corp Financiera de Desarrollo SA -Reg2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 105.613 1 056 130.00 3.75 % Corp Nacional del Cobre de Chile 2010/2020. . . . . . USD 700 000 % 107.006 749 042.00 4.25 % Corp Nacional del Cobre de Chile -Reg2012/2042. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 900 000 % 92.848 2 692 592.00 4.75 % Empresa de Transporte de Pasajeros Metro SA -Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 % 107.219 750 533.00 4.75 % Empresa Nacional del Petroleo -Reg- 2011/2021. . . USD 500 000 % 106.373 531 865.00 3.875 % Kazakhstan Government International Bond -Reg- 2014/2024 *. . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 800 000 % 101.174 1 517 610.00 6.05 % Mexico Government International Bond (MTN) 2008/2040. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 % 125.348 2 506 960.00 4.75 % Mexico Government International Bond (MTN) 2012/2044. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 000 000 1 800 000 % 107.158 4 286 320.00 3.625 % Mexico Government International Bond 2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 200 000 % 105.295 2 316 490.00 4.00 % Mexico Government International Bond 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 500 000 1 200 000 % 107.435 3 760 225.00 3.60 % Mexico Government International Bond 2014/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 % 104.318 1 043 180.00 5.25 % Namibia International Bonds 2015/2025. . . . . . . . . . USD 1 500 000 % 102.03 1 530 450.00 5.50 % Namibia International Bonds -Reg- 2011/2021. . . . . USD 1 800 000 1 200 000 % 105.827 1 904 886.00 3.75 % Panama Government Bond 2015/2025. . . . . . . . . . USD 3 000 000 % 105.219 3 156 570.00 7.125 % Panama Government International Bond 2005/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 600 000 2 100 000 1 500 000 % 131.49 4 733 640.00 6.70 % Panama Government International Bond 2006/2036. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 500 000 % 132.775 4 647 125.00 4.30 % Panama Government International Bond 2013/2053. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 500 000 2 500 000 % 99.573 2 489 325.00 4.00 % Panama Government International Bond 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 000 000 % 106.753 3 202 590.00 8.75 % Peruvian Government International Bond 2003/2033. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 5 200 000 1 600 000 % 156.678 8 147 256.00 7.35 % Peruvian Government International Bond 2005/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 6 600 000 % 136.028 8 977 848.00 6.55 % Peruvian Government International Bond 2007/2037. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 800 000 % 134.18 2 415 240.00 5.625 % Peruvian Government International Bond 2010/2050. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 5 900 000 800 000 % 123.667 7 296 353.00 3.50 % Petroleos Mexicanos 2013/2023. . . . . . . . . . . . . . . . USD 2 600 000 % 94.09 2 446 340.00 5.25 % Petronas Capital Ltd -Reg- 2009/2019 . . . . . . . . . . . USD 4 200 000 700 000 % 110.461 4 639 362.00 10.625 % Philippine Government International Bond 2000/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 400 000 600 000 % 164.875 2 308 250.00 9.50 % Philippine Government International Bond 2005/2030. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 700 000 300 000 % 171.479 2 915 143.00 7.75 % Philippine Government International Bond 2006/2031. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 1 000 000 % 155.396 3 107 920.00 6.375 % Philippine Government International Bond 2009/2034. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 800 000 % 145.552 2 911 040.00 4.00 % Philippine Government International Bond 2010/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 % 109.663 657 978.00 5.00 % Philippine Government International Bond 2012/2037. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 200 000 % 129.323 1 551 876.00 3.95 % Philippine Government International Bond -Reg2015/2040. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 % 115.187 1 727 805.00 5.125 % Poland Government International Bond 2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 100 000 1 000 000 % 112.65 3 492 150.00 5.00 % Poland Government International Bond 2011/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 5 000 000 1 000 000 % 112.788 5 639 400.00 4.00 % Poland Government International Bond 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 600 000 1 000 000 % 108.138 3 892 968.00 7.39 % Power Sector Assets & Liabilities Management Corp. -Reg- 2009/2024 . . . . . . . . . . . . . . . . . . . . . . . USD 1 700 000 % 135.795 2 308 515.00
% of net assets
76.71
0.83 1.00 0.59 1.36 1.33 1.61 1.41 2.01 1.00 1.15 0.43 0.31 1.11 0.31 0.22 0.62 1.03 1.76 0.95 1.54 0.43 0.63 0.78 1.30 1.94 1.91 1.02 1.32 3.35 3.69 0.99 3.00 1.00 1.91 0.95 1.20 1.28 1.20 0.27 0.64 0.71 1.43 2.32 1.60 0.95
113
Deutsche Invest I Emerging Markets IG Sovereign Debt Description
7.25 % Power Sector Assets and Liabilities Management Corp. 2015/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.00 % Republic of Poland 2012/2023 *. . . . . . . . . . . . . . . . 6.75 % Romanian Government International Bond (MTN) -Reg- 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.125 % Romanian Government International Bond (MTN) -Reg- 2014/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.875 % Romanian Government International Bond -Reg(MTN) 2014/2024 *. . . . . . . . . . . . . . . . . . . . . . . . . . 4.375 % Romanian Government International Bond -Reg2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.875 % South Africa Government International Bond 2007/2022 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.875 % South Africa Government International Bond 2009/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.50 % South Africa Government International Bond 2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.25 % South Africa Government International Bond 2011/2041. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.665 % South Africa Government International Bond 2012/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.875 % South Africa Government International Bond 2013/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.375 % South Africa Government International Bond 2014/2044 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.00 % Transnet Ltd -Reg- 2012/2022. . . . . . . . . . . . . . . . . . 4.50 % Uruguay Government International Bond 2013/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
114
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
% of net assets
USD USD
1 300 000 4 300 000
% %
115.622 101.828
1 503 086.00 4 378 604.00
0.62 1.80
USD
6 000 000
1 000 000
%
118.55
7 113 000.00
2.92
USD
4 000 000
%
125.169
5 006 760.00
2.06
USD
4 300 000
1 100 000
3 700 000
%
110.55
4 753 650.00
1.95
USD
5 200 000
1 500 000
%
107.065
5 567 380.00
2.29
USD
1 000 000
%
111.298
1 112 980.00
0.46
USD
1 800 000
1 400 000
%
111.519
2 007 342.00
0.82
USD
3 000 000
%
108.068
3 242 040.00
1.33
USD
1 000 000
1 000 000
%
116.013
1 160 130.00
0.48
USD
2 300 000
1 000 000
%
103.544
2 381 512.00
0.98
USD
3 000 000
2 900 000
%
111.199
3 335 970.00
1.37
USD USD
1 500 000 600 000 4 400 000
% %
104.649 95.444
1 569 735.00 4 199 536.00
0.64 1.73
USD
2 000 000
%
108.768
2 175 360.00
0.89
2 000 000
Securities admitted to or included in organized markets 41 405 158.00 Interest-bearing securities 3.875 % Banco del Estado de Chile -Reg- 2012/2022. . . . . . . USD 2 100 000 800 000 % 106.782 2 242 422.00 4.75 % Corp Financiera de Desarrollo SA 2012/2022 * . . . . USD 1 800 000 % 106.941 1 924 938.00 3.00 % Corp Nacional del Cobre de Chile -Reg2012/2022 *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 6 000 000 1 800 000 % 99.11 5 946 600.00 4.50 % Corp Nacional del Cobre de Chile -Reg2013/2023 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 900 000 % 106.005 3 074 145.00 5.625 % Corp Nacional del Cobre de Chile -Reg2013/2043 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 400 000 600 000 % 112.298 2 695 152.00 3.50 % Fondo MIVIVIENDA SA -Reg- 2013/2023. . . . . . . . . USD 1 700 000 % 99.999 1 699 983.00 4.875 % Petroleos Mexicanos (MTN) 2012/2022. . . . . . . . . . USD 2 300 000 1 000 000 2 400 000 % 102.298 2 352 854.00 6.625 % Petroleos Mexicanos 2006/2035. . . . . . . . . . . . . . . . USD 1 500 000 % 103.014 1 545 210.00 5.50 % Petroleos Mexicanos 2010/2021. . . . . . . . . . . . . . . . USD 3 300 000 2 100 000 % 105.544 3 482 952.00 6.50 % Petroleos Mexicanos 2011/2041. . . . . . . . . . . . . . . . USD 600 000 1 000 000 % 100.688 604 128.00 6.375 % Petroleos Mexicanos 2014/2045. . . . . . . . . . . . . . . . USD 1 800 000 % 99.5 1 791 000.00 3.50 % Petroleos Mexicanos 2016/2020. . . . . . . . . . . . . . . . USD 1 200 000 1 200 000 % 99.775 1 197 300.00 4.50 % Petroleos Mexicanos 2016/2026. . . . . . . . . . . . . . . . USD 700 000 700 000 % 96.103 672 721.00 3.125 % Petronas Capital Ltd 2015/2022 . . . . . . . . . . . . . . . . USD 2 500 000 500 000 % 103.77 2 594 250.00 3.50 % Petronas Capital Ltd 2015/2025 *. . . . . . . . . . . . . . . USD 5 200 000 % 105.365 5 478 980.00 4.50 % Petronas Capital Ltd 2015/2045 . . . . . . . . . . . . . . . . USD 3 700 000 500 000 % 110.879 4 102 523.00
17.01
Total securities portfolio 228 141 622.00 Derivatives (Minus signs denote short positions) Currency derivatives -3 462 757.61 Receivables/payables Currency futures Currency futures (short) Closed positions USD/EUR 0.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -92.48 Currency futures (long) Open positions EUR/USD 218.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 462 665.13 Cash at bank 15 518 483.29 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 010 114 511.17 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 15 403 972.12 Other assets 3 382 497.19 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 382 497.19
93.72
0.92 0.79 2.44 1.26 1.11 0.70 0.97 0.63 1.43 0.25 0.74 0.49 0.28 1.07 2.25 1.69
-1.42
0.00
-1.42 6.37 0.05
6.33 1.39 1.39
Deutsche Invest I Emerging Markets IG Sovereign Debt Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
% of net assets
Total assets ** 247 042 602.48 101.48 Other liabilities -139 126.09 -0.06 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -139 126.09 -0.06 Total liabilities -3 601 883.70 -1.48 Net assets 243 440 718.78 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class IDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.28 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 109.91 Number of shares outstanding Class IDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 162 040 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Composition of the reference portfolio (according to CSSF circular 11/512) JPM EMBI Global Diversified Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 36.367 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 41.698 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 38.744 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations
Contracting party for currency futures State Street Bank and Trust Company
Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
Securities loans Total market value in USD Perpetual
3.25 2.25 5.625 4.75 3.00 4.50 5.625 3.875 3.50 3.00 4.875 5.875 5.375 4.50
USD USD USD USD USD USD USD USD USD USD USD USD USD USD
506 110.00 2 425 008.00 1 326 780.00 1 604 115.00 2 675 970.00 2 120 100.00 2 245 960.00 1 517 610.00 4 636 060.00 2 545 700.00 4 532 550.00 1 112 980.00 1 569 735.00 1 087 680.00
% Banco Latinoamericano de Comercio Exterior SA -Reg- 2015/2020 % Chile Government International Bond 2012/2022 % Colombia Government International Bond 2014/2044 % Corp Financiera de Desarrollo SA 2012/2022 % Corp Nacional del Cobre de Chile -Reg- 2012/2022 % Corp Nacional del Cobre de Chile -Reg- 2013/2023 % Corp Nacional del Cobre de Chile -Reg- 2013/2043 % Kazakhstan Government International Bond -Reg- 2014/2024 % Petronas Capital Ltd 2015/2025 % Republic of Poland 2012/2023 % Romanian Government International Bond -Reg- (MTN) 2014/2024 % South Africa Government International Bond 2007/2022 % South Africa Government International Bond 2014/2044 % Uruguay Government International Bond 2013/2024
500 000 2 400 000 1 200 000 1 500 000 2 700 000 2 000 000 2 000 000 1 500 000 4 400 000 2 500 000 4 100 000 1 000 000 1 500 000 1 000 000
Total
Total receivables from securities loans 29 906 358.00 29 906 358.00 Contracting parties for securities loans Barclays Capital Securities Limited, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI Total collateral pledged by third parties for securities loans thereof: Bonds Equities
USD 33 862 239.39 USD 31 638 367.36 USD 2 223 872.02
115
Deutsche Invest I Emerging Markets IG Sovereign Debt Exchange rates (indirect quotes) Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR
As of: June 30, 2016
0.899564 = USD
1
Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Some or all of these securities are lent. ** Does not include positions with a negative balance, if such exist.
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
Securities traded on an exchange Interest-bearing securities 7.375 % Colombia Government International Bond 2009/2019. . . . . . . . . . . . . . . . . 2.625 % Colombia Government International Bond 2013/2023. . . . . . . . . . . . . . . . . 3.875 % Corp Nacional del Cobre de Chile -Reg- 2011/2021. . . . . . . . . . . . . . . . . 4.125 % Development Bank of Kazakhstan JSC 2012/2022. . . . . . . . . . . . . . . . . . 2.875 % Export-Import Bank of Malaysia Bhd (MTN) 2012/2017. . . . . . . . . . . . . 5.50 % Namibia International Bonds -Reg2011/2021. . . . . . . . . . . . . . . . . . . . . . 3.50 % Petroleos Mexicanos 2015/2020 . . . . 4.50 % Petroleos Mexicanos 2015/2026 . . . . 7.875 % Petronas Capital Ltd 2002/2022. . . . . 5.50 % Philippine Government International Bond 2011/2026. . . . . . . . . . . . . . . . . 4.75 % Republic of Azerbaijan International Bond -Reg- 2014/2024 . . . . . . . . . . . .
116
Futures contracts
options Value (’000)
Currency futures (short)
USD
1 200 000
USD
3 500 000
USD
2 800 000
USD
1 600 000
USD
1 300 000
USD 500 000 USD USD USD
500 1 200 700 1 500
USD
900 000
1 900 000
USD
1 600 000
000 000 000 000
Futures contracts to sell currencies USD/EUR USD 1 685 547 Currency futures (long) Futures contracts to purchase currencies EUR/USD USD
1 393 650
Deutsche Invest I Emerging Markets Satellites Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 3 892 937.37 Equities Dubai Islamic Bank PJSC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 76 135 20 955 284 820 AED 5.11 95 280.62 Emaar Malls Group PJSC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 128 687 377 513 AED 2.82 88 875.71 Emaar Properties PJSC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 60 214 176 786 AED 6.2 91 429.95 Grupo de Inversiones Suramericana SA. . . . . . . . . . . . . . . . . . Count 19 271 77 819 COP 38 060 225 329.32 Hikma Pharmaceuticals Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 507 18 493 GBP 24.36 103 259.86 Savannah Petroleum Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 228 000 GBP 0.236 350 661.96 NagaCorp Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 126 000 726 000 HKD 5.16 75 379.31 Hanjaya Mandala Sampoerna Tbk PT. . . . . . . . . . . . . . . . . . . . Count 193 500 252 000 124 000 IDR 3 800 50 062.40 Ayala Land, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 134 100 1 375 900 PHP 38.8 99 484.64 BDO Unibank, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 118 030 47 380 445 750 PHP 112 252 758.60 Globe Telecom, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 705 5 795 4 090 PHP 2 372 77 327.61 GT Capital Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 250 3 635 30 385 PHP 1 440 227 149.59 International Container Terminal Services, Inc.. . . . . . . . . . . . . Count 177 930 86 060 420 130 PHP 61.5 209 228.00 Jollibee Foods Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 160 51 780 36 620 PHP 242 70 147.16 Megaworld Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 242 000 1 157 000 10 871 000 PHP 4.65 199 335.24 SM Investments Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 810 31 680 19 870 PHP 967 218 359.40 Universal Robina Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 63 120 25 420 328 300 PHP 208 251 030.12 CP ALL PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 176 400 79 600 426 000 THB 50.25 226 915.91 Minor International PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 79 700 219 800 THB 40.25 82 121.05 Credicorp Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 829 5 421 USD 154.33 253 919.54 Grupo Financiero Galicia SA -ADR-. . . . . . . . . . . . . . . . . . . . . . Count 8 555 53 445 USD 30.9 237 799.29 Pampa Energia SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 356 17 141 8 785 USD 27.03 203 177.94 YPF SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 678 54 822 USD 19.41 203 904.15
76.76
Investment fund units 481 612.45 In-group fund units db x-trackers - FTSE Vietnam ETF -1C- EUR - (0.650%). . . . . . Units 11 552 3 776 58 224 EUR 21.32 246 288.64 db x-trackers - MSCI Pakistan IM Index UCITS ETF -1C- EUR - (0.650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 36 377 36 377 USD 1.982 64 841.50 db x-trackers - MSCI Pakistan IM TRN Index ETF -1C- EUR - (0.650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 95 643 135 591 346 948 USD 1.982 170 482.31 Total securities portfolio 4 374 549.82 Derivatives (Minus signs denote short positions) Derivatives on individual securities 250 976.30 Warrants on securities Equity warrants Almarai Co. 13/09/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 5 015 30 354 USD 14.5988 13.13 Mouwasat Medical Services Co. 29/01/2020. . . . . . . . . . . . . . Count 4 043 18 000 13 957 USD 34.3306 124 858.24 Samba Financial Group 27/09/2016. . . . . . . . . . . . . . . . . . . . . . Count 26 419 77 521 USD 5.3062 126 104.93 Cash at bank 218 020.35 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 117 809.41 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 573 692.72 Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 129 29.09 Czech koruna. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CZK 3 997 147.45 Hungarian forint. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HUF 33 0.10 Deposits in non-EU/EEA currencies Egyptian pound. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EGP 1 0.09 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 79 245 9 187.65 Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 556 975 37.92 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 162 112.00 Colombian peso. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . COP 180 201 171 55 360.79 Malaysian ringgit. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 1 0.22 Peruvian nuevo sol . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PEN 1 598 436.52 Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 603 863 11 546.06 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 0 0.23 South African rand. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 33 001 2 017.08 Thai baht. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 4 312 110.37 Turkish lira. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 173 53.80 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 903 3 510.68 UAE dirham. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AED 69 284 16 968.17
9.49
1.88 1.75 1.80 4.44 2.04 6.91 1.49 0.99 1.96 4.98 1.52 4.48 4.13 1.38 3.93 4.31 4.95 4.47 1.62 5.01 4.69 4.01 4.02
4.85 1.28 3.36 86.25
4.95
0.00 2.46 2.49 4.30 2.33
0.01 0.00 0.00 0.00
0.00 0.18 0.00 0.00 1.09 0.00 0.01 0.24 0.00 0.04 0.00 0.00 0.07 0.33
117
Deutsche Invest I Emerging Markets Satellites Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Other assets 255 225.84 5.03 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 838.98 0.10 Receivables from exceeding the expense cap. . . . . . . . . . . . . 37 594.31 0.74 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 212 792.55 4.19 Receivables from share certificate transactions 3 841.60 0.08 Total assets 5 102 613.91 100.61 Other liabilities -30 895.95 -0.61 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -30 895.95 -0.61 Total liabilities -30 895.95 -0.61 Net assets 5 071 717.96 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.01 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 96.26 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 95.13 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92.98 Class SGD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 8.01 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 929 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 31 725 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 706 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 533 Class SGD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 531 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI EM (EMERGING MARKETS) Constituents (January 1, 2016 - March 30, 2016) Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 77.601 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 104.814 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 87.988 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI FRONTIER EMERGING MARKETS Index in euro (March 31, 2016 - June 30, 2016) Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 116.610 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 147.716 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 127.185 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.1, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 252 052.84 as of the reporting date.
118
Deutsche Invest I Emerging Markets Satellites Exchange rates (indirect quotes) As of: June 30, 2016 UAE dirham. . . . . . . . . . . . . . . . . . . . . AED 4.083200 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Colombian peso. . . . . . . . . . . . . . . . . . COP 3 255.032438 = EUR 1 Czech koruna. . . . . . . . . . . . . . . . . . . . CZK 27.108521 = EUR 1 Egyptian pound. . . . . . . . . . . . . . . . . . EGP 9.871393 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Hungarian forint. . . . . . . . . . . . . . . . . . HUF 316.719933 = EUR 1 Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687.670916 = EUR 1 Kenyan shilling. . . . . . . . . . . . . . . . . . . KES 112.387779 = EUR 1 Malaysian ringgit. . . . . . . . . . . . . . . . . MYR 4.481616 = EUR 1 Nigerian naira. . . . . . . . . . . . . . . . . . . . NGN 314.318937 = EUR 1 Peruvian nuevo sol . . . . . . . . . . . . . . . PEN 3.660607 = EUR 1 Philippine peso . . . . . . . . . . . . . . . . . . PHP 52.300337 = EUR 1 Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 4.417251 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 Thai baht. . . . . . . . . . . . . . . . . . . . . . . THB 39.063368 = EUR 1 Turkish lira. . . . . . . . . . . . . . . . . . . . . . TRY 3.206442 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 South African rand. . . . . . . . . . . . . . . . ZAR 16.360704 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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 valued to a small portion at derived market values. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period.
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 Derivatives (option premiums realized in opening transactions, or total Count/ Purchases/ Sales/ Description units/ transactions; in the case of warrants, purchases and sales are shown) additions disposals currency Securities traded on an exchange Equities 7-Eleven Malaysia Holdings Bhd. . . . . . . . . . . . . . Count ABS-CBN Holdings Corp. . . . . . . . . . . . . . . . . . . . Count Aspen Pharmacare Holdings Ltd. . . . . . . . . . . . . . Count DMCI Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count Dubai Islamic Bank PJSC -Rights Exp 20Jun16 . . Count 20 955 FBN Holdings Plc. . . . . . . . . . . . . . . . . . . . . . . . . . Count InRetail Peru Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count InRetail Peru Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 9 860 Kasikornbank PCL. . . . . . . . . . . . . . . . . . . . . . . . . Count Robinsons Retail Holdings Inc. . . . . . . . . . . . . . . . Count
1 231 396 32 3 722 20 2 000 9 24 70 561
900 000 952 000 955 000 860 700 000 000
options
Additions Warrants Warrants on securities Equity warrants Al Mouwasat Medical Services Co. 11/02/2016 Count
Disposals
18 000
119
Deutsche Invest I Emerging Markets Sovereign Debt Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
Securities traded on an exchange 43 357 820.42 Interest-bearing securities 9.50 % Angolan Government International Bond 2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 200 000 % 99.021 396 084.00 2.50 % Argentina Government International Bond 2005/2038 * **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 200 000 % 67.55 675 500.00 6.875 % Argentine Republic Government International Bond -Reg- 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 106.091 212 182.00 7.50 % Argentine Republic Government International Bond -Reg- 2016/2026 . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 % 108.593 651 558.00 0.00 % Banco Nacional de Desenvolvimento Economico e Social -Reg- 2010/2020 . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 102.287 204 574.00 5.625 % Brazilian Government International Bond 2009/2041. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 100 000 % 95.995 575 970.00 2.625 % Brazilian Government International Bond 2012/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 90.993 272 979.00 4.25 % Brazilian Government International Bond 2013/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 98.028 294 084.00 11.75 % Colombia Government International Bond 2000/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 132.248 264 496.00 6.125 % Colombia Government International Bond 2009/2041. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 650 000 % 115.395 750 067.50 4.50 % Colombia Government International Bond 2015/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 107.2 536 000.00 6.75 % Croatia 2015/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 109.033 218 066.00 6.625 % Croatia Government International Bond -Reg2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 109.319 218 638.00 5.50 % Croatia Government International Bond -Reg2013/2023 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 500 000 % 106.137 849 096.00 6.85 % Dominican Republic International Bond 2015/2045. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 103.181 412 724.00 5.50 % Dominican Republic International Bond -Reg2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 900 000 300 000 % 102.04 918 360.00 7.50 % Dominican Republic International Bond -Reg2010/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 111.022 222 045.00 5.875 % Dominican Republic International Bond -Reg2013/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 104.606 104 606.00 7.625 % El Salvador Government International Bond -Reg- 2011/2041 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 90.477 271 431.00 6.375 % El Salvador Government International Bond -Reg- 2014/2027 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 165 000 % 88.928 355 714.00 4.75 % Empresa de Transporte de Pasajeros Metro SA -Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 107.219 214 438.00 5.75 % Eskom Holdings SOC Ltd -Reg- 2011/2021 . . . . . . . USD 800 000 % 98.702 789 616.00 5.00 % Export Credit Bank of Turkey -Reg- 2014/2021 . . . . USD 500 000 500 000 % 102.958 514 790.00 6.375 % Gabonese Republic -Reg- 2013/2024. . . . . . . . . . . . USD 900 000 % 86.316 776 844.00 8.125 % Ghana Government International Bond -Reg- 2014/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 700 000 400 000 % 85.987 257 961.00 7.625 % Hungary Government International Bond 2011/2041. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 145.4 290 800.00 5.375 % Hungary Government International Bond 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 % 111.91 447 640.00 3.75 % Indonesia Government International Bond -Reg- 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 800 000 200 000 % 103.61 621 660.00 5.25 % Indonesia Government International Bond -Reg- 2012/2042 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 % 106.706 746 942.00 6.375 % Instituto Costarricense de Electricidad 2013/2043. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 78.176 234 528.00 6.95 % Instituto Costarricense de Electricidad -Reg- 2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 103.892 207 784.00 5.75 % Ivory Coast Government International Bond -Reg- 2010/2032 *. . . . . . . . . . . . . . . . . . . . . . . . . . . USD 594 000 6 000 % 93.285 554 112.90 7.625 % Jamaica Government International Bond 2014/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 111.745 335 235.00 4.625 % KazAgro National Management Holding JSC 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 % 91.688 366 752.00 3.875 % Kazakhstan Government International Bond -Reg- 2014/2024 **. . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 101.174 505 870.00 4.875 % Kazakhstan Government International Bond -Reg- 2014/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 440 000 % 97.872 430 636.80 9.125 % KazMunayGas National Co. JSC (MTN) 2008/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 110.952 332 856.00 7.00 % KazMunayGas National Co. JSC -Reg2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 110.266 220 532.00 6.375 % KazMunayGas National Co. JSC -Reg2010/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 109.417 328 251.00 6.875 % Kenya Government International Bond -Reg2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 800 000 800 000 % 92.963 743 704.00 4.75 % Mexico Government International Bond (MTN) 2012/2044. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 300 000 200 000 % 107.158 750 106.00 3.625 % Mexico Government International Bond 2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 105.295 315 885.00
120
% of net assets
87.35
0.80 1.36 0.43 1.31 0.41 1.16 0.55 0.59 0.53 1.51 1.08 0.44 0.44 1.71 0.83 1.85 0.45 0.21 0.55 0.72 0.43 1.59 1.04 1.57 0.52 0.59 0.90 1.25 1.50 0.47 0.42 1.12 0.68 0.74 1.02 0.87 0.67 0.44 0.66 1.50 1.51 0.64
Deutsche Invest I Emerging Markets Sovereign Debt Description
3.60 % Mexico Government International Bond 2014/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.25 % MFB Magyar Fejlesztesi Bank Zrt 2013/2020. . . . . . 5.50 % M orocco Government International Bond -Reg- 2012/2042 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.25 % Namibia International Bonds 2015/2025. . . . . . . . . . 4.75 % Oman Government International Bond -Reg- 2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.25 % Pakistan Government International Bond -Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.125 % Panama Government International Bond 2005/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.70 % Panama Government International Bond 2006/2036. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.30 % Panama Government International Bond 2013/2053. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.25 % Pertamina Persero PT -Reg- 2011/2021. . . . . . . . . . 6.50 % Pertamina Persero PT -Reg- 2011/2041. . . . . . . . . . 8.75 % Peruvian Government International Bond 2003/2033. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.35 % Peruvian Government International Bond 2005/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.625 % Peruvian Government International Bond 2010/2050. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.75 % Petroleos de Venezuela SA -Reg- 2012/2035. . . . . . 3.50 % Petroleos Mexicanos 2013/2023. . . . . . . . . . . . . . . . 6.00 % Petroleum Co. of Trinidad & Tobago Ltd -Reg- 2007/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.625 % Philippine Government International Bond 2000/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.375 % Philippine Government International Bond 2009/2034. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.00 % Poland Government International Bond 2011/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.75 % Republic of Honduras -Reg- 2013/2020 . . . . . . . . . . 4.75 % Republic of Indonesia 2015/2026 **. . . . . . . . . . . . . 6.75 % Republic of Serbia -Reg- 2005/2024 *. . . . . . . . . . . . 6.75 % Romanian Government International Bond (MTN) -Reg- 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.125 % Romanian Government International Bond (MTN) -Reg- 2014/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.50 % Russian Foreign Bond - Eurobond -Reg- 2000/2030 * **. . . . . . . . . . . . . . . . . . . . . . . . 5.625 % Russian Foreign Bond - Eurobond -Reg- 2012/2042 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.875 % Russian Foreign Bond - Eurobond -Reg- 2013/2023 **. . . . . . . . . . . . . . . . . . . . . . . . . . 6.25 % Senegal Government International Bond -Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.875 % South Africa Government International Bond 2007/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.25 % South Africa Government International Bond 2011/2041. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.875 % Southern Gas Corridor CJSC 2016/2026. . . . . . . . . . 6.25 % Sri Lanka Government International Bond -Reg- 2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.25 % Sri Lanka Government International Bond -Reg- 2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00 % Sri Lanka Government International Bond -Reg- 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.125 % State Grid Overseas Investment 2014 Ltd -Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.75 % State Oil Co. of the Azerbaijan Republic 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.625 % Turkey Government International Bond 2010/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00 % Turkey Government International Bond 2011/2041. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.875 % Turkey Government International Bond 2013/2043 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.75 % Turkey Government International Bond 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75 % Ukraine Government International Bond 2015/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00 % Ukraine Government International Bond 2015/2040 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75 % Ukraine Government International Bond -Reg- 2015/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75 % Ukraine Government International Bond -Reg- 2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75 % Ukraine Government International Bond -Reg- 2015/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
% of net assets
USD USD
600 000 800 000
600 000 200 000
% %
104.318 110.738
625 908.00 885 900.00
1.26 1.77
USD USD
300 000 800 000 400 000
% %
107.581 102.03
322 743.00 816 240.00
0.65 1.64
USD
600 000
600 000
%
99.1
594 600.00
1.20
USD
400 000
400 000
%
105.875
423 500.00
0.85
USD
400 000
400 000
%
131.49
525 960.00
1.06
USD
300 000
%
132.775
398 325.00
0.80
USD USD USD
200 000 800 000 500 000 500 000 500 000
% % %
99.573 107.395 106.764
199 146.00 859 160.00 533 820.00
0.40 1.73 1.08
USD
400 000
%
156.678
626 712.00
1.26
USD
400 000
%
136.028
544 112.00
1.10
USD USD USD
500 000 800 000 200 000
% % %
123.667 40.85 94.09
618 335.00 326 800.00 188 180.00
1.25 0.66 0.38
USD
150 000
12 500
%
97.25
145 875.00
0.29
USD
300 000
400 000
%
164.875
494 625.00
1.00
USD
500 000
%
145.552
727 760.00
1.47
USD USD USD USD
300 300 700 350
000 000 300 000 000 700 000 159 20 598
% % % %
112.788 113.56 108.792 103.183
338 340 761 361
364.00 681.50 544.00 304.88
0.68 0.69 1.53 0.73
USD
500 000
%
118.55
592 750.00
1.19
USD
150 000
%
125.169
187 753.50
0.38
USD
113 000
6 000
%
122.238
138 128.94
0.28
USD
200 000
%
113.509
227 018.00
0.46
USD
400 000
400 000
%
109.225
436 900.00
0.88
USD
500 000
%
95.461
477 305.00
0.96
USD
200 000
%
111.298
222 596.00
0.45
USD USD
200 000 800 000 800 000
% %
116.013 108.125
232 026.00 865 000.00
0.47 1.74
USD
300 000
%
102.296
306 888.00
0.62
USD
900 000
%
100.844
907 596.00
1.83
USD
200 000
%
102.196
204 392.00
0.41
USD
700 000
%
110.499
773 493.00
1.56
USD
400 000
%
95.954
383 816.00
0.77
USD
200 000
250 000
%
109.231
218 462.00
0.44
USD
200 000
300 000
%
112.112
224 224.00
0.45
USD
600 000
600 000
%
97.755
586 530.00
1.18
USD
450 000
200 000
%
111.529
501 880.50
1.01
USD
110 000
110 000
%
94.94
104 434.00
0.21
USD
220 000
220 713
713
%
32.773
72 100.60
0.15
USD
400 000
400 000
%
98.875
395 500.00
0.80
USD
140 000
140 000
%
97.878
137 029.20
0.28
USD
110 000
110 000
%
97.378
107 115.80
0.22
121
Deutsche Invest I Emerging Markets Sovereign Debt Description
7.75 % U kraine Government International Bond -Reg- 2015/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75 % Ukraine Government International Bond -Reg- 2015/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75 % Ukraine Government International Bond -Reg- 2015/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75 % Ukraine Government International Bond -Reg- 2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75 % Ukraine Government International Bond -Reg- 2015/2027 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.125 % Uruguay Government International Bond 2012/2045 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.50 % Uruguay Government International Bond 2013/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.25 % Venezuela Government International Bond 1997/2027. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.00 % Venezuela Government International Bond -Reg- 2007/2038 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.80 % Vietnam Government International Bond -Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.45 % Vnesheconombank -Reg- 2010/2017 . . . . . . . . . . . . 6.902 % Vnesheconombank -Reg- 2010/2020 . . . . . . . . . . . . 6.80 % Vnesheconombank -Reg- 2010/2025 . . . . . . . . . . . . 5.942 % Vnesheconombank Via VEB Finance Plc -Reg- 2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.375 % Zambia Government International Bond -Reg- 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
% of net assets
USD
110 000
110 000
%
96.815
106 496.50
0.21
USD
110 000
110 000
%
96.503
106 153.30
0.21
USD
110 000
110 000
%
96.163
105 779.30
0.21
USD
110 000
110 000
%
95.652
105 217.20
0.21
USD
110 000
110 000
%
94.65
104 115.00
0.21
USD
500 000
%
90.23
451 150.00
0.91
USD
400 000
%
108.768
435 072.00
0.88
USD
900 000
%
48.708
438 372.00
0.88
USD
500 000
500 000
%
40.105
200 525.00
0.40
USD USD USD USD
900 400 600 250
000 000 000 000 250 000
% % % %
103.39 103.256 108.749 110.278
930 413 652 275
510.00 024.00 494.00 695.00
1.87 0.82 1.31 0.56
USD
350 000
%
104.542
365 897.00
0.74
USD
400 000
%
78.417
313 668.00
0.63
300 000
Securities admitted to or included in organized markets 3 986 583.00 Interest-bearing securities 6.25 % Banco Nacional de Costa Rica -Reg- 2013/2023. . . . USD 200 000 % 101.242 202 484.00 4.75 % Corp Financiera de Desarrollo SA 2012/2022. . . . . . USD 500 000 % 106.941 534 705.00 3.00 % Corp Nacional del Cobre de Chile -Reg- 2012/2022 USD 350 000 % 99.11 346 885.00 5.625 % Corp Nacional del Cobre de Chile -Reg- 2013/2043 ** USD 600 000 % 112.298 673 788.00 6.625 % Croatia 2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 109.319 218 638.00 4.875 % Petroleos Mexicanos (MTN) 2012/2022. . . . . . . . . . USD 400 000 % 102.298 409 192.00 6.50 % Petroleos Mexicanos 2011/2041. . . . . . . . . . . . . . . . USD 400 000 % 100.688 402 752.00 4.25 % Petroleos Mexicanos 2016/2025. . . . . . . . . . . . . . . . USD 700 000 700 000 % 95.902 671 314.00 3.50 % Petronas Capital Ltd 2015/2025 . . . . . . . . . . . . . . . . USD 500 000 500 000 % 105.365 526 825.00
8.03 0.41 1.08 0.70 1.36 0.44 0.82 0.81 1.35 1.06
Total securities portfolio 47 344 403.42 95.38 Derivatives (Minus signs denote short positions) Currency derivatives -708 787.32 -1.43 Receivables/payables Currency futures Currency futures (short) Closed positions USD/EUR 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 698.41 0.00 Currency futures (long) Open positions EUR/USD 44.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -709 485.73 -1.43 Cash at bank 2 384 521.65 4.80 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 83 925 93 295.23 0.19 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 291 226.42 4.62 Other assets 1 699 632.21 3.42 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 743 350.04 1.50 Receivables from exceeding the expense cap. . . . . . . . . . . . . 17 581.75 0.04 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 938 700.42 1.89 Receivables from share certificate transactions 5 713.63 0.01 Total assets *** 51 434 969.32 103.61
122
Deutsche Invest I Emerging Markets Sovereign Debt Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
% of net assets
Other liabilities -1 065 690.91 -2.14 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 065 690.91 -2.14 Liabilities from share certificate transactions -21 409.40 -0.04 Total liabilities -1 796 586.04 -3.61 Net assets 49 638 383.28 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class IDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103.25 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102.83 Class USD IC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 108.46 Number of shares outstanding Class IDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 161 033 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 272 443 Class USD IC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 Composition of the reference portfolio (according to CSSF circular 11/512) JPM EMBI Global Diversified Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 25.847 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 35.751 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 30.216 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations
Contracting parties for currency futures State Street Bank and Trust Company and State Street Bank London
Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
2.50 5.625 5.50 3.875 4.75 7.50 4.875 4.875 4.125
USD USD USD USD USD USD USD USD USD
% % % % % % % % %
Argentina Government International Bond 2005/2038 * orp Nacional del Cobre de Chile -Reg- 2013/2043 C Croatia Government International Bond -Reg- 2013/2023 Kazakhstan Government International Bond -Reg- 2014/2024 Republic of Indonesia 2015/2026 Russian Foreign Bond - Eurobond -Reg- 2000/2030 * Russian Foreign Bond - Eurobond -Reg- 2013/2023 Turkey Government International Bond 2013/2043 Uruguay Government International Bond 2012/2045
1 200 600 800 300 600 200 400 600 500
000 000 000 000 000 000 000 000 000
Securities loans Total market value in USD Perpetual
810 673 849 303 652 244 436 586 451
Total
600.00 788.00 096.00 522.00 752.00 476.00 900.00 530.00 150.00
Total receivables from securities loans 5 008 814.00 5 008 814.00 Contracting parties for securities loans Deutsche Bank AG FI, Nomura International PLC Total collateral pledged by third parties for securities loans USD 5 471 226.69 thereof: Bonds USD 5 004 751.79 Equities USD 466 474.89
123
Deutsche Invest I Emerging Markets Sovereign Debt Exchange rates (indirect quotes) As of: June 30, 2016 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0.899564 = USD 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Floating interest rate. ** Some or all of these securities are lent. *** Does not include positions with a negative balance, if such exist.
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Interest-bearing securities 8.28 % Argentine Republic Government International Bond 2005/2033. . . . . . . USD 8.75 % Argentine Republic Government International Bond 2010/2017. . . . . . . USD 7.50 % Argentine Republic Government International Bond -Reg- 2016/2026. . USD 171 000 5.25 % Banco de Costa Rica -Reg2013/2018. . . . . . . . . . . . . . . . . . . . . . USD 5.75 % Banco Nacional de Desenvolvimento Economico e Social -Reg- 2013/2023 USD 5.95 % Bolivian Government International Bond 2013/2023. . . . . . . . . . . . . . . . . USD 2.625 % Colombia Government International Bond 2013/2023. . . . . . . . . . . . . . . . . USD 5.625 % Corp Nacional del Cobre de Chile -Reg- 2005/2035. . . . . . . . . . . . . . . . . USD 4.25 % Costa Rica Government International Bond 2012/2023. . . . . . . . . . . . . . . . . USD 7.75 % El Salvador Government International Bond -Reg- 2002/2023 . . . . . . . . . . . . USD 7.375 % El Salvador Government International Bond -Reg- 2009/2019 . . . . . . . . . . . . USD 7.125 % Eskom Holdings SOC Ltd -Reg- 2015/2025. . . . . . . . . . . . . . . . . USD 5.875 % Export Credit Bank of Turkey -Reg- 2012/2019. . . . . . . . . . . . . . . . . USD 4.00 % Export-Import Bank of India (MTN) -Reg- 2013/2023. . . . . . . . . . . . . . . . . USD 6.375 % Hungary Government International Bond 2011/2021. . . . . . . . . . . . . . . . . USD 11.625 % Indonesia Government International Bond -Reg- 2009/2019 . . . . . . . . . . . . USD 8.00 % Jamaica Government International Bond 2008/2019. . . . . . . . . . . . . . . . . USD 10.875 % Mongolia Government International Bond (MTN) -Reg- 2016/2021. . . . . . . USD 500 000 7.25 % Pakistan Government International Bond -Reg- 2014/2019 . . . . . . . . . . . . USD 4.875 % Pelabuhan Indonesia III PT -Reg- 2014/2024. . . . . . . . . . . . . . . . . USD 8.50 % Petroleos de Venezuela SA -Reg- 2010/2017. . . . . . . . . . . . . . . . . USD 12.75 % Petroleos de Venezuela SA -Reg- 2011/2022. . . . . . . . . . . . . . . . . USD 4.00 % Poland Government International Bond 2014/2024. . . . . . . . . . . . . . . . . USD 400 000 6.00 % Republic of Armenia -Reg- 2013/2020. . . . . . . . . . . . . . . . . USD 4.75 % Republic of Azerbaijan International Bond -Reg- 2014/2024 . . . . . . . . . . . . USD 300 000
124
500 000
4.75 % Republic of Azerbaijan International Bond -Reg- 2014/2024 . . . . . . . . . . . . USD 300 000 4.625 % Republic of Paraguay -Reg- 2013/2023 USD 5.10 % Russian Agricultural Bank OJSC -Reg- 2013/2018. . . . . . . . . . . . . . . . . USD 8.75 % Senegal Government International Bond -Reg- 2011/2021 . . . . . . . . . . . . USD 4.665 % South Africa Government International Bond 2012/2024. . . . . . . USD 5.45 % State Oil Co. of the Azerbaijan Republic 2012/2017 . . . . . . . . . . . . . . USD 7.00 % Turkey Government International Bond 2005/2020. . . . . . . . . . . . . . . . . USD 7.75 % Ukraine Government International Bond -Reg- 2016/2020 . . . . . . . . . . . . USD 140 000 7.75 % Ukraine Government International Bond -Reg- 2016/2021 . . . . . . . . . . . . USD 110 000 7.75 % Ukraine Government International Bond -Reg- 2016/2022 . . . . . . . . . . . . USD 110 000 7.75 % Ukraine Government International Bond -Reg- 2016/2023 . . . . . . . . . . . . USD 110 000 7.75 % Ukraine Government International Bond -Reg- 2016/2024 . . . . . . . . . . . . USD 110 000 7.75 % Ukraine Government International Bond -Reg- 2016/2025 . . . . . . . . . . . . USD 110 000 7.75 % Ukraine Government International Bond -Reg- 2016/2026 . . . . . . . . . . . . USD 110 000 7.75 % Ukraine Government International Bond -Reg- 2016/2027 . . . . . . . . . . . . USD 110 000
500 000
Securities admitted to or included in organized markets
250 000
Interest-bearing securities 4.25 % Petroleos Mexicanos -Reg- 2014/2025. . . . . . . . . . . . . . . . . 7.50 % Ukraine Government 2015/2017. . . . .
280 408 300 000 171 000 200 000 600 000 800 000 700 000 400 000 300 000 350 000 600 000 200 000
400 000
USD USD
300 000 500 000 710 000 200 000 200 000 500 000 400 000 140 000 110 000 110 000 110 000 110 000 110 000 110 000 110 000
700 000 1 100 000
500 000 500 000 500 000 1 100 000 133 333 200 000 400 000 200 000 600 000
Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000) Futures contracts Currency futures (short) USD/EUR USD 311 197 Currency futures (long) EUR/USD USD 259 590
Deutsche Invest I Emerging Markets Top Dividend Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 161 541 539.61 Equities Ambev SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 350 000 60 000 152 000 BRL 18.87 1 850 313.13 Banco Bradesco SA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 66 000 6 000 33 000 BRL 24.87 459 859.34 BB Seguridade Participacoes . . . . . . . . . . . . . . . . . . . . . . . . . . Count 129 000 30 000 120 000 BRL 27.93 1 009 406.12 BM&FBovespa SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 237 000 214 000 BRL 17.61 1 169 265.10 BRF SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 000 10 000 BRL 44.16 371 155.25 CCR SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 252 000 60 000 266 000 BRL 16.55 1 168 433.03 Cielo SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 120 000 20 000 47 000 BRL 33.75 1 134 645.80 Itau Unibanco Holding SA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . Count 40 000 22 000 BRL 29.63 332 044.99 Agricultural Bank of China Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 770 000 300 000 4 020 000 HKD 2.83 580 753.20 AIA Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 775 600 213 000 223 000 HKD 46.25 4 158 928.46 Bank of China Ltd -H- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 397 000 1 086 000 2 255 000 HKD 3.1 1 939 751.18 Beijing Capital International Airport Co., Ltd -H-. . . . . . . . . . . . Count 1 125 310 131 310 108 000 HKD 8.39 1 094 626.74 Belle International Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 952 000 208 000 HKD 4.55 502 204.10 Cheung Kong Infrastructure Holdings Ltd. . . . . . . . . . . . . . . . . Count 423 000 23 000 HKD 66.55 3 263 775.96 China Construction Bank Corp. -H-. . . . . . . . . . . . . . . . . . . . . . Count 3 102 000 290 000 3 410 000 HKD 5.13 1 844 977.49 China Mobile Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 532 517 78 000 HKD 88.75 5 479 409.40 China Overseas Land & Investment Ltd. . . . . . . . . . . . . . . . . . Count 692 507 214 507 222 000 HKD 24.5 1 967 080.64 China Overseas Property Holdings Ltd * . . . . . . . . . . . . . . . . . Count 3 998 000 3 810 000 HKD 1.13 523 785.11 China Pacific Insurance Group Co., Ltd. . . . . . . . . . . . . . . . . . . Count 166 000 HKD 26.1 502 320.04 China Petroleum & Chemical Corp. -H-. . . . . . . . . . . . . . . . . . . Count 1 654 447 760 000 860 000 HKD 5.59 1 072 251.29 China Railway Construction Corp. Ltd -H-. . . . . . . . . . . . . . . . . Count 597 000 538 000 HKD 9.69 670 702.65 China Vanke Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 274 000 170 000 175 000 HKD 15.2 482 865.37 CLP Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 343 000 HKD 79.1 3 145 592.90 CNOOC Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 691 673 651 000 503 000 HKD 9.63 1 888 750.61 COSCO Pacific Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 028 000 396 000 HKD 7.7 917 731.74 Guangdong Investment Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 850 000 176 000 HKD 11.84 3 912 266.90 Hengan International Group Co., Ltd. . . . . . . . . . . . . . . . . . . . . Count 289 000 106 000 HKD 64.65 2 166 198.67 Industrial & Commercial Bank of China Ltd -H-. . . . . . . . . . . . Count 3 887 000 1 136 000 4 376 000 HKD 4.29 1 933 320.01 Lenovo Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 861 000 666 000 HKD 4.67 466 178.18 PetroChina Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 396 000 156 000 HKD 5.29 856 195.62 PICC Property & Casualty Co., Ltd. . . . . . . . . . . . . . . . . . . . . . Count 1 156 336 790 336 644 000 HKD 12.14 1 627 551.15 Ping An Insurance Group Co. of China Ltd. . . . . . . . . . . . . . . . Count 473 000 338 000 291 000 HKD 34.15 1 872 767.06 Power Assets Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 302 000 HKD 71.05 2 487 728.25 Qinqin Foodstuffs Group Cayman Co., Ltd. . . . . . . . . . . . . . . . Count 57 800 57 800 HKD 11 73 714.42 Samsonite International SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 700 100 HKD 21.4 1 737 023.78 Sands China Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 586 276 33 876 120 800 HKD 25.9 1 760 490.93 Techtronic Industries Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 550 000 50 000 HKD 32.25 2 056 479.20 Tencent Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 155 000 19 000 HKD 176.3 3 168 224.32 VTech Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 000 HKD 81.65 549 055.31 Astra International Tbk PT. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 335 000 IDR 7 400 672 604.94 Bank Rakyat Indonesia Persero Tbk PT . . . . . . . . . . . . . . . . . . Count 1 528 000 IDR 10 800 1 123 554.58 Indofood CBP Sukses Makmur Tbk PT. . . . . . . . . . . . . . . . . . . Count 811 000 IDR 17 225 951 102.12 Semen Indonesia Persero Tbk PT. . . . . . . . . . . . . . . . . . . . . . . Count 1 237 000 IDR 9 350 787 459.77 Telekomunikasi Indonesia Persero Tbk PT . . . . . . . . . . . . . . . Count 7 468 000 IDR 3 980 2 023 645.56 ITC Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 787 000 244 000 191 000 INR 369 3 870 450.91 Hyundai Motor Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 000 3 000 KRW 135 500 952 396.84 KT&G Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 54 000 5 000 KRW 136 500 5 756 553.58 LG Chem Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 250 2 000 KRW 191 000 1 081 452.66 Samsung Electronics Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 000 800 KRW 1425 000 3 338 660.50 Samsung Electronics Co., Ltd -Pref-. . . . . . . . . . . . . . . . . . . . . Count 5 200 KRW 1183 000 4 804 234.84 Shinhan Financial Group Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 40 000 KRW 38 000 1 187 079.29 SK Telecom Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 000 3 000 1 000 KRW 215 500 2 356 196.20 Fomento Economico Mexicano SAB de CV. . . . . . . . . . . . . . . Count 238 000 MXN 169.7 1 960 878.14 Grupo Aeroportuario del Sureste SAB de CV. . . . . . . . . . . . . . Count 137 000 MXN 289.4 1 924 912.08 Grupo Mexico SAB de CV -B-. . . . . . . . . . . . . . . . . . . . . . . . . . Count 207 000 MXN 41.56 417 674.24 Kimberly-Clark de Mexico SAB de CV -A-. . . . . . . . . . . . . . . . . Count 376 000 176 000 MXN 43.72 798 104.58 British American Tobacco Malaysia Bhd. . . . . . . . . . . . . . . . . . Count 47 000 47 000 MYR 52.7 552 680.16 DiGi.Com Bhd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 000 300 000 MYR 4.78 533 289.83 Gamuda Bhd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 MYR 4.86 1 084 430.37 IHH Healthcare Bhd 144A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 MYR 6.6 2 945 366.44 Malayan Banking Bhd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 845 000 155 000 MYR 8.14 1 534 781.36 Petronas Chemicals Group Bhd . . . . . . . . . . . . . . . . . . . . . . . . Count 700 000 MYR 6.61 1 032 440.19 Ayala Land, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 388 000 466 000 PHP 38.8 1 029 714.21 BDO Unibank, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 434 000 238 000 PHP 112 929 401.28 Metropolitan Bank & Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 640 000 576 000 PHP 90.35 1 105 614.30 Philippine Long Distance Telephone Co.. . . . . . . . . . . . . . . . . . Count 16 000 4 000 19 000 PHP 2 150 657 739.55 Universal Robina Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 198 000 48 000 PHP 208 787 451.91 Singapore Post Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 1 667 000 SGD 1.47 392.48 Singapore Telecommunications Ltd . . . . . . . . . . . . . . . . . . . . . Count 842 600 70 000 SGD 4.12 2 317 167.93 Thai Beverage PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 441 000 5 441 000 SGD 0.91 3 304 904.82 Advanced Info Service PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 267 000 115 000 81 000 THB 158 1 079 937.59 Bangkok Bank PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 221 000 64 000 THB 158.5 896 709.66 CP ALL PCL. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 739 000 164 000 THB 50.25 950 628.46 Kasikornbank PCL. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 208 000 48 000 THB 170 905 195.87 Minor International PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 300 000 THB 40.25 1 339 490.22 Siam Cement PCL -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 74 000 25 000 THB 476 901 714.35 Turk Telekomunikasyon AS. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 300 000 TRY 6 561 369.85 Advanced Semiconductor Engineering, Inc. 21/01/2020 . . . . . Count 1 467 000 948 000 TWD 36.65 1 499 288.67 Asustek Computer, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 128 000 TWD 265.5 947 666.79 Cathay Financial Holding Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 860 000 360 000 300 000 TWD 35 839 358.83
% of net assets
91.61 1.05 0.26 0.57 0.66 0.21 0.66 0.64 0.19 0.33 2.36 1.10 0.62 0.28 1.85 1.05 3.11 1.12 0.30 0.29 0.61 0.38 0.27 1.78 1.07 0.52 2.22 1.23 1.10 0.26 0.49 0.92 1.06 1.41 0.04 0.99 1.00 1.17 1.80 0.31 0.38 0.64 0.54 0.45 1.15 2.19 0.54 3.26 0.61 1.89 2.72 0.67 1.34 1.11 1.09 0.24 0.45 0.31 0.30 0.62 1.67 0.87 0.59 0.58 0.53 0.63 0.37 0.45 0.00 1.31 1.87 0.61 0.51 0.54 0.51 0.76 0.51 0.32 0.85 0.54 0.48
125
Deutsche Invest I Emerging Markets Top Dividend Description
Chailease Holding Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Chicony Electronics Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . China Life Insurance Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Delta Electronics, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Far EasTone Telecommunications Co., Ltd. . . . . . . . . . . . . . . . Fubon Financial Holding Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . Largan Precision Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Taiwan Cement Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Taiwan Mobile Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Taiwan Semiconductor Manufacturing Co., Ltd. . . . . . . . . . . . Uni-President Enterprises Corp. . . . . . . . . . . . . . . . . . . . . . . . . Chunghwa Telecom Co., Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . Gazprom OAO -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Lukoil PJSC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Magnit OJSC -GDR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MMC Norilsk Nickel OJSC -ADR-. . . . . . . . . . . . . . . . . . . . . . . Mobile Telesystems OJSC -ADR-. . . . . . . . . . . . . . . . . . . . . . . Taiwan Semiconductor Manufacturing Co., Ltd -ADR-. . . . . . . Tatneft Pao Sponsored ADR. . . . . . . . . . . . . . . . . . . . . . . . . . . Bidvest Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . FirstRand Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MTN Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Sanlam Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Shoprite Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Tiger Brands Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
Quantity/ principal amount
1 1 1 1
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
347 000 218 000 576 250 116 000 67 000 788 000 412 000 230 000 199 000 433 000 99 000 026 000 193 000 500 000 30 000 5 000 5 000 745 000 087 000 87 000 649 000 539 000 959 000 140 000 45 000 240 000 171 000 81 000 25 000 15 000 9 000 20 000 9 000 5 000 79 000 66 000 43 000 130 500 564 000 730 000 84 000 108 000 123 000 35 000 23 000 14 000 44 000 44 000 44 000 272 000 272 000 59 000 47 000 237 000 237 000 62 000 31 000 31 000
TWD TWD TWD TWD TWD TWD TWD TWD TWD TWD TWD USD USD USD USD USD USD USD USD ZAR ZAR ZAR ZAR ZAR ZAR
52.1 72.5 24.9 156 77.9 37.65 2 945 32.05 112.5 162.5 63.5 36.1 4.292 41.35 32.86 13.22 7.98 25.905 30.33 138.9 44.98 143.96 60.86 167.49 363.5
Total market value in EUR
504 136.76 1 165 011.23 547 150.41 1 000 538.03 940 603.35 1 077 192.96 2 463 699.41 665 833.24 3 410 069.52 7 472 315.27 2 725 169.45 4 546 396.45 926 514.94 929 924.28 591 193.46 939 486.65 936 796.95 1 957 469.25 954 932.16 373 553.62 747 801.58 519 148.82 881 613.67 634 714.76 688 754.00
% of net assets
0.29 0.66 0.31 0.57 0.53 0.61 1.40 0.38 1.93 4.24 1.55 2.58 0.53 0.53 0.34 0.53 0.53 1.11 0.54 0.21 0.42 0.29 0.50 0.36 0.39
Total securities portfolio 161 541 539.61 91.61 Cash at bank 20 892 582.99 11.85 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 10 213 073.72 5.80 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 509 1 823.77 0.00 Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 100 000 22 638.55 0.01 Czech koruna. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CZK 503 18.54 0.00 Deposits in non-EU/EEA currencies Egyptian pound. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EGP 880 89.19 0.00 Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 591 426 165 693.58 0.09 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 29 905 295 3 467 208.88 1.97 Indian rupee. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . INR 77 044 463 1 026 837.93 0.59 Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 2 630 820 414 179 117.60 0.10 Malaysian ringgit. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 1 265 524 282 381.16 0.16 Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 1 258 070 61 079.66 0.03 New Taiwan dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 33 678 103 939 136.65 0.53 Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 25 814 425 493 580.48 0.28 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 335 018 223 618.44 0.13 South African rand. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 1 777 344 108 634.92 0.06 South Korean won. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 429 995 380 335 814.88 0.19 Thai baht. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 4 499 867 115 194.04 0.07 Turkish lira. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 125 691 39 199.38 0.02 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 576 668 3 217 441.62 1.82 Other assets 2 195 208.91 1.24 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 315 758.86 0.74 Prepaid placement fee **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 016.93 0.02 Receivables from exceeding the expense cap. . . . . . . . . . . . . 9 827.81 0.01 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 839 605.31 0.47 Receivables from share certificate transactions 900 914.10 0.51 Total assets 185 530 245.61 105.21 Other liabilities -479 198.01 -0.27 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -218 626.67 -0.12 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -260 571.34 -0.15 Liabilities from share certificate transactions -8 705 430.00 -4.94 Total liabilities -9 184 628.01 -5.21 Net assets 176 345 617.60 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
126
Deutsche Invest I Emerging Markets Top Dividend Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 107.30 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.41 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.15 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 93.85 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102.64 Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97.77 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 116.52 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 81.97 Class USD LDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 84.04 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 077 577 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 265 213 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 221 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 921 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 047 Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 815 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 842 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 640 Class USD LDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 080 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI EM (EMERGING MARKETS) Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 81.943 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 88.389 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 88.389 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes.
Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
China Overseas Property Holdings Ltd
Count
3 800 000
Securities loans Total market value in EUR Perpetual
Total
497 845.60
Total receivables from securities loans 497 845.60 497 845.60 Contracting party for securities loans Crédit Suisse Securities (Europe) Ltd. Total collateral pledged by third parties for securities loans EUR 521 151.21 thereof: Equities EUR 521 151.21
127
Deutsche Invest I Emerging Markets Top Dividend Exchange rates (indirect quotes) As of: June 30, 2016 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3.569396 = EUR 1 Czech koruna. . . . . . . . . . . . . . . . . . . . CZK 27.108521 = EUR 1 Egyptian pound. . . . . . . . . . . . . . . . . . EGP 9.871393 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687.670916 = EUR 1 Indian rupee. . . . . . . . . . . . . . . . . . . . . INR 75.030793 = EUR 1 South Korean won. . . . . . . . . . . . . . . . KRW 1 280.453642 = EUR 1 Mexican peso . . . . . . . . . . . . . . . . . . . MXN 20.597200 = EUR 1 Malaysian ringgit. . . . . . . . . . . . . . . . . MYR 4.481616 = EUR 1 Philippine peso . . . . . . . . . . . . . . . . . . PHP 52.300337 = EUR 1 Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 4.417251 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 Thai baht. . . . . . . . . . . . . . . . . . . . . . . THB 39.063368 = EUR 1 Turkish lira. . . . . . . . . . . . . . . . . . . . . . TRY 3.206442 = EUR 1 New Taiwan dollar. . . . . . . . . . . . . . . . TWD 35.860706 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 South African rand. . . . . . . . . . . . . . . . ZAR 16.360704 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Some or all of these securities are lent. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations).
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/ Purchases/ Sales/ Description units/ additions disposals currency
Securities traded on an exchange Equities Banco Bradesco S.A. 05/02/2016. . . . . . . . . . . . . Count Banco do Brasil SA. . . . . . . . . . . . . . . . . . . . . . . . Count China Life Insurance Co., Ltd -H- . . . . . . . . . . . . . Count China Shenhua Energy Co., Ltd -H-. . . . . . . . . . . . Count Gamuda Bhd - Rights Exp 26Feb2016 . . . . . . . . . Count 166 666 Great Wall Motor Co., Ltd -H-. . . . . . . . . . . . . . . . Count Grupo Financiero Santander Mexico SAB de CV -ADR-. . . . . . . . . . . . . . . . . . . Count 44 000 ICICI Bank Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . Count 56 000 Larsen & Toubro Ltd. . . . . . . . . . . . . . . . . . . . . . . Count MediaTek, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count PTT PCL. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Vale SA -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count
128
3 98 174 205 166 600
046 000 000 000 666 000
119 128 35 163 93 50
000 000 000 000 000 000
Deutsche Invest I Euro Bonds (Premium) Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 105 134 232.00 Interest-bearing securities 1.65 % Austria Government Bond 144A 2014/2024 * . . . . . EUR 1 700 000 1 000 000 % 114.365 1 944 205.00 2.40 % Austria Government Bond 2013/2034. . . . . . . . . . . . EUR 500 000 % 131.142 655 710.00 4.30 % Autonomous Community of Madrid Spain 2006/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 1 000 000 % 125.592 3 767 760.00 4.125 % Autonomous Community of Madrid Spain 2014/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 2 000 000 % 121.796 2 435 920.00 2.08 % Autonomous Community of Madrid Spain 2015/2030. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 102.027 2 040 540.00 4.25 % Ayt Cedulas Cajas Global (MTN) 2006/2023. . . . . . . EUR 2 000 000 1 000 000 % 125.933 2 518 660.00 3.125 % Banco Mare Nostrum SA 2014/2029 . . . . . . . . . . . . EUR 2 000 000 2 000 000 % 107.83 2 156 600.00 3.625 % Bankia SA 2009/2016 . . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 500 000 % 100.933 504 665.00 4.50 % Belgium Government Bond 144A 2011/2026 * . . . . EUR 1 000 000 1 000 000 1 000 000 % 142.528 1 425 280.00 2.00 % Bulgaria Government Bond (MTN) 2015/2022 *. . . . EUR 2 000 000 1 000 000 % 102.476 2 049 520.00 2.625 % Bulgaria Government International Bond (MTN) 2015/2027. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 1 000 000 % 100.512 2 010 240.00 2.95 % Bulgaria Government International Bond 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 105.527 2 110 540.00 5.625 % Bundesrepublik Deutschland 1998/2028 *. . . . . . . . EUR 500 000 1 500 000 % 167.012 835 060.00 0.50 % Caja Rural de Navarra 2015/2022. . . . . . . . . . . . . . . EUR 2 000 000 3 000 000 % 101.602 2 032 040.00 4.25 % Cedulas TDA 6 Fondo de Titulizacion de Activos 2006/2031. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 134.113 2 682 260.00 4.00 % Cie de Financement Foncier SA (MTN) 2010/2025. EUR 1 000 000 1 000 000 % 133.052 1 330 520.00 5.90 % FADE - Fondo de Amortizacion del Deficit Electrico -Reg- 2011/2021. . . . . . . . . . . . EUR 2 000 000 % 126.003 2 520 060.00 4.00 % Finland Government Bond 2009/2025 . . . . . . . . . . . EUR 500 000 % 135.945 679 725.00 5.50 % France Government Bond OAT 1998/2029 *. . . . . . EUR 1 000 000 % 164.845 1 648 450.00 5.75 % France Government Bond OAT 2001/2032 *. . . . . . EUR 500 000 1 000 000 1 000 000 % 182.11 910 550.00 4.75 % France Government Bond OAT 2004/2035. . . . . . . . EUR 500 000 % 172.995 864 975.00 4.00 % France Government Bond OAT 2006/2038. . . . . . . . EUR 500 000 % 166.253 831 265.00 4.25 % France Government Bond OAT 2007/2023. . . . . . . . EUR 1 000 000 % 132.402 1 324 020.00 4.50 % France Government Bond OAT 2009/2041. . . . . . . . EUR 500 000 % 182.548 912 740.00 3.50 % France Government Bond OAT 2010/2026 *. . . . . . EUR 1 000 000 % 132.568 1 325 680.00 2.75 % France Government Bond OAT 2012/2027 *. . . . . . EUR 2 000 000 1 000 000 % 127.235 2 544 700.00 1.75 % France Government Bond OAT 2013/2023 *. . . . . . EUR 1 000 000 1 000 000 % 113.348 1 133 480.00 2.25 % France Government Bond OAT 2013/2024. . . . . . . . EUR 1 000 000 % 118.348 1 183 480.00 3.25 % France Government Bond OAT 2013/2045 *. . . . . . EUR 1 500 000 1 000 000 % 158.24 2 373 600.00 1.75 % France Government Bond OAT 2014/2024 *. . . . . . EUR 2 000 000 1 000 000 % 114.503 2 290 060.00 2.50 % France Government Bond OAT 2014/2030 *. . . . . . EUR 2 000 000 % 127.818 2 556 360.00 3.875 % Hungary Government International Bond (MTN) 2005/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 % 111.813 1 118 130.00 3.50 % Hungary Government International Bond 2006/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 % 100.215 1 002 150.00 3.375 % Intesa Sanpaolo SpA (MTN) 2013/2025 . . . . . . . . . . EUR 1 200 000 5 500 000 % 124.487 1 493 844.00 5.40 % Ireland Government Bond 2009/2025. . . . . . . . . . . . EUR 1 300 000 % 141.743 1 842 659.00 3.50 % Italy Buoni Poliennali Del Tesoro 144A 2014/2030. . EUR 1 000 000 % 122.762 1 227 620.00 3.75 % Italy Buoni Poliennali Del Tesoro 2006/2021. . . . . . . EUR 2 000 000 1 000 000 % 116.975 2 339 500.00 4.50 % Italy Buoni Poliennali Del Tesoro 2008/2019. . . . . . . EUR 1 000 000 1 000 000 % 112.018 1 120 180.00 5.50 % Italy Buoni Poliennali Del Tesoro 2012/2022. . . . . . . EUR 2 000 000 % 129.495 2 589 900.00 1.05 % Italy Buoni Poliennali Del Tesoro 2014/2019. . . . . . . EUR 1 000 000 1 000 000 2 000 000 % 103.328 1 033 280.00 3.75 % Italy Buoni Poliennali Del Tesoro 2014/2024. . . . . . . EUR 1 000 000 % 120.818 1 208 180.00 2.125 % Lithuania Government International Bond (MTN) 2014/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 % 115.135 575 675.00 4.00 % Lloyds Bank Plc (MTN) 2010/2020. . . . . . . . . . . . . . EUR 1 200 000 1 000 000 % 116.845 1 402 140.00 3.625 % Mediobanca SpA (MTN) 2013/2023 . . . . . . . . . . . . . EUR 1 200 000 2 000 000 % 123.837 1 486 044.00 2.75 % Netherlands Government Bond 2014/2047 *. . . . . . EUR 500 000 % 163.178 815 890.00 2.75 % Peruvian Government International Bond 2015/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 105.968 2 119 360.00 5.65 % Portugal Obrigacoes do Tesouro OT 144A 2013/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 1 000 000 % 118.96 3 568 800.00 2.875 % Portugal Obrigacoes do Tesouro OT 144A 2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 99.868 1 997 360.00 4.10 % Portugal Obrigacoes do Tesouro OT 144A 2015/2045. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 101.805 2 036 100.00 3.85 % Portugal Obrigacoes do Tesouro OT 2005/2021. . . . EUR 2 000 000 1 500 000 % 109.063 2 181 260.00 2.20 % Portugal Obrigacoes do Tesouro OT 2015/2022. . . . EUR 1 000 000 % 99.275 992 750.00 3.625 % Romanian Government International Bond (MTN) 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 % 111.085 1 110 850.00 4.625 % Romanian Government International Bond 2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 2 000 000 % 115.91 1 159 100.00 3.625 % Slovakia Government Bond 2014/2029. . . . . . . . . . . EUR 500 000 % 133.955 669 775.00 1.375 % Slovakia Government Bond 2015/2027. . . . . . . . . . . EUR 500 000 % 107.94 539 700.00 5.125 % Slovenia Government Bond 2011/2026 . . . . . . . . . . EUR 500 000 % 136.75 683 750.00 5.75 % Spain Government Bond 2001/2032. . . . . . . . . . . . . EUR 1 000 000 2 000 000 2 000 000 % 157.382 1 573 820.00 4.20 % Spain Government Bond 2005/2037. . . . . . . . . . . . . EUR 2 000 000 4 000 000 2 500 000 % 137.158 2 743 160.00 5.15 % Spain Government Bond 2013/2044. . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 160.452 1 604 520.00 4.00 % Spain Government Bond 2014/2064. . . . . . . . . . . . . EUR 2 000 000 2 000 000 % 138.615 2 772 300.00 5.50 % Turkey Government International Bond 2005/2017. EUR 1 000 000 1 000 000 % 103.385 1 033 850.00 5.125 % Turkey Government International Bond 2010/2020. EUR 2 000 000 1 000 000 % 112.03 2 240 600.00 4.125 % Turkey Government International Bond 2014/2023 * EUR 3 000 000 % 108.444 3 253 320.00
% of net assets
96.39 1.78 0.60 3.45 2.23 1.87 2.31 1.98 0.46 1.31 1.88 1.84 1.94 0.77 1.86 2.46 1.22 2.31 0.62 1.51 0.83 0.79 0.76 1.21 0.84 1.22 2.33 1.04 1.09 2.18 2.10 2.34 1.03 0.92 1.37 1.69 1.13 2.15 1.03 2.37 0.95 1.11 0.53 1.29 1.36 0.75 1.94 3.27 1.83 1.87 2.00 0.91 1.02 1.06 0.61 0.49 0.63 1.44 2.52 1.47 2.54 0.95 2.05 2.98
129
Deutsche Invest I Euro Bonds (Premium) Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Investment fund units 3 055 500.00 2.80 In-group fund units Deutsche Invest I Global Short Duration -FCH (P)- EUR (0.450%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 30 000 10 000 EUR 101.85 3 055 500.00 2.80 Total securities portfolio 108 189 732.00 99.19 Derivatives (Minus signs denote short positions) Interest rate derivatives 70 287.00 0.07 Receivables/payables Interest rate futures Euro OAT Futures 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . . . Count 10 10 18 000.00 0.02 Euro-BTP Futures 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . . . Count 30 30 115 800.00 0.11 Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . . Count -20 -20 822.00 0.00 Euro Buxl Futures 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . . . Count 5 5 7 400.00 0.01 Option contracts Options on interest rate futures Call OGBL 08/2016 170 EUR (DB) . . . . . . . . . . . . . . . . . . . . . . Count -100 1 000.00 0.00 Call OGBL 07/2016 166 EUR (DB) . . . . . . . . . . . . . . . . . . . . . . Count -100 -61 500.00 -0.06 Call OGBL 07/2016 167 EUR (DB) . . . . . . . . . . . . . . . . . . . . . . Count -100 -46 000.00 -0.04 Call OGBL 07/2016 167.5 EUR (DB). . . . . . . . . . . . . . . . . . . . . Count -100 4 510.00 0.00 Call OGBL 07/2016 168 EUR (DB) . . . . . . . . . . . . . . . . . . . . . . Count -150 12 255.00 0.01 Call OGBL 07/2016 168.5 EUR (DB). . . . . . . . . . . . . . . . . . . . . Count -200 20 000.00 0.02 Call OGBL 08/2016 168 EUR (DB) . . . . . . . . . . . . . . . . . . . . . . Count -100 -1 000.00 0.00 Call OGBL 08/2016 169 EUR (DB) . . . . . . . . . . . . . . . . . . . . . . Count -100 -1 000.00 0.00 Currency derivatives Receivables/payables Currency futures Cash at bank 1 837 074.68 1.68 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 496 999.76 1.37 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 174 210.53 0.00 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 390 41.32 0.00 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 85 035 744.22 0.00 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 915 844.01 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 375 999 338 234.84 0.31 Other assets 1 374 392.45 1.26 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 368 207.48 1.25 Receivables from exceeding the expense cap. . . . . . . . . . . . . 6 184.97 0.01 Total assets ** 111 580 986.13 102.30 Other liabilities -118 013.52 -0.11 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -118 013.52 -0.11 Liabilities from share certificate transactions -2 281 375.83 -2.09 Total liabilities -2 508 889.35 -2.30 Net assets 109 072 096.78 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
130
Deutsche Invest I Euro Bonds (Premium) Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 150.84 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 144.88 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 114.45 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 139.59 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 279 604 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 154 338 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 314 803 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 60 948 Composition of the reference portfolio (according to CSSF circular 11/512) 70% iBoxx EUR Sovereigns in EUR Constituents, 30% iBoxx EUR Collateralized Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 82.928 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 175.480 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 125.655 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.5, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 35 311 567.40 as of the reporting date. Market abbreviations
Futures exchanges EUR = Eurex Contracting party for derivatives (with the exception of currency futures) DB = Deutsche Bank
Securities lending The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
.50 4 2.00 2.50 1.65 1.75 2.75 3.25 1.75 4.125 2.75 4.125 3.50 5.625 5.50 5.75
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
% Belgium Government Bond 144A 2011/2026 % Bulgaria Government Bond (MTN) 2015/2022 % France Government Bond OAT 2014/2030 % Austria Government Bond 144A 2014/2024 % France Government Bond OAT 2014/2024 % France Government Bond OAT 2012/2027 % France Government Bond OAT 2013/2045 % France Government Bond OAT 2013/2023 % Autonomous Community of Madrid Spain 2014/2024 % Netherlands Government Bond 2014/2047 % Turkey Government International Bond 2014/2023 % France Government Bond OAT 2010/2026 % Bundesrepublik Deutschland 1998/2028 % France Government Bond OAT 1998/2029 % France Government Bond OAT 2001/2032
1 000 000 2 000 000 2 000 000 1 700 000 2 000 000 2 000 000 1 000 000 1 000 000 1 200 000 500 000 2 900 000 1 000 000 500 000 1 000 000 500 000
Securities loans Total market value in EUR Perpetual
Total
1 425 280.00 2 049 520.00 2 556 360.00 1 944 205.00 2 290 060.00 2 544 700.00 1 582 400.00 1 133 480.00 1 461 552.00 815 890.00 3 144 876.00 1 325 680.00 835 060.00 1 648 450.00 910 550.00
Total receivables from securities loans 25 668 063.00 25 668 063.00 Contracting parties for securities loans BNP Paribas Arbitrage SNC, Barclays Capital Securities Limited, Crédit Suisse AG, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, HSBC Bank PLC, UBS AG London Branch, Unicredit Bank AG Total collateral pledged by third parties for securities loans EUR 29 426 407.84 thereof: Bonds EUR 8 933 898.53 Equities EUR 20 492 509.31
131
Deutsche Invest I Euro Bonds (Premium) Exchange rates (indirect quotes) As of: June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnote * Does not include positions with a negative balance, if such exist.
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Interest-bearing securities 5.75 % Autonomous Community of Madrid Spain 2013/2018. . . . . . . . . . . . . . . . . EUR 4.00 % Belgium Government Bond 2006/2022. . . . . . . . . . . . . . . . . . . . . . EUR 4.25 % Belgium Government Bond 2011/2021. . . . . . . . . . . . . . . . . . . . . . EUR 4.25 % B elgium Government Bond 2012/2022. . . . . . . . . . . . . . . . . . . . . . EUR 5.50 % Bundesrepublik Deutschland 2000/2031. . . . . . . . . . . . . . . . . . . . . . EUR 1.75 % Bundesrepublik Deutschland 2012/2022. . . . . . . . . . . . . . . . . . . . . . EUR 4.875 % C atalunya Banc SA 2007/2017. . . . . . EUR 3.75 % France Government Bond OAT 2005/2021. . . . . . . . . . . . . . . . . . . . . . EUR 2.50 % F rance Government Bond OAT 2010/2020. . . . . . . . . . . . . . . . . . . . . . EUR 3.25 % France Government Bond OAT 2011/2021. . . . . . . . . . . . . . . . . . . . . . EUR 3.00 % F rance Government Bond OAT 2012/2022. . . . . . . . . . . . . . . . . . . . . . EUR 2.25 % France Government Bond OAT 2012/2022. . . . . . . . . . . . . . . . . . . . . . EUR 4.50 % Ireland Government Bond 2004/2020. . . . . . . . . . . . . . . . . . . . . . EUR 5.00 % Ireland Government Bond 2010/2020. . . . . . . . . . . . . . . . . . . . . . EUR 3.40 % Ireland Government Bond 2014/2024. . . . . . . . . . . . . . . . . . . . . . EUR 6.00 % Italy Buoni Poliennali Del Tesoro 2000/2031. . . . . . . . . . . . . . . . . . . . . . EUR 4.25 % Italy Buoni Poliennali Del Tesoro 2003/2019. . . . . . . . . . . . . . . . . . . . . . EUR 4.50 % Italy Buoni Poliennali Del Tesoro 2004/2020. . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 4.00 % Italy Buoni Poliennali Del Tesoro 2005/2037. . . . . . . . . . . . . . . . . . . . . . EUR 1.50 % Italy Buoni Poliennali Del Tesoro 2014/2019. . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 2.50 % Italy Buoni Poliennali Del Tesoro
132
1 000 000 1 000 000 1 000 000 1 000 000 500 000 5 700 000 2 000 000 1 000 000 2 000 000 2 000 000 3 000 000 1 000 000 1 000 000 700 000 1 000 000 1 200 000 2 000 000 3 000 000 1 500 000 3 000 000
2014/2024. . . . . . . . . . . . . . . . . . . . . . EUR 1.75 % N etherlands Government Bond 144A 2013/2023. . . . . . . . . . . . . . . . . . . . . . EUR 3.25 % Netherlands Government Bond 2011/2021. . . . . . . . . . . . . . . . . . . . . . EUR 2.25 % Netherlands Government Bond 2012/2022. . . . . . . . . . . . . . . . . . . . . . EUR 2.50 % N etherlands Government Bond 2012/2033. . . . . . . . . . . . . . . . . . . . . . EUR 2.00 % N etherlands Government Bond 2014/2024. . . . . . . . . . . . . . . . . . . . . . EUR 4.50 % Republic of South Africa 2012/2016. . . . . . . . . . . . . . . . . . . . . . EUR 5.25 % Romanian Government International Bond 2011/2016. . . . . . . . . . . . . . . . . EUR 1.625 % Sampo Bank Oyj 2012/2019. . . . . . . . EUR 4.00 % Spain Government Bond 2010/2020. . EUR 2.75 % Spain Government Bond 2014/2019. . EUR 3.80 % Spain Government Bond 2014/2024. . EUR Investment fund units In-group fund units db x-trackers II - MTS Ex-Bank of Italy Aggregate ETF -1D- EUR - (0.100%) Units
2 000 000 1 500 000 4 000 000 1 000 000 500 000 2 000 000 1 500 000 3 400 997 1 000 4 000 1 000
000 000 000 000 000
80 000
Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000) Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro BTP Futures, Euro Buxl Futures, Euro OAT Futures, Germany Federal Republic Notes 10 year EUR 128 477 Contracts sold (Underlyings: Euro BTP Futures, Euro Buxl Futures, Euro OAT Futures) EUR 111 202
Deutsche Invest I Euro Bonds (Short) Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 1 761 771 267.45 Interest-bearing securities 2.625 %AIB Mortgage Bank (MTN) 2013/2016. . . . . . . . . . . EUR 5 000 000 % 100.191 5 009 550.00 3.125 % AIB Mortgage Bank 2013/2018. . . . . . . . . . . . . . . . . EUR 10 000 000 10 000 000 % 106.921 10 692 100.00 1.75 % Anglo American Capital Plc (MTN) 2014/2018 . . . . . EUR 25 000 000 % 99.096 24 774 000.00 1.50 % Anglo American Capital Plc (MTN) 2015/2018 . . . . . EUR 10 000 000 % 91.062 9 106 200.00 5.75 % Autonomous Community of Madrid Spain 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 20 000 000 % 109.042 21 808 400.00 6.75 % Banca Carige SpA 2012/2017. . . . . . . . . . . . . . . . . . EUR 23 500 000 33 500 000 10 000 000 % 104.375 24 528 125.00 3.50 % Banca Monte dei Paschi di Siena SpA 2012/2017 . . EUR 60 000 000 % 102.215 61 329 000.00 4.00 % Banco Popular Espanol SA 2006/2016. . . . . . . . . . . EUR 10 000 000 5 000 000 % 101.173 10 117 300.00 4.125 % Banco Popular Espanol SA 2010/2018. . . . . . . . . . . EUR 13 000 000 3 000 000 % 107.397 13 961 610.00 1.50 % Banco Santander Totta SA (MTN) 2014/2017. . . . . . EUR 36 000 000 % 101.275 36 459 000.00 1.625 % Banco Santander Totta SA (MTN) 2014/2019. . . . . . EUR 10 000 000 1 600 000 20 000 000 % 104.878 10 487 800.00 0.10 % Bank of Montreal 2016/2019. . . . . . . . . . . . . . . . . . . EUR 7 400 000 7 400 000 % 100.776 7 457 424.00 4.125 % Bankinter SA 2012/2017. . . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 % 102.985 10 298 500.00 0.50 % BMW Finance NV (MTN) 2014/2018 . . . . . . . . . . . . EUR 60 000 000 33 000 000 % 101.358 60 814 800.00 4.25 % CaixaBank SA 2006/2017 . . . . . . . . . . . . . . . . . . . . . EUR 25 000 000 % 102.42 25 605 000.00 4.00 % CaixaBank SA 2012/2017 . . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 5 000 000 % 102.528 10 252 800.00 1.875 % Credito Emiliano SpA (MTN) 2014/2019. . . . . . . . . . EUR 23 000 000 3 000 000 % 105.203 24 196 690.00 1.00 % Deutsche Bank AG (MTN) 2016/2019 *. . . . . . . . . . EUR 55 000 000 55 000 000 % 100.547 55 300 850.00 1.50 % Deutsche Pfandbriefbank AG (MTN) 2014/2019. . . . EUR 7 000 000 7 000 000 % 103.058 7 214 060.00 1.125 % Deutsche Pfandbriefbank AG (MTN) 2016/2020 *. . EUR 27 000 000 27 000 000 % 101.99 27 537 300.00 1.875 % FADE - Fondo de Amortizacion del Deficit Electrico (MTN) 2014/2017 . . . . . . . . . . . EUR 65 000 000 10 000 000 % 102.392 66 554 800.00 2.625 % Glencore Finance Dubai Ltd (MTN) 2012/2018. . . . . EUR 5 000 000 % 102.126 5 106 300.00 4.50 % Ireland Government Bond 2004/2020. . . . . . . . . . . . EUR 20 000 000 20 000 000 % 117.99 23 598 000.00 4.50 % Ireland Government Bond 2007/2018 *. . . . . . . . . . EUR 20 000 000 20 000 000 % 111.153 22 230 600.00 5.00 % Ireland Government Bond 2010/2020. . . . . . . . . . . . EUR 10 000 000 % 122.413 12 241 300.00 5.25 % Italy Buoni Poliennali Del Tesoro 2002/2017. . . . . . . EUR 50 000 000 % 105.83 52 915 000.00 4.00 % Italy Buoni Poliennali Del Tesoro 2007/2017 *. . . . . EUR 90 000 000 % 102.443 92 198 700.00 4.50 % Italy Buoni Poliennali Del Tesoro 2008/2018. . . . . . . EUR 35 000 000 15 000 000 % 109.46 38 311 000.00 4.75 % Italy Buoni Poliennali Del Tesoro 2012/2017. . . . . . . EUR 60 000 000 % 104.515 62 709 000.00 2.15 % Italy Buoni Poliennali Del Tesoro 2013/2017 *. . . . . EUR 30 019 500 211 200 15 163 800 % 102.965 30 909 578.18 2.50 % Italy Buoni Poliennali Del Tesoro 2014/2019. . . . . . . EUR 40 000 000 40 000 000 % 106.99 42 796 000.00 1.65 % Italy Buoni Poliennali Del Tesoro -Reg- 2014/2020. . EUR 15 007 050 20 009 400 5 002 350 % 105.73 15 866 953.97 1.00 % KBC Groep NV (MTN) 2016/2021. . . . . . . . . . . . . . . EUR 20 000 000 20 000 000 % 101.88 20 376 000.00 3.00 % Kutxabank SA 2013/2017 . . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 % 101.786 10 178 600.00 1.00 % LeasePlan Corp NV (MTN) 2016/2020 . . . . . . . . . . . EUR 10 000 000 10 000 000 % 101.239 10 123 900.00 1.75 % Nykredit Realkredit A/S (MTN) 2013/2018 . . . . . . . . EUR 10 000 000 13 000 000 3 000 000 % 102.872 10 287 200.00 1.75 % Nykredit Realkredit A/S (MTN) 2013/2019 . . . . . . . . EUR 10 000 000 10 000 000 % 103.944 10 394 400.00 3.75 % Petroleos Mexicanos (MTN) 2016/2019. . . . . . . . . . EUR 30 000 000 35 000 000 5 000 000 % 104.615 31 384 500.00 1.10 % Santander Consumer Finance SA 2015/2018. . . . . . EUR 55 000 000 15 000 000 % 101.56 55 858 000.00 0.50 % Sinopec Group Overseas Development 2015 Ltd -Reg- 2015/2018 *. . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 80 000 000 35 000 000 % 100.53 80 424 000.00 1.75 % Slovenia Government Bond -Reg- 2014/2017. . . . . . EUR 50 000 000 % 102.338 51 169 000.00 4.00 % Slovenia Government International Bond 2007/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 % 107.315 10 731 500.00 4.70 % Slovenia Government International Bond 2013/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 % 101.53 10 153 000.00 5.50 % Spain Government Bond 2002/2017. . . . . . . . . . . . . EUR 80 000 000 % 106.14 84 912 000.00 3.80 % Spain Government Bond 2006/2017. . . . . . . . . . . . . EUR 40 000 000 10 000 000 % 102.327 40 930 800.00 4.30 % Spain Government Bond 2009/2019. . . . . . . . . . . . . EUR 30 000 000 % 114.315 34 294 500.00 4.85 % Spain Government Bond 2010/2020. . . . . . . . . . . . . EUR 20 000 000 % 120.428 24 085 600.00 4.25 % Spain Government Bond 2011/2016. . . . . . . . . . . . . EUR 40 000 000 % 101.468 40 587 200.00 4.50 % Spain Government Bond 2012/2018. . . . . . . . . . . . . EUR 30 000 000 % 107.382 32 214 600.00 3.30 % Spain Government Bond 2013/2016. . . . . . . . . . . . . EUR 45 000 000 15 000 000 % 100.26 45 117 000.00 2.10 % Spain Government Bond 2013/2017. . . . . . . . . . . . . EUR 20 000 000 10 000 000 % 101.943 20 388 600.00 3.75 % Spain Government Bond 2013/2018. . . . . . . . . . . . . EUR 10 000 000 10 000 000 % 109.06 10 906 000.00 3.375 % Turkiye Garanti Bankasi AS (MTN) 2014/2019 . . . . . EUR 35 000 000 % 103.186 36 115 100.00 2.375 % Turkiye Vakiflar Bankasi TAO 2016/2021 . . . . . . . . . EUR 4 330 000 4 330 000 % 100.511 4 352 126.30 4.00 % UniCredit SpA (MTN) 2012/2018. . . . . . . . . . . . . . . . EUR 10 000 000 % 106.485 10 648 500.00 2.875 % Unione di Banche Italiane SCpA (MTN) 2014/2019 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 20 000 000 % 106.159 21 231 800.00 5.00 % Veneto Banca SpA 2012/2017 . . . . . . . . . . . . . . . . . EUR 50 000 000 % 103.42 51 710 000.00 0.75 % Volkswagen Leasing GmbH 2015/2020 . . . . . . . . . . EUR 80 000 000 1 000 000 % 101.012 80 809 600.00
% of net assets
90.77 0.26 0.55 1.28 0.47 1.12 1.26 3.16 0.52 0.72 1.88 0.54 0.38 0.53 3.13 1.32 0.53 1.25 2.85 0.37 1.42 3.43 0.26 1.22 1.15 0.63 2.73 4.75 1.97 3.23 1.59 2.21 0.82 1.05 0.52 0.52 0.53 0.54 1.62 2.88 4.14 2.64 0.55 0.52 4.38 2.11 1.77 1.24 2.09 1.66 2.33 1.05 0.56 1.86 0.22 0.55 1.09 2.66 4.16
Investment fund units 140 753 724.25 7.25 In-group fund units Deutsche Global Liquidity Series Plc - Deutsche Managed Euro Ultra Short Fixed Income Fund -Accumulate- EUR (0.200%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 200 200 EUR 10 044.44 2 008 888.00 0.10 DWS Institutional - DWS Institutional Money Plus -I- EUR (0.160%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 9 875 18 135 20 360 EUR 14 050.11 138 744 836.25 7.15 Total securities portfolio 1 902 524 991.70 98.02
133
Deutsche Invest I Euro Bonds (Short) Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Cash at bank 5 042 214.28 0.26 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 042 214.28 0.26 Other assets 30 688 702.04 1.58 Prepaid placement fee **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 710 613.33 0.04 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 594 621.67 1.27 Receivables from exceeding the expense cap. . . . . . . . . . . . . 79 200.55 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 304 266.49 0.27 Receivables from share certificate transactions 19 113 972.51 0.98 Total assets 1 957 369 880.53 100.84 Other liabilities -1 021 518.50 -0.05 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 021 518.50 -0.05 Liabilities from share certificate transactions -15 399 010.31 -0.79 Total liabilities -16 420 528.81 -0.84 Net assets 1 940 949 351.72 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 153.52 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 147.01 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98.67 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 137.48 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.02 Class PFDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97.30 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 011.76 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 010.01 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 581 809 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 889 506 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 011 367 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 184 151
Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 264 001 Class PFDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 135 195 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Composition of the reference portfolio (according to CSSF circular 11/512) iBoxx EUR Overall 1-3 Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 134.939 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 197.083 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 159.809 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes.
134
Deutsche Invest I Euro Bonds (Short) Securities lending The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
Securities loans Total market value in EUR Perpetual
Total
.00 % Deutsche Bank AG (MTN) 2016/2019 1 EUR 7 800 000 7 842 666.00 1.125 % Deutsche Pfandbriefbank AG (MTN) 2016/2020 EUR 2 700 000 2 753 730.00 4.50 % Ireland Government Bond 2007/2018 EUR 1 500 000 1 667 295.00 4.00 % Italy Buoni Poliennali Del Tesoro 2007/2017 EUR 3 000 000 3 073 290.00 2.15 % Italy Buoni Poliennali Del Tesoro 2013/2017 EUR 17 900 000 18 430 735.00 0.50 % Sinopec Group Overseas Development 2015 Ltd -Reg- 2015/2018 EUR 1 700 000 1 709 010.00 2.875 % Unione di Banche Italiane SCpA (MTN) 2014/2019 EUR 20 000 000 21 231 800.00 Total receivables from securities loans 56 708 526.00 56 708 526.00 Contracting parties for securities loans Banco Santander S.A., Barclays Capital Securities Limited, Citigroup Global Markets, Deutsche Bank AG FI, HSBC Bank PLC FI, Zuercher Kantonalbank Total collateral pledged by third parties for securities loans EUR 61 190 887.13 thereof: Bonds EUR 48 105 819.55 Equities EUR 13 085 067.58 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Some or all of these securities are lent. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations).
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange 0.329 % Volkswagen Bank GmbH (MTN) 2013/2016 * . . . . . . . . . . . . . . . . . . . . EUR 15 000 000 Interest-bearing securities 0.75 % WPP Finance 2013 2015/2019. . . . . . EUR 5 020 000 0.625 % Anheuser-Busch InBev SA/NV (MTN) 2016/2020 . . . . . . . . . . . . . . . . EUR 20 000 000 20 000 000 4.688 % Autonomous Community of Madrid Spain 2010/2020. . . . . . . . . EUR 4 000 000 4 000 000 Derivatives (option premiums realized in opening transactions, or total options 3.50 % AyT Cedulas Cajas Global transactions; in the case of warrants, purchases and sales are shown) 2005/2016. . . . . . . . . . . . . . . . . . . . . . EUR 20 000 000 0.25 % Banque Federative du Credit Value (’000) Mutuel SA (MTN) 2016/2019 . . . . . . . EUR 30 000 000 30 000 000 Futures contracts 0.50 % Berkshire Hathaway, Inc. 2016/2020. EUR 12 480 000 12 480 000 0.25 % Daimler AG (MTN) 2016/2020. . . . . . . EUR 13 060 000 13 060 000 Interest rate futures 0.50 % FedEx Corp. 2016/2020 . . . . . . . . . . . EUR 8 820 000 8 820 000 Contracts purchased 0.65 % Honeywell International, Inc. (Underlying: Germany Federal Republic 2016/2020. . . . . . . . . . . . . . . . . . . . . . EUR 30 000 000 30 000 000 Notes 10 year) EUR 25 198 4.25 % Italy Buoni Poliennali Del Tesoro 2009/2020. . . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 Option contracts 2.25 % Italy Buoni Poliennali Del Tesoro 2013/2017. . . . . . . . . . . . . . . . . . . . . . EUR 49 931 000 Options on interest rate derivatives 3.50 % Italy Buoni Poliennali Del Tesoro 2013/2018. . . . . . . . . . . . . . . . . . . . . . EUR 15 000 000 Options on bond index futures 0.75 % Merck Financial Services GmbH Call options purchased 015/2019. . . . . . . . . . . . . . . . . . . . . . . EUR 6 667 000 15 000 000 (Underlying: OGBL) EUR 637 6.50 % Romanian Government International Bond 2008/2018. . . . . . . . . . . . . . . . . EUR 10 000 000 Put options purchased 5.00 % Turkey Government International Bond (Underlying: OGBL) EUR 55 2006/2016. . . . . . . . . . . . . . . . . . . . . . EUR 15 000 000
135
Deutsche Invest I Euro Corporate Bonds Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 1 270 758 839.92 Interest-bearing securities 1.125 % 2i Rete Gas SpA (MTN) 2014/2020. . . . . . . . . . . . . . EUR 4 060 000 % 102.988 4 181 312.80 4.25 % Aareal Bank AG 2014/2026 * . . . . . . . . . . . . . . . . . . EUR 4 000 000 1 637 000 % 102.731 4 109 240.00 7.625 % Aareal Bank AG 2014/2049 * . . . . . . . . . . . . . . . . . . EUR 4 000 000 1 800 000 % 95.817 3 832 680.00 7.125 % ABN AMRO Bank NV 2012/2022. . . . . . . . . . . . . . . EUR 4 000 000 % 125.815 5 032 600.00 1.125 % Achmea Bank NV (MTN) 2015/2022. . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 101.111 4 044 440.00 2.50 % Achmea BV 2013/2020. . . . . . . . . . . . . . . . . . . . . . . EUR 8 000 000 8 000 000 4 500 000 % 109.507 8 760 560.00 1.50 % Adecco International Financial Services BV (MTN) 2015/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 % 105.666 5 283 300.00 0.50 % Air Liquide Finance SA (MTN) 2016/2022. . . . . . . . . EUR 4 100 000 4 100 000 % 101.535 4 162 935.00 1.25 % Air Liquide Finance SA (MTN) 2016/2028. . . . . . . . . EUR 3 500 000 3 500 000 % 104.312 3 650 920.00 1.375 % Airbus Group Finance BV (MTN) 2016/2031. . . . . . . EUR 4 620 000 4 620 000 % 102.315 4 726 953.00 1.125 % Akzo Nobel NV (MTN) 2016/2026. . . . . . . . . . . . . . . EUR 5 000 000 5 000 000 % 102.622 5 131 100.00 1.375 % Alfa Laval Treasury International AB (MTN) 2014/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 750 000 3 280 000 % 104.117 1 822 047.50 1.875 % Alimentation Couche-Tard, Inc. 2016/2026. . . . . . . . EUR 5 160 000 5 160 000 % 103.733 5 352 622.80 3.50 % Allianz Finance II BV (MTN) 2012/2022. . . . . . . . . . . EUR 3 000 000 % 118.777 3 563 310.00 0.00 % Allianz Finance II BV (MTN) 2016/2020. . . . . . . . . . . EUR 4 200 000 4 200 000 % 99.892 4 195 464.00 1.375 % Allianz Finance II BV (MTN) 2016/2031. . . . . . . . . . . EUR 4 000 000 6 100 000 2 100 000 % 104.827 4 193 080.00 2.241 % Allianz SE 2015/2045 *. . . . . . . . . . . . . . . . . . . . . . . EUR 4 000 000 2 000 000 % 93.779 3 751 160.00 4.125 % Allied Irish Banks PLC 2015/2025*. . . . . . . . . . . . . . EUR 2 000 000 2 790 000 % 93.326 1 866 520.00 6.375 % America Movil SAB de CV 2013/2073 *. . . . . . . . . . EUR 2 000 000 2 568 000 568 000 % 112.447 2 248 940.00 1.50 % America Movil SAB de CV 2016/2024 . . . . . . . . . . . EUR 4 000 000 6 500 000 2 500 000 % 101.041 4 041 640.00 1.25 % Amgen, Inc. 2016/2022. . . . . . . . . . . . . . . . . . . . . . . EUR 5 940 000 5 940 000 % 103.432 6 143 860.80 2.50 % Anglo American Capital Plc 2012/2018 ** . . . . . . . . EUR 4 000 000 % 99.483 3 979 320.00 1.50 % Anheuser-Busch InBev SA/NV (MTN) 2016/2025. . . EUR 5 600 000 7 950 000 2 350 000 % 105.444 5 904 864.00 2.00 % Anheuser-Busch InBev SA/NV (MTN) 2016/2028. . . EUR 6 000 000 7 330 000 1 330 000 % 107.995 6 479 700.00 2.75 % Anheuser-Busch InBev SA/NV (MTN) 2016/2036. . . EUR 6 500 000 9 210 000 2 710 000 % 115.739 7 523 035.00 1.50 % Arkema SA (MTN) 2015/2025. . . . . . . . . . . . . . . . . . EUR 5 200 000 % 104.325 5 424 900.00 3.375 % ASML Holding NV 2013/2023. . . . . . . . . . . . . . . . . . EUR 7 000 000 2 000 000 % 117.176 8 202 320.00 5.125 % Assicurazioni Generali SpA (MTN) 2009/2024. . . . . EUR 2 770 000 % 128.812 3 568 092.40 7.75 % Assicurazioni Generali SpA 2012/2042 *. . . . . . . . . EUR 4 000 000 % 116.002 4 640 080.00 0.25 % AstraZeneca Plc (MTN) 2016/2021. . . . . . . . . . . . . . EUR 2 620 000 2 620 000 % 100.356 2 629 327.20 2.40 % AT&T, Inc. 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . EUR 3 205 000 % 109.578 3 511 974.90 2.45 % AT&T, Inc. 2015/2035. . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 4 000 000 % 103.207 1 032 070.00 2.875 % Atlantia SpA (MTN) 2013/2021. . . . . . . . . . . . . . . . . EUR 5 000 000 % 111.928 5 596 400.00 4.125 % Autonomous Community of Madrid Spain 2014/2024 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 % 121.796 6 089 800.00 4.125 % Autoroutes du Sud de la France SA (MTN) 2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 500 000 % 115.197 4 031 895.00 1.00 % Autoroutes du Sud de la France SA (MTN) 2016/2026 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 200 000 3 200 000 % 102.506 3 280 192.00 1.875 % Autostrade per l‘Italia SpA 2015/2025 . . . . . . . . . . . EUR 3 844 000 % 108.982 4 189 268.08 1.75 % Autostrade per l‘Italia SpA 2015/2026 . . . . . . . . . . . EUR 5 000 000 % 107.188 5 359 400.00 5.25 % AXA SA (MTN) 2010/2040 *. . . . . . . . . . . . . . . . . . . EUR 3 000 000 % 110.565 3 316 950.00 1.00 % Banco Bilbao Vizcaya Argentaria SA 2016/2021 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 5 000 000 % 101.405 5 070 250.00 1.625 % Bank of America Corp 2015/2022. . . . . . . . . . . . . . . EUR 3 650 000 % 105.056 3 834 544.00 1.875 % Bank of America Corp. (MTN) 2013/2019. . . . . . . . . EUR 4 820 000 % 104.253 5 024 994.60 1.375 % Bank of America Corp. (MTN) 2014/2021. . . . . . . . . EUR 4 000 000 2 258 000 % 103.98 4 159 200.00 4.25 % Bank of Ireland 2014/2024 *. . . . . . . . . . . . . . . . . . . EUR 2 000 000 5 000 000 3 000 000 % 97.444 1 948 880.00 1.25 % Bank of Ireland 2015/2020 **. . . . . . . . . . . . . . . . . . EUR 798 000 4 202 000 % 102.226 815 763.48 3.00 % Banque Federative du Credit Mutuel SA (MTN) 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 490 000 % 106.731 3 724 911.90 1.625 % Banque Federative du Credit Mutuel SA (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 7 300 000 7 300 000 % 106.956 7 807 788.00 6.00 % Barclays Bank Plc (MTN) 2008/2018. . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 107.834 4 313 360.00 2.625 % Barclays PLC 2015/2025*. . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 870 000 % 94.172 1 883 440.00 1.875 % BASF SE (MTN) 2013/2021. . . . . . . . . . . . . . . . . . . . EUR 5 000 000 7 000 000 2 000 000 % 108.635 5 431 750.00 3.75 % Bayer AG 2014/2074 * **. . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 % 101.875 3 056 250.00 2.375 % BBVA Senior Finance SAU (MTN) 2014/2019. . . . . . EUR 4 000 000 % 105.219 4 208 760.00 3.125 % Belfius Bank SA/NV 2016/2026. . . . . . . . . . . . . . . . . EUR 3 600 000 3 600 000 % 100.939 3 633 804.00 2.375 % Belgacom SA (MTN) 2014/2024. . . . . . . . . . . . . . . . EUR 600 000 600 000 % 114.475 686 850.00 0.75 % Berkshire Hathaway, Inc. 2015/2023** . . . . . . . . . . EUR 4 500 000 3 000 000 % 100.531 4 523 895.00 1.30 % Berkshire Hathaway, Inc. 2016/2024 . . . . . . . . . . . . EUR 3 140 000 3 140 000 % 103.724 3 256 933.60 2.15 % Berkshire Hathaway, Inc. 2016/2028 . . . . . . . . . . . . EUR 2 360 000 2 360 000 % 108.114 2 551 490.40 4.00 % Bharti Airtel International Netherlands BV 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 6 139 000 % 107.306 6 587 515.34 1.25 % BlackRock, Inc. 2015/2025. . . . . . . . . . . . . . . . . . . . EUR 5 000 000 % 101.673 5 083 650.00 0.75 % BMW Finance NV (MTN) 2016/2024 . . . . . . . . . . . . EUR 5 445 000 5 445 000 % 102.224 5 566 096.80 1.526 % BP Capital Markets Plc (MTN) 2014/2022. . . . . . . . . EUR 4 000 000 4 000 000 % 105.248 4 209 920.00 1.373 % BP Capital Markets Plc (MTN) 2016/2022. . . . . . . . . EUR 6 000 000 6 000 000 % 104.218 6 253 080.00 2.875 % BPCE SA (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . . EUR 2 600 000 2 600 000 % 100.735 2 619 110.00 2.75 % BPCE SA 2015/2027*. . . . . . . . . . . . . . . . . . . . . . . . EUR 2 900 000 % 101.33 2 938 570.00 2.00 % Brisa Concessao Rodoviaria SA (MTN) 2016/2023. . EUR 3 400 000 3 400 000 % 102.199 3 474 766.00 1.875 % Brisa Concessao Rodoviaria SA 2015/2025 . . . . . . . EUR 3 400 000 % 98.869 3 361 546.00 1.50 % British Sky Broadcasting Group Plc (MTN) 2014/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 500 000 % 103.149 4 641 705.00 2.50 % Cargill, Inc. (MTN) 2014/2023. . . . . . . . . . . . . . . . . . EUR 3 000 000 % 111.971 3 359 130.00 2.625 % Carlsberg Breweries A/S (MTN) 2012/2022 **. . . . . EUR 3 000 000 % 111.907 3 357 210.00 1.125 % Carnival Corp 2015/2019. . . . . . . . . . . . . . . . . . . . . . EUR 4 940 000 % 102.251 5 051 199.40
136
89.05 0.29 0.29 0.27 0.35 0.28 0.61 0.37 0.29 0.26 0.33 0.36 0.13 0.37 0.25 0.29 0.29 0.26 0.13 0.16 0.28 0.43 0.28 0.41 0.45 0.53 0.38 0.57 0.25 0.33 0.18 0.25 0.07 0.39 0.43 0.28 0.23 0.29 0.38 0.23 0.36 0.27 0.35 0.29 0.14 0.06 0.26 0.55 0.30 0.13 0.38 0.21 0.29 0.25 0.05 0.32 0.23 0.18 0.46 0.36 0.39 0.29 0.44 0.18 0.21 0.24 0.24 0.33 0.24 0.24 0.35
Deutsche Invest I Euro Corporate Bonds Description
1.75 % Carrefour SA (MTN) 2014/2022. . . . . . . . . . . . . . . . . 3.248 % Casino Guichard Perrachon SA (MTN) 2014/2024 . . 3.00 % Centrica Plc 2015/2076 * . . . . . . . . . . . . . . . . . . . . . 5.75 % Cirsa Funding Luxembourg SA -Reg- 2016/2021**. 4.25 % Citigroup, Inc. (MTN) 2005/2030 * **. . . . . . . . . . . . 7.375 % Citigroup, Inc. (MTN) 2009/2019. . . . . . . . . . . . . . . . 1.75 % Citigroup, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . . . 4.00 % CNP Assurances 2014/2049 * . . . . . . . . . . . . . . . . . 0.75 % Coca-Cola Co. 2015/2023. . . . . . . . . . . . . . . . . . . . . 1.625 % Coca-Cola Co. 2015/2035. . . . . . . . . . . . . . . . . . . . . 0.75 % Coca-Cola European Partners Plc 2016/2022. . . . . . 7.75 % Commerzbank AG (MTN) 2011/2021 . . . . . . . . . . . . 5.50 % Cooperatieve Centrale RaiffeisenBoerenleenbank BA/Netherlands 2015/2049 *. . . . . 1.00 % Covestro AG (MTN) 2016/2021. . . . . . . . . . . . . . . . . 1.75 % Covestro AG 2016/2024. . . . . . . . . . . . . . . . . . . . . . 4.25 % Credit Agricole Assurances SA 2015/2049. . . . . . . . 2.375 % Credit Agricole SA/London (MTN) 2014/2024. . . . . . 0.75 % Credit Agricole SA/London (MTN) 2016/2022. . . . . . 3.25 % Credit Mutuel Arkea SA (MTN) 2016/2026. . . . . . . . 1.00 % Credit Suisse AG/London (MTN) 2016/2023. . . . . . . 1.375 % Credit Suisse AG/London 2014/2022 . . . . . . . . . . . . 1.40 % Daimler AG (MTN) 2016/2024 **. . . . . . . . . . . . . . . 1.375 % Daimler AG (MTN) 2016/2028. . . . . . . . . . . . . . . . . . 1.125 % Danone SA (MTN) 2015/2025. . . . . . . . . . . . . . . . . . 2.75 % Danske Bank A/S (MTN) 2014/2026 * . . . . . . . . . . . 0.75 % Danske Bank A/S (MTN) 2016/2023. . . . . . . . . . . . . 3.125 % Delhaize Group SA 2012/2020 . . . . . . . . . . . . . . . . . 4.375 % Demeter Investments BV 2015/2049 * . . . . . . . . . . 1.25 % Deutsche Bank AG (MTN) 2014/2021 **. . . . . . . . . 1.125 % Deutsche Bank AG (MTN) 2015/2025 **. . . . . . . . . 1.00 % Deutsche Bank AG (MTN) 2016/2019. . . . . . . . . . . . 2.75 % Deutsche Boerse AG 2015/2041* . . . . . . . . . . . . . . 1.125 % Deutsche Pfandbriefbank AG (MTN) 2016/2020. . . . 1.25 % Deutsche Post AG (MTN) 2016/2026. . . . . . . . . . . . 4.25 % Deutsche Telekom International Finance BV (MTN) 2010/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.625 % Deutsche Telekom International Finance BV (MTN) 2016/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.50 % Deutsche Telekom International Finance BV (MTN) 2016/2028. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.00 % DH Europe Finance SA 2015/2019. . . . . . . . . . . . . . 2.25 % DS Smith Plc 2015/2022. . . . . . . . . . . . . . . . . . . . . . 4.50 % Dufry Finance SCA (MTN) -Reg- 2014/2022**. . . . . 2.375 % EDP Finance BV (MTN) 2016/2023. . . . . . . . . . . . . . 2.625 % EDP Finance BV 2014/2022 . . . . . . . . . . . . . . . . . . . 4.50 % eircom Finance DAC -Reg- 2016/2022. . . . . . . . . . . 5.00 % Electricite de France SA (MTN) 2014/2049 *. . . . . . 1.00 % Eli Lilly & Co. 2015/2022. . . . . . . . . . . . . . . . . . . . . . 1.375 % Enagas Financiaciones SAU (MTN) 2016/2028. . . . . 3.25 % Eneco Holding NV 2014/2049 * **. . . . . . . . . . . . . . 3.25 % Energa Finance AB (MTN) 2013/2020. . . . . . . . . . . . 3.00 % Engie SA (MTN) 2012/2023. . . . . . . . . . . . . . . . . . . . 3.75 % Eni SpA (MTN) 2013/2025. . . . . . . . . . . . . . . . . . . . . 1.50 % Eni SpA (MTN) 2015/2026. . . . . . . . . . . . . . . . . . . . . 0.75 % Eni SpA (MTN) 2016/2022. . . . . . . . . . . . . . . . . . . . . 3.494 % ESB Finance Ltd (MTN) 2013/2024. . . . . . . . . . . . . . 2.125 % ESB Finance Ltd (MTN) 2015/2027. . . . . . . . . . . . . . 1.875 % ESB Finance Ltd (MTN) 2016/2031. . . . . . . . . . . . . . 1.50 % Eurogrid GmbH (MTN) 2016/2028 . . . . . . . . . . . . . . 1.625 % Eurogrid GmbH 2015/2023. . . . . . . . . . . . . . . . . . . . 2.625 % Eutelsat SA 2013/2020 **. . . . . . . . . . . . . . . . . . . . . 1.125 % Eutelsat SA 2016/2021. . . . . . . . . . . . . . . . . . . . . . . 5.25 % EWE AG 2009/2021 **. . . . . . . . . . . . . . . . . . . . . . . 1.134 % FCE Bank Plc (MTN) 2015/2022 **. . . . . . . . . . . . . . 0.50 % FedEx Corp. 2016/2020. . . . . . . . . . . . . . . . . . . . . . . 1.00 % FedEx Corp. 2016/2023. . . . . . . . . . . . . . . . . . . . . . . 1.625 % FedEx Corp. 2016/2027. . . . . . . . . . . . . . . . . . . . . . . 3.375 % Ferrovial Emisiones SA (MTN) -Reg- 2013/2021. . . . 2.50 % Ferrovial Emisiones SA -Reg- 2014/2024. . . . . . . . . 1.25 % Gas Natural Fenosa Finance BV (MTN) 2016/2026. . 3.389 % Gazprom OAO Via Gaz Capital SA (MTN) 2013/2020**. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.00 % GDF Suez 2014/2049 *. . . . . . . . . . . . . . . . . . . . . . . 0.80 % GE Capital European Funding (MTN) 2015/2017 . . . 1.50 % Gecina SA (MTN) 2015/2025. . . . . . . . . . . . . . . . . . . 2.00 % Gecina SA 2015/2024. . . . . . . . . . . . . . . . . . . . . . . . 2.625 % Glencore Finance Dubai Ltd (MTN) 2012/2018. . . . . 5.25 % Glencore Finance Europe SA (MTN) 2010/2017 **. 3.375 % Glencore Finance Europe SA (MTN) 2013/2020 **. 1.625 % Glencore Finance Europe SA (MTN) 2014/2022. . . . 1.75 % Glencore Finance Europe SA (MTN) 2015/2025. . . . 2.00 % Goldman Sachs Group Inc/The 2015/2023. . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
5 000 000 3 000 000 1 420 000 1 420 000 3 000 000 1 870 000 1 870 000 1 360 000 1 360 000 3 500 000 4 000 000 4 000 000 3 000 000 4 550 000 5 000 000 3 380 000 3 380 000 4 000 000 4 000 000
% % % % % % % % % % % %
107.755 104.738 93.191 102.867 116.058 122.257 104.118 93.446 102.238 105.172 100.843 119.441
5 387 750.00 3 142 140.00 1 323 312.20 1 923 612.90 1 578 388.80 4 278 995.00 4 164 720.00 2 803 380.00 4 651 829.00 5 258 600.00 3 408 493.40 4 777 640.00
0.38 0.22 0.09 0.13 0.11 0.30 0.29 0.20 0.33 0.37 0.24 0.33
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
4 500 000 1 229 000 4 570 000 4 570 000 5 000 000 5 000 000 3 000 000 1 500 000 3 500 000 3 800 000 3 800 000 1 100 000 1 100 000 6 060 000 6 060 000 2 500 000 2 690 000 4 610 000 4 610 000 3 500 000 3 500 000 3 300 000 2 400 000 2 900 000 4 030 000 4 030 000 1 200 000 1 200 000 3 000 000 3 080 000 7 800 000 5 500 000 6 600 000 6 600 000 2 580 000 4 400 000 4 400 000 5 000 000 5 000 000
% % % % % % % % % % % % % % % % % % % % % %
95.605 103.208 106.433 94.61 112.527 101.068 102.38 100.319 103.372 106.839 104.592 103.467 104.238 101.041 110.589 95.963 101.348 96.111 100.547 102.533 101.99 104.884
4 302 225.00 4 716 605.60 5 321 650.00 2 838 300.00 3 938 445.00 3 840 584.00 1 126 180.00 6 079 331.40 2 584 300.00 4 925 277.90 3 660 720.00 3 414 411.00 3 022 902.00 4 071 952.30 1 327 068.00 2 878 890.00 7 905 144.00 5 286 105.00 6 636 102.00 2 645 351.40 4 487 560.00 5 244 200.00
0.30 0.33 0.37 0.20 0.28 0.27 0.08 0.43 0.18 0.35 0.26 0.24 0.21 0.29 0.09 0.20 0.55 0.37 0.46 0.19 0.31 0.37
EUR
4 000 000
4 000 000
%
123.571
4 942 840.00
0.35
EUR
3 000 000
6 140 000
3 140 000
%
102.209
3 066 270.00
0.21
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
5 020 000 5 020 000 4 795 000 4 400 000 1 880 000 5 675 000 5 675 000 4 000 000 4 000 000 1 880 000 1 880 000 4 000 000 5 000 000 1 000 000 4 600 000 2 800 000 2 800 000 4 650 000 5 438 000 1 000 000 1 000 000 3 000 000 2 000 000 3 500 000 3 500 000 1 200 000 1 200 000 2 500 000 1 420 000 5 580 000 5 580 000 4 000 000 4 000 000 1 800 000 8 000 000 2 700 000 2 500 000 2 500 000 4 848 000 3 890 000 3 890 000 3 720 000 3 720 000 2 470 000 2 470 000 5 240 000 5 240 000 4 000 000 4 000 000 1 900 000 1 900 000 2 700 000 2 700 000
% % % % % % % % % % % % % % % % % % % % % % % % % % % % % % %
105.239 102.779 103.738 104.977 104.343 105.345 99.411 94.253 103.829 104.115 99.561 108.322 117.134 124.044 104.209 101.831 120.614 110.773 104.043 104.524 108.172 106.383 100.816 123.63 100.493 100.78 101.322 101.795 113.798 110.81 101.596
5 282 997.80 4 928 253.05 4 564 472.00 1 973 567.60 5 921 465.25 4 213 800.00 1 868 926.80 3 770 120.00 4 776 134.00 2 915 220.00 4 629 586.50 5 890 550.36 1 171 340.00 3 721 320.00 2 084 180.00 3 564 085.00 1 447 368.00 2 769 325.00 5 805 599.40 4 180 960.00 1 947 096.00 8 510 640.00 2 520 400.00 5 993 582.40 3 909 177.70 3 749 016.00 2 502 653.40 5 334 058.00 4 551 920.00 2 105 390.00 2 743 092.00
0.37 0.35 0.32 0.14 0.41 0.30 0.13 0.26 0.33 0.20 0.32 0.41 0.08 0.26 0.15 0.25 0.10 0.19 0.41 0.29 0.14 0.60 0.18 0.42 0.27 0.26 0.18 0.37 0.32 0.15 0.19
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
3 3 5 4 4 3 3 3 3 3 3
% % % % % % % % % % %
103.631 102.88 103.359 104.695 108.746 102.126 103.304 102.228 91.177 83.39 105.38
3 3 5 4 4 3 3 3 2 2 3
0.25 0.22 0.40 0.29 0.34 0.25 0.25 0.21 0.19 0.18 0.25
500 000 500 000 500 500 500 000 000 000 370
000 3 500 000 000 000 996 000 000 000 000 000 000 000 000 000
627 086 684 187 893 574 615 066 735 501 551
085.00 400.00 745.00 800.00 570.00 410.00 640.00 840.00 310.00 700.00 306.00
137
Deutsche Invest I Euro Corporate Bonds Description
Count/ units/ currency
2.625 % 0.75 % 1.00 % 3.25 % 1.375 % 0.65 % 1.30 % 7.50 % 3.125 % 6.352 % 3.75 %
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
2 4 5 4 5 3 1 2 4 1
000 000 4 925 000 000 5 330 000 000 000 5 560 000 000 3 110 000 000 2 420 000 1 100 000 000 000 4 650 000 000
% % % % % % % % % %
108.069 101.28 101.449 114.99 103.241 101.508 104.276 105.511 101.758 100.426
2 4 5 4 5 3 1 2 4 1
249.20 040.00 231.70 600.00 199.60 898.80 443.20 205.80 747.00 686.00
0.20 0.35 0.38 0.32 0.40 0.22 0.10 0.21 0.33 0.08
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
3 500 000 3 000 000 4 100 000 4 100 000 1 300 000 1 300 000 7 000 000 3 635 000 4 000 000 4 000 000 4 936 000 4 820 000 2 810 000 8 000 000 3 000 000 6 300 000 6 300 000 3 480 000 3 480 000 5 440 000 5 440 000 4 407 000 4 690 000 4 690 000 2 000 000 3 000 000 4 000 000 1 000 000 3 000 000 3 000 000 6 000 000 2 500 000 2 500 000 3 500 000 3 000 000 3 000 000 4 407 000 2 600 000 2 600 000 2 040 000 2 040 000 5 960 000 5 960 000 3 300 000 4 000 000 1 000 000 1 900 000 1 900 000 850 000 2 900 000 2 900 000 5 000 000 5 000 000
% % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % %
102.545 100 101.828 109.196 102.792 110.846 101.94 105.064 99.584 100.583 104.26 102.194 103.346 101.538 110.45 110.445 102.826 97.249 94.929 102.012 112.399 96.235 103.211 120.369 112.863 103.606 105.469 101.53 99.442 101.239 0 107.315 115.381
3 589 075.00 3 000 000.00 4 174 948.00 1 419 548.00 7 195 440.00 4 029 252.10 4 077 600.00 4 202 560.00 4 915 466.24 4 848 100.60 2 929 706.00 8 175 520.00 6 510 798.00 3 533 522.40 6 008 480.00 4 867 311.15 4 822 539.40 1 944 980.00 3 797 160.00 3 060 360.00 6 743 940.00 2 405 875.00 3 096 330.00 5 304 661.83 2 934 438.00 2 113 562.40 6 285 952.40 3 350 490.00 3 977 680.00 1 923 541.00 0.85 3 112 135.00 5 769 050.00
0.25 0.21 0.29 0.10 0.50 0.28 0.29 0.29 0.34 0.34 0.21 0.57 0.46 0.25 0.42 0.34 0.34 0.14 0.27 0.21 0.47 0.17 0.22 0.37 0.21 0.15 0.44 0.23 0.28 0.13 0.00 0.22 0.40
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
4 500 000 3 180 000 500 000 3 670 000 2 200 000 2 200 000 2 000 000 2 000 000 4 760 000 4 760 000 3 250 000 5 000 000 2 000 000 6 000 000 6 000 000 2 500 000 5 385 000 2 885 000 4 848 000 4 000 000 4 000 000
% % % % % % % % % % % % % %
108.065 106.9 101.688 103.707 101.222 104.816 102.241 104.846 106.916 102.542 100.604 102.934 108.056 102.961
4 862 925.00 3 399 420.00 508 437.50 3 806 046.90 2 226 884.00 2 096 320.00 4 866 671.60 3 407 495.00 5 345 800.00 2 050 840.00 6 036 240.00 2 573 350.00 5 238 554.88 4 118 440.00
0.34 0.24 0.04 0.27 0.16 0.15 0.34 0.24 0.37 0.14 0.42 0.18 0.37 0.29
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
3 790 000 5 000 000 5 000 000 3 000 000 3 000 000 5 840 000 5 840 000 5 000 000 5 057 000 4 500 000 720 000 2 000 000 2 000 000 4 500 000 4 500 000 2 270 000 1 050 000 2 790 000 310 000 3 000 000 1 500 000 2 000 000 6 110 000 6 110 000 5 000 000 3 500 000 4 500 000 3 700 000 3 000 000 5 000 000 2 000 000 7 250 000
% % % % % % % % % % % % % % % % % % % %
104.245 102.971 100.369 103.7 102.702 101.302 101.416 103.543 102.58 107.423 102.573 87.408 93.515 104.615 101.977 103.534 102.672 102.18 99.275 102.47
3 950 885.50 5 148 550.00 3 011 070.00 6 056 080.00 5 135 100.00 5 122 842.14 4 563 720.00 2 070 860.00 4 616 100.00 2 438 502.10 2 861 786.70 2 622 240.00 1 870 300.00 6 391 976.50 5 098 850.00 3 623 690.00 4 620 240.00 3 780 660.00 2 978 250.00 7 429 075.00
0.28 0.36 0.21 0.42 0.36 0.36 0.32 0.15 0.32 0.17 0.20 0.18 0.13 0.45 0.36 0.25 0.32 0.26 0.21 0.52
EUR EUR
2 821 000 2 821 000 2 000 000
% %
110.801 111.119
3 125 696.21 2 222 380.00
0.22 0.16
oldman Sachs Group, Inc. (MTN) 2013/2020. . . . . G Goldman Sachs Group, Inc./The (MTN) 2016/2019. Heineken NV (MTN) 2016/2026 . . . . . . . . . . . . . . . . Hera SpA (MTN) 2013/2021 . . . . . . . . . . . . . . . . . . . Holcim Finance Luxembourg SA (MTN) 2016/2023. Honeywell International, Inc. 2016/2020. . . . . . . . . . Honeywell International, Inc. 2016/2023. . . . . . . . . . HP Pelzer Holding GmbH (MTN) -Reg- 2014/2021. . HSBC Holdings Plc (MTN) 2016/2028. . . . . . . . . . . . HT1 Funding GmbH 2006/2049 *. . . . . . . . . . . . . . . Hutchison Whampoa Europe Finance 13 Ltd 2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.451 % Hydra Dutch Holdings 2BV -Reg- 2014/2019 *. . . . . 1.125 % Iberdrola International BV (MTN) 2016/2026. . . . . . . 1.875 % Iberdrola International BV 2014/2024. . . . . . . . . . . . 2.375 % IE2 Holdco SAU 2015/2023. . . . . . . . . . . . . . . . . . . . 2.125 % Illinois Tool Works, Inc. 2015/2030. . . . . . . . . . . . . . 0.70 % ING Bank NV (MTN) 2015/2020 . . . . . . . . . . . . . . . . 3.50 % ING Bank NV 2013/2023 * **. . . . . . . . . . . . . . . . . . 1.125 % Intesa Sanpaolo SpA (MTN) 2015/2022 **. . . . . . . . 0.998 % Intesa Sanpaolo SpA -Reg- 2014/2019 * **. . . . . . . 2.375 % IPIC GMTN Ltd 2012/2018. . . . . . . . . . . . . . . . . . . . 1.125 % ISS Global A/S (MTN) 2014/2020 . . . . . . . . . . . . . . . 1.75 % JAB Holdings BV 2016/2023. . . . . . . . . . . . . . . . . . . 0.25 % Johnson & Johnson 2016/2022 . . . . . . . . . . . . . . . . 1.65 % Johnson & Johnson 2016/2035 . . . . . . . . . . . . . . . . 2.625 % JPMorgan Chase & Co. (MTN) 2013/2021. . . . . . . . 1.50 % JPMorgan Chase & Co. (MTN) 2016/2026. . . . . . . . 1.875 % KBC Groep NV (MTN) 2015/2027 * **. . . . . . . . . . . 5.625 % KBC Groep NV 2014/2049 *. . . . . . . . . . . . . . . . . . . 0.875 % Kering (MTN) 2015/2022. . . . . . . . . . . . . . . . . . . . . . 2.375 % Kerry Group Financial Services 2015/2025. . . . . . . . 1.50 % Kinder Morgan, Inc. 2015/2022 **. . . . . . . . . . . . . . 1.00 % Koninklijke DSM NV (MTN) 2015/2025. . . . . . . . . . . 4.25 % Koninklijke KPN NV (MTN) 2012/2022 . . . . . . . . . . . 3.25 % Koninklijke KPN NV 2012/2021. . . . . . . . . . . . . . . . . 1.50 % Kraft Heinz Foods Co. 2016/2024. . . . . . . . . . . . . . . 2.25 % Kraft Heinz Foods Co. 2016/2028. . . . . . . . . . . . . . . 2.75 % La Banque Postale SA 2015/2027. . . . . . . . . . . . . . . 2.875 % LBBW (MTN) 2014/2026 *. . . . . . . . . . . . . . . . . . . . 1.00 % LeasePlan Corp NV (MTN) 2016/2020 . . . . . . . . . . . 4.25 % Lehman Brothers Holdings 2006/2016 * . . . . . . . . . 6.875 % Lincoln Finance Ltd 2016/2021. . . . . . . . . . . . . . . . . 6.50 % Lloyds Bank Plc (MTN) 2010/2020. . . . . . . . . . . . . . 3.779 % Madrilena Red de Gas Finance BV (MTN) 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.90 % Magna International Inc 2015/2023. . . . . . . . . . . . . . 5.75 % Main Capital Funding II LP 2006/2049 . . . . . . . . . . . 1.10 % MasterCard Inc 2015/2022. . . . . . . . . . . . . . . . . . . . 0.50 % McDonald‘s Corp. 2016/2021. . . . . . . . . . . . . . . . . . 1.75 % McDonald‘s Corp. 2016/2028. . . . . . . . . . . . . . . . . . 1.625 % Mediobanca SpA (MTN) 2016/2021 . . . . . . . . . . . . . 1.125 % Merck & Co., Inc. 2014/2021 . . . . . . . . . . . . . . . . . . 1.375 % Merck Financial Services GmbH 2015/2022. . . . . . . 3.375 % Merck KGaA 2014/2074 *. . . . . . . . . . . . . . . . . . . . . 1.25 % Molson Coors Brewing Co. 2016/2024. . . . . . . . . . . 1.50 % Mondi Finance Plc (MTN) 2016/2024 **. . . . . . . . . . 2.375 % Morgan Stanley (MTN) 2014/2021 . . . . . . . . . . . . . . 1.75 % Morgan Stanley (MTN) 2016/2024 . . . . . . . . . . . . . . 4.00 % MPT Operating Partnership LP / MPT Finance Corp 2015/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.75 % Nasdaq, Inc. 2016/2023 . . . . . . . . . . . . . . . . . . . . . . 1.00 % National Australia Bank Ltd (MTN) 2014/2024 *. . . . 1.00 % Nederlandse Gasunie NV (MTN) 2016/2026. . . . . . . 1.50 % Nomura Europe Finance NV (MTN) 2014/2021 **. . 1.125 % Nomura Europe Finance NV 2015/2020. . . . . . . . . . 0.60 % OMV AG (MTN) 2014/2018. . . . . . . . . . . . . . . . . . . . 1.00 % OMV AG 2015/2049. . . . . . . . . . . . . . . . . . . . . . . . . 1.00 % Orange SA (MTN) 2016/2025. . . . . . . . . . . . . . . . . . 5.25 % Orange SA 2014/2049 * **. . . . . . . . . . . . . . . . . . . . 2.50 % Origin Energy Finance Ltd (MTN) 2013/2020. . . . . . 4.00 % Origin Energy Finance Ltd 2014/2074 *. . . . . . . . . . 3.25 % Petrobras Global Finance BV 2012/2019. . . . . . . . . . 3.75 % Petroleos Mexicanos (MTN) 2016/2019. . . . . . . . . . 1.625 % PGE Sweden AB 2014/2019 ** . . . . . . . . . . . . . . . . 2.324 % PKO Finance AB (MTN) 2014/2019 **. . . . . . . . . . . 5.25 % Play Finance 2 SA -Reg- 2014/2019 **. . . . . . . . . . . 0.75 % Pohjola Bank Oyj (MTN) 2015/2022 . . . . . . . . . . . . . 2.20 % Portugal Obrigacoes do Tesouro OT 2015/2022. . . . 0.875 % PPG Industries, Inc. 2015/2022 **. . . . . . . . . . . . . . 2.875 % Prologis International Funding II SA (MTN) 2014/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.875 % Proximus SADP 2015/2025. . . . . . . . . . . . . . . . . . . .
138
Quantity/ principal amount
680 925 330 000 560 110 320 780 650 100
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
896 988 407 599 740 156 376 933 731 104
% of net assets
Deutsche Invest I Euro Corporate Bonds Description
3.25 % Rentokil Initial Plc (MTN) 2013/2021. . . . . . . . . . . . . 1.00 % R TE Reseau de Transport d‘Electricite SA (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.00 % RTE Reseau de Transport d‘Electricite SA (MTN) 2016/2036. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.625 % RTE Reseau de Transport d‘Electricite SA 2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.50 % RWE Finance BV (MTN) 2009/2021. . . . . . . . . . . . . 3.00 % RWE Finance BV 2013/2024. . . . . . . . . . . . . . . . . . . 1.125 % Ryanair Ltd (MTN) 2015/2023. . . . . . . . . . . . . . . . . . 1.875 % SANEF SA 2015/2026. . . . . . . . . . . . . . . . . . . . . . . . 1.125 % Sanofi (MTN) 2016/2028. . . . . . . . . . . . . . . . . . . . . . 2.50 % Sanofi 2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.90 % Santander Consumer Finance -Reg- SA 2015/2020. 1.10 % Santander Consumer Finance SA 2015/2018. . . . . . 1.375 % Santander International Debt SAU (MTN) 2016/2021 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.25 % Santos Finance Ltd (MTN) 2010/2070 *. . . . . . . . . . 3.00 % Scor SE 2015/2046 *. . . . . . . . . . . . . . . . . . . . . . . . . 3.625 % Scor SE 2016/2048 *. . . . . . . . . . . . . . . . . . . . . . . . . 1.25 % Shell International Finance BV (MTN) 2016/2028. . . 7.50 % Silk Bidco AS -Reg- 2015/2022. . . . . . . . . . . . . . . . . 2.375 % SKF AB 2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . 1.875 % Sky Plc (MTN) 2014/2023. . . . . . . . . . . . . . . . . . . . . 2.25 % Sky Plc (MTN) 2015/2025. . . . . . . . . . . . . . . . . . . . . 1.25 % Smiths Group Plc 2015/2023 . . . . . . . . . . . . . . . . . . 1.50 % Snam SpA (MTN) 2014/2023 . . . . . . . . . . . . . . . . . . 1.125 % Societe Des Autoroutes Paris-Rhin-Rhone (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.75 % Solvay SA 2015/2027 . . . . . . . . . . . . . . . . . . . . . . . . 1.00 % Southern Power Co. 2016/2022. . . . . . . . . . . . . . . . 2.625 % SPP-Distribucia AS 2014/2021 **. . . . . . . . . . . . . . . 5.625 % SSE Plc 2012/2049 *. . . . . . . . . . . . . . . . . . . . . . . . . 0.625 % Swedbank AB 2015/2021. . . . . . . . . . . . . . . . . . . . . 1.375 % Swiss Re Admin Re Ltd 2016/2023 **. . . . . . . . . . . 3.987 % Telefonica Emisiones SAU (MTN) 2013/2023. . . . . . 1.46 % Telefonica Emisiones SAU (MTN) 2016/2026. . . . . . 3.961 % Telefonica Emisiones SAU 2013/2021 . . . . . . . . . . . 4.00 % Telekom Finanzmanagement GmbH 2012/2022. . . . 1.00 % TenneT Holding BV (MTN) 2016/2026 . . . . . . . . . . . 1.875 % TenneT Holding BV (MTN) 2016/2036 . . . . . . . . . . . 0.875 % TenneT Holding BV 2015/2021. . . . . . . . . . . . . . . . . 0.75 % Thales SA 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . 5.50 % The Royal Bank of Scotland Plc (MTN) 2010/2020. . 2.15 % Thermo Fisher Scientific Inc 2015/2022. . . . . . . . . . 1.95 % Time Warner Inc 2015/2023. . . . . . . . . . . . . . . . . . . 0.625 % Toronto-Dominion Bank/The (MTN) 2016/2021 . . . . 3.875 % TOTAL SA (MTN) 2016/2049 *. . . . . . . . . . . . . . . . . 1.00 % Total SA 2015/2049 *. . . . . . . . . . . . . . . . . . . . . . . . 1.50 % Transmission Finance DAC (MTN) 2016/2023 . . . . . 2.50 % Transurban Finance Co. Pty Ltd 2013/2020 . . . . . . . 1.875 % Transurban Finance Co., Pty Ltd (MTN) 2014/2024. 2.375 % Turkiye Vakiflar Bankasi TAO 2016/2021 . . . . . . . . . 1.25 % UBS AG/London (MTN) 2014/2021. . . . . . . . . . . . . . 1.75 % UBS Group Funding Jersey Ltd 2015/2022 **. . . . . 1.375 % Unibail-Rodamco SE (MTN) 2014/2022. . . . . . . . . . . 2.00 % Unibail-Rodamco SE (MTN) 2016/2036. . . . . . . . . . . 3.25 % UniCredit SpA (MTN) 2014/2021. . . . . . . . . . . . . . . . 6.95 % UniCredit SpA (MTN) -Reg- 2012/2022 ** . . . . . . . . 1.125 % United Technologies Corp. 2016/2021. . . . . . . . . . . 2.25 % Urenco Finance NV 2015/2022 ** . . . . . . . . . . . . . . 1.625 % Valeo SA (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . 1.625 % Verizon Communications, Inc. 2014/2024. . . . . . . . . 0.75 % Vivendi SA 2016/2021. . . . . . . . . . . . . . . . . . . . . . . . 3.035 % Vnesheconombank Via VEB Finance Plc -Reg2013/2018 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.20 % Vodafone Group Plc (MTN) 2016/2026. . . . . . . . . . . 0.75 % Volkswagen Financial Services AG 2015/2021. . . . . 3.875 % Volkswagen International Finance NV 2013/2049 *. 5.125 % Volkswagen International Finance NV 2013/2049 * **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.50 % Volkswagen International Finance NV 2015/2049 *. 2.375 % Volkswagen Leasing GmbH 2012/2022 . . . . . . . . . . 2.25 % VONOVIA Finance BV 2015/2023 . . . . . . . . . . . . . . 1.625 % Vonovia Finance BV 2015/2020. . . . . . . . . . . . . . . . . 4.00 % Vonovia Finance BV 2015/2049. . . . . . . . . . . . . . . . . 1.375 % Wells Fargo & Co. (MTN) 2016/2026 . . . . . . . . . . . . 1.875 % Wendel SA 2015/2020 . . . . . . . . . . . . . . . . . . . . . . . 2.875 % Wolters Kluwer NV 2013/2023. . . . . . . . . . . . . . . . . 1.00 % Wuerth Finance International BV (MTN) 2015/2022.
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
EUR
4 416 000
%
111.819
4 937 927.04
0.35
EUR
2 100 000
2 100 000
%
101.553
2 132 613.00
0.15
EUR
3 000 000
3 000 000
%
108.376
3 251 280.00
0.23
EUR EUR EUR EUR EUR EUR EUR EUR EUR
3 2 5 7 6 3 5 5 5
000 000 2 300 000 000 5 000 000 5 390 000 000 7 500 000 000 000 3 400 000 000 000 000
% % % % % % % % %
108.125 128.06 113.648 100.995 109.165 103.625 115.451 100.038 101.56
3 2 5 7 6 3 6 5 5
243 945 682 574 768 523 003 001 078
750.00 380.00 400.00 625.00 230.00 250.00 452.00 900.00 000.00
0.23 0.21 0.40 0.53 0.47 0.25 0.42 0.35 0.36
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
5 000 000 5 000 000 2 500 000 2 500 000 2 500 000 2 500 000 2 700 000 2 700 000 5 000 000 6 630 000 1 630 000 3 000 000 6 051 000 3 467 000 3 000 000 3 000 000 5 000 000 3 000 000
% % % % % % % % % % %
102.809 101.751 97.058 98.474 104.202 101.868 107.838 104.03 105.105 97.876 106.417
5 2 2 2 5 3 6 3 3 4 3
140 543 426 658 210 056 525 606 153 893 192
450.00 775.00 450.00 798.00 100.00 040.00 277.38 720.10 150.00 800.00 510.00
0.36 0.18 0.17 0.19 0.37 0.21 0.46 0.25 0.22 0.34 0.22
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
4 000 000 4 000 000 2 800 000 3 710 000 3 710 000 3 000 000 4 000 000 3 051 000 2 809 000 6 940 000 6 940 000 4 000 000 4 000 000 7 000 000 12 600 000 5 600 000 3 000 000 8 000 000 8 000 000 3 340 000 3 340 000 2 450 000 2 450 000 3 020 000 5 700 000 5 700 000 3 000 000 2 484 000 1 215 000 1 541 000 3 000 000 3 000 000 3 340 000 3 340 000 3 000 000 3 000 000 4 060 000 4 060 000 3 000 000 2 500 000 1 000 000 2 380 000 2 380 000 4 660 000 3 900 000 3 000 000 4 170 000 4 170 000 5 000 000 5 000 000 3 210 000 1 000 000 1 000 000 5 670 000 5 670 000 3 500 000 2 890 000 4 000 000 4 000 000 4 000 000 4 000 000 4 100 000 4 100 000
% % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % %
102.723 113.149 101.022 107.267 104.152 102.17 102.006 119.827 101.187 116.019 119.731 102.612 107.815 103.596 101.577 116.794 107.377 106.698 101.566 103.907 92.969 102.697 107.54 104.631 100.511 104.869 104.449 106.219 110.346 109.066 112.648 103.339 106.457 106.13 105.841 101.157
4 108 920.00 3 168 172.00 3 747 916.20 3 218 010.00 4 166 080.00 3 117 206.70 7 079 216.40 4 793 080.00 7 083 090.00 3 480 570.00 9 578 480.00 3 427 240.80 2 641 467.50 3 128 599.20 5 789 889.00 3 503 820.00 2 667 244.68 1 296 380.70 3 046 980.00 3 470 493.80 2 789 070.00 4 169 498.20 3 226 200.00 2 615 775.00 2 392 161.80 4 886 895.40 4 073 511.00 3 186 570.00 4 601 428.20 5 453 300.00 1 126 480.00 5 859 321.30 3 725 995.00 4 245 200.00 4 233 640.00 4 147 437.00
0.29 0.22 0.26 0.23 0.29 0.22 0.50 0.34 0.50 0.24 0.67 0.24 0.19 0.22 0.41 0.25 0.19 0.09 0.21 0.24 0.20 0.29 0.23 0.18 0.17 0.34 0.29 0.22 0.32 0.38 0.08 0.41 0.26 0.30 0.30 0.29
EUR EUR EUR EUR
4 3 4 2
000 770 000 000
000 4 000 000 000 3 770 000 000 000 2 000 000
% % % %
102.229 106.397 100.65 102.792
4 4 4 2
160.00 166.90 000.00 840.00
0.29 0.28 0.28 0.14
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
2 2 3 5 5 2 3 2 4 5
000 000 000 000 000 500 500 800 874 600
000 000 2 000 000 000 000 3 100 000 000 2 100 000 000 2 500 000 000 5 890 000 2 390 000 000 2 800 000 000 000 600 000
% % % % % % % % % %
107.666 90.351 108.605 110.589 105.121 101.64 102.132 103.663 114.2 104.454
2 153 320.00 1 807 020.00 3 258 150.00 5 529 450.00 5 256 050.00 2 541 000.00 3 574 620.00 2 902 564.00 5 566 108.00 5 849 424.00
0.15 0.13 0.23 0.39 0.37 0.18 0.25 0.20 0.39 0.41
000 300 000 500 200 400 200 000 000
089 011 026 055
139
Deutsche Invest I Euro Corporate Bonds Description
2.75 % 7.436 % 6.125 % 6.25 % 8.25 % 5.375 % 7.875 % 3.50 % 2.35 % 3.00 % 4.20 % 4.875 % 8.375 % 2.00 % 5.75 % 8.25 % 8.375 % 2.45 % 5.25 % 5.50 % 6.80 % 5.125 %
Count/ units/ currency
F North America Capital, Inc. 2015/2023 . . . . . . . . Z BNP Paribas SA 2007/2049 * **. . . . . . . . . . . . . . . . Siemens Financieringsmaatschappij NV 2006/2066. ABN Amro Bank NV (MTN) 2012/2022 *. . . . . . . . . Aviva Plc 2012/2049. . . . . . . . . . . . . . . . . . . . . . . . . Colombia Telecomunicacio 2015/2049. . . . . . . . . . . Credit Suisse Group Guernsey I Ltd -Reg2011/2041 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Jaguar Land Rover Automotive Plc 144A 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Lloyds Bank Plc 2014/2019. . . . . . . . . . . . . . . . . . . . Molson Coors Brewing Co. 2016/2026. . . . . . . . . . . Newell Rubbermaid, Inc. 2016/2026. . . . . . . . . . . . . Nordea Bank AB -Reg- 2010/2020 . . . . . . . . . . . . . . Petrobras Global Finance BV 2016/2021. . . . . . . . . . Santander Bank NA 2015/2018. . . . . . . . . . . . . . . . . Skandinaviska Enskilda Banken AB (MTN) 2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Societe Generale SA (MTN) 2013/2049 *. . . . . . . . . Sprint Communications Inc 2009/2017. . . . . . . . . . . Sumitomo Mitsui Banking Corp. 2015/2020. . . . . . . Svenska Handelsbanken AB 2015/2049 * . . . . . . . . Swedbank AB 2015/2049 * **. . . . . . . . . . . . . . . . . Transocean, Inc. 2007/2038 . . . . . . . . . . . . . . . . . . . UBS AG 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . .
Quantity/ principal amount
500 000 301 500 170 705
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
EUR GBP GBP USD USD USD
2 2 2 2 6 2
000 2 500 000 000 000 000 000 000
% % % % % %
102.9 104.458 100.584 104.372 105.961 88.236
2 2 2 2 5 2
500.00 167.42 460.72 232.34 163.85 064.78
0.18 0.18 0.20 0.16 0.41 0.15
USD
5 288 000
%
100.567
4 783 866.02
0.34
USD USD USD USD USD USD USD
3 000 000 1 500 000 2 000 000 4 933 000 1 865 000 1 865 000 790 000 790 000 5 000 000 1 170 000 3 090 000 3 090 000 6 232 000
% % % % % % %
99.5 100.394 100.152 108.667 110.826 103.065 99.727
2 685 198.54 1 806 216.56 1 680 236.94 772 248.08 4 984 753.99 2 864 849.12 5 590 778.24
0.19 0.13 0.12 0.05 0.35 0.20 0.39
USD USD USD USD USD USD USD USD
3 2 4 3 3 3 6 4
% % % % % % % %
95.317 99.287 102.924 102.254 95.061 98.226 63 102.164
2 2 4 2 2 2 3 3
0.18 0.16 0.29 0.19 0.21 0.19 0.24 0.26
000 500 500 000 500 000 000 000
000 000 2 500 000 000 000 3 042 000 000 2 719 000 000 2 600 000 000 000 1 500 000
572 525 797 347 881 147
% of net assets
572 232 166 759 992 650 400 676
312.25 875.27 422.87 520.52 970.87 817.20 351.92 122.26
Securities admitted to or included in organized markets 85 510 144.85 Interest-bearing securities 1.50 % Enexis Holding NV 2015/2023. . . . . . . . . . . . . . . . . . EUR 2 280 000 % 108.315 2 469 582.00 1.125 % ISS Global A/S 2015/2021. . . . . . . . . . . . . . . . . . . . . EUR 2 720 000 % 102.237 2 780 846.40 1.50 % JPMorgan Chase & Co 2015/2022. . . . . . . . . . . . . . EUR 3 245 000 % 105.111 3 410 851.95 1.00 % OMV AG 2015/2049. . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 805 000 1 805 000 % 105.336 1 901 314.80 1.375 % SNAM Spa 2015/2023. . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 2 000 000 2 930 000 % 105.563 2 111 260.00 1.50 % Thermo Fisher Scientific 2015/2020. . . . . . . . . . . . . EUR 2 250 000 % 103.856 2 336 760.00 1.00 % Toyota Motor Credit Corp 2015/2021. . . . . . . . . . . . EUR 3 795 000 % 103.813 3 939 703.35 1.50 % Wells Fargo + Company 2015/2022. . . . . . . . . . . . . EUR 2 460 000 % 105.077 2 584 894.20 4.125 % CRH Financial UK Plc 2015/2029 . . . . . . . . . . . . . . . GBP 1 780 000 % 110.879 2 385 545.91 2.50 % ABN AMRO Bank NV -Reg- 2013/2018 . . . . . . . . . . USD 4 500 000 1 551 000 % 102.311 4 141 588.16 6.463 % AXA SA -Reg- 2006/2049 *. . . . . . . . . . . . . . . . . . . . USD 5 000 000 % 104.372 4 694 464.69 6.25 % BHP Billiton Finance USA Ltd 2015/2075. . . . . . . . . USD 1 930 000 % 106.063 1 841 421.81 2.50 % BPCE SA (MTN) 2014/2019 . . . . . . . . . . . . . . . . . . . USD 5 288 000 % 102.479 4 874 817.84 4.42 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2021. . . . . . . . . . . . . . . . . USD 6 460 000 6 460 000 % 103.001 5 985 577.05 6.25 % Enel Finance International SA -Reg- 2007/2017. . . . USD 5 288 000 % 105.66 5 026 134.66 2.45 % ING Bank NV 2015/2020. . . . . . . . . . . . . . . . . . . . . . USD 5 000 000 % 102.299 4 601 224.88 3.875 % Intesa Sanpaolo SpA 2013/2018. . . . . . . . . . . . . . . . USD 5 000 000 % 102.386 4 605 137.98 2.70 % Mizuho Bank Ltd 2015/2020. . . . . . . . . . . . . . . . . . . USD 3 750 000 % 102.836 3 469 033.63 3.50 % RCI Banque SA -Reg- 2013/2018 . . . . . . . . . . . . . . . USD 4 000 000 2 170 000 % 103.117 3 710 413.64 6.875 % Sable International Finance Ltd 2015/2022. . . . . . . . USD 3 610 000 % 102.457 3 327 215.30 5.20 % Societe Generale SA -Reg- (MTM) 2011/2021. . . . . USD 5 000 000 % 114.593 5 154 186.87 5.75 % Stanley Black & Decker, Inc. 2013/2053 *. . . . . . . . USD 2 480 000 % 106.166 2 368 488.32 2.20 % Swedbank AB 144A 2015/2020 . . . . . . . . . . . . . . . . USD 5 778 000 % 101.452 5 273 151.12 5.625 % Transcanada Trust 2015/2075 * . . . . . . . . . . . . . . . . USD 3 000 000 % 93.25 2 516 530.29 Investment fund units 34 837 906.18 In-group fund units Deutsche Invest I - Corporate Hybrid Bonds -FC- EUR (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 100 000 EUR 101.67 10 167 000.00 Deutsche Invest I - Financial Hybrid Bonds -I- EUR (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 100 000 EUR 94.67 9 467 000.00 Deutsche Invest I - Global Corporate Bonds -ID- EUR (0.400%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 120 229 EUR 100.49 12 081 806.18 Deutsche Invest I - I Multi Credit -FCH- EUR - (0.600%). . . . . Units 30 000 EUR 104.07 3 122 100.00
6.00 0.17 0.20 0.24 0.13 0.15 0.17 0.28 0.18 0.17 0.29 0.33 0.13 0.34 0.42 0.35 0.32 0.32 0.24 0.26 0.23 0.36 0.17 0.37 0.18 2.44
0.71 0.66 0.85 0.22
Total securities portfolio 1 391 106 890.95 97.49 Derivatives (Minus signs denote short positions) Interest rate derivatives -1 953 014.35 -0.14 Receivables/payables Interest rate futures Euro SCHATZ Futures 09/2016 (EUR). . . . . . . . . . . . . . . . . . . Count 840 840 218 400.00 0.02 Germany Federal Republic Bonds 5 year 09/2016 (EUR). . . . . Count -50 -50 -61 000.00 0.00 UK Treasury Notes 09/2016 (IFLL) . . . . . . . . . . . . . . . . . . . . . . Count -25 -25 -157 433.08 -0.01 US Treasury Notes 10 year Futures 09/2016 (CBT). . . . . . . . . Count -153 -153 -431 179.37 -0.04 US Treasury Notes 30 year 09/2016 (CBT). . . . . . . . . . . . . . . . Count -20 -20 -176 398.89 -0.01 US Treasury Notes 5 year Futures 09/2016 (CBT). . . . . . . . . . Count -801 -801 -1 345 403.02 -0.10
140
Deutsche Invest I Euro Corporate Bonds Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Currency derivatives -1 553 452.97 -0.11 Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 6.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 293 987.00 0.02 EUR/USD 143 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 849 181.62 -0.13 Cash at bank 12 589 837.64 0.88 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 849 236.84 0.27 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 398 332 481 464.01 0.03 Deposits in non-EU/EEA currencies Swiss franc CHF 679 627.02 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 880 569 4 390 384.57 0.31 Time deposits USD deposits (DZ Privatbank S.A. 0.01% 2 2/01/2016).. . . . . . USD 4 300 000 3 868 125.20 0.27 Other assets 19 952 761.17 1.39 Prepaid placement fee ***. . . . . . . . . . . . . . . . . . . . . . . . . . . . 321 960.10 0.02 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 707 010.74 0.88 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 923 790.33 0.49 Receivables from share certificate transactions 16 919 382.01 1.19 Total assets **** 1 441 083 000.42 100.99 Other liabilities -8 623 391.34 -0.60 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -8 623 391.34 -0.60 Liabilities from share certificate transactions -1 453 817.88 -0.10 Total liabilities -14 097 805.19 -0.99 Net assets 1 426 985 195.23 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 158.21 Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106.70 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 153.65 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 121.99 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 148.41 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105.24 Class PFDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.54 Class GBP CH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 103.88 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 031.56 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 029.76 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 087 095 Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 016 406 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 989 413 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 201 607 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 265 616 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 78 813 Class PFDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 98 977 Class GBP CH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Composition of the reference portfolio (according to CSSF circular 11/512) iBoxx EUR Corporates in EUR Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 99.234 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 125.640 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 110.875
141
Deutsche Invest I Euro Corporate Bonds The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.3, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 328 595 898.93 as of the reporting date. Market abbreviations Futures exchanges CBT = Chicago Board of Trade EUR = Eurex IFLL = ICE Futures Europe - Financial Products Division Contracting parties for currency futures Bayerische Landesbank, Citigroup Global Markets Limited, Goldman Sachs International and Société Générale
Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
.50 2 4.125 1.00 1.00 1.25 3.75 0.75 2.625 5.75 4.25 1.40 1.25 1.125 4.50 3.25 2.625 5.25 1.134 3.389 5.25 3.375 3.50 1.125 0.998 1.875 1.50 1.50 1.50 5.25 1.625 2.324 5.25 0.875 1.375 2.625 1.375 1.75 6.95 2.25 3.035 5.125 7.436 6.25 2.70 5.50
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR GBP USD USD USD
% Anglo American Capital Plc 2012/2018 % Autonomous Community of Madrid Spain 2014/2024 % Autoroutes du Sud de la France SA (MTN) 2016/2026 % Banco Bilbao Vizcaya Argentaria SA 2016/2021 % Bank of Ireland 2015/2020 % Bayer AG 2014/2074 * % Berkshire Hathaway, Inc. 2015/2023 % Carlsberg Breweries A/S (MTN) 2012/2022 % Cirsa Funding Luxembourg SA -Reg- 2016/2021 % Citigroup, Inc. (MTN) 2005/2030 * % Daimler AG (MTN) 2016/2024 % Deutsche Bank AG (MTN) 2014/2021 % Deutsche Bank AG (MTN) 2015/2025 % Dufry Finance SCA (MTN) -Reg- 2014/2022 % Eneco Holding NV 2014/2049 * % Eutelsat SA 2013/2020 % EWE AG 2009/2021 % FCE Bank Plc (MTN) 2015/2022 % Gazprom OAO Via Gaz Capital SA (MTN) 2013/2020 % Glencore Finance Europe SA (MTN) 2010/2017 % Glencore Finance Europe SA (MTN) 2013/2020 % ING Bank NV 2013/2023 * % Intesa Sanpaolo SpA (MTN) 2015/2022 % Intesa Sanpaolo SpA -Reg- 2014/2019 * % KBC Groep NV (MTN) 2015/2027 * % Kinder Morgan, Inc. 2015/2022 % Mondi Finance Plc (MTN) 2016/2024 % Nomura Europe Finance NV (MTN) 2014/2021 % Orange SA 2014/2049 * % PGE Sweden AB 2014/2019 % PKO Finance AB (MTN) 2014/2019 % Play Finance 2 SA -Reg- 2014/2019 % PPG Industries, Inc. 2015/2022 % Santander International Debt SAU (MTN) 2016/2021 % SPP-Distribucia AS 2014/2021 % Swiss Re Admin Re Ltd 2016/2023 % UBS Group Funding Jersey Ltd 2015/2022 % UniCredit SpA (MTN) -Reg- 2012/2022 % Urenco Finance NV 2015/2022 % Vnesheconombank Via VEB Finance Plc -Reg- 2013/2018 % Volkswagen International Finance NV 2013/2049 * % BNP Paribas SA 2007/2049 * % BHP Billiton Finance USA Ltd 2015/2075 % Mizuho Bank Ltd 2015/2020 % Swedbank AB 2015/2049 *
800 000 4 500 000 500 000 5 000 000 4 000 000 1 700 000 3 000 000 500 000 1 000 000 600 000 3 100 000 7 000 000 3 700 000 1 422 000 1 000 000 4 500 000 2 100 000 1 900 000 1 900 000 3 500 000 700 000 4 000 000 1 000 000 3 000 000 700 000 2 500 000 1 300 000 5 000 000 1 300 000 1 500 000 1 800 000 500 000 1 200 000 4 500 000 2 400 000 1 500 000 1 800 000 1 000 000 700 000 4 000 000 700 000 2 000 000 1 900 000 2 500 000 3 000 000
Securities loans Total market value in EUR Perpetual
Total
795 864.00 5 480 820.00 512 530.00 5 070 250.00 4 089 040.00 1 731 875.00 3 015 930.00 559 535.00 1 028 670.00 696 348.00 3 312 009.00 7 094 360.00 3 556 107.00 1 492 772.94 995 610.00 4 787 235.00 2 596 230.00 1 909 367.00 1 968 989.00 3 615 640.00 715 596.00 4 202 560.00 995 840.00 3 017 490.00 680 743.00 2 405 875.00 1 338 142.00 5 135 100.00 1 396 499.00 1 529 655.00 1 863 612.00 513 360.00 1 229 640.00 4 626 405.00 2 574 408.00 1 530 090.00 1 880 082.00 1 126 480.00 745 199.00 4 089 160.00 753 662.00 2 525 167.42 1 812 798.66 2 312 689.08 2 650 817.19
Total receivables from securities loans 105 960 252.29 105 960 252.29 Contracting parties for securities loans Barclays Capital Securities Limited, Citigroup Global Markets, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, HSBC Bank PLC FI, J.P. Morgan Securities plc (Fix Income), Morgan Stanley Intl. FI, Unicredit Bank AG, Zuercher Kantonalbank Total collateral pledged by third parties for securities loans EUR 113 640 831.35 thereof: Bonds EUR 109 506 372.92 Equities EUR 4 134 458.43
142
Deutsche Invest I Euro Corporate Bonds Exchange rates (indirect quotes) As of: June 30, 2016 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Floating interest rate. ** Some or all of these securities are lent. *** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). **** Does not include positions with a negative balance, if such exist.
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Interest-bearing securities 1.125 % Abbey National Treasury Services Plc/ London (MTN) 2015/2022. . . . . . . . . . 6.375 % ABN AMRO Bank NV (MTN) 2011/2021. . . . . . . . . . . . . . . . . . . . . . 4.25 % Achmea BV (MTN) 2015/2049 *. . . . . 1.75 % Anglo American Capital Plc (MTN) 2014/2018. . . . . . . . . . . . . . . . . . . . . . 2.75 % Anglo American Capital PLC 2012/2019. . . . . . . . . . . . . . . . . . . . . . 1.75 % AP Moeller - Maersk A/S (MTN) 2016/2021. . . . . . . . . . . . . . . . . . . . . . 2.875 % Assicurazioni Generali SpA (MTN) 2014/2020. . . . . . . . . . . . . . . . . . . . . . 5.50 % Assicurazioni Generali SpA 2015/2047*. . . . . . . . . . . . . . . . . . . . . 3.375 % Aviva Plc (MTN) 2015/2045 *. . . . . . . 10.24 % Baggot Securities Ltd -Reg2013/2049. . . . . . . . . . . . . . . . . . . . . . 3.00 % Banque Federative du Credit Mutuel SA 2015/2025. . . . . . . . . . . . . 2.125 % Barclays Bank Plc (MTN) 2014/2021. . 8.00 % Barclays Plc 2013/2049 *. . . . . . . . . . 1.875 % BASF SE (MTN) 2016/2021. . . . . . . . . 2.875 % BNP Paribas SA (MTN) 2016/2026. . . 1.953 % BP Capital Markets Plc (MTN) 2016/2025. . . . . . . . . . . . . . . . . . . . . . 1.875 % Carnival Corp. 2015/2022. . . . . . . . . . 4.625 % Cemex Finance LLC -Reg2016/2024. . . . . . . . . . . . . . . . . . . . . . 8.75 % Cirsa Funding Luxembourg SA -Reg- 2010/2018. . . . . . . . . . . . . . . . . 0.875 % Credit Agricole SA/London (MTN) 2015/2022. . . . . . . . . . . . . . . . . . . . . . 1.875 % CRH Funding BV 2015/2024. . . . . . . . 0.625 % Daimler AG 2015/2020. . . . . . . . . . . . 0.50 % Danske Bank A/S (MTN) 2016/2021. . 0.75 % Danske Bank AS (MTN) 2015/2020 . . 0.375 % Deutsche Post AG (MTN) 2016/2021. . . . . . . . . . . . . . . . . . . . . . 1.70 % DH Europe Finance SA 2015/2022. . . 2.375 % Diageo Finance Plc (MTN) 2014/2026. . . . . . . . . . . . . . . . . . . . . .
1.75 4.25 EUR
4 860 000
EUR EUR
4 000 000 3 000 000
EUR
1 500 000
1 500 000
5.375 3.625 1.966 5.875
EUR
750 000
750 000
EUR
2 170 000
2 170 000
2.125 2.375 1.25
EUR
5 000 000
1.375
EUR EUR
3 500 000 2 800 000
EUR
5 790 000
EUR EUR EUR EUR 7 000 000 EUR 3 930 000
2 100 000 4 340 000 1 000 000 7 000 000 3 930 000
EUR 3 500 000 EUR
3 500 000 3 000 000
EUR
1 650 000
1 650 000
2.10 2.625 0.875
EUR
2 832 438
2.625
EUR EUR EUR EUR 2 685 000 EUR
4 2 5 2 5
1.875 0.75
EUR 3 910 000 EUR
3 910 000 3 365 000
EUR
4 100 000
800 165 020 685 000
000 000 000 000 000
2.25 0.625 0.50 2.125 2.375 1.00 1.25 1.375 6.375
1.00 1.875 1.875 1.20 1.375
%e asyJet Plc (MTN) 2016/2023. . . . . . . % Electricite de France SA (MTN) 2013/2049 * . . . . . . . . . . . . . . . . . . . . % Electricite de France SA (MTN) 2013/2049 * . . . . . . . . . . . . . . . . . . . . % EnBW Energie BadenWuerttemberg AG (MTN) 2014/2076 * % Enel Finance International NV (MTN) 2015/2025. . . . . . . . . . . . . . . . . . . . . . % EP Energy AS (MTN) -Reg2012/2019. . . . . . . . . . . . . . . . . . . . . . % EXOR SpA 2015/2022. . . . . . . . . . . . . % GDF Suez (MTN) 2014/2026. . . . . . . . % Glencore Finance Europe SA (MTN) 2015/2021. . . . . . . . . . . . . . . . . . . . . . % Goldman Sachs Group Inc/The (MTN) 2015/2022. . . . . . . . . . . . . . . . . . . . . . % HeidelbergCement AG (MTN) 2016/2023. . . . . . . . . . . . . . . . . . . . . . % HSBC France SA 2015/2020. . . . . . . . % International Business Machines Corp. 2016/2021. . . . . . . . . . . . . . . . . . . . . . % JAB Holdings BV 2015/2022. . . . . . . . % KBC Groep NV (MTN) 2014/2024 * . . % Linde Finance BV (MTN) 2016/2028. . % Lloyds Bank PLC (MTN) 2015/2025. . % Lloyds Bank Plc 2015/2022. . . . . . . . . % Lloyds Banking Group Plc 2014/2049 * . . . . . . . . . . . . . . . . . . . . % MasterCard Inc 2015/2027. . . . . . . . . % Merck KGaA 2014/2074 *. . . . . . . . . . % Metropolitan Life Global Funding I 2015/2022. . . . . . . . . . . . . . . . . . . . . . % MOL Hungarian Oil & Gas Plc 2016/2023. . . . . . . . . . . . . . . . . . . . . . % Morgan Stanley 2014/2023. . . . . . . . . % National Grid North America, Inc. (MTN) 2015/2022. . . . . . . . . . . . . . . . . . . . . . % Nordea Bank AB (MTN) 2016/2023 . . % Nordea Bank AB 2015/2025*. . . . . . . % Petroleos Mexicanos (MTN) 2015/2022. . . . . . . . . . . . . . . . . . . . . . % Praxair, Inc. 2016/2024. . . . . . . . . . . . % Prologis LP 2014/2020 . . . . . . . . . . . .
EUR
1 470 000
1 470 000
EUR
3 000 000
EUR
4 000 000
4 000 000
EUR
4 000 000
EUR
5 000 000
EUR EUR EUR 500 000
1 500 000 5 650 000 500 000
EUR
3 000 000
EUR
5 290 000
EUR 5 150 000 EUR
5 150 000 3 900 000
EUR 4 740 000 EUR EUR EUR 5 592 000 EUR EUR
4 740 000 3 800 000 2 500 000 5 592 000 3 000 000 7 000 000
EUR EUR EUR
2 500 000 3 830 000 2 000 000
EUR
6 000 000
EUR 4 060 000 EUR
4 060 000 4 900 000
EUR EUR 6 980 000 EUR
6 000 000 6 980 000 2 781 000
EUR EUR 4 460 000 EUR
3 000 000 4 460 000 4 100 000
143
Deutsche Invest I Euro Corporate Bonds
Count/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
1.50 0.625 3.75 5.00 0.75 5.869 3.625 4.00 1.625 2.50 2.25 0.50 1.875 1.75 1.625 1.25 2.25 1.10 1.125 1.625 2.625 1.625 5.875 0.75 2.125 5.136 4.375 3.65 4.90 4.125 2.05 4.20 8.375 6.25 6.25 3.80 5.625 5.25 3.50 2.50 2.50 4.125 6.75 6.40 4.50 3.60
144
%S centre Management Ltd (MTN) 2014/2020. . . . . . . . . . . . . . . . . . . . . . % Schlumberger Finance France SAS 2016/2019. . . . . . . . . . . . . . . . . . . . . . % Schneider Electric SE (MTN) 2011/2018. . . . . . . . . . . . . . . . . . . . . . % Snam SpA (MTN) 2012/2019 . . . . . . . % Societe Generale SA 2015/2020. . . . . % Solvay Finance SA 2015/2049. . . . . . . % Standard Chartered Plc 2012/2022. . . % Standard Chartered Plc 2013/2025 *. % Statoil ASA (MTN) 2015/2035. . . . . . . % Suez Environnement Co. 2015/2049 * . . . . . . . . . . . . . . . . . . . . % Sumitomo Mitsui Banking Corp. 2013/2020. . . . . . . . . . . . . . . . . . . . . . % Svenska Cellulosa AB SCA (MTN) 2015/2020. . . . . . . . . . . . . . . . . . . . . . % Swisscom AG via Lunar Funding V 2014/2021. . . . . . . . . . . . . . . . . . . . . . % TDC A/S (MTN) 2015/2027. . . . . . . . . % TeliaSonera AB (MTN) 2015/2035. . . . % Teva Pharmaceutical Finance Netherlands II BV 2015/2023 . . . . . . . % Total SA (MTN) 2015/2049 * . . . . . . . % Tyco Electronics Group SA 2015/2023. . . . . . . . . . . . . . . . . . . . . . % UBS AG 2015/2020. . . . . . . . . . . . . . . % Verizon Communications, Inc. 2014/2024. . . . . . . . . . . . . . . . . . . . . . % Verizon Communications, Inc. 2014/2031. . . . . . . . . . . . . . . . . . . . . . % Volkswagen International Finance NV (MTN) 2015/2030 . . . . . . . . . . . . . . . . % Wendel SA 2012/2019 . . . . . . . . . . . . % WPP Finance 2013 2015/2019. . . . . . % Yorkshire Building Society (MTN) 2014/2019. . . . . . . . . . . . . . . . . . . . . . % Credit Agricole SA (MTN) 2006/2049 * . . . . . . . . . . . . . . . . . . . . % Global Switch Holdings Ltd (MTN) 2013/2022. . . . . . . . . . . . . . . . . . . . . . % Anheuser-Busch InBev Finance, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . % Anheuser-Busch InBev Finance, Inc. 2016/2046. . . . . . . . . . . . . . . . . . . . . . % AT&T, Inc. 2016/2026. . . . . . . . . . . . . % Bank of America NA 2015/2018. . . . . % ConocoPhillips Co. 2016/2021 . . . . . . % Cooperatieve Centrale RaiffeisenBoerenleenbank BA 2011/2049 *. . . . % Credit Suisse Group AG -Reg2014/2049 * . . . . . . . . . . . . . . . . . . . . % GTH Finance BV -Reg- 2016/2020 . . . % Halliburton Co 2015/2025. . . . . . . . . . % HSBC Holdings Plc 2014/2049 * . . . . % KOC Holding AS 2016/2023. . . . . . . . % Lloyds Bank Plc 2015/2025. . . . . . . . . % Lowe‘s Cos, Inc. 2016/2026. . . . . . . . % McGraw-Hill Financial IN 2015/2018. . . . . . . . . . . . . . . . . . . . . . % Proven Honour Capital Ltd 2016/2026. . . . . . . . . . . . . . . . . . . . . . % QBE Insurance Group Ltd 2014/2044 * . . . . . . . . . . . . . . . . . . . . % Royal Bank of Scotland Group Plc 2009/2019. . . . . . . . . . . . . . . . . . . . . . % Sysco Corp. 2016/2046. . . . . . . . . . . . % Time Warner, Inc. 2015/2025. . . . . . .
Securities admitted to or included in organized markets EUR
5 000 000
EUR
1 340 000
1 340 000
EUR 1 300 000 EUR EUR EUR EUR 5 000 000 EUR EUR
1 300 000 3 142 000 1 200 000 2 175 000 5 000 000 2 500 000 2 500 000
EUR
2 500 000
EUR
750 000
750 000
EUR
5 579 000
EUR EUR 4 400 000 EUR
4 000 000 4 400 000 4 500 000
EUR EUR
4 203 000 4 000 000
EUR EUR
5 000 000 4 665 000
EUR
6 000 000
EUR
3 000 000
EUR EUR 3 700 000 EUR
2 500 000 3 700 000 4 040 000
EUR
1 970 000
GBP
5 000 000
GBP
3 500 000
USD
10 826 000
10 826 000
USD 4 370 000 USD 4 890 000 USD USD 5 320 000
4 4 5 5
370 890 880 320
000 000 000 000
USD
5 000 000
USD USD 1 950 000 USD USD USD 4 728 000 USD USD 6 630 000
5 000 000 1 950 000 2 260 000 4 220 000 4 728 000 5 000 000 6 630 000
USD
1 465 000
USD
3 700 000
3 700 000
USD
2 000 000
USD USD 1 395 000 USD
6 170 000 1 395 000 5 000 000
Interest-bearing securities 2.00 % Apple Inc 2015/2027. . . . . . . . . . . . . . 0.875 % BMW Finance NV 2015/2020. . . . . . . 1.00 % CNP Assurances 2015/2047. . . . . . . . 1.25 % S hell International Finance 2015/2022. . . . . . . . . . . . . . . . . . . . . . 1.50 % S ociete Des Autoroutes 2015/2024. . 4.40 % Hewlett Packard Enterprise Co 2015/2022. . . . . . . . . . . . . . . . . . . . . . 5.25 % Intesa Sanpaolo SpA 2014/2024. . . . . 4.45 % Solvay Finance (America) 2015/2025. 5.50 % V irgin Media Secured Finance Plc 144A 2016/2026. . . . . . . . . . . . . .
EUR EUR EUR
5 495 000 9 000 000 3 000 000
EUR 2 000 000 EUR
8 000 000 1 800 000
USD USD USD
5 000 000 4 000 000 3 720 000
USD
800 000
800 000
Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000) Futures contracts Interest rate futures Contracts purchased (Underlyings: Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, UK Treasury Notes, US Treasury Note 10-Year, US Treasury Note 30-Year, US Treasury Note 5-Year) EUR 311 569 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 28 138 EUR/USD EUR 298 436 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR USD/EUR EUR
47 946 481 636
Swaps Credit default swaps Protection buyer (Underlying: MARKIT ITRX EUR XOVER) EUR
125 000
Deutsche Invest I Euro High Yield Corporates Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 748 145 339.88 Interest-bearing securities 6.50 % Selecta Group BV -Reg- 2014/2020 . . . . . . . . . . . . . CHF 1 030 000 % 81.348 773 255.34 6.75 % UPC Holding BV (MTN) -Reg- 2013/2023. . . . . . . . . CHF 2 700 000 400 000 % 107.56 2 680 114.70 5.625 % 3AB Optique Developpement SAS -Reg2014/2019 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 461 000 % 99.388 1 452 058.68 7.875 % Adria Bidco BV 2013/2020 . . . . . . . . . . . . . . . . . . . . EUR 700 000 1 500 000 % 105.53 738 710.00 9.875 % Agrokor D.D. -Reg- 2012/2019 . . . . . . . . . . . . . . . . . EUR 500 000 % 105.734 528 670.00 9.125 % Agrokor dd 2012/2020 **. . . . . . . . . . . . . . . . . . . . . EUR 1 845 000 % 106.598 1 966 733.10 7.25 % Aldesa Financial Services SA -Reg- (MTN) 2014/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 860 000 % 72.751 1 353 168.60 5.25 % Alliance Data Systems Corp 2015/2023. . . . . . . . . . EUR 9 950 000 5 450 000 % 98.325 9 783 337.50 5.25 % Altice Financing SA -Reg- (MTN) 2015/2023. . . . . . . EUR 3 300 000 2 800 000 % 101.237 3 340 821.00 6.50 % Altice Financing SA -Reg- 2013/2022 **. . . . . . . . . . EUR 3 780 000 1 230 000 % 105.584 3 991 075.20 6.25 % Altice Luxembourg SA 2015/2025 . . . . . . . . . . . . . . EUR 4 500 000 % 92.011 4 140 495.00 3.50 % Anglo American Capital Plc (MTN) 2012/2022 . . . . . EUR 1 500 000 1 500 000 % 94.571 1 418 565.00 1.75 % Anglo American Capital Plc (MTN) 2014/2018 . . . . . EUR 6 800 000 7 340 000 540 000 % 99.096 6 738 528.00 1.50 % Anglo American Capital Plc (MTN) 2015/2018 . . . . . EUR 2 000 000 2 000 000 % 91.062 1 821 240.00 2.50 % Anglo American Capital Plc 2012/2018. . . . . . . . . . . EUR 2 000 000 6 270 000 4 270 000 % 99.483 1 989 660.00 2.75 % Anglo American Capital PLC 2012/2019 ** . . . . . . . EUR 4 300 000 4 300 000 % 98.473 4 234 339.00 1.75 % Anglo American Capital Plc 2013/2017. . . . . . . . . . . EUR 3 000 000 3 000 000 % 99.571 2 987 130.00 4.125 % Ardagh Packaging Finance Plc Via Ardagh Holdings USA, Inc. -Reg- 2016/2023 **. . . . . . . . . . EUR 1 850 000 1 850 000 % 101.855 1 884 317.50 6.75 % Ardagh Packaging Finance Plc Via Ardagh Holdings USA, Inc. -Reg- 2016/2024. . . . . . . . . . . . . EUR 1 000 000 1 500 000 500 000 % 101.898 1 018 980.00 4.875 % Areva SA (MTN) 2009/2024 . . . . . . . . . . . . . . . . . . . EUR 6 950 000 6 950 000 % 81.5 5 664 250.00 3.50 % Areva SA (MTN) 2010/2021 . . . . . . . . . . . . . . . . . . . EUR 3 150 000 3 150 000 % 83.165 2 619 697.50 3.25 % Areva SA (MTN) 2013/2020 . . . . . . . . . . . . . . . . . . . EUR 700 000 700 000 % 83.325 583 275.00 3.125 % Areva SA (MTN) 2014/2023 . . . . . . . . . . . . . . . . . . . EUR 800 000 800 000 % 78.834 630 672.00 6.00 % Avis Budget Finance Plc -Reg- 2013/2021 . . . . . . . . EUR 1 105 000 % 103.173 1 140 061.65 5.50 % Belden, Inc. (MTN) -Reg- 2013/2023. . . . . . . . . . . . . EUR 1 000 000 % 101.135 1 011 350.00 5.875 % BiSoho SAS -Reg- 2016/2023 ** . . . . . . . . . . . . . . . EUR 1 440 000 1 440 000 % 103.28 1 487 232.00 4.375 % Boparan Finance Plc (MTN) -Reg- 2014/2021 ** . . . EUR 668 000 % 92.477 617 746.36 10.00 % Bormioli Rocco Holdings SA -Reg- 2011/2018 **. . . EUR 1 658 000 % 102.062 1 692 187.96 7.375 % BUT SAS -Reg- 2014/2019 . . . . . . . . . . . . . . . . . . . . EUR 4 405 000 2 000 000 1 500 000 % 104.106 4 585 869.30 7.50 % Cable Communications Systems NV -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 590 000 % 105.199 2 724 654.10 3.375 % Campofrio Food Group SA 2015/2022 . . . . . . . . . . . EUR 2 220 000 1 000 000 % 101.42 2 251 524.00 7.50 % Carlson Wagonlit BV -Reg- 2012/2019. . . . . . . . . . . EUR 380 000 % 104.08 395 504.00 3.311 % Casino Guichard Perrachon SA (MTN) 2013/2023 . . EUR 2 000 000 2 000 000 % 107.658 2 153 160.00 3.248 % Casino Guichard Perrachon SA (MTN) 2014/2024 . . EUR 2 000 000 2 000 000 % 104.738 2 094 760.00 2.33 % Casino Guichard Perrachon SA (MTN) 2014/2025 . . EUR 3 800 000 3 800 000 % 99.052 3 763 976.00 2.798 % Casino Guichard Perrachon SA (MTN) 2014/2026 . . EUR 5 900 000 5 900 000 % 102.827 6 066 793.00 4.625 % Cemex Finance LLC -Reg- 2016/2024 . . . . . . . . . . . EUR 3 140 000 3 140 000 % 98.38 3 089 132.00 4.375 % Cemex SAB de CV 2015/2023 . . . . . . . . . . . . . . . . . EUR 2 648 000 708 000 % 97.599 2 584 421.52 8.25 % CeramTec Group GmbH 2013/2021. . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 105.93 1 059 300.00 8.25 % Cerberus Nightingale 1 SARL 2015/2020. . . . . . . . . EUR 2 000 000 % 102.947 2 058 940.00 5.875 % Cirsa Funding Luxembourg SA 2015/2023. . . . . . . . EUR 4 200 000 1 000 000 1 500 000 % 101.315 4 255 230.00 5.75 % Cirsa Funding Luxembourg SA -Reg- 2016/2021 . . . EUR 1 250 000 1 250 000 % 102.867 1 285 837.50 7.75 % CMA CGM SA 2015/2021 **. . . . . . . . . . . . . . . . . . EUR 2 843 000 % 76.654 2 179 273.22 6.25 % CNH Industrial Finance Europe SA (MTN) 2011/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 843 000 % 107.797 908 728.71 2.75 % CNH Industrial Finance Europe SA 2015/2019. . . . . EUR 1 000 000 1 150 000 % 102.376 1 023 760.00 7.00 % Constellium NV -Reg- 2014/2023 **. . . . . . . . . . . . . EUR 2 110 000 % 81.488 1 719 396.80 7.50 % Cooperativa Muratori & Cementisti-CMC di Ravenna SC -Reg- 2014/2021 ** . . . . . . . . . . . . . EUR 2 700 000 % 83.663 2 258 901.00 11.75 % Corral Petroleum Holdings AB -Reg- 2016/2021. . . . EUR 9 050 000 9 050 000 % 94.808 8 580 124.00 5.50 % Cott Finance Corp. (MTN) -Reg- 2016/2024 **. . . . . EUR 3 000 000 3 950 000 950 000 % 102.495 3 074 850.00 3.375 % Crown European Holdings SA -Reg- 2015/2025. . . . EUR 6 570 000 1 000 000 % 100.261 6 587 147.70 9.00 % Dakar Finance SA 2015/2020 **. . . . . . . . . . . . . . . . EUR 6 650 000 6 650 000 % 97.537 6 486 210.50 4.75 % Darling Global Finance BV 2015/2022. . . . . . . . . . . . EUR 3 000 000 2 800 000 % 101.768 3 053 040.00 5.50 % Dry Mix Solutions Investissements SAS 2016/2023 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 590 000 4 590 000 % 101.09 4 640 031.00 4.122 % Dry Mix Solutions Investissements SAS -Reg2014/2021 * **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 940 000 1 000 000 % 99.019 2 911 158.60 4.50 % Dufry Finance SCA 2015/2023 . . . . . . . . . . . . . . . . . EUR 2 400 000 900 000 % 104.798 2 515 152.00 5.125 % EC Finance PLC 2014/2021 **. . . . . . . . . . . . . . . . . EUR 1 500 000 1 500 000 % 104.437 1 566 555.00 4.50 % eircom Finance DAC -Reg- 2016/2022 **. . . . . . . . . EUR 6 530 000 6 530 000 % 99.411 6 491 538.30 5.375 % Ence Energia y Celulosa SA 2015/2022 **. . . . . . . . EUR 1 500 000 995 000 % 105.75 1 586 250.00 6.50 % Enel SpA 2013/2074 *. . . . . . . . . . . . . . . . . . . . . . . . EUR 1 400 000 1 000 000 % 108.273 1 515 822.00 6.25 % Ephios BondCo 2015/2022. . . . . . . . . . . . . . . . . . . . EUR 2 000 000 720 000 % 105.843 2 116 860.00 5.75 % Europcar Groupe SA 2015/2022 ** . . . . . . . . . . . . . EUR 880 000 1 000 000 % 104.085 915 948.00 3.625 % Faurecia 2016/2023. . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 5 000 000 % 101.408 5 070 400.00 7.75 % Fiat Finance & Trade SA (MTN) 2012/2016 . . . . . . . EUR 2 090 000 % 102.044 2 132 719.60 6.75 % Fiat Finance & Trade SA (MTN) 2013/2019 . . . . . . . EUR 5 000 000 2 000 000 % 112.467 5 623 350.00 4.75 % Fiat Finance & Trade SA (MTN) 2014/2022 **. . . . . EUR 1 200 000 % 107.443 1 289 316.00 9.00 % FTE Verwaltungs GmbH 2013/2020. . . . . . . . . . . . . EUR 2 750 000 500 000 % 105.703 2 906 832.50 5.375 % Galapagos SA -Reg- 2014/2021. . . . . . . . . . . . . . . . . EUR 510 000 % 93.037 474 488.70 7.25 % Gamenet SpA -Reg- 2013/2018 **. . . . . . . . . . . . . . EUR 2 500 000 900 000 % 101.552 2 538 800.00 7.50 % Garfunkelux Holdco 3 SA 2015/2022 . . . . . . . . . . . . EUR 700 000 500 000 % 98.275 687 925.00 3.375 % Gas Natural Fenosa Finance BV 2015/2049. . . . . . . EUR 3 000 000 3 000 000 % 89.421 2 682 630.00
% of net assets
85.57 0.09 0.31 0.17 0.08 0.06 0.22 0.15 1.12 0.38 0.46 0.47 0.16 0.77 0.21 0.23 0.48 0.34 0.22 0.12 0.65 0.30 0.07 0.07 0.13 0.12 0.17 0.07 0.19 0.52 0.31 0.26 0.05 0.25 0.24 0.43 0.69 0.35 0.30 0.12 0.24 0.49 0.15 0.25 0.10 0.12 0.20 0.26 0.98 0.35 0.75 0.74 0.35 0.53 0.33 0.29 0.18 0.74 0.18 0.17 0.24 0.10 0.58 0.24 0.64 0.15 0.33 0.05 0.29 0.08 0.31
145
Deutsche Invest I Euro High Yield Corporates Description
5.75 % Gates Global LLC / Gates Global Co. -Reg2014/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.60 % Gazprom OAO Via Gaz Capital SA (MTN) 2014/2021 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.375 % GCL Holdings SCA -Reg- 2011/2018. . . . . . . . . . . . . 7.50 % Geo Debt Finance SCA -Reg- 2013/2018. . . . . . . . . 10.375 % Geo Travel Finance SCA 2011/2019 ** . . . . . . . . . . 3.50 % Gestamp Funding Luxembourg SA -Reg2016/2023 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00 % GIE PSA Tresorerie 2003/2033 ** . . . . . . . . . . . . . . 3.75 % GOODYEAR DUNLOP Tires 2015/2023. . . . . . . . . . 7.375 % Greif Nevada Holdings, Inc. SCS -Reg- (MTN) 2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.125 % Grupo Antolin Dutch BV 2015/2022 **. . . . . . . . . . . 3.50 % Hanesbrands Finance Luxembourg SCA -Reg2016/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.25 % HeidelbergCement AG (MTN) 2016/2023. . . . . . . . . 2.25 % HeidelbergCement AG (MTN) 2016/2024. . . . . . . . . 7.50 % HeidelbergCement Finance Luxembourg BV 2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.50 % HeidelbergCement Finance Luxembourg SA (MTN) 2011/2018 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.25 % Hema Bondco I BV -Reg- 2014/2019 . . . . . . . . . . . . 5.25 % Hema Bondco I BV -Reg- 2014/2019 *. . . . . . . . . . . 6.75 % Holdikks SAS -Reg- 2014/2021. . . . . . . . . . . . . . . . . 7.00 % Holding Medi-Partenaires SAS -Reg- 2013/2020. . . 6.875 % HomeVi SAS -Reg- 2014/2021 . . . . . . . . . . . . . . . . . 7.50 % HP Pelzer Holding GmbH (MTN) -Reg- 2014/2021. . 5.125 % Huntsman International LLC 2014/2021. . . . . . . . . . 5.451 % Hydra Dutch Holdings 2BV -Reg- 2014/2019 *. . . . . 8.00 % Hydra Dutch Holdings 2BV -Reg- 2015/2019 . . . . . . 6.50 % Ineos Group Holdings SA 2013/2018 **. . . . . . . . . . 4.125 % International Game Technology Plc -Reg2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.75 % International Game Technology Plc -Reg2015/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00 % InterXion Holding NV 2013/2020. . . . . . . . . . . . . . . . 6.00 % Intralot Capital Luxembourg SA 2014/2021 . . . . . . . 8.25 % JH-Holding Finance SA -Reg- 2015/2021 . . . . . . . . . 8.75 % Kirk Beauty One GmbH 2015/2023 **. . . . . . . . . . . 7.25 % La Financiere Atalian SAS 2013/2020. . . . . . . . . . . . 5.419 % Lecta SA 2012/2018 **. . . . . . . . . . . . . . . . . . . . . . . 8.875 % Lecta SA -Reg- (MTN) 2012/2019. . . . . . . . . . . . . . . 7.125 % LGE HoldCo VI BV -Reg- 2014/2024. . . . . . . . . . . . . 6.875 % Lincoln Finance Ltd 2016/2021. . . . . . . . . . . . . . . . . 3.875 % LKQ Italia Bondco SpA -Reg- 2016/2024 **. . . . . . . 7.00 % Lock AS -Reg- 2014/2021. . . . . . . . . . . . . . . . . . . . . 9.50 % Lock Lower Holding AS -Reg- 2014/2022 **. . . . . . 7.75 % LSF9 Balta Issuer SA 2015/2022 **. . . . . . . . . . . . . 5.50 % Main Capital Funding LP 2005/2049 ** . . . . . . . . . . 8.50 % Manutencoop Facility Management SpA 2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.875 % Matterhorn Telecom SA -Reg- 2015/2022 . . . . . . . . 8.25 % Mercury Bondco PLC 2015/2021 **. . . . . . . . . . . . . 8.00 % Mercury Bondco Plc -Reg- 2015/2021 * ** . . . . . . . 2.75 % Merlin Entertainments Plc 2015/2022. . . . . . . . . . . . 6.875 % Monitchem HoldCo 2 SA -Reg- 2014/2022. . . . . . . . 5.25 % Monitchem HoldCo 3 SA -Reg- 2014/2021 **. . . . . 5.75 % MPT Operating Partnership LP (MTN) 2013/2020 . . 4.00 % MPT Operating Partnership LP / MPT Finance Corp 2015/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.00 % Novalis SAS -Reg- 2015/2022. . . . . . . . . . . . . . . . . . 5.375 % Numericable Group SA -Reg- 2014/2022 . . . . . . . . . 5.625 % Numericable Group SA -Reg- 2014/2024 **. . . . . . . 8.50 % Nyrstar Netherlands Holdings BV -Reg2014/2019 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.75 % Obrascon Huarte Lain SA 2014/2022. . . . . . . . . . . . 5.50 % Obrascon Huarte Lain SA 2015/2023. . . . . . . . . . . . 4.00 % OHL Investments SA 2013/2018 . . . . . . . . . . . . . . . 6.75 % OI European Group BV -Reg- 2010/2020 . . . . . . . . . 4.875 % OI European Group BV -Reg- 2013/2021 . . . . . . . . . 7.75 % Onorato Armatori SpA -Reg- 2016/2023 ** . . . . . . . 4.75 % Ontex Group NV -Reg- 2014/2021 . . . . . . . . . . . . . . 4.00 % Orange SA (MTN) 2014/2049 *. . . . . . . . . . . . . . . . . 7.875 % Origin Energy Finance Ltd (MTN) 2011/2071 * . . . . 4.00 % Origin Energy Finance Ltd 2014/2074 *. . . . . . . . . . 6.50 % Ovako AB -Reg- (MTN) 2014/2019 **. . . . . . . . . . . . 5.25 % Paprec Holding 2015/2022 **. . . . . . . . . . . . . . . . . . 5.169 % Paroc Group Oy -Reg- (MTN) 2014/2020 * ** . . . . . 8.50 % Paternoster Holding III GmbH -Reg- 2015/2023 **. 9.00 % Perstorp Holding AB 2012/2017 ** . . . . . . . . . . . . . 3.25 % Petrobras Global Finance BV 2012/2019. . . . . . . . . . 4.25 % Petrobras Global Finance BV 2012/2023 **. . . . . . .
146
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
EUR
1 630 000
%
84.749
1 381 408.70
0.16
EUR EUR EUR EUR
5 100 600 1 000 1 459
000 000 000 700 000 543
% % % %
103.731 102.126 96.804 94.677
5 290 612 968 1 381
281.00 756.00 040.00 851.39
0.61 0.07 0.11 0.16
EUR EUR EUR
1 435 000 2 435 000 1 000 000 2 300 000 1 500 000 2 000 000
% % %
102.215 117.929 103.848
1 466 785.25 2 712 367.00 2 076 960.00
0.17 0.31 0.24
EUR EUR
1 038 000 578 000 1 000 000 1 350 000
% %
117.648 104.593
1 221 186.24 1 045 930.00
0.14 0.12
EUR EUR EUR
5 890 000 5 720 000 1 750 000
5 890 000 5 720 000 1 750 000
% % %
101.259 102.197 100.446
5 964 155.10 5 845 668.40 1 757 805.00
0.68 0.67 0.20
EUR
1 820 000
%
123.09
2 240 238.00
0.26
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
5 350 700 500 200 3 950 4 000 1 720 4 872 1 376 2 090 4 000
000 000 500 000 000 500 000 000 580 000 000 2 450 000 000 1 140 000 000 000 1 000 000 1 600 000 000 1 000 000 734 860 062 000 2 000 000
% % % % % % % % % % %
121.33 76.221 72.619 95.865 104.723 106.251 105.511 101.645 100 108.091 101.486
6 491 533 363 191 4 136 4 250 1 814 4 952 1 376 2 259 4 059
155.00 547.00 095.00 730.00 558.50 040.00 789.20 144.40 000.00 894.96 440.00
0.74 0.06 0.04 0.02 0.47 0.49 0.21 0.57 0.16 0.26 0.46
790 000
%
104.997
829 476.30
0.09
250 000 550 000 590 000 1 250 000 000 000 100 000 500 000 500 000 840 000 1 840 000 700 000 1 700 000 150 000 1 000 000 5 800 000 5 800 000 3 000 000 3 000 000 1 830 000 1 350 000 1 450 000 1 450 000 1 070 000 1 500 000
% % % % % % % % % % % % % % %
103.782 105.126 91.592 107.357 106.57 106.459 98.861 103.685 110.753 107.315 103.101 102.007 98.76 105.94 101.75
1 297 275.00 4 825 283.40 915 920.00 3 328 067.00 2 664 250.00 1 958 845.60 1 680 637.00 155 527.50 1 107 530.00 6 224 270.00 3 093 030.00 1 866 728.10 1 333 260.00 1 536 130.00 1 526 250.00
0.15 0.55 0.10 0.38 0.30 0.22 0.19 0.02 0.13 0.71 0.35 0.21 0.15 0.18 0.17
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
1 4 1 3 2 1 1
EUR EUR EUR EUR EUR EUR EUR EUR
1 10 6 2 6 4 1 1
218 110 800 700 800 000 500 860
000 1 000 000 000 2 000 000 1 500 000 000 2 000 000 2 700 000 000 2 700 000 000 4 300 000 000 4 000 000 000 000 500 000
% % % % % % % %
82.992 96.766 99.25 98.769 97.542 88.433 99.112 105.265
1 9 6 2 6 3 1 1
010 783 749 666 632 537 486 957
842.56 042.60 000.00 763.00 856.00 320.00 680.00 929.00
0.12 1.12 0.77 0.31 0.76 0.40 0.17 0.22
EUR EUR EUR EUR
3 5 4 9
890 400 900 000
000 000 2 200 000 000 4 000 000 000 4 000 000 1 000 000
% % % %
104.245 99.653 101.833 101.04
4 5 4 9
055 381 989 093
130.50 262.00 817.00 600.00
0.46 0.62 0.57 1.04
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
7 950 000 2 000 000 1 100 000 1 600 000 4 000 000 3 000 000 600 000 600 000 430 000 175 000 6 150 000 6 150 000 740 000 800 000 500 000 1 735 000 3 000 000 1 400 000 800 000 3 700 000 1 000 000 1 400 000 6 070 000 500 000 1 000 000 5 135 000 2 835 000 1 114 000 4 625 000 3 000 000
% % % % % % % % % % % % % % % % % %
101.255 68.009 68.625 89.89 117.367 110.605 96.066 106.382 104.069 98.39 87.408 71.935 101.304 96.5 91.316 100.363 93.515 80.716
8 049 772.50 1 088 144.00 2 745 000.00 539 343.00 504 678.10 193 558.75 5 908 059.00 787 226.80 832 552.00 491 950.00 1 516 528.80 2 158 050.00 3 748 248.00 1 351 000.00 5 542 881.20 5 153 640.05 1 041 757.10 3 733 115.00
0.92 0.12 0.31 0.06 0.06 0.02 0.68 0.09 0.10 0.06 0.17 0.25 0.43 0.15 0.63 0.59 0.12 0.43
Deutsche Invest I Euro High Yield Corporates Description
Count/ units/ currency
3.75 % Petrobras Global Finance BV 2014/2021. . . . . . . . . . 4.75 % Petrobras Global Finance BV 2014/2025. . . . . . . . . . 7.875 % Pfleiderer GmbH -Reg- (MTN) 2014/2019. . . . . . . . . 5.25 % Play Finance 2 SA -Reg- 2014/2019 . . . . . . . . . . . . . 7.75 % Play Topco SA -Reg- 2014/2020. . . . . . . . . . . . . . . . 4.432 % ProGroup AG 2015/2022 ** . . . . . . . . . . . . . . . . . . . 5.125 % ProGroup AG -Reg- 2015/2022. . . . . . . . . . . . . . . . . 6.00 % PSPC Escrow Corp. -Reg- 2015/2023. . . . . . . . . . . . 3.625 % PVH Corp. -Reg- 2016/2024 . . . . . . . . . . . . . . . . . . . 8.50 % Rain CII Carbon LLC 2012/2021 **. . . . . . . . . . . . . . 6.625 % Rapid Holding GmbH -Reg- 2015/2022. . . . . . . . . . . 3.25 % Rexel SA 2015/2022. . . . . . . . . . . . . . . . . . . . . . . . . 3.50 % Rexel SA 2016/2023. . . . . . . . . . . . . . . . . . . . . . . . . 6.75 % RPG Byty Sro -Reg- 2013/2020 **. . . . . . . . . . . . . . 3.50 % RWE AG 2015/2075* . . . . . . . . . . . . . . . . . . . . . . . . 8.25 % Safari Holding Verwaltungs GmbH -Reg2014/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.125 % Samvardhana Motherson Automotive Systems Group BV -Reg- 2014/2021. . . . . . . . . . . . . . . . . . . . 3.375 % Sappi Papier Holding GmbH 2015/2022. . . . . . . . . . 4.00 % Sappi Papier Holding GmbH 2016/2023. . . . . . . . . . 3.25 % Schaeffler Finance BV 2015/2025. . . . . . . . . . . . . . . 6.875 % Schaeffler Holding Finance BV -Reg- 2013/2018 . . . 9.875 % Schmolz + Bickenbach Luxembourg SA -Reg2012/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.625 % SES SA 2016/2049 *. . . . . . . . . . . . . . . . . . . . . . . . . 5.625 % SGD Group SAS -Reg- 2014/2019. . . . . . . . . . . . . . . 2.75 % SGL Carbon SE 2012/2018. . . . . . . . . . . . . . . . . . . . 7.50 % Silk Bidco AS -Reg- 2015/2022. . . . . . . . . . . . . . . . . 5.125 % Smurfit Kappa Acquisitions -Reg- 2012/2018. . . . . . 7.625 % Snai SpA 2015/2018. . . . . . . . . . . . . . . . . . . . . . . . . 4.75 % SoftBank Group Corp 2015/2025 . . . . . . . . . . . . . . . 5.25 % SoftBank Group Corp. 2015/2027 ** . . . . . . . . . . . . 5.425 % Solvay Finance SA 2013/2049 *. . . . . . . . . . . . . . . . 5.869 % Solvay Finance SA 2015/2049. . . . . . . . . . . . . . . . . . 5.118 % Solvay Finance SA 2015/49/1*. . . . . . . . . . . . . . . . . 2.875 % SPCM SA -Reg- 2015/2023. . . . . . . . . . . . . . . . . . . . 3.625 % TA Manufacturing Ltd 2015/2023 ** . . . . . . . . . . . . 7.875 % Techem Energy Metering Service GmbH & Co., KG 2012/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75 % Telecom Italia Finance SA (MTN) 2003/2033. . . . . . 3.625 % Telecom Italia SpA/Milano (MTN) 2016/2026. . . . . . 7.625 % Telefonica Europe BV 2013/2049 *. . . . . . . . . . . . . . 5.875 % Telefonica Europe BV 2014/2049 *. . . . . . . . . . . . . . 4.20 % Telefonica Europe BV 2015/2049. . . . . . . . . . . . . . . 6.75 % Telenet Finance V Luxembourg SCA -Reg2012/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.125 % Tereos Finance Groupe I SA 2016/2023 ** . . . . . . . 2.50 % Tesco Corporate Treasury Services Plc 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.125 % Tesco Plc (MTN) 2007/2047. . . . . . . . . . . . . . . . . . . 7.375 % THOM Europe SAS -Reg- 2014/2019. . . . . . . . . . . . 7.75 % Thomas Cook Finance Plc 2013/2020 **. . . . . . . . . 6.75 % Thomas Cook Finance Plc -Reg- 2015/2021 ** . . . . 6.375 % Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc. -Reg- 2015/2022. . . 5.00 % Trionista HoldCo GmbH 2013/2020 . . . . . . . . . . . . . 7.375 % TVN Finance Corp III AB -Reg- 2013/2020 **. . . . . . 5.625 % Unitymedia Hessen GmbH & Co. / Unitymedia NRW GmbH -Reg- 2013/2023. . . . . . . . 5.50 % Unitymedia Hessen GmbH & Co. KG -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.75 % Unitymedia Hessen GmbH & Co. KG -Reg2012/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.50 % Unitymedia Hessen GmbH & Co. KG -Reg2015/2027 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.00 % Unitymedia Hessen GmbH & Co., KG 2014/2025 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.25 % Unitymedia NRW GmbH 2013/2029. . . . . . . . . . . . . 4.00 % UPCB Finance IV Ltd -Reg- 2015/2027. . . . . . . . . . . 3.75 % Vale SA (MTN) 2012/2023 **. . . . . . . . . . . . . . . . . . 6.00 % Verisure Holding AB 2015/2022 **. . . . . . . . . . . . . . 7.50 % Viridian Group FundCo II Ltd -Reg- 2015/2020. . . . . 6.625 % Vivacom 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . 3.25 % Volvo Car AB 2016/2021 ** . . . . . . . . . . . . . . . . . . . 4.50 % VRX Escrow Corp. 2015/2023. . . . . . . . . . . . . . . . . . 9.50 % WFS Global Holdings 2015/2022 **. . . . . . . . . . . . . 4.125 % Wind Acquisition Finance SA 2015/2020 *. . . . . . . . 4.00 % Wind Acquisition Finance SA -Reg- 2014/2020. . . . . 3.951 % Wind Acquisition Finance SA -Reg- 2014/2020 *. . . 7.00 % Wind Acquisition Finance SA -Reg- 2014/2021. . . . . 5.75 % XPO Logistics, Inc. 2015/2021 . . . . . . . . . . . . . . . . . 2.75 % ZF North America Capital, Inc. 2015/2023 . . . . . . . .
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
2 835 000 1 000 000 900 000 1 100 000 100 000 270 000 953 000 1 000 000 2 200 000 2 200 000 440 000 6 930 000 2 000 000 3 150 000 3 150 000 2 380 000 4 220 000 1 960 000 2 960 000 2 960 000 3 300 000 4 800 000 1 300 000
% % % % % % % % % % % % % % %
87.855 80.603 103.73 102.672 102.15 100.381 105.637 85.149 102.209 76.75 103.5 100.995 101.194 103.357 78.123
2 490 689.25 725 427.00 1 141 030.00 978 464.16 2 247 300.00 2 208 382.00 464 802.80 5 900 825.70 3 219 583.50 1 826 650.00 4 367 700.00 1 979 502.00 2 995 342.40 3 410 781.00 3 749 904.00
0.28 0.08 0.13 0.11 0.26 0.25 0.05 0.68 0.37 0.21 0.50 0.23 0.34 0.39 0.43
EUR
1 590 000
200 000
%
105.664
1 680 057.60
0.19
000 000 2 000 000 000 6 500 000 000 5 000 000 1 000 000 000 625 000
% % % % %
100.747 101.123 102.677 102.667 102.575
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
4 244 055 2 250 000 2 250 000 500 000 5 600 000 5 600 000 4 770 000 2 000 000 540 000 1 000 000 480 000 540 000 9 000 000 500 000 3 870 000 2 000 000 2 000 000 7 580 000 7 000 000 8 765 000 6 000 000 380 000 8 500 000 8 500 000 2 620 000 500 000
% % % % % % % % % % % % % %
EUR EUR EUR EUR EUR EUR
2 100 605 2 910 8 900 5 700 2 000
000 000 000 2 910 000 000 5 000 000 000 3 100 000 000 2 000 000
EUR EUR
2 110 000 7 200 000 7 200 000
EUR EUR EUR EUR EUR
1 2 2 1
EUR EUR EUR EUR EUR
Quantity/ principal amount
100.669 99.451 102.461 89.75 101.868 108.036 101.679 108.015 108.271 102.7 104.464 103.229 96.37 94.356
4 272 447.85 2 237 647.50 512 305.00 5 026 000.00 4 859 103.60 583 394.40 1 016 790.00 9 721 350.00 2 165 420.00 7 784 660.00 9 156 269.60 392 270.20 8 191 450.00 2 472 127.20
0.49 0.26 0.06 0.57 0.56 0.07 0.12 1.11 0.25 0.89 1.05 0.04 0.94 0.28
% % % % % %
105.509 133.542 103.367 111.182 102.335 99.578
2 215 807 3 007 9 895 5 833 1 991
689.00 929.10 979.70 198.00 095.00 560.00
0.25 0.09 0.34 1.13 0.67 0.23
% %
110.291 99.221
2 327 140.10 7 143 912.00
0.27 0.82
000 000 000 000 000 1 000 000
% % % % %
97.882 96.155 104.828 98.444 92.995
489 410.00 1 394 247.50 2 201 388.00 2 687 521.20 929 950.00
0.06 0.16 0.25 0.31 0.11
EUR EUR EUR
2 600 000 220 000 2 192 000
% % %
101.375 102.806 106.076
2 635 750.00 226 173.20 2 325 185.92
0.30 0.03 0.27
EUR
1 412 000
%
105.888
1 495 138.56
0.17
EUR
1 215 000
135 000
%
105.682
1 284 036.30
0.15
EUR
3 240 000
270 000
%
105.872
3 430 252.80
0.39
2 500 000
%
96.717
2 417 925.00
0.28
12 500 000 4 500 000 1 660 000 520 000 1 500 000 2 000 000 2 000 000 4 290 000 4 290 000 2 880 000 3 170 000 1 000 000 2 470 000 780 000 1 780 000 1 000 000 9 060 000 3 500 000 3 450 000 3 450 000 810 000 310 000 7 700 000 7 300 000 2 030 000 3 000 000 3 000 000 1 500 000 16 000 000 9 000 000 2 000 000
% % % % % % % % % % % % % % % %
101.158 111.361 97.209 89.516 106.819 103.969 101.989 103.129 75.882 93.591 98.684 99.084 97.459 97.964 94.659 102.9
12 644 750.00 579 077.20 1 944 180.00 3 840 236.40 3 076 387.20 3 295 817.30 2 519 128.30 804 406.20 6 874 909.20 3 228 889.50 305 920.40 7 629 468.00 1 978 417.70 2 938 920.00 1 419 885.00 16 464 000.00
1.45 0.07 0.22 0.44 0.35 0.38 0.29 0.09 0.79 0.37 0.04 0.87 0.23 0.34 0.16 1.87
500 450 100 730 000
2 500 000
810 000
2 6 6 11
065 117 674 498 384
% of net assets
0.24 0.70 0.76 1.32 0.04
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
050 050 500 200 375
Total market value in EUR
313.50 941.50 005.00 704.00 656.25
EUR
2 6 6 11
Purchases/ Sales/ Market price additions disposals in the reporting period
147
Deutsche Invest I Euro High Yield Corporates Description
4.625 % 3.625 % 3.75 % 8.875 % 7.875 % 5.50 % 9.50 %
Ziggo Bond Finance BV 2015/2025. . . . . . . . . . . . . . iggo BV (MTN) -Reg- 2013/2020. . . . . . . . . . . . . . . Z Ziggo Secured Finance BV 2015/2025 . . . . . . . . . . . Zinc Capital SA (MTN) 2011/2018 ** . . . . . . . . . . . . Zobele Holding SpA -Reg- 2013/2018 ** . . . . . . . . . AA Bond Co., Ltd 2015/2022 . . . . . . . . . . . . . . . . . . Arqiva Broadcast Finance Plc (MTN) -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.50 % BIBBY Offshore Services Plc -Reg- 2014/2021 **. . 6.625 % Enel SpA 2014/2076 *. . . . . . . . . . . . . . . . . . . . . . . . 11.00 % Garfunkelux Holdco 2 SA 2015/2023 **. . . . . . . . . . 5.338 % Gazprom OAO Via Gaz Capital SA (MTN) 2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.00 % GHD Bondco Plc -Reg- 2014/2020. . . . . . . . . . . . . . 7.00 % Infinis Plc -Reg- 2013/2019. . . . . . . . . . . . . . . . . . . . 3.875 % Jaguar Land Rover Automotive Plc -Reg2015/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.50 % Keystone Financing 2014/2019. . . . . . . . . . . . . . . . . 6.875 % Koninklijke KPN NV (MTN) 2013/2073 *. . . . . . . . . . 6.75 % MEIF Renewable Energy UK Plc -Reg2015/2020 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.00 % Mizzen Bondco 2014/2021. . . . . . . . . . . . . . . . . . . . 6.25 % Moy Park Bondco Plc -Reg- 2014/2021 . . . . . . . . . . 6.50 % New Look Secured Issuer 2015/2022. . . . . . . . . . . . 6.25 % Petrobras Global Finance BV (MTN) 2011/2026. . . . 5.375 % Petrobras Global Finance BV 2012/2029. . . . . . . . . . 6.375 % Telecom Italia SpA (MTN) 2004/2019. . . . . . . . . . . . 5.875 % Telecom Italia SpA (MTN) 2006/2023. . . . . . . . . . . . 5.801 % Tesco Property Finance 4 Plc -Reg- 2011/2040 . . . . 7.75 % Thomas Cook Group Plc (MTN) 2010/2017 . . . . . . . 5.125 % Virgin Media Secured Finance Plc (MTN) -Reg2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00 % Virgin Media Secured Finance Plc -Reg2013/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.25 % William Hill Plc 2013/2020. . . . . . . . . . . . . . . . . . . . . 7.50 % Altice Financing SA 144A 2016/2026. . . . . . . . . . . . 9.375 % Anglo American Capital Plc -Reg- 2009/2019. . . . . . 6.50 % ArcelorMittal 2011/2021 **. . . . . . . . . . . . . . . . . . . . 7.25 % ArcelorMittal 2012/2022 **. . . . . . . . . . . . . . . . . . . . 4.375 % CNH Industrial Capital LLC 2015/2020 **. . . . . . . . . 4.875 % CNH Industrial Capital LLC 2016/2021. . . . . . . . . . . 6.25 % International Game Technology Plc 144A 2015/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.00 % Medya Holding International Ltd 1996/2049. . . . . . . 8.00 % Novasep Holding SAS -Reg- 2012/2016. . . . . . . . . . 4.375 % Petrobras Global Finance BV 2013/2023 **. . . . . . . 4.875 % Samvardhana Motherson Automotive Systems Group BV 2016/2021. . . . . . . . . . . . . . . . . 7.75 % Sappi Papier Holding GmbH 2012/2017. . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
EUR EUR EUR EUR EUR GBP
2 000 700 6 000 3 107 1 630 1 000
000 2 000 000 000 700 000 000 6 000 000 000 000 000 1 000 000
% % % % % %
95.781 102.291 97.979 100.101 101.605 95.693
1 915 716 5 878 3 110 1 656 1 156
620.00 037.00 740.00 138.07 161.50 641.17
0.22 0.08 0.67 0.36 0.19 0.13
GBP GBP GBP GBP
970 000 2 220 000 1 000 000 1 700 000 1 500 000
% % % %
106.929 68.812 102.385 91.59
1 1 2 1
677.16 455.25 796.52 572.32
0.14 0.21 0.24 0.19
GBP GBP GBP
2 571 000 6 800 000 1 000 000 600 000
% % %
105.245 94.782 100.5
3 270 559.28 7 790 283.40 728 846.02
0.37 0.89 0.08
GBP GBP GBP
500 000 500 000 1 290 000 500 000 3 500 000 2 500 000
% % %
94.278 101.728 103.788
569 769.03 1 586 166.20 4 390 698.98
0.07 0.18 0.50
GBP GBP GBP GBP GBP GBP GBP GBP GBP GBP
3 1 1 1 1 2 4 4 1
% % % % % % % % % %
100.606 95.819 100.395 92.274 80.47 72.583 110.208 112.316 93.495 103.365
4 1 1 1
361.89 076.71 573.31 442.01 640.79 621.25 211.37 522.39 279.43 154.94
0.46 0.21 0.17 0.18 0.11 0.20 0.75 0.67 0.25 0.08
330 595 230 400 000 000 900 300 971 550
000 695 307 775 000 000 000 000 000 000 800 2 756 000 550 000
1 6 5 2
253 846 103 660
049 848 492 561 972 754 527 837 228 687
GBP
8 200 000
%
98.042
9 717 274.92
1.11
GBP GBP USD USD USD USD USD USD
3 1 1 3 4 3 3 3
000 900 000 000 1 000 000 000 1 470 000 000 3 000 000 000 2 000 000 000 000 3 000 000 000 3 600 000
% % % % % % % %
103.364 101.486 97.375 114.005 103.019 105.672 100.641 102.062
3 1 1 3 3 3 2 3
043.23 661.15 647.15 643.81 231.71 055.44 990.61 223.03
0.44 0.14 0.15 0.35 0.45 0.38 0.31 0.38
USD USD USD USD
1 550 000 1 550 000 2 500 000 2 500 000 500 000 5 000 000
% % % %
100.75 0 91.438 80.738
1 404 781.63 2.25 411 269.42 3 631 449.91
0.16 0.00 0.05 0.42
USD USD
2 070 000 2 070 000 1 500 000
% %
100.65 103.503
1 874 201.11 1 396 613.59
0.21 0.16
060 000 470 000 200 500 000 600
823 226 287 076 892 327 715 305
Securities admitted to or included in organized markets 62 913 039.44 7.19 Interest-bearing securities 4.375 % Ball Corp 2015/2023 **. . . . . . . . . . . . . . . . . . . . . . . EUR 8 520 000 6 900 000 % 108.185 9 217 362.00 1.05 4.375 % Hertz Holdings Netherlands 2015/2019 **. . . . . . . . EUR 1 350 000 350 000 % 102.946 1 389 771.00 0.16 7.375 % Interoute Finco 2015/2020 **. . . . . . . . . . . . . . . . . . EUR 2 170 000 % 106.451 2 309 986.70 0.26 1.00 % OMV AG 2015/2049. . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 090 000 1 000 000 % 105.336 4 308 242.40 0.49 1.00 % Repsol International Finance 2015/2075. . . . . . . . . . EUR 5 000 000 5 000 000 % 85.29 4 264 500.00 0.49 4.875 % Telenet Finance VI 2015/2027 **. . . . . . . . . . . . . . . EUR 5 800 000 500 000 % 102.058 5 919 364.00 0.68 7.75 % Cognita Financing Plc 2015/2021 . . . . . . . . . . . . . . . GBP 1 680 000 % 102.003 2 071 289.02 0.24 2.625 % Anglo American Capital Plc 2012/2017. . . . . . . . . . . USD 3 000 000 3 000 000 % 99.975 2 698 017.33 0.31 5.50 % Barry Callebaut Services NV 144A 2013/2023 . . . . . USD 1 183 000 1 183 000 % 108.3 1 152 511.50 0.13 6.00 % Bombardier Inc 2014/2022. . . . . . . . . . . . . . . . . . . . USD 4 500 000 1 000 000 % 86.375 3 496 492.82 0.40 7.875 % Constellium NV 144A 2016/2021 **. . . . . . . . . . . . . USD 3 620 000 3 620 000 % 103.125 3 358 184.86 0.38 4.42 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2021. . . . . . . . . . . . . . . . . USD 1 900 000 1 900 000 % 103.001 1 760 463.84 0.20 9.875 % FAGE USA Dairy Industry, Inc. 144A 2010/2020 . . . USD 1 115 000 % 104.125 1 044 388.18 0.12 4.50 % Fresenius US Finance II Inc 2015/2023 . . . . . . . . . . USD 11 050 000 10 100 000 % 102.5 10 188 686.75 1.17 10.375 % Platform Specialty Products Corp. 144A 2015/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 500 000 3 500 000 % 100.75 3 172 087.55 0.36 9.25 % Prime Security Services Borrower LLC / Prime Finance, Inc. 144A 2016/2023 . . . . . . . . . . . . USD 800 000 800 000 % 105.875 761 930.71 0.09 6.00 % SPCM SA 144A 2013/2022. . . . . . . . . . . . . . . . . . . . USD 2 210 000 2 210 000 % 102.75 2 042 707.44 0.23 8.00 % Teck Resources Ltd 144A 2016/2021. . . . . . . . . . . . USD 260 000 260 000 % 103.125 241 195.60 0.03 6.50 % T-Mobile USA Inc 2015/2026 . . . . . . . . . . . . . . . . . . USD 1 220 000 2 000 000 % 105.36 1 156 292.37 0.13 6.00 % T-Mobile USA, Inc. 2016/2024 . . . . . . . . . . . . . . . . . USD 1 700 000 1 700 000 % 104.03 1 590 887.93 0.18 10.50 % Western Digital, Corp. 144A 2016/2024. . . . . . . . . . USD 800 000 800 000 % 106.812 768 677.44 0.09
148
Deutsche Invest I Euro High Yield Corporates Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Unlisted securities 16 411 364.46 1.88 Interest-bearing securities 12.00 % Cammell Laird Holdings Plc -Reg- 2000/2010. . . . . . EUR 13 250 000 % 0 13.25 0.00 6.125 % Chemours Co./The 2016/2023 **. . . . . . . . . . . . . . . EUR 7 790 000 7 790 000 % 80.015 6 233 168.50 0.71 4.25 % Huntsman International LLC 2016/2025 ** . . . . . . . EUR 3 250 000 3 250 000 % 91.095 2 960 587.50 0.34 5.75 % Infor US, Inc. 2016/2022. . . . . . . . . . . . . . . . . . . . . . EUR 2 670 000 2 670 000 % 86.375 2 306 212.50 0.27 6.875 % Entertainment One Ltd 2015/2022. . . . . . . . . . . . . . GBP 4 000 000 130 000 % 101.584 4 911 382.71 0.56 Total securities portfolio 827 469 743.78 94.64 Derivatives (Minus signs denote short positions) Currency derivatives 368 612.70 0.04 Receivables/payables Currency futures Currency futures (short) Open positions EUR/CHF 3.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 142.84 0.00 EUR/GBP 62.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -162 882.58 -0.02 EUR/SEK 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -264.43 0.00 EUR/USD 67 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 346 248.36 0.04 Closed positions EUR/GBP 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 518.53 0.00 EUR/USD 4.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59 985.96 0.01 Currency futures (long) Open positions USD/EUR 7.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99 901.08 0.01 Cash at bank 25 503 996.48 2.92 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 11 133 735.92 1.27 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 936 554 1 132 012.84 0.13 Deposits in non-EU/EEA currencies Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 138 873 128 161.57 0.01 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 11 212 10 086.15 0.00 Time deposits EUR deposits (Norddeutsche Landesbank 0.01% 01/07/2016). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 100 000.00 1.49 Other assets 16 059 691.65 1.84 Prepaid placement fee ***. . . . . . . . . . . . . . . . . . . . . . . . . . . . 216 602.97 0.02 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 976 043.28 1.61 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 867 045.40 0.21 Receivables from share certificate transactions 10 677 836.60 1.21 Total assets **** 880 244 546.75 100.67 Other liabilities -2 105 535.68 -0.24 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -762 758.34 -0.09 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 342 777.34 -0.15 Liabilities from share certificate transactions -3 618 668.30 -0.41 Total liabilities -5 888 869.52 -0.67 Net assets 874 355 677.23 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
149
Deutsche Invest I Euro High Yield Corporates Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class CHF FCH CHF 99.67 Class FC EUR 137.04 Class FD EUR 104.07 Class LC EUR 134.62 Class LD EUR 112.36 Class NC EUR 122.93 Class ND EUR 101.52 Class PFC EUR 107.38 Class PFDQ EUR 100.31 Class SEK FCH SEK 1 034.29 Class SEK LCH SEK 1 031.91 Class USD FCH USD 110.52 Class USD LCH USD 109.60 Class USD LDMH USD 100.87 Number of shares outstanding Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 111 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 438 603 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 666 666 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 478 263 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 115 770 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 96 448 Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 093 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 321 Class PFDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 76 548 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 628 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 647 Class USD LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 156 Composition of the reference portfolio (according to CSSF circular 11/512) ML Euro BB-B Non-Financial Fixed & Floating Rate HY Constrained Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 111.766 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 137.245 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 124.530 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.2, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 140 877 603.69 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations
Contracting parties for currency futures Deutsche Bank AG Frankfurt and State Street Bank and Trust Company
Securities lending The following securities were transferred under securities loans at the reporting date:
150
Security description
Quantity/ Limited maturity principal amount (– / ’000)
.625 5 9.125 6.50 2.75 4.125 4.375 5.875 4.375 10.00 6.125 7.75 7.00 7.50 5.50
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
% 3AB Optique Developpement SAS -Reg- 2014/2019 % Agrokor dd 2012/2020 % Altice Financing SA -Reg- 2013/2022 % Anglo American Capital PLC 2012/2019 % Ardagh Packaging Finance Plc Via Ardagh Holdings USA, Inc. -Reg- 2016/2023 % Ball Corp 2015/2023 % BiSoho SAS -Reg- 2016/2023 % Boparan Finance Plc (MTN) -Reg- 2014/2021 % Bormioli Rocco Holdings SA -Reg- 2011/2018 % Chemours Co./The 2016/2023 % CMA CGM SA 2015/2021 % Constellium NV -Reg- 2014/2023 % Cooperativa Muratori & Cementisti-CMC di Ravenna SC -Reg- 2014/2021 % Cott Finance Corp. (MTN) -Reg- 2016/2024
1 400 000 500 000 3 700 000 3 186 000 1 800 000 1 000 000 1 440 000 650 000 1 100 000 4 600 000 2 800 000 2 110 000 2 700 000 3 000 000
Securities loans Total market value in EUR Perpetual
1 391 432.00 532 990.00 3 906 608.00 3 137 349.78 1 833 390.00 1 081 850.00 1 487 232.00 601 100.50 1 122 682.00 3 680 690.00 2 146 312.00 1 719 396.80 2 258 901.00 3 074 850.00
Total
Deutsche Invest I Euro High Yield Corporates Security description
Quantity/ Limited maturity principal amount (– / ’000)
Securities loans Total market value in EUR Perpetual
Total
.00 9 % Dakar Finance SA 2015/2020 EUR 2 000 000 1 950 740.00 4.122 % Dry Mix Solutions Investissements SAS -Reg- 2014/2021 * EUR 1 940 000 1 920 968.60 5.125 % EC Finance PLC 2014/2021 EUR 1 500 000 1 566 555.00 4.50 % eircom Finance DAC -Reg- 2016/2022 EUR 1 900 000 1 888 809.00 5.375 % Ence Energia y Celulosa SA 2015/2022 EUR 1 500 000 1 586 250.00 5.75 % Europcar Groupe SA 2015/2022 EUR 800 000 832 680.00 4.75 % Fiat Finance & Trade SA (MTN) 2014/2022 EUR 1 200 000 1 289 316.00 7.25 % Gamenet SpA -Reg- 2013/2018 EUR 2 500 000 2 538 800.00 3.60 % Gazprom OAO Via Gaz Capital SA (MTN) 2014/2021 EUR 5 000 000 5 186 550.00 10.375 % Geo Travel Finance SCA 2011/2019 EUR 1 900 000 1 798 863.00 3.50 % Gestamp Funding Luxembourg SA -Reg- 2016/2023 EUR 1 400 000 1 431 010.00 6.00 % GIE PSA Tresorerie 2003/2033 EUR 1 800 000 2 122 722.00 5.125 % Grupo Antolin Dutch BV 2015/2022 EUR 1 000 000 1 045 930.00 9.50 % HeidelbergCement Finance Luxembourg SA (MTN) 2011/2018 EUR 2 300 000 2 790 590.00 4.375 % Hertz Holdings Netherlands 2015/2019 EUR 1 000 000 1 029 460.00 4.25 % Huntsman International LLC 2016/2025 EUR 2 600 000 2 368 470.00 6.50 % Ineos Group Holdings SA 2013/2018 EUR 4 000 000 4 059 440.00 7.375 % Interoute Finco 2015/2020 EUR 1 500 000 1 596 765.00 8.75 % Kirk Beauty One GmbH 2015/2023 EUR 2 500 000 2 664 250.00 5.419 % Lecta SA 2012/2018 EUR 1 700 000 1 680 637.00 3.875 % LKQ Italia Bondco SpA -Reg- 2016/2024 EUR 3 000 000 3 093 030.00 9.50 % Lock Lower Holding AS -Reg- 2014/2022 EUR 1 350 000 1 333 260.00 7.75 % LSF9 Balta Issuer SA 2015/2022 EUR 500 000 529 700.00 5.50 % Main Capital Funding LP 2005/2049 EUR 500 000 508 750.00 8.25 % Mercury Bondco PLC 2015/2021 EUR 6 400 000 6 352 000.00 8.00 % Mercury Bondco Plc -Reg- 2015/2021 * EUR 2 700 000 2 666 763.00 5.25 % Monitchem HoldCo 3 SA -Reg- 2014/2021 EUR 1 500 000 1 486 680.00 5.625 % Numericable Group SA -Reg- 2014/2024 EUR 1 000 000 1 010 400.00 8.50 % Nyrstar Netherlands Holdings BV -Reg- 2014/2019 EUR 7 950 000 8 049 772.50 7.75 % Onorato Armatori SpA -Reg- 2016/2023 EUR 6 100 000 5 860 026.00 6.50 % Ovako AB -Reg- (MTN) 2014/2019 EUR 3 300 000 2 373 855.00 5.25 % Paprec Holding 2015/2022 EUR 3 700 000 3 748 248.00 5.169 % Paroc Group Oy -Reg- (MTN) 2014/2020 * EUR 100 000 96 500.00 8.50 % Paternoster Holding III GmbH -Reg- 2015/2023 EUR 6 070 000 5 542 881.20 9.00 % Perstorp Holding AB 2012/2017 EUR 500 000 501 815.00 4.25 % Petrobras Global Finance BV 2012/2023 EUR 2 000 000 1 614 320.00 4.432 % ProGroup AG 2015/2022 EUR 230 000 230 876.30 8.50 % Rain CII Carbon LLC 2012/2021 EUR 600 000 460 500.00 6.75 % RPG Byty Sro -Reg- 2013/2020 EUR 2 400 000 2 480 568.00 5.25 % SoftBank Group Corp. 2015/2027 EUR 2 000 000 2 165 420.00 3.625 % TA Manufacturing Ltd 2015/2023 EUR 2 600 000 2 453 256.00 4.875 % Telenet Finance VI 2015/2027 EUR 500 000 510 290.00 4.125 % Tereos Finance Groupe I SA 2016/2023 EUR 7 200 000 7 143 912.00 7.75 % Thomas Cook Finance Plc 2013/2020 EUR 1 000 000 984 440.00 6.75 % Thomas Cook Finance Plc -Reg- 2015/2021 EUR 1 000 000 929 950.00 7.375 % TVN Finance Corp III AB -Reg- 2013/2020 EUR 1 900 000 2 015 444.00 3.50 % Unitymedia Hessen GmbH & Co. KG -Reg- 2015/2027 EUR 650 000 628 660.50 4.00 % Unitymedia Hessen GmbH & Co., KG 2014/2025 EUR 500 000 505 790.00 3.75 % Vale SA (MTN) 2012/2023 EUR 4 200 000 3 759 672.00 6.00 % Verisure Holding AB 2015/2022 EUR 2 480 000 2 649 111.20 3.25 % Volvo Car AB 2016/2021 EUR 600 000 618 774.00 9.50 % WFS Global Holdings 2015/2022 EUR 2 950 000 2 760 934.50 8.875 % Zinc Capital SA (MTN) 2011/2018 EUR 1 700 000 1 701 717.00 7.875 % Zobele Holding SpA -Reg- 2013/2018 EUR 1 000 000 1 016 050.00 7.50 % BIBBY Offshore Services Plc -Reg- 2014/2021 GBP 2 200 000 1 829 820.52 11.00 % Garfunkelux Holdco 2 SA 2015/2023 GBP 1 500 000 1 660 572.32 6.75 % MEIF Renewable Energy UK Plc -Reg- 2015/2020 GBP 2 300 000 2 796 856.56 6.50 % ArcelorMittal 2011/2021 USD 500 000 463 360.92 7.25 % ArcelorMittal 2012/2022 USD 3 500 000 3 327 055.45 4.375 % CNH Industrial Capital LLC 2015/2020 USD 3 000 000 2 715 990.60 7.875 % Constellium NV 144A 2016/2021 USD 3 362 000 3 118 844.59 4.375 % Petrobras Global Finance BV 2013/2023 USD 500 000 363 144.99 Total receivables from securities loans 163 382 601.82 163 382 601.82 Contracting parties for securities loans BNP Paribas Arbitrage SNC, BNP Paribas S.A., Barclays Capital Securities Limited, Citigroup Global Markets, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, Goldman Sachs Int., HSBC Bank PLC FI, J.P. Morgan Securities plc (Fix Income), Morgan Stanley Intl. FI, UBS AG London Branch, Zuercher Kantonalbank Total collateral pledged by third parties for securities loans EUR 177 177 606.30 thereof: Bonds EUR 133 220 707.70 Equities EUR 43 956 898.60 Exchange rates (indirect quotes) As of: June 30, 2016 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1
151
Deutsche Invest I Euro High Yield Corporates Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Floating interest rate. ** Some or all of these securities are lent. *** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). **** Does not include positions with a negative balance, if such exist.
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Equities Avery Weigh Tronix. . . . . . . . . . . . . . . . . . . . . . . . Count Interest-bearing securities 7.875 % Aguila 3 SA -Reg- 2011/2018 . . . . . . . 2.85 % Gazprom OAO Via Gaz Capital SA (MTN) 2013/2019 . . . . . . . . . . . . . . . . 4.375 % Areva SA (MTN) 2009/2019 . . . . . . . . 3.50 % BALL Corp 2015/2020. . . . . . . . . . . . . 6.625 % Boing Group Financing Plc (MTN) -Reg- 2014/2019. . . . . . . . . . . . . . . . . 6.375 % Cerved Group SpA (MTN) -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . . 6.125 % Chemours Co. 2015/2023. . . . . . . . . . 8.75 % Cirsa Funding Luxembourg SA -Reg2010/2018. . . . . . . . . . . . . . . . . . . . . . 4.625 % Constellium NV 2014/2021. . . . . . . . . 4.00 % Crown European Holdings SA -Reg2014/2022. . . . . . . . . . . . . . . . . . . . . . 11.75 % Eileme 2 AB -Reg- 2012/2020. . . . . . . 9.25 % eircom Finance Ltd 2013/2020. . . . . . 7.00 % Financiere Gaillon 8 SAS -Reg(MTN) 2014/2019 . . . . . . . . . . . . . . . . 5.25 % FMC Finance VII SA -Reg2011/2021. . . . . . . . . . . . . . . . . . . . . . 6.50 % FMC Finance VIII SA 2011/2018. . . . . 6.50 % GCS Holdco Finance I SA 2013/2018. . . . . . . . . . . . . . . . . . . . . . 6.75 % Goodyear Dunlop Tires Europe BV -Reg- 2011/2019. . . . . . . . . . . . . . . . . 6.625 % Grupo Isolux Corsan Finance BV -Reg- 2014/2021. . . . . . . . . . . . . . . . . 5.294 % Guala Closures SpA 2012/2019 *. . . . 8.00 % Heidelberger Druckmaschinen AG -Reg- 2015/2022. . . . . . . . . . . . . . . . . 6.352 % HT1 Funding GmbH 2006/2049 *. . . . 4.25 % Huntsman International LLC 2015/2025. . . . . . . . . . . . . . . . . . . . . . 5.75 % Infor US, Inc. 2015/2022. . . . . . . . . . . 6.00 % InterXion Holding NV 2016/2020. . . . . 9.75 % Intralot Finance Luxembourg SA 2013/2018. . . . . . . . . . . . . . . . . . . . . . 7.125 % IVS Group SA -Reg- 2013/2020. . . . . . 3.75 % Jarden Corp. -Reg- 2014/2021 . . . . . . 10.625 % Kerling Plc -Reg- 2010/2017. . . . . . . . 6.75 % KION Finance SA (MTN) -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . . 7.25 % La Financiere Atalian SAS 2016/2020. . . . . . . . . . . . . . . . . . . . . . 5.50 % Lafarge SA (MTN) 2009/2019. . . . . . . 4.75 % Lafarge SA (MTN) 2013/2020. . . . . . . 4.875 % Loxam SAS -Reg- 2014/2021 . . . . . . . 3.50 % Loxam SAS -Reg- 2016/2023 . . . . . . . 9.00 % Magnolia BC SA (MTN) -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . .
152
416 325
CHF
4 000 000
CHF EUR 4 500 000 EUR
5 250 000 4 500 000 1 100 000
EUR
700 000
EUR EUR 1 800 000
265 000 5 040 000
EUR EUR
354 055 361 000
EUR EUR EUR
1 190 000 5 800 000 600 000
EUR
1 240 000
EUR EUR
1 325 000 2 200 000
EUR
1 300 000
EUR
900 000
EUR EUR
1 420 000 805 000
EUR 1 000 000 EUR
1 400 000 2 000 000
EUR 1 000 000 EUR EUR 800 000
3 250 000 2 670 000 800 000
EUR EUR EUR EUR
1 2 1 2
EUR
2 300 000
EUR 1 840 000 EUR EUR EUR EUR 3 220 000
1 840 406 1 250 390 3 220
EUR
000 605 200 500
000 000 000 000
000 000 000 000 000
255 000
5.75 % M ain Capital Funding II LP 2006/2049 EUR 2 000 000 4.875 % Matterhorn Telecom Holding SA -Reg- 2015/2023. . . . . . . . . . . . . . . . . EUR 640 000 4.50 % New Look Secured Issuer 2015/2022 * . . . . . . . . . . . . . . . . . . . . EUR 650 000 6.75 % Nokia Oyj (MTN) 2009/2019. . . . . . . . EUR 1 000 000 4.932 % Novacap International SAS -Reg(MTN) 2014/2019 *. . . . . . . . . . . . . . . EUR 700 000 4.50 % Novafives SAS -Reg- 2014/2021. . . . . EUR 1 050 000 6.25 % Paroc Group Oy -Reg- 2014/2020. . . . EUR 130 000 2.75 % Petrobras Global Finance BV 2014/2018. . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 3 080 000 7.375 % Peugeot SA (MTN) 2013/2018 . . . . . . EUR 1 100 000 6.50 % P eugeot SA (MTN) 2013/2019 . . . . . . EUR 1 800 000 5.125 % Rexel SA -Reg- 2013/2020 . . . . . . . . . EUR 490 000 3.50 % Schaeffler Finance BV (MTN) -Reg2014/2022. . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 7.625 % Snai SpA -Reg- 2013/2018 . . . . . . . . . EUR 480 000 4.625 % S oftBank Group Corp 2013/2020 . . . . EUR 1 400 000 4.00 % S oftBank Group Corp 2015/2022 . . . . EUR 1 760 000 11.00 % S tork Technical Services 2012/2017. . EUR 1 167 000 5.25 % T elecom Italia SpA (MTN) 2005/2055. . . . . . . . . . . . . . . . . . . . . . EUR 500 000 6.625 % Telenet Finance III Luxembourg SCA -Reg- 2011/2021. . . . . . . . . . . . . . . . . EUR 1 500 000 3.75 % T elenet Finance IV Luxembourg SCA -Reg- 2011/2021 *. . . . . . . . . . . . . . . . EUR 1 170 000 1 570 000 9.875 % T MF Group Holding BV 2012/2019. . . EUR 590 000 6.50 % WEPA Hygieneprodukte GmbH -Reg- 2013/2020. . . . . . . . . . . . . . . . . EUR 730 000 9.50 % W FS Global Holding SAS -Reg2016/2022. . . . . . . . . . . . . . . . . . . . . . EUR 350 000 350 000 4.625 % Areva SA (MTN) 2011/2017 . . . . . . . . EUR 1 300 000 1 300 000 8.625 % J ohnston Press Bond Plc -Reg2014/2019. . . . . . . . . . . . . . . . . . . . . . GBP 1 880 000 6.875 % P endragon Plc 2013/2020. . . . . . . . . . GBP 360 000 7.00 % Priory Group No 3 Plc -Reg2011/2018. . . . . . . . . . . . . . . . . . . . . . GBP 520 372 10.85 % A rcelorMittal 2009/2019. . . . . . . . . . . USD 2 500 000 10.00 % Medya Holding International Ltd 1996/2049. . . . . . . . . . . . . . . . . . . . . . USD 2 500 000 5.50 % Telemar Norte Leste SA -Reg2010/2020. . . . . . . . . . . . . . . . . . . . . . USD 9 500 000 Securities admitted to or included in organized markets Interest-bearing securities 1.00 % Bhp Billiton Finance Ltd 2015/2079 . . EUR 2 390 000 11.625 % Eileme 2 AB 2012/2020 . . . . . . . . . . . USD 2 870 000 5.125 % Goodyear Tire & Rubber Co/The 2015/2023. . . . . . . . . . . . . . . . . . . . . . USD 530 000 Unlisted securities Interest-bearing securities 3.75 % N ewell Brands, Inc. -Reg2016/2021. . . . . . . . . . . . . . . . . . . . . . EUR 1 200 000 1 200 000
Deutsche Invest I Euro High Yield Corporates Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000) Futures contracts Currency futures (short) Futures contracts to sell currencies EUR/CHF EUR 17 559 EUR/GBP EUR 233 284 EUR/USD EUR 238 390 Currency futures (long) Futures contracts to purchase currencies CHF/EUR EUR 14 666 GBP/EUR EUR 158 687 USD/EUR EUR 187 627
153
Deutsche Invest I Euro-Gov Bonds Investment portfolio – June 30, 2016 Description
154
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 1 635 351 140.15 Interest-bearing securities 5.00 % Belgium Government Bond 144A 2004/2035 * . . . . EUR 30 000 000 % 176.95 53 085 000.00 2.15 % Belgium Government Bond 144A 2016/2066. . . . . . EUR 20 000 000 20 000 000 % 124.998 24 999 600.00 5.50 % Belgium Government Bond 1998/2028 *. . . . . . . . . EUR 25 000 000 5 000 000 % 160.055 40 013 750.00 4.00 % Belgium Government Bond 2012/2032 *. . . . . . . . . EUR 10 000 000 % 152.473 15 247 300.00 6.50 % Bundesrepublik Deutschland 1997/2027 *. . . . . . . . EUR 35 000 000 % 174.173 60 960 550.00 5.50 % Bundesrepublik Deutschland 2000/2031 *. . . . . . . . EUR 40 000 000 % 179.56 71 824 000.00 6.00 % France Government Bond OAT 1994/2025 *. . . . . . EUR 50 000 000 % 154.92 77 460 000.00 5.50 % France Government Bond OAT 1998/2029 *. . . . . . EUR 20 000 000 % 164.845 32 969 000.00 5.75 % France Government Bond OAT 2001/2032 *. . . . . . EUR 30 000 000 % 182.11 54 633 000.00 3.50 % France Government Bond OAT 2010/2026 *. . . . . . EUR 10 000 000 % 132.568 13 256 800.00 2.25 % France Government Bond OAT 2013/2024 *. . . . . . EUR 10 000 000 % 118.348 11 834 800.00 3.25 % France Government Bond OAT 2013/2045 *. . . . . . EUR 10 000 000 % 158.24 15 824 000.00 5.40 % Ireland Government Bond 2009/2025. . . . . . . . . . . . EUR 30 000 000 10 000 000 % 141.743 42 522 900.00 5.00 % Ireland Government Bond 2010/2020 *. . . . . . . . . . EUR 20 000 000 % 122.413 24 482 600.00 3.90 % Ireland Government Bond 2013/2023 -Reg-. . . . . . . EUR 20 000 000 % 124.89 24 978 000.00 3.40 % Ireland Government Bond 2014/2024. . . . . . . . . . . . EUR 10 000 000 10 000 000 % 123.39 12 339 000.00 2.40 % Ireland Government Bond 2014/2030. . . . . . . . . . . . EUR 20 000 000 % 120.345 24 069 000.00 9.00 % Italy Buoni Poliennali Del Tesoro 1993/2023 *. . . . . EUR 80 000 000 40 000 000 % 157.46 125 968 000.00 6.50 % Italy Buoni Poliennali Del Tesoro 1997/2027 *. . . . . EUR 22 000 000 % 151.832 33 403 040.00 5.25 % Italy Buoni Poliennali Del Tesoro 1998/2029. . . . . . . EUR 15 000 000 % 143.06 21 459 000.00 5.00 % Italy Buoni Poliennali Del Tesoro 2003/2034. . . . . . . EUR 5 000 000 % 146.577 7 328 850.00 3.75 % Italy Buoni Poliennali Del Tesoro 2010/2021 *. . . . . EUR 13 000 000 10 000 000 % 115.973 15 076 490.00 5.50 % Italy Buoni Poliennali Del Tesoro 2012/2022 *. . . . . EUR 20 000 000 % 129.495 25 899 000.00 5.50 % Italy Buoni Poliennali Del Tesoro 2012/2022. . . . . . . EUR 25 000 000 % 129.837 32 459 250.00 2.15 % Italy Buoni Poliennali Del Tesoro 2013/2017 *. . . . . EUR 120 078 000 20 852 000 30 693 400 % 102.965 123 638 312.70 3.75 % Italy Buoni Poliennali Del Tesoro 2013/2021 *. . . . . EUR 20 000 000 % 116.227 23 245 400.00 4.50 % Italy Buoni Poliennali Del Tesoro 2013/2023. . . . . . . EUR 10 500 000 % 124.84 13 108 200.00 2.15 % Italy Buoni Poliennali Del Tesoro 2014/2021. . . . . . . EUR 10 000 000 % 109.058 10 905 800.00 1.65 % Italy Buoni Poliennali Del Tesoro -Reg- 2014/2020. . EUR 150 070 500 106 187 000 1 049 000 % 105.73 158 669 539.65 1.65 % Italy Buoni Poliennali Del Tesoro -Reg- 2014/2020. . EUR 10 000 000 % 105.735 10 573 500.00 5.50 % Netherlands Government Bond 1998/2028 *. . . . . . EUR 20 000 000 10 000 000 % 162.218 32 443 600.00 2.25 % Slovenia Government Bond 2014/2022 *. . . . . . . . . EUR 17 000 000 % 110.808 18 837 360.00 2.125 % Slovenia Government Bond 2015/2025 . . . . . . . . . . EUR 5 940 000 % 110.075 6 538 455.00 2.25 % Slovenia Government Bond 2016/2032 . . . . . . . . . . EUR 7 640 000 7 640 000 % 106.477 8 134 842.80 5.40 % Spain Government Bond 144A 2013/2023. . . . . . . . EUR 30 000 000 10 000 000 % 131.215 39 364 500.00 6.00 % Spain Government Bond 1998/2029. . . . . . . . . . . . . EUR 50 000 000 25 000 000 % 151.74 75 870 000.00 4.80 % Spain Government Bond 2008/2024. . . . . . . . . . . . . EUR 10 000 000 5 000 000 % 129.095 12 909 500.00 4.30 % Spain Government Bond 2009/2019. . . . . . . . . . . . . EUR 20 000 000 % 114.315 22 863 000.00 4.00 % Spain Government Bond 2010/2020. . . . . . . . . . . . . EUR 20 000 000 % 115.073 23 014 600.00 4.85 % Spain Government Bond 2010/2020. . . . . . . . . . . . . EUR 30 000 000 % 120.428 36 128 400.00 4.65 % Spain Government Bond 2010/2025. . . . . . . . . . . . . EUR 10 000 000 % 130.47 13 047 000.00 5.85 % Spain Government Bond 2011/2022. . . . . . . . . . . . . EUR 90 000 000 10 000 000 % 130.5 117 450 000.00 5.90 % Spain Government Bond 2011/2026. . . . . . . . . . . . . EUR 10 000 000 % 143.525 14 352 500.00 3.80 % Spain Government Bond 2014/2024. . . . . . . . . . . . . EUR 10 000 000 3 000 000 % 121.637 12 163 700.00
93.62
Investment fund units 85 213 917.15 In-group fund units DWS Institutional - DWS Institutional Money Plus -I- EUR (0.160%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 6 065 16 120 10 055 EUR 14 050.11 85 213 917.15 Total securities portfolio 1 720 565 057.30 Derivatives (Minus signs denote short positions) Interest rate derivatives -1 467 020.00 Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) Count 50 50 178 500.00 Option contracts Options on interest rate futures Call OGBL 08/2016 167 EUR (DB) Count -129 -834 020.00 Call OGBL 08/2016 165 EUR (DB) Count -300 -1 292 000.00 Put OGBL 08/2016 161 EUR (DB) Count -100 36 000.00 Put OGBL 08/2016 162.5 EUR (DB) Count -700 444 500.00
4.88
3.04 1.43 2.29 0.87 3.49 4.11 4.43 1.89 3.13 0.76 0.68 0.91 2.43 1.40 1.43 0.71 1.38 7.21 1.91 1.23 0.42 0.86 1.48 1.86 7.08 1.33 0.75 0.62 9.08 0.61 1.86 1.08 0.37 0.47 2.25 4.34 0.74 1.31 1.32 2.07 0.75 6.72 0.82 0.70
4.88 98.50
-0.08
0.01
-0.05 -0.07 0.00 0.03
Deutsche Invest I Euro-Gov Bonds Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Cash at bank 10 222 255.98 0.59 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 10 222 255.98 0.59 Other assets 20 571 790.37 1.18 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 571 790.37 1.18 Receivables from share certificate transactions 482 354.69 0.02 Total assets ** 1 752 500 458.34 100.33 Other liabilities -847 916.97 -0.05 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -847 916.97 -0.05 Liabilities from share certificate transactions -2 834 845.42 -0.16 Total liabilities -5 808 782.39 -0.33 Net assets 1 746 691 675.95 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200.79 Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103.09 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 191.30 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 122.49 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 178.21 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 981 146 Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 711 093 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 353 053 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 741 878 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 132 930 Composition of the reference portfolio (according to CSSF circular 11/512) CITI - EMU Government Bond Index, in EUR terms Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 51.425 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 104.288 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 94.933 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 101 884 354.41 as of the reporting date.
155
Deutsche Invest I Euro-Gov Bonds Market abbreviations
Futures exchanges DB = Deutsche Bank AG EUR = Eurex
Securities lending The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
Securities loans Total market value in EUR Perpetual
Total
.00 % Belgium Government Bond 144A 2004/2035 5 EUR 30 000 000 53 085 000.00 5.50 % Belgium Government Bond 1998/2028 EUR 25 000 000 40 013 750.00 4.00 % Belgium Government Bond 2012/2032 EUR 10 000 000 15 247 300.00 6.50 % Bundesrepublik Deutschland 1997/2027 EUR 35 000 000 60 960 550.00 5.50 % Bundesrepublik Deutschland 2000/2031 EUR 40 000 000 71 824 000.00 6.00 % France Government Bond OAT 1994/2025 EUR 50 000 000 77 460 000.00 5.50 % France Government Bond OAT 1998/2029 EUR 20 000 000 32 969 000.00 5.75 % France Government Bond OAT 2001/2032 EUR 30 000 000 54 633 000.00 3.50 % France Government Bond OAT 2010/2026 EUR 8 500 000 11 268 280.00 2.25 % France Government Bond OAT 2013/2024 EUR 10 000 000 11 834 800.00 3.25 % France Government Bond OAT 2013/2045 EUR 9 940 000 15 729 056.00 5.00 % Ireland Government Bond 2010/2020 EUR 9 000 000 11 017 170.00 9.00 % Italy Buoni Poliennali Del Tesoro 1993/2023 EUR 40 000 000 62 984 000.00 6.50 % Italy Buoni Poliennali Del Tesoro 1997/2027 EUR 5 000 000 7 591 600.00 3.75 % Italy Buoni Poliennali Del Tesoro 2010/2021 EUR 13 000 000 15 076 490.00 5.50 % Italy Buoni Poliennali Del Tesoro 2012/2022 EUR 20 000 000 25 899 000.00 2.15 % Italy Buoni Poliennali Del Tesoro 2013/2017 EUR 41 000 000 42 215 650.00 3.75 % Italy Buoni Poliennali Del Tesoro 2013/2021 EUR 20 000 000 23 245 400.00 5.50 % Netherlands Government Bond 1998/2028 EUR 20 000 000 32 443 600.00 2.25 % Slovenia Government Bond 2014/2022 EUR 12 900 000 14 294 232.00 Total receivables from securities loans 679 791 878.00 679 791 878.00 Contracting parties for securities loans BNP Paribas Arbitrage SNC, Banco Santander S.A., Barclays Capital Securities Limited, Commerzbank Frankfurt, Crédit Suisse AG, HSBC Bank PLC, Morgan Stanley Intl. FI, UBS AG London Branch Total collateral pledged by third parties for securities loans EUR 723 650 255.38 thereof: Bonds EUR 100 585 646.53 Equities EUR 623 064 608.85 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Some or all of these securities are lent. ** Does not include positions with a negative balance, if such exist.
156
Deutsche Invest I Euro-Gov Bonds 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
Securities traded on an exchange Interest-bearing securities 4.25 % Belgium Government Bond 2012/2022. . . . . . . . . . . . . . . . . . . . . . EUR 4.25 % F rance Government Bond OAT 2007/2023. . . . . . . . . . . . . . . . . . . . . . EUR 4.50 % Ireland Government Bond 2004/2020. . . . . . . . . . . . . . . . . . . . . . EUR 2.25 % Italy Buoni Poliennali Del Tesoro 2013/2017. . . . . . . . . . . . . . . . . . . . . . EUR 134 800 3.45 % Spain Government Bond 144A 2016/2066. . . . . . . . . . . . . . . . . . . . . . EUR 12 000 000 5.75 % Spain Government Bond 2001/2032. . EUR 4.90 % Spain Government Bond 2007/2040. . EUR 5 000 000 4.60 % Spain Government Bond 2009/2019. . EUR
15 000 000 17 000 000 10 000 000 80 024 400 12 20 25 20
000 000 000 000
000 000 000 000
options
Value (’000) Futures contracts Interest rate futures Contracts purchased (Underlying: Germany Federal Republic Notes 10 year) EUR 20 944 Contracts sold (Underlying: Euro BTP Futures) EUR 13 885 Option contracts Options on interest rate derivatives Options on bond index futures Call options purchased (Underlying: OGBL) EUR 1 086 Put options purchased (Underlying: OGBL) EUR 1 154
157
Deutsche Invest I European Small Cap Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 65 094 531.10 100.17 Equities Helvetia Holding AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 087 1 380 CHF 503 1 432 990.92 2.21 VZ Holding AG *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 026 3 142 CHF 285.25 1 849 577.87 2.85 Jyske Bank A/S. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 765 11 968 DKK 252.7 909 095.88 1.40 Aalberts Industries NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 48 387 21 637 EUR 26.99 1 305 965.13 2.01 Altran Technologies SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 141 466 63 252 EUR 11.945 1 689 811.37 2.60 Anima Holding SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 183 514 82 055 EUR 4.208 772 226.91 1.19 Applus Services SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 181 471 186 350 4 879 EUR 8.744 1 586 782.42 2.44 Banca Sistema SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 383 838 171 638 EUR 2.016 773 817.41 1.19 Basic-Fit NV 144A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 99 541 99 541 EUR 13.8 1 373 665.80 2.11 CompuGroup Medical AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 346 22 511 EUR 36.655 1 845 432.63 2.84 Dialog Semiconductor Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 707 17 306 EUR 26.755 1 035 605.79 1.59 Elior SCA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 390 31 474 EUR 19.645 1 382 811.55 2.13 Euronext NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 806 39 806 EUR 33.05 1 315 588.30 2.03 Flow Traders. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 355 16 701 EUR 30.595 1 142 876.23 1.76 Grupo Catalana Occidente SA. . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 853 20 503 EUR 24.62 1 128 900.86 1.74 Huhtamaki Oyj. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 689 19 980 EUR 36.85 1 646 789.65 2.53 Industria Macchine Automatiche SpA . . . . . . . . . . . . . . . . . . . Count 28 258 30 485 EUR 54.5 1 540 061.00 2.37 KBC Ancora. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 755 19 563 EUR 29.46 1 289 022.30 1.98 Koninklijke Wessanen NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 213 615 95 514 EUR 9.5 2 029 342.50 3.12 Melia Hotels International SA . . . . . . . . . . . . . . . . . . . . . . . . . . Count 164 653 73 622 EUR 9.57 1 575 729.21 2.43 Moncler SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 103 090 46 095 EUR 14.02 1 445 321.80 2.22 Nexans SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 389 20 294 EUR 37.5 1 702 087.50 2.62 Ontex Group NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 473 50 891 EUR 27.68 1 203 332.64 1.85 OSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 775 14 653 EUR 45.89 1 504 044.75 2.31 OVS SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 223 943 100 135 EUR 5.215 1 167 862.75 1.80 Refresco Gerber NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 99 802 44 625 EUR 13.43 1 340 340.86 2.06 Rheinmetall AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 980 9 828 EUR 53.09 1 166 918.20 1.80 Sartorius AG -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 460 22 845 3 406 EUR 65.73 2 002 135.80 3.08 Scout24 AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 244 19 784 EUR 33.945 1 501 862.58 2.31 SRP Groupe SA * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 75 219 33 629 EUR 18.3 1 376 507.70 2.12 Teleperformance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 657 9 683 EUR 76.35 1 653 511.95 2.54 Tokmanni Group Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 214 380 220 144 5 764 EUR 6.62 1 419 195.60 2.18 Unipol Gruppo Finanziario SpA . . . . . . . . . . . . . . . . . . . . . . . . . Count 431 104 288 995 157 215 EUR 2.044 881 176.58 1.36 B&M European Value Retail SA . . . . . . . . . . . . . . . . . . . . . . . . Count 324 785 145 228 GBP 2.526 991 625.73 1.53 Berkeley Group Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 091 18 372 GBP 24.83 1 233 223.82 1.90 CMC Markets Plc 144A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 436 572 603 382 166 810 GBP 2.67 1 408 917.67 2.17 Cranswick Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 563 26 186 GBP 20.77 1 470 206.33 2.26 Inchcape Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 155 365 69 469 GBP 6.195 1 163 356.92 1.79 Keller Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 88 129 39 406 GBP 9.015 960 291.43 1.48 Rightmove Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 563 12 324 GBP 35.78 1 192 024.82 1.83 SSP Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 368 459 442 319 73 860 GBP 2.784 1 239 872.07 1.91 UBM Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 186 317 186 317 GBP 6.167 1 388 809.87 2.14 Europris ASA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 314 134 140 462 NOK 35.5 1 197 631.31 1.84 Leroy Seafood Group ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 154 18 848 NOK 395.3 1 789 556.64 2.75 Skandiabanken ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 298 162 133 322 NOK 52.75 1 689 097.04 2.60 Dometic Group AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 272 636 285 700 113 678 SEK 54.8 1 583 856.50 2.44 Nobina AB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 381 497 170 592 SEK 44.4 1 795 668.51 2.76 Total securities portfolio 65 094 531.10 100.17 Derivatives (Minus signs denote short positions) Currency derivatives 76 292.74 0.12 Receivables/payables Currency futures Currency futures (short) Closed positions EUR/GBP 1.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 688.33 0.01 Currency futures (long) Open positions GBP/EUR 6.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68 604.41 0.11
158
Deutsche Invest I European Small Cap Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Cash at bank 256 920.49 0.40 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 29 775 35 989.17 0.06 Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 74 353 9 993.85 0.02 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 930 071 99 883.99 0.15 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 925 424 98 105.37 0.15 Deposits in non-EU/EEA currencies Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 10 814 9 979.55 0.02 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 300 2 968.56 0.00 Other assets 1 584 463.73 2.43 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282 826.81 0.44 Receivables from exceeding the expense cap. . . . . . . . . . . . . 7 781.53 0.01 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 293 855.39 1.98 Receivables from share certificate transactions 69 000.68 0.10 Total assets 67 081 208.74 103.22 Short-term liabilities -242 132.36 -0.37 EUR loans. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR -242 132.36 -0.37 Other liabilities -1 394 569.09 -2.15 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 394 569.09 -2.15 Liabilities from share certificate transactions -457 542.45 -0.70 Total liabilities -2 094 243.90 -3.22 Net assets 64 986 964.84 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 199.19 Class ID. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 211.39 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 183.52 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 187.85 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 172.00 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 362 Class ID. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 623 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 62 942 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 104 419 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 79 519 Composition of the reference portfolio (according to CSSF circular 11/512) DJ Stoxx Europe Small 200 TR EUR Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 79.273 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 98.724 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 91.238 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.1, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 11 333 481.14 as of the reporting date.
159
Deutsche Invest I European Small Cap Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
SRP Groupe SA VZ Holding AG
Count Count
Securities loans Total market value in EUR Perpetual
Total
70 027 1 281 494.10 5 163 1 359 147.53
Total receivables from securities loans 2 640 641.63 2 640 641.63 Contracting parties for securities loans Citigroup Global Markets, Merrill Lynch International, UBS AG London Branch Total collateral pledged by third parties for securities loans EUR 2 698 304.25 thereof: Bonds EUR 419 046.11 Equities EUR 2 279 258.14 Exchange rates (indirect quotes) As of: June 30, 2016 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 Danish krone. . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnote * Some or all of these securities are lent.
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
Securities traded on an exchange Equities Aareal Bank AG. . . . . . . . . . . . . . . . . . . . . . . . . . . Count Essentra Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Ingenico. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Interserve Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Nordex SE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Permanent TSB Group Holdings Plc. . . . . . . . . . . Count UBM Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 297 003 Zumtobel AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count
57 181 25 258 68 473 297 110
733 288 370 117 772 661 003 976
Securities admitted to or included in organized markets Equities Edag Engineering Group AG. . . . . . . . . . . . . . . . . Count
160
99 034
options
Value (’000) Futures contracts Equity index futures Contracts sold (Underlying: DJ Stoxx Europe Small 20) EUR 2 787 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 21 279 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 21 058
Deutsche Invest I Financial Hybrid Bonds Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Securities traded on an exchange
Total market value in EUR
10 535 473.37
Interest-bearing securities 4.25 % Aareal Bank AG 2014/2026 * . . . . . . . . . . . . . . . . . EUR 100 000 % 102.731 102 731.00 7.625 % Aareal Bank AG 2014/2049 * . . . . . . . . . . . . . . . . . . EUR 400 000 % 95.817 383 268.00 4.125 % Allied Irish Banks PLC 2015/2025*. . . . . . . . . . . . . . EUR 400 000 % 93.326 373 304.00 7.375 % Allied Irish Banks PLC 2015/2049. . . . . . . . . . . . . . . EUR 200 000 200 000 200 000 % 88.185 176 370.00 5.00 % ASR Nederland NV 2014/2049 *. . . . . . . . . . . . . . . EUR 180 000 % 98.957 178 122.60 7.75 % Assicurazioni Generali SpA 2012/2042 *. . . . . . . . . EUR 200 000 % 116.002 232 004.00 5.50 % Assicurazioni Generali SpA 2015/2047*. . . . . . . . . EUR 130 000 % 102.678 133 481.40 4.25 % Bank of Ireland 2014/2024 *. . . . . . . . . . . . . . . . . . EUR 300 000 % 97.444 292 332.00 7.375 % Bank of Ireland 2015/2049 . . . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 400 000 % 93.11 186 220.00 4.00 % Bankia SA (MTN) 2014/2024 * . . . . . . . . . . . . . . . . EUR 200 000 % 94.935 189 870.00 8.625 % Bankinter SA 2016/2049 * . . . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 % 103.508 207 016.00 2.375 % Banque Federative du Credit Mutuel SA (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 300 000 % 99.629 298 887.00 6.50 % Barclays Plc 2014/2049 * . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 88.836 177 672.00 3.50 % BBVA Sub Capital Unipers -Reg- 2014/2024 *. . . . EUR 200 000 % 101.976 203 952.00 3.125 % Belfius Bank SA/NV 2016/2026. . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 100.939 100 939.00 2.875 % BPCE SA (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 100.735 100 735.00 2.75 % BPCE SA 2015/2027*. . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 101.33 101 330.00 4.25 % CNP Assurances 2014/2045*. . . . . . . . . . . . . . . . . EUR 200 000 200 000 % 95.382 190 764.00 5.50 % Cooperatieve Centrale RaiffeisenBoerenleenbank BA/Netherlands 2015/2049 *. . . . EUR 250 000 % 95.605 239 012.50 6.50 % Credit Agricole SA -Reg- 2014/2049 * . . . . . . . . . . EUR 200 000 % 94.564 189 128.00 3.25 % Credit Mutuel Arkea SA (MTN) 2016/2026. . . . . . . EUR 100 000 100 000 % 102.38 102 380.00 5.75 % Danske Bank A/S 2014/2049 *. . . . . . . . . . . . . . . . EUR 200 000 % 98.578 197 156.00 5.00 % Deutsche Bank AG (MTN) 2010/2020 . . . . . . . . . . EUR 150 000 % 105.474 158 211.00 4.75 % DNB Bank ASA (MTN) 2012/2022 *. . . . . . . . . . . . EUR 200 000 200 000 % 102.644 205 288.00 3.125 % HSBC Holdings Plc (MTN) 2016/2028. . . . . . . . . . . . EUR 200 000 200 000 % 101.758 203 516.00 7.00 % Intesa Sanpaolo SpA (MTN) 2016/2049 *. . . . . . . . EUR 200 000 200 000 % 92.638 185 276.00 6.625 % Intesa Sanpaolo SpA 2013/2023. . . . . . . . . . . . . . . . EUR 200 000 % 116.128 232 256.00 1.875 % KBC Groep NV (MTN) 2015/2027 * . . . . . . . . . . . . . EUR 100 000 % 97.249 97 249.00 5.625 % KBC Groep NV 2014/2049 *. . . . . . . . . . . . . . . . . . . EUR 200 000 100 000 100 000 % 94.929 189 858.00 5.05 % La Mondiale SAM 2014/49/1*. . . . . . . . . . . . . . . . . EUR 200 000 % 97.482 194 964.00 10.50 % Royal Bank of Scotland Plc (MTN) 2012/2022 *. . . EUR 200 000 % 106.248 212 496.00 3.25 % Santander Issuances SAU (MTN) 2016/2026. . . . . EUR 300 000 300 000 % 97.238 291 714.00 5.75 % UniCredit SpA (MTN) 2013/2025 *. . . . . . . . . . . . . EUR 100 000 % 103.735 103 735.00 6.75 % UniCredit SpA 2014/2049 *. . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 % 80.373 160 746.00 4.25 % Unione di Banche Italiane SpA (MTN) 2016/2026 * EUR 100 000 200 000 100 000 % 97.822 97 822.00 5.844 % HSBC Bank Capital Funding Sterling 1 LP 2003/2049. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 106 000 % 107.145 137 276.52 7.00 % Lloyds Banking Group PLC 2015/2049. . . . . . . . . . GBP 200 000 % 94.601 228 688.43 4.80 % ABN AMRO Bank NV (MTN) -Reg- 2016/2026. . . . USD 200 000 200 000 % 104.437 187 895.53 8.25 % Aquarius + Investments Plc for Swiss Reinsurance Co., Ltd. (MTN) 2012/2049 *. . . . . . . USD 200 000 % 106.07 190 833.51 6.75 % Australia & New Zealand Banking Group Ltd/ United Kingdom -Reg- 2016/2049 * . . . . . . . . . . . . USD 200 000 200 000 % 103.447 186 114.39 9.00 % Banco Bilbao Vizcaya Argentaria SA 2015/2049. . . USD 200 000 % 100.096 180 085.52 6.375 % Banco Santander SA -Reg- 2014/2049 *. . . . . . . . . . USD 200 000 % 87.893 158 130.76 4.20 % Bank of America Corp. (MTN) 2014/2024. . . . . . . . USD 150 000 % 103.601 139 793.59 4.40 % Citigroup Inc 2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 104.505 188 017.87 8.125 % Credit Agricole SA -Reg- 2016/2049 * . . . . . . . . . . . USD 200 000 200 000 % 99.83 179 606.95 6.25 % Credit Suisse Group AG -Reg- 2014/2049 *. . . . . . USD 200 000 200 000 200 000 % 94.519 170 051.78 7.875 % Friends Life Holdings PLC 2015/2049. . . . . . . . . . . . USD 300 000 % 107.994 291 442.54 5.95 % Goldman Sachs Group Inc/The 2006/2027. . . . . . . USD 200 000 % 115.298 207 435.86 6.00 % ING Groep NV 2015/2049. . . . . . . . . . . . . . . . . . . . USD 200 000 % 93.688 168 556.70 6.50 % ING Groep NV 2015/2049 * . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 91.661 164 909.87 4.35 % Morgan Stanley 2014/2026. . . . . . . . . . . . . . . . . . . USD 150 000 % 104.806 141 419.56 5.75 % Skandinaviska Enskilda Banken AB (MTN) 2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 200 000 % 95.317 342 974.97 7.875 % Societe Generale SA -Reg- 2013/2049 *. . . . . . . . . . USD 200 000 200 000 200 000 % 92.032 165 577.35 6.875 % UBS Group AG 2016/2049 *. . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 98.101 176 496.26 4.30 % Wells Fargo & Co 2015/2027 . . . . . . . . . . . . . . . . . USD 150 000 % 108.172 145 961.46 5.95 % Wells Fargo Capital X 2006/2036 . . . . . . . . . . . . . . USD 100 000 % 104.938 94 398.45 Securities admitted to or included in organized markets 1 624 280.34 Interest-bearing securities 1.00 % ABN AMRO Bank NV 2015/2049. . . . . . . . . . . . . . EUR 400 000 200 000 % 93.412 373 648.00 6.463 % AXA SA -Reg- 2006/2049 *. . . . . . . . . . . . . . . . . . . . USD 300 000 150 000 % 104.372 281 667.88 5.71 % Intesa Sanpaolo SpA 144A 2016/2026. . . . . . . . . . USD 300 000 300 000 % 95.319 257 236.62 5.017 % Intesa Sanpaolo SpA 2014/2024. . . . . . . . . . . . . . . . USD 200 000 % 91.958 165 444.21 7.90 % JPMorgan Chase & Co. 2008/2049 *. . . . . . . . . . . USD 200 000 % 101.812 183 172.82 5.30 % Lloyds Banking Group Plc 2015/2045. . . . . . . . . . . USD 200 000 % 105.32 189 484.16 5.45 % Morgan Stanley 2014/2049. . . . . . . . . . . . . . . . . . . USD 200 000 % 96.506 173 626.65 Total securities portfolio 12 159 753.71
% of net assets
76.53 0.75 2.78 2.71 1.28 1.29 1.69 0.97 2.12 1.35 1.38 1.50 2.17 1.29 1.48 0.73 0.73 0.74 1.39 1.74 1.37 0.74 1.43 1.15 1.49 1.48 1.35 1.69 0.71 1.38 1.42 1.54 2.12 0.75 1.17 0.71 1.00 1.66 1.36 1.39 1.35 1.31 1.15 1.02 1.37 1.30 1.23 2.12 1.51 1.22 1.20 1.03 2.49 1.20 1.28 1.06 0.69 11.80 2.71 2.05 1.87 1.20 1.33 1.38 1.26 88.33
161
Deutsche Invest I Financial Hybrid Bonds Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Derivatives (Minus signs denote short positions) Interest rate derivatives -80 190.74 -0.58 Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . . Count -6 -6 -24 480.00 -0.18 UK Treasury Notes 09/2016 (IFLL) . . . . . . . . . . . . . . . . . . . . . . Count -2 -2 -12 377.09 -0.09 US Treasury Notes 30 year 09/2016 (CBT). . . . . . . . . . . . . . . . Count -3 -3 -25 974.88 -0.18 US Treasury Notes 5 year Futures 09/2016 (CBT). . . . . . . . . . Count -10 -10 -17 358.77 -0.13 Currency derivatives 30 868.60 0.22 Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -118.36 0.00 EUR/USD 6.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 986.96 0.22 Cash at bank 1 324 703.48 9.62 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 677 868.04 4.92 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 44 172 53 390.26 0.39 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 659 703 593 445.18 4.31 Other assets 347 163.90 2.52 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165 959.46 1.21 Receivables from exceeding the expense cap. . . . . . . . . . . . . 8 901.95 0.06 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172 302.49 1.25 Total assets ** 13 862 608.05 100.69 Other liabilities -15 333.42 -0.11 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -15 333.42 -0.11 Total liabilities -95 642.52 -0.69 Net assets 13 766 965.53 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Class IC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class IC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Presentation of the maximum limit (according to CSSF circular 11/512) 8% of portfolio value
Net asset value per share in the respective currency
95.27 94.80 95.45 25 000 120 000 100
Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure % 3.159 Highest market risk exposure % 7.540 Average market risk exposure % 6.232
162
Deutsche Invest I Financial Hybrid Bonds The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.6, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 7 919 279.32 as of the reporting date. Market abbreviations Futures exchanges CBT = Chicago Board of Trade IFLL = ICE Futures Europe - Financial Products Division EUR = Eurex Contracting parties for currency futures Morgan Stanley and Co. International PLC and State Street Bank and Trust Company Exchange rates (indirect quotes) As of December 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Floating interest rate. ** Does not include positions with a negative balance, if such exist.
163
Deutsche Invest I Financial Hybrid Bonds 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
Securities traded on an exchange Interest-bearing securities 0.00 % Allianz Finance II BV (MTN) 2016/2020. . . . . . . . . . . . . . . . . . . . . . EUR 200 000 7.00 % Banco Bilbao Vizcaya Argentaria SA -Reg- 2014/2049 *. . . . . . . . . . . . . . . . EUR 200 000 6.25 % Banco Santander SA 2014/2049 * . . . EUR 2.625 % BNP Paribas SA (MTN) 2014/2027 *. EUR 2.875 % BNP Paribas SA (MTN) 2016/2026. . . EUR 120 000 9.00 % Delta Lloyd Levensverzekering NV 2012/2042. . . . . . . . . . . . . . . . . . . . . . EUR 4.625 % NN Group NV -Reg- 2014/2044 *. . . . EUR 5.50 % Vienna Insurance Group AG Wiener Versicherung Gruppe 2013/2043 *. . . EUR 5.125 % Aviva Plc (MTN) 2015/2050 *. . . . . . . GBP 6.875 % Nationwide Building Society (MTN) 2014/2049 * . . . . . . . . . . . . . . . . . . . . GBP 7.375 % BNP Paribas SA 2015/2049. . . . . . . . . USD 8.375 % Cooperatieve Centrale RaiffeisenBoerenleenbank BA 2011/2049 *. . . . USD 7.875 % Credit Suisse Group Guernsey I Ltd 2011/2041. . . . . . . . . . . . . . . . . . . . . . USD 5.75 % DNB Bank ASA 2015/2049 * . . . . . . . USD 6.875 % HSBC Holdings Plc 2016/2049 * . . . . USD 200 000 5.50 % Nordea Bank AB -Reg- 2014/2049 *. . USD 1.00 % Societe Generale 2015/2049. . . . . . . . USD 5.25 % Svenska Handelsbanken AB 2015/2049 * . . . . . . . . . . . . . . . . . . . . USD 5.50 % Swedbank AB 2015/2049 * . . . . . . . . USD
200 000 200 300 100 120
000 000 000 000
150 000 200 000 200 000 150 000 300 000 200 000 100 000 150 000 200 000 300 000 200 000 200 000
Securities admitted to or included in organized markets Interest-bearing securities 1.00 % CNP Assurances 2015/2047. . . . . . . . EUR 100 000 1.00 % Barclays Plc 2015/2049. . . . . . . . . . . . GBP 200 000 6.375 % HSBC Holdings Plc 2015/2049 * . . . . USD 200 000 7.70 % Intesa Sanpaolo SpA 2015/2049. . . . . USD 200 000 500 000 7.50 % Royal Bank of Scotland Group PLC 2015/2049. . . . . . . . . . . . . . . . . . . . . . USD 400 000
164
Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Notes 10 year, UK Treasury Notes, US Treasury Note 30-Year, US Treasury Note 5-Year, US Treasury Ultra Bond) EUR Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR EUR/USD EUR Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR USD/EUR EUR
options Value (’000)
9 881
2 470 11 346
2 573 11 557
Deutsche Invest I German Equities Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 537 081 341.35 Equities Aareal Bank AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 105 533 3 595 EUR 27.995 2 954 396.34 Allianz SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 308 311 8 703 13 158 EUR 126.15 38 893 432.65 Amadeus Fire AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 772 1 831 EUR 56.1 3 016 609.20 BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 451 214 33 887 63 421 EUR 68.1 30 727 673.40 Bayer AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 074 66 869 46 436 EUR 88.9 35 566 578.60 Bayerische Motoren Werke AG -Pref-. . . . . . . . . . . . . . . . . . . . Count 253 010 27 089 EUR 57.3 14 497 473.00 Bechtle AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 633 1 452 EUR 94.52 4 029 671.16 Brenntag AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 52 920 1 803 EUR 42.825 2 266 299.00 Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 118 919 53 000 41 824 EUR 168.5 20 037 851.50 Covestro AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 103 413 89 540 111 495 EUR 39.555 4 090 501.22 Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 655 630 71 338 EUR 53.03 34 768 058.90 Deutsche Annington Immobilien SE . . . . . . . . . . . . . . . . . . . . Count 198 417 109 694 EUR 32.765 6 501 133.01 Deutsche Bank AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 277 710 371 380 EUR 12.25 3 401 947.50 Deutsche Boerse AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 159 590 62 399 EUR 72.78 11 614 960.20 Deutsche Lufthansa AG -Reg- *. . . . . . . . . . . . . . . . . . . . . . . . Count 816 344 771 971 EUR 10.435 8 518 549.64 Deutsche Pfandbriefbank AG . . . . . . . . . . . . . . . . . . . . . . . . . . Count 330 613 36 295 EUR 8.771 2 899 806.62 Deutsche Post AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 019 633 233 504 145 932 EUR 25.055 25 546 904.82 Deutsche Telekom AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 754 103 443 066 EUR 15.13 11 409 578.39 Dialog Semiconductor Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 260 76 094 EUR 26.755 10 708 956.30 DO & CO AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 028 12 972 EUR 78.95 3 397 060.60 Duerr AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 143 28 143 EUR 67.49 1 899 371.07 Evotec AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 490 139 130 000 12 267 EUR 3.776 1 850 764.86 Fraport AG Frankfurt Airport Services Worldwide. . . . . . . . . . Count 41 138 1 401 EUR 47.825 1 967 424.85 Freenet AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 332 058 410 048 EUR 22.97 7 627 372.26 Fresenius SE & Co. KGaA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 170 739 125 221 EUR 64.95 11 089 498.05 Hannover Rueck SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 900 1 189 EUR 93.06 3 247 794.00 HeidelbergCement AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 141 12 030 EUR 67.06 7 721 355.46 Henkel AG & Co. KGaA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . Count 154 137 154 137 96 924 EUR 108.55 16 731 571.35 Hornbach Holding AG + Co KGA. . . . . . . . . . . . . . . . . . . . . . . Count 68 461 7 163 EUR 61.59 4 216 512.99 Infineon Technologies AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 596 691 65 150 EUR 12.93 7 715 214.63 Jenoptik AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 221 879 21 925 EUR 14.72 3 266 058.88 K+S AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 109 260 3 721 EUR 18.13 1 980 883.80 KION Group AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 76 814 8 814 EUR 43.485 3 340 256.79 LANXESS AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 819 6 343 EUR 39.075 2 337 427.43 Linde AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 117 169 90 000 60 420 EUR 124 14 528 956.00 Merck KGaA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 110 972 51 201 4 355 EUR 90.16 10 005 235.52 MTU Aero Engines AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 514 42 472 1 023 EUR 83.94 6 086 825.16 Muenchener Rueckversicherungs AG -Reg-. . . . . . . . . . . . . . . Count 100 375 12 469 2 994 EUR 148.5 14 905 687.50 Nordex SE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 192 008 96 121 77 328 EUR 25.415 4 879 883.32 OSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 190 789 44 444 131 672 EUR 45.89 8 755 307.21 ProSiebenSat.1 Media AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 67 959 7 827 EUR 38.755 2 633 751.05 SAP AG *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 597 549 56 113 EUR 66.85 39 946 150.65 Siemens AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 356 717 38 403 EUR 90.93 32 436 276.81 Sixt SE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 87 822 9 921 EUR 46.195 4 056 937.29 Sixt SE -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 66 487 22 265 EUR 35.4 2 353 639.80 SMA Solar Technology AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 90 683 102 673 11 990 EUR 44.15 4 003 654.45 Software AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 227 349 232 712 5 363 EUR 30.385 6 907 999.37 Stada Arzneimittel AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 159 001 340 783 EUR 46.435 7 383 211.44 STO SE & Co. KGaA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 800 2 648 EUR 102.9 2 243 220.00 Symrise AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 50 000 EUR 60.65 3 032 500.00 TUI AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 375 223 375 223 EUR 10.15 3 808 513.45 United Internet AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 69 575 7 189 EUR 36.875 2 565 578.13 Wirecard AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 248 932 503 069 344 358 EUR 39.2 9 758 134.40 Zalando SE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 195 448 111 244 110 673 EUR 23.785 4 648 730.68 Zooplus AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 149 1 900 EUR 126.85 2 302 200.65
98.42
Investment fund units 4 276 436.40 In-group fund units BB Biotech AG EUR - (0.400%) . . . . . . . . . . . . . . . . . . . . . . . . Units 103 797 88 412 7 471 EUR 41.2 4 276 436.40 Total securities portfolio 541 357 777.75 Derivatives (Minus signs denote short positions) Derivatives on individual securities -61 870.00 Securities options Receivables/payables Equity options Put Deutsche Telekom 12/2016 13.5 EUR (DB). . . . . . . . . . . . - 134 500.00 -61 870.00 Equity index derivatives 548 911.08 Receivables/payables
0.78
0.54 7.13 0.55 5.63 6.52 2.66 0.74 0.42 3.67 0.75 6.37 1.19 0.62 2.13 1.56 0.54 4.68 2.09 1.96 0.62 0.35 0.34 0.36 1.40 2.03 0.60 1.41 3.08 0.77 1.41 0.60 0.36 0.61 0.43 2.66 1.83 1.12 2.73 0.89 1.60 0.48 7.32 5.95 0.74 0.43 0.73 1.27 1.35 0.41 0.56 0.70 0.47 1.79 0.85 0.42
0.78 99.20
-0.01
-0.01 0.10
165
Deutsche Invest I German Equities Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Equity index futures Dax Index 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 184 184 548 911.08 0.10 Currency derivatives 2 407 423.21 0.44 Receivables/payables Currency futures Currency futures (short) Closed positions EUR/USD 26.5 million. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317 252.82 0.06 Currency futures (long) Open positions USD/EUR 159.7 million. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 090 170.39 0.38 Cash at bank 11 990 105.29 2.20 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 987 974.30 0.91 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 969 1 171.01 0.00 Deposits in non-EU/EEA currencies Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 109 398 100 959.98 0.02 Time deposits EUR deposits (DEKABANK 0.01% 01/07/2016). . . . . . . . . . . . EUR 6 900 000 6 900 000.00 1.27 Other assets 2 493 674.80 0.46 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 869 426.95 0.35 Prepaid placement fee **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 675.81 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608 572.04 0.11 Receivables from share certificate transactions 2 347 073.51 0.43 Total assets *** 561 144 965.64 102.83 Other liabilities -3 536 464.04 -0.65 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -718 223.11 -0.13 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 818 240.93 -0.52 Liabilities from share certificate transactions -11 829 728.70 -2.17 Total liabilities -15 428 062.74 -2.83 Net assets 545 716 902.90 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 150.01 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 145.78 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 143.74 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 141.65 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97.15 Class GBP CH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 83.26 Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 85.62 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 108.65 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 115.81 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 033 689 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 640 356 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 885 401 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 127 172 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 678 Class GBP CH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 132 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 528 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 413 052
166
Deutsche Invest I German Equities Composition of the reference portfolio (according to CSSF circular 11/512) GERM CDAX PERFORMANCE unhedged Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 98.657 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 133.185 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 118.145 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.2, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 107 411 303.34 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations
Futures exchanges DB = Deutsche Bank AG Contracting parties for currency futures State Street Bank London and State Street Bank and Trust Company
Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
Securities loans Total market value in EUR Perpetual
Total
Deutsche Lufthansa AG -Reg- Count 780 000 8 139 300.00 SAP AG Count 65 000 4 345 250.00 Total receivables from securities loans 12 484 550.00 12 484 550.00 Contracting parties for securities loans Deutsche Bank London, Merrill Lynch International Total collateral pledged by third parties for securities loans EUR 13 185 211.04 thereof: Bonds EUR 1 081 209.62 Equities EUR 12 104 001.42 Exchange rates (indirect quotes) As of: June 30, 2016 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Some or all of these securities are lent. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). *** Does not include positions with a negative balance, if such exist.
167
Deutsche Invest I German Equities 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
options
Securities traded on an exchange Equities Adidas AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Hugo Boss AG . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Indus Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 488 Porsche Automobil Holding SE -Pref-. . . . . . . . . . Count Rocket Internet AG. . . . . . . . . . . . . . . . . . . . . . . . Count SAF-Holland SA. . . . . . . . . . . . . . . . . . . . . . . . . . . Count Volkswagen AG -Pref-. . . . . . . . . . . . . . . . . . . . . . Count
168
97 42 2 107 148 257 78
179 421 488 375 135 842 432
Futures contracts Equity index futures Contracts sold (Underlyings: Dax Index) EUR Currency futures (short) Futures contracts to sell currencies EUR/USD EUR Currency futures (long) Futures contracts to purchase currencies USD/EUR EUR Option contracts Securities options Equity options Put options purchased (Underlyings: Deutsche Post AG, Henkel, Hugo Boss AG, Linde) EUR
Value (’000)
694 079
1 088 960
896 652
1 291
Deutsche Invest I Global Agribusiness Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
% of net assets
Securities traded on an exchange 640 955 263.16 Equities Australian Agricultural Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . Count 7 664 108 156 308 AUD 1.765 10 059 462.70 Coca-Cola Amatil Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 194 565 31 140 23 734 AUD 8.23 7 311 021.82 GrainCorp Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 413 001 224 037 AUD 8.63 15 485 910.91 Select Harvests Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 934 399 43 294 18 178 AUD 6.74 4 683 394.27 BrasilAgro - Co Brasileira de Propriedades Agricolas . . . . . . . . Count 1 591 952 23 500 BRL 11.98 5 939 638.41 Fertilizantes Heringer SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 129 055 BRL 1.75 1 160 374.43 M Dias Branco SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 113 213 2 309 BRL 101.8 3 589 362.30 Metalfrio Solutions SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 114 023 BRL 2.49 88 422.96 Minerva SA/Brazil . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 615 478 73 711 BRL 8.93 10 055 192.79 Santos Brasil Participacoes SA. . . . . . . . . . . . . . . . . . . . . . . . . Count 706 494 114 932 BRL 12.45 2 739 372.23 Sao Martinho SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 230 698 4 706 BRL 53.03 3 810 120.20 SLC Agricola SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 428 548 65 323 BRL 14.79 20 398 712.17 Wilson Sons Ltd -BDR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 569 851 5 445 BRL 32 5 679 165.34 Feronia, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 151 CAD 0.1 38 520.56 Aryzta AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 295 609 41 990 5 457 CHF 35.18 10 668 914.72 Syngenta AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 378 31 556 CHF 374.1 3 599 189.33 Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 661 EUR 116.4 7 202 311.79 Bayer AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 64 025 64 025 EUR 88.9 6 327 312.45 Ebro Puleva SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 142 630 239 956 EUR 20.49 3 248 783.52 KTG Agrar AG-BR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 130 490 2 660 EUR 1.89 274 161.82 KWS Saat AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 149 652 3 053 EUR 297 49 409 095.96 Naturex . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 769 178 EUR 71.59 697 863.31 OCI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 133 084 65 868 EUR 12.34 1 825 613.92 Sintal Agriculture -Reg- -GDR-. . . . . . . . . . . . . . . . . . . . . . . . . . Count 411 992 EUR 0 45.80 Vilmorin & Cie SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 427 232 73 116 EUR 57.3 27 213 620.82 Viscofan SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 883 689 EUR 49.16 1 851 661.78 Diageo Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 98 740 98 740 GBP 20.235 2 684 619.50 Tate & Lyle Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 196 483 15 836 935 554 GBP 6.6 1 742 429.94 China Agri-Industries Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . Count 15 392 262 313 818 HKD 2.55 5 058 741.33 China BlueChemical Ltd -H- . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 172 737 574 506 HKD 1.36 4 938 189.99 China Merchants Holdings International Co., Ltd. . . . . . . . . . . Count 1 116 148 22 535 HKD 20.6 2 963 390.27 CPMC Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 533 658 112 700 HKD 3.29 2 346 432.46 WH Group Ltd 144A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 289 658 3 941 959 HKD 6.08 8 846 759.29 Grupo Comercial Chedraui SA de CV. . . . . . . . . . . . . . . . . . . . Count 492 701 7 275 MXN 44.6 1 185 981.84 Food Empire Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 644 400 127 600 SGD 0.31 1 988 398.01 Petra Foods Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 138 000 224 700 SGD 2.89 2 440 320.55 Charoen Pokphand Foods PCL. . . . . . . . . . . . . . . . . . . . . . . . . Count 9 389 147 3 018 300 THB 28.75 7 681 786.46 Adecoagro SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 318 106 222 931 USD 10.56 3 359 199.36 Agrium, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 572 125 10 990 117 241 USD 88.63 50 707 438.75 Ambev SA -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 952 012 1 259 690 USD 5.865 11 448 550.38 Aramark Services, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 83 315 83 315 USD 32.79 2 731 898.85 Archer-Daniels-Midland Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 118 371 2 416 USD 41.8 4 947 907.80 Bunge Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 440 647 157 423 6 134 USD 58.92 25 962 921.24 CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 964 368 359 665 46 766 USD 23.72 46 594 808.96 ConAgra Foods, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 348 23 348 USD 46.43 1 084 047.64 Darling International, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 578 754 397 456 USD 14.71 8 513 471.34 FMC Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95 644 34 159 USD 45.02 4 305 892.88 Green Plains, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 155 674 3 176 USD 18.36 2 858 174.64 GrubHub, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 282 43 282 USD 31.45 1 361 218.90 Hain Celestial Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 278 43 278 USD 47.99 2 076 911.22 Hershey Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 876 43 604 USD 98.15 4 699 029.40 International Flavors & Fragrances, Inc. . . . . . . . . . . . . . . . . . . Count 9 100 9 100 USD 124.15 1 129 765.00 Israel Chemicals Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 65 934 219 170 USD 3.85 253 845.90 Mondelez International, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 134 039 16 672 42 147 USD 43.1 5 777 080.90 Monsanto Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 278 735 61 888 74 806 USD 103.09 28 734 791.15 Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 111 261 35 688 55 889 USD 25.3 53 414 903.30 Noodles & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 328 355 6 699 USD 9.82 3 224 446.10 Potash Corp. of Saskatchewan, Inc.. . . . . . . . . . . . . . . . . . . . . Count 2 518 396 131 451 USD 15.73 39 614 369.08 Sintal Agriculture -Reg- -GDR-. . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 106 829 USD 0 110.68 SunOpta, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 248 076 201 471 41 749 USD 4.08 9 172 150.08 The Andersons, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 533 964 78 993 USD 35.22 18 806 212.08 Thermo Fisher Scientific, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 065 225 USD 145.35 1 608 297.75 TreeHouse Foods, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 205 760 2 915 8 027 USD 99.53 20 479 292.80 Tyson Foods, Inc. -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 727 14 529 USD 65.1 1 609 727.70 Union Agriculture Group SA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 698 334 USD 10.2 7 123 006.80 United Natural Foods, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 288 584 5 889 USD 45.45 13 116 142.80 US Foods Holding Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 140 589 140 589 USD 24.05 3 381 165.45 WhiteWave Foods Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 832 53 832 USD 45.37 2 442 357.84 Yum! Brands, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 666 50 064 USD 82.16 3 258 958.56 Zoetis, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 252 16 415 USD 47.04 905 614.08 Shoprite Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 617 883 12 605 ZAR 167.49 7 031 712.16 Tiger Brands Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 161 368 3 293 ZAR 363.5 3 985 545.64
99.76
Total securities portfolio 640 955 263.16 Cash at bank 2 448 650.68
99.76
1.57 1.14 2.41 0.73 0.92 0.18 0.56 0.01 1.56 0.43 0.59 3.17 0.88 0.01 1.66 0.56 1.12 0.98 0.51 0.04 7.69 0.11 0.28 0.00 4.24 0.29 0.42 0.27 0.79 0.77 0.46 0.37 1.38 0.18 0.31 0.38 1.20 0.52 7.89 1.78 0.43 0.77 4.04 7.25 0.17 1.33 0.67 0.44 0.21 0.32 0.73 0.18 0.04 0.90 4.47 8.31 0.50 6.17 0.00 1.43 2.93 0.25 3.19 0.25 1.11 2.04 0.53 0.38 0.51 0.14 1.09 0.62
0.38
169
Deutsche Invest I Global Agribusiness Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
% of net assets
Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 894 610 994 492.44 0.15 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 106 142.55 0.00 Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 904 227.48 0.00 Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 0 0.00 0.00 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 833 619.66 0.00 Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 4 1.32 0.00 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 2 404 647 309 921.18 0.05 Israeli shekel. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ILS 0 0.03 0.00 Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 348 18.81 0.00 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 0 0.01 0.00 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 0 0.28 0.00 South African rand. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 1 346 91.48 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 143 135.44 0.18 Time deposits Other assets 1 490 917.06 0.23 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 823 960.18 0.13 Prepaid placement fee *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 248.99 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 658 707.89 0.10 Receivables from share certificate transactions 636 825.85 0.10 Total assets 645 531 656.75 100.47 Other liabilities -1 813 520.49 -0.28 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -849 913.83 -0.13 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -963 606.66 -0.15 Liabilities from share certificate transactions -1 252 228.26 -0.19 Total liabilities -3 065 748.75 -0.47 Net assets 642 465 908.00 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class GBP LD DS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class USD IC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class USD JD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ currency
EUR EUR EUR EUR EUR GBP GBP USD USD USD USD
Net asset value per share in the respective currency
130.64 119.64 111.12 112.14 88.68 128.35 93.92 112.65 82.33 86.82 104.55
Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 729 604 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 558 649 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 113 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 259 038 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 807 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 176 618 Class GBP LD DS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 631 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 215 659 Class USD IC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 839 Class USD JD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 84 332 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 763 947
170
Deutsche Invest I Global Agribusiness Composition of the reference portfolio (according to CSSF circular 11/512) S&P Global Agribusiness Equity Index Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 87.764 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 101.843 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 96.840 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0.00 as of the reporting date. Exchange rates (indirect quotes) Australian dollar. . . . . . . . . . . . . . . . . . Brazilian real . . . . . . . . . . . . . . . . . . . . Canadian dollar . . . . . . . . . . . . . . . . . . Swiss franc. . . . . . . . . . . . . . . . . . . . . Danish krone. . . . . . . . . . . . . . . . . . . . Euro . . . . . . . . . . . . . . . . . . . . . . . . . . British pound . . . . . . . . . . . . . . . . . . . Hong Kong dollar . . . . . . . . . . . . . . . . Israeli shekel. . . . . . . . . . . . . . . . . . . . Mexican peso . . . . . . . . . . . . . . . . . . . Norwegian krone. . . . . . . . . . . . . . . . . Polish zloty . . . . . . . . . . . . . . . . . . . . . Singapore dollar . . . . . . . . . . . . . . . . . Thai baht. . . . . . . . . . . . . . . . . . . . . . . South African rand. . . . . . . . . . . . . . . .
AUD BRL CAD CHF DKK EUR GBP HKD ILS MXN NOK PLN SGD THB ZAR
As of: June 30, 2016
1.344719 = USD 3.210900 = USD 1.298400 = USD 0.974750 = USD 6.692600 = USD 0.899564 = USD 0.744241 = USD 7.758900 = USD 3.852450 = USD 18.528500 = USD 8.376300 = USD 3.973600 = USD 1.347700 = USD 35.140000 = USD 14.717500 = USD
1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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 valued to a minor extent at derived market values. Footnote * The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations).
171
Deutsche Invest I Global Agribusiness 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
Securities traded on an exchange Equities BISI International Tbk PT. . . . . . . . . . . . . . . . . . . . Count Credicorp Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count CSX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Dow Chemical Co.. . . . . . . . . . . . . . . . . . . . . . . . . Count Fresh Market, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . Count Ingredion, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Intrepid Potash, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count Minerva SA/Brazil -Rights Exp 25Feb16. . . . . . . . Count 1 903 391 Panera Bread Co. . . . . . . . . . . . . . . . . . . . . . . . . . Count Rumo Logistica Operadora Multimodal SA. . . . . . Count Rumo Logistica Operadora Multinational 01/02/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count
172
12 450 24 62 286 428 24 217 1 903 6 699
805 310 319 061 399 725 793 391 526 963
251 500
Futures contracts Currency futures (short) Futures contracts to sell currencies EUR/AUD USD EUR/BRL USD USD/EUR USD USD/ZAR USD
options Value (’000)
1 3 7 112
Currency futures (long) Futures contracts to purchase currencies EUR/BRL
USD
2
Deutsche Invest I Global Bonds Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 826 384 812.74 Interest-bearing securities 5.25 % Australia Government Bond 2006/2019 . . . . . . . . . . AUD 20 500 000 % 109.717 15 046 251.30 4.25 % Australia Government Bond 2014/2026 . . . . . . . . . . AUD 38 178 000 38 178 000 % 120.006 30 649 024.73 4.25 % Queensland Treasury Corp. 144A 2012/2023. . . . . . AUD 26 722 000 26 722 000 % 113.048 20 208 420.43 7.125 % ABN AMRO Bank NV 2012/2022. . . . . . . . . . . . . . . EUR 6 000 000 % 125.815 7 548 900.00 0.267 % Adagio III CLO Plc 2006/2022 * . . . . . . . . . . . . . . . . EUR 3 407 365 54 691 % 96.5 3 288 107.28 3.25 % Alliander NV 2013/2049 *. . . . . . . . . . . . . . . . . . . . . EUR 11 900 000 % 105 12 495 000.00 4.125 % Allied Irish Banks PLC 2015/2025*. . . . . . . . . . . . . . EUR 5 640 000 % 93.326 5 263 586.40 5.125 % America Movil SAB de CV 2013/2073 *. . . . . . . . . . EUR 4 500 000 % 105.319 4 739 355.00 4.75 % Banco Espanol de Credito SA 2012/2017. . . . . . . . . EUR 3 000 000 % 102.73 3 081 900.00 3.50 % Banco Popular Espanol SA (MTN) 2013/2017. . . . . . EUR 3 000 000 % 104.209 3 126 270.00 4.00 % Banco Popular Espanol SA 2006/2016. . . . . . . . . . . EUR 3 000 000 % 101.173 3 035 190.00 4.625 % Bank of America Corp. (MTN) 2010/2017. . . . . . . . . EUR 1 000 000 % 105.056 1 050 560.00 4.125 % Bankinter SA 2012/2017. . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 % 102.985 3 089 550.00 6.625 % Barclays Bank PLC 2011/2022 . . . . . . . . . . . . . . . . . EUR 4 427 000 % 118.166 5 231 208.82 3.50 % BBVA Sub Capital Unipers -Reg- 2014/2024 *. . . . . EUR 6 000 000 11 500 000 % 101.976 6 118 560.00 3.375 % Bharti Airtel International Netherlands BV -Reg2014/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 000 000 % 108.132 4 325 280.00 2.25 % Bundesrepublik Deutschland 2010/2020 **. . . . . . . EUR 10 308 058 10 000 000 % 112.232 11 568 939.65 3.00 % Bundesrepublik Deutschland 2010/2020 **. . . . . . . EUR 5 818 696 % 114.665 6 672 007.77 3.00 % CaixaBank SA 2013/2018 . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 % 105.26 3 157 800.00 2.875 % Caja Rural de Navarra 2013/2018. . . . . . . . . . . . . . . EUR 3 000 000 % 105.703 3 171 090.00 1.875 % Corp Andina de Fomento (MTN) 2014/2021. . . . . . . EUR 3 580 000 % 106.649 3 818 034.20 3.875 % Credit Suisse AG/London (MTN) 2010/2017. . . . . . . EUR 1 100 000 % 102.203 1 124 233.00 1.375 % Credit Suisse AG/London 2014/2019 . . . . . . . . . . . . EUR 10 000 000 % 103.512 10 351 200.00 0.10 % Deutsche Bundesrepublik Inflation Linked Bond 2015/2026 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 41 457 381 41 552 150 94 769 % 110.9 45 976 235.81 4.875 % DONG Energy A/S (MTN) 2013/3013 *. . . . . . . . . . . EUR 4 500 000 % 105.323 4 739 535.00 7.375 % EnBW Energie Baden-Wuerttemberg AG (MTN) 2011/2072 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 000 000 % 104.148 9 373 320.00 6.25 % ESB Finance Ltd 2012/2017 . . . . . . . . . . . . . . . . . . . EUR 442 000 % 107.563 475 428.46 3.50 % France Government Bond OAT 2010/2020. . . . . . . . EUR 1 500 000 % 115.19 1 727 850.00 4.125 % Gas Natural Capital Markets SA (MTN) 2012/2017. . EUR 2 200 000 % 103.349 2 273 678.00 3.875 % GDF Suez 2013/2049 *. . . . . . . . . . . . . . . . . . . . . . . EUR 4 600 000 % 104.66 4 814 360.00 4.25 % German Postal Pensions Securitisation 2 Plc 2006/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 20 000 000 % 102.374 20 474 800.00 0.161 % Highlander Euro CDO III BV 2007/2023 *. . . . . . . . . EUR 1 421 258 112 767 % 98.5 1 399 938.77 2.50 % Hutchison Whampoa Europe Finance 12 Ltd 2012/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 100 000 % 102.302 1 125 322.00 3.75 % Hutchison Whampoa Europe Finance 13 Ltd 2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 700 000 % 102.545 9 946 865.00 2.875 % Indonesia Government International Bond (MTN) -Reg- 2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 719 000 4 719 000 % 104.375 4 925 456.25 3.75 % Indonesia Government International Bond (MTN) -Reg- 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 070 000 9 070 000 % 101.22 9 180 654.00 3.375 % Intesa Sanpaolo SpA (MTN) 2013/2025 . . . . . . . . . . EUR 1 000 000 % 124.487 1 244 870.00 0.10 % John Deere Bank SA (MTN) 2016/2020 *. . . . . . . . . EUR 2 695 000 2 695 000 % 99.953 2 693 733.35 6.125 % Koninklijke KPN NV 2013/2049 * . . . . . . . . . . . . . . . EUR 4 000 000 % 106.715 4 268 600.00 2.125 % Maexim Secured Funding Ltd 2013/2019. . . . . . . . . EUR 8 871 000 % 103.528 9 183 924.53 2.40 % Mediobanca SpA 2013/2018. . . . . . . . . . . . . . . . . . . EUR 4 000 000 % 104.966 4 198 640.00 1.625 % Mexico Government Bond (MTN) 2015/2024. . . . . . EUR 4 650 000 % 100.89 4 691 385.00 2.019 % National Westminster Bank Plc (MTN) 1999/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 000 000 % 90.667 8 160 030.00 1.75 % Netherlands Government Bond 144A 2013/2023 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 000 000 % 114.323 10 289 070.00 3.50 % Netherlands Government Bond 2010/2020 **. . . . . EUR 4 500 000 % 116.548 5 244 660.00 0.256 % OCI Euro Fund I BV 2007/2024 *. . . . . . . . . . . . . . . EUR 705 364 950 060 % 99.85 704 306.09 5.50 % Petroleos Mexicanos (MTN) 2009/2017. . . . . . . . . . EUR 1 000 000 % 102.485 1 024 850.00 3.75 % Petroleos Mexicanos (MTN) 2016/2019. . . . . . . . . . EUR 11 320 000 11 320 000 % 104.615 11 842 418.00 0.266 % Silverstone Master Issuer Plc 2015/2070 * . . . . . . . EUR 10 400 000 % 99.528 10 350 924.58 4.375 % Snam SpA (MTN) 2012/2016 . . . . . . . . . . . . . . . . . . EUR 307 000 % 100.09 307 276.30 2.375 % Snam SpA (MTN) 2013/2017 . . . . . . . . . . . . . . . . . . EUR 845 000 % 102.402 865 296.90 5.811 % Telefonica Emisiones SAU 2012/2017 . . . . . . . . . . . EUR 1 000 000 % 106.811 1 068 110.00 5.625 % Telekom Austria AG 2013/2049* . . . . . . . . . . . . . . . EUR 4 400 000 % 105.035 4 621 540.00 4.125 % Terna Rete Elettrica Nazionale SpA (MTN) 2012/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 49 000 % 102.644 50 295.56 5.50 % The Royal Bank of Scotland Plc (MTN) 2010/2020. . EUR 6 400 000 % 116.794 7 474 816.00 2.25 % Total SA (MTN) 2015/2049 *. . . . . . . . . . . . . . . . . . . EUR 9 310 000 % 96.849 9 016 641.90 3.00 % Vattenfall AB 2015/2077 * . . . . . . . . . . . . . . . . . . . . EUR 3 050 000 % 82.177 2 506 398.50 4.45 % Veolia Environnement SA 2013/2049 * . . . . . . . . . . EUR 8 800 000 % 105.162 9 254 256.00 0.43 % WPP Finance 2013 (MTN) 2015/2018. . . . . . . . . . . . EUR 1 000 000 % 100.382 1 003 820.00 8.875 % Zinc Capital SA (MTN) 2011/2018. . . . . . . . . . . . . . . EUR 3 558 000 3 558 000 % 100.101 3 561 593.58 1.875 % Abbey National Treasury Services Plc (MTN) 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 6 600 000 % 100.533 8 019 938.79 1.375 % BASF SE (MTN) 2014/2017. . . . . . . . . . . . . . . . . . . . GBP 3 500 000 % 100.851 4 266 450.67 1.875 % BMW Finance NV (MTN) 2015/2020 **. . . . . . . . . . GBP 6 190 000 % 102.189 7 645 629.94 5.125 % Citigroup, Inc. (MTN) 2003/2018. . . . . . . . . . . . . . . . GBP 10 000 000 10 000 000 % 106.846 12 914 474.64 1.437 % Duncan Funding 2016-1 Plc 2016/2063 *. . . . . . . . . GBP 12 000 000 12 000 000 % 99.751 14 468 238.98 1.504 % Gosforth Funding 2016-2 Plc 2016/2058 *. . . . . . . . GBP 2 757 000 2 757 000 % 99.958 3 330 986.01 6.125 % Siemens Financieringsmaatschappij NV 2006/2066. GBP 1 515 000 4 926 000 % 100.584 1 841 874.40 6.375 % UBS AG, Jersey 2007/2024 . . . . . . . . . . . . . . . . . . . GBP 3 215 000 % 111.965 4 350 926.40
% of net assets
81.08 1.48 3.01 1.99 0.74 0.32 1.23 0.52 0.46 0.30 0.31 0.30 0.10 0.30 0.51 0.60 0.42 1.14 0.65 0.31 0.31 0.37 0.11 1.02 4.51 0.47 0.92 0.05 0.17 0.22 0.47 2.01 0.14 0.11 0.98 0.48 0.90 0.12 0.26 0.42 0.90 0.41 0.46 0.80 1.01 0.51 0.07 0.10 1.16 1.02 0.03 0.08 0.10 0.45 0.00 0.73 0.88 0.25 0.91 0.10 0.35 0.79 0.42 0.75 1.27 1.42 0.33 0.18 0.43
173
Deutsche Invest I Global Bonds Description
1.75 % 1.00 % 0.10 % 1.625 % 4.25 % 3.75 %
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
nited Kingdom Gilt 2011/2017 . . . . . . . . . . . . . . . . GBP U 26 500 000 % 100.827 32 295 439.19 3.17 United Kingdom Gilt 2012/2017 . . . . . . . . . . . . . . . . GBP 26 600 000 % 100.89 32 437 564.17 3.18 Japan Government Two Year Bond 2015/2017 . . . . JPY 7 206 000 000 % 100.44 63 343 679.72 6.21 ABB Finance USA, Inc. 2012/2017. . . . . . . . . . . . . . USD 500 000 % 100.54 452 210.82 0.04 ABN AMRO Bank NV -Reg- 2012/2017 . . . . . . . . . . USD 2 300 000 % 101.703 2 104 232.22 0.21 AerCap Ireland Capital Ltd Via AerCap Global Aviation Trust 2015/2019 . . . . . . . . . . . . . . . . . . . . . USD 2 420 000 2 420 000 % 101.125 2 201 435.51 0.22 4.625 % AerCap Ireland Capital Ltd Via AerCap Global Aviation Trust 2015/2020 . . . . . . . . . . . . . . . . . . . . . USD 1 550 000 1 550 000 % 103.375 1 441 382.64 0.14 4.125 % Ally Financial, Inc. 2015/2022. . . . . . . . . . . . . . . . . . USD 1 610 000 1 610 000 % 97.172 1 407 340.17 0.14 6.00 % Bank of America Corp 2007/2017. . . . . . . . . . . . . . . USD 6 500 000 % 105.116 6 146 277.77 0.60 5.75 % Bank of America Corp. 2007/2017 . . . . . . . . . . . . . . USD 16 800 000 9 800 000 % 105.847 15 996 313.31 1.57 1.625 % BP Capital Markets Plc 2012/2017 . . . . . . . . . . . . . . USD 2 700 000 % 100.443 2 439 582.48 0.24 5.875 % Cemex SAB de CV -Reg- 2013/2019. . . . . . . . . . . . . USD 16 200 000 8 200 000 % 102.647 14 958 682.43 1.47 2.15 % Citigroup Inc 2015/2018 . . . . . . . . . . . . . . . . . . . . . . USD 17 000 000 % 100.982 15 442 761.21 1.52 2.45 % Citizens Bank NA/Providence RI (MTN) 2014/2019. USD 2 790 000 2 790 000 % 101.166 2 539 035.09 0.25 2.50 % Citizens Bank NA/Providence RI (MTN) 2016/2019. USD 3 165 000 3 165 000 % 101.522 2 890 467.47 0.28 2.30 % Citizens Bank NA/RI 2015/2018 . . . . . . . . . . . . . . . . USD 5 360 000 % 101.204 4 879 715.86 0.48 1.90 % CVS Health Corp 2015/2018. . . . . . . . . . . . . . . . . . . USD 18 000 000 % 101.324 16 406 617.05 1.61 3.20 % DNB Bank ASA -Reg- 2012/2017 . . . . . . . . . . . . . . . USD 1 600 000 % 101.476 1 460 546.50 0.14 1.922 % Fannie Mae Connecticut Avenue Securities 2015/2025 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 991 136 1 525 965 % 100.078 1 792 550.68 0.18 2.943 % Ford Motor Credit Co LLC 2016/2019. . . . . . . . . . . . USD 9 000 000 9 000 000 % 102.855 8 327 218.97 0.82 7.00 % Ginnie Mae I pool 1999/2029. . . . . . . . . . . . . . . . . . USD 6 285 160 % 101.446 5 735.35 0.00 7.00 % Ginnie Mae I pool 1999/2029. . . . . . . . . . . . . . . . . . USD 6 130 443 % 103.513 5 708.17 0.00 1.50 % HSBC USA, Inc. 2014/2017. . . . . . . . . . . . . . . . . . . . USD 8 000 000 % 99.78 7 180 643.69 0.70 6.25 % Hungary Government International Bond 2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 8 765 000 8 765 000 % 111.129 8 762 164.32 0.86 6.00 % JPMorgan Chase & Co 2007/2018. . . . . . . . . . . . . . USD 8 000 000 % 106.889 7 692 279.71 0.75 2.25 % JPMorgan Chase & Co 2015/2020. . . . . . . . . . . . . . USD 8 000 000 % 101.372 7 295 248.14 0.72 2.00 % JPMorgan Chase & Co. 2012/2017. . . . . . . . . . . . . . USD 2 700 000 % 100.888 2 450 390.75 0.24 4.00 % Magyar Export-Import Bank Zrt -Reg- 2014/2020. . . USD 1 427 000 1 427 000 % 102.125 1 310 955.98 0.13 7.75 % Majapahit Holding BV -Reg- 2009/2020 . . . . . . . . . . USD 4 910 000 4 910 000 % 114.5 5 057 303.83 0.50 5.95 % Mexico Government International Bond (MTN) 2008/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 000 000 % 111.9 7 046 284.81 0.69 2.00 % Nomura Holdings, Inc. (MTN) 2013/2016. . . . . . . . . USD 2 000 000 % 100.16 1 802 006.60 0.18 1.50 % PNC Bank NA 2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 12 079 000 % 100.428 10 912 393.65 1.07 1.85 % PNC Bank NA 2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 6 510 000 % 101.107 5 920 989.35 0.58 11.00 % Rabobank Nederland 2014/2049 * . . . . . . . . . . . . . . USD 7 000 000 % 120.941 7 615 591.88 0.75 7.50 % Regions Bank/Birmingham AL 2008/2018 . . . . . . . . USD 1 000 000 1 000 000 % 109.389 984 024.06 0.10 2.25 % Regions Bank/Birmingham AL 2015/2018 . . . . . . . . USD 10 000 000 % 100.698 9 058 384.59 0.89 7.00 % RWE AG 2012/2072 *. . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 101.898 458 318.86 0.04 2.75 % Sinopec Group Overseas Development 2012 Ltd -Reg- 2012/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 100 000 % 101.179 1 001 186.85 0.10 5.625 % SSE Plc 2012/2049 *. . . . . . . . . . . . . . . . . . . . . . . . . USD 5 000 000 % 102.935 4 629 831.02 0.45 2.125 % Swedbank AB 2012/2017. . . . . . . . . . . . . . . . . . . . . USD 1 200 000 % 101.048 1 090 795.11 0.11 1.20 % Toyota Motor Credit Corp. (MTN) 2016/2018. . . . . . USD 12 040 000 12 040 000 % 100.331 10 866 600.34 1.07 0.625 % United States Treasury Note/Bond 2012/2017. . . . . USD 20 000 000 % 100.068 18 003 578.65 1.77 1.90 % UnitedHealth Group Inc 2015/2018. . . . . . . . . . . . . . USD 4 630 000 % 101.518 4 228 226.56 0.41 5.75 % Wachovia Corp. (MTN) 2008/2018 . . . . . . . . . . . . . . USD 5 000 000 % 106.94 4 809 968.71 0.47 4.25 % Wal-Mart Stores, Inc. 2011/2021 . . . . . . . . . . . . . . . USD 5 000 000 % 113.223 5 092 566.74 0.50 2.25 % WellPoint, Inc. 2014/2019. . . . . . . . . . . . . . . . . . . . . USD 10 000 000 % 100.946 9 080 693.77 0.89 Securities admitted to or included in organized markets 103 296 066.51 10.13 Interest-bearing securities 0.35 % Harvest CLO III-A SA 2006/2021 *. . . . . . . . . . . . . . EUR 1 345 989 1 346 972 % 99.86 1 344 104.76 0.13 2.00 % Banque Federative du Credit Mutuel SA (MTN) -Reg- 2016/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 913 000 7 913 000 % 101.058 7 193 561.01 0.71 1.55 % Citigroup, Inc. 2014/2017 . . . . . . . . . . . . . . . . . . . . . USD 10 000 000 % 100.272 9 020 063.16 0.89 2.75 % CNPC General Capital Ltd -Reg- 2012/2017. . . . . . . USD 1 100 000 % 101.124 1 000 642.61 0.10 2.05 % Commonwealth Bank of Australia/New York NY (MTN) 2016/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 166 000 3 166 000 % 101.534 2 891 708.24 0.28 3.48 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2019. . . . . . . . . . . . . . . . . USD 4 290 000 4 290 000 % 102.192 3 943 721.68 0.39 2.589 % Fannie Mae Connecticut Avenue Securities 2016/2028 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 780 383 7 919 312 138 929 % 101.222 7 084 482.18 0.70 2.439 % Fannie Mae Connecticut Avenue Securities 2016/2028 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 429 468 7 495 413 65 945 % 100.742 6 732 887.97 0.66 0.00 % Freddie Mac Structured Agency Credit Risk Debt Notes 2015/2017 *. . . . . . . . . . . . . . . . . . . . . . USD 5 360 119 277 800 % 100.077 4 825 506.15 0.47 1.875 % Freddie Mac Structured Agency Credit Risk Debt Notes 2016/2028 *. . . . . . . . . . . . . . . . . . . . . . USD 16 763 287 17 369 300 606 013 % 100.355 15 133 149.23 1.48 1.546 % Freddie Mac Structured Agency Credit Risk Debt Notes 2016/2028 *. . . . . . . . . . . . . . . . . . . . . . USD 6 500 000 6 500 000 % 100.055 5 850 383.69 0.57 2.70 % Glencore Finance Canada Ltd -Reg- 2012/2017. . . . USD 8 000 000 % 99.975 7 194 712.87 0.71 5.625 % Jaguar Land Rover Automotive Plc 2013/2023. . . . . USD 2 220 000 2 220 000 % 104.373 2 084 362.29 0.20 1.875 % Nordea Bank AB 2015/2018. . . . . . . . . . . . . . . . . . . USD 4 050 000 % 101.042 3 681 196.70 0.36 8.00 % Petroleos Mexicanos 2009/2019. . . . . . . . . . . . . . . . USD 7 000 000 % 111.811 7 040 680.53 0.69 4.25 % Petroleos Mexicanos 2016/2025. . . . . . . . . . . . . . . . USD 990 000 990 000 % 95.902 854 072.87 0.08 2.25 % Roche Holdings, Inc. 2014/2019. . . . . . . . . . . . . . . . USD 10 000 000 % 103.192 9 282 780.83 0.91 2.65 % Swedbank AB 144A 2016/2021 . . . . . . . . . . . . . . . . USD 5 550 000 5 550 000 % 103.574 5 171 015.01 0.51 3.832 % Taco Bell Funding LLC 144A 2016/2046. . . . . . . . . . USD 3 252 545 3 252 545 % 101.407 2 967 034.73 0.29
174
Deutsche Invest I Global Bonds Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Unlisted securities 11 811 051.04 1.16 Interest-bearing securities 1.572 % Connecticut Avenue Securities 2015/2025 *. . . . . . USD 3 132 899 2 157 325 % 99.9 2 815 411.04 0.28 1.783 % OCP CLO Ltd 2015/2027 *. . . . . . . . . . . . . . . . . . . . USD 10 000 000 % 100 8 995 640.00 0.88 Investment fund units 55 570 460.56 5.45 In-group fund units Deutsche Global Liquidity Series Plc Managed Euro Fund -Z- EUR - (0.000%). . . . . . . . . . . . . . . . . . Units 4 314 9 395 9 550 EUR 9 985.794 43 082 060.56 4.22 Deutsche Invest I - I Multi Credit -FCH- EUR (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 120 000 EUR 104.07 12 488 400.00 1.23 Total securities portfolio 997 062 390.85 97.82 Derivatives (Minus signs denote short positions) Interest rate derivatives -3 029 825.08 -0.29 Receivables/payables Interest rate futures US Treasury Notes 5 year Futures 09/2016 (CBT). . . . . . . . . . Count -597 -597 -1 023 731.99 -0.11 US Treasury Notes 10 year Futures 09/2016 (CBT). . . . . . . . . Count 245 245 75 760.16 0.02 US Treasury Notes 2 year Futures 09/2016 (CBT). . . . . . . . . . Count -109 -109 -223 373.25 -0.02 Euro SCHATZ Futures 09/2016 (EUR). . . . . . . . . . . . . . . . . . . Count -318 -318 -41 340.00 0.00 Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . . Count -253 -253 -1 544 340.00 -0.15 Germany Federal Republic Bonds 5 year 09/2016 (EUR). . . . . Count -220 -220 -272 800.00 -0.03 Currency derivatives -6 684 021.20 -0.66 Receivables/payables Currency futures Currency futures (short) Open positions EUR/AUD 99.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 588 940.88 -0.16 EUR/GBP 103 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 277 707.08 0.71 EUR/JPY 7210 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -9 674 073.48 -0.95 EUR/USD 398 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 417 868.79 0.14 Closed positions EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12.16 0.00 EUR/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.75 0.00 Currency futures (long) Open positions CHF/EUR 40.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186 294.87 0.02 GBP/EUR 76.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 469 169.67 -0.44 SEK/EUR 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -259.62 0.00 USD/EUR 12.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166 529.80 0.02 Option contracts -118 332.20 -0.01 Options on inflation Put CPI US Inflation Floor EUR (221.400) Str. 117.35 09/01/2025 (OTC) (DB) . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 000 000 -129 490.65 -0.01 Put CPI US Inflation Floor USD 98.600 Str. 238.54 03/11/2024 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . Count -34 000 000 -45 077.35 0.00 Put HICP Inflation Floor USD 262.400 Str. 249.58 09/01/2025 (OTC) (DB) . . . . . . . . . . . . . . . . . . . . . . . . . Count -32 000 000 47 127.08 0.00 Put HICP Inflation Floor EUR (78.300) Str. 116.91 03/11/2024 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . Count 27 000 000 9 108.72 0.00 Swaps 4 752 705.77 0.47 Receivables/payables Inflation swaps 12M CPTFE Inflation / 0.852% 25/05/2021 (OTC) (JP) . . . . . . Count 52 000 000 322 197.20 0.03 12M CPTFE Inflation / 1.169% 25/05/2026 (OTC) (JP) . . . . . . Count 52 000 000 -915 434.00 -0.09 12M CPTFE Inflation / 1.471% 05/05/2026 (OTC) (JP) . . . . . . Count 52 000 000 -769 568.80 -0.08 12M USCP Inflation / 1.637% 25/05/2021 (OTC) (JP) . . . . . . . Count 60 000 000 -241 894.56 -0.02 12M USCP Inflation / 1.812% 25/05/2026 (OTC) (JP) . . . . . . . Count 60 000 000 563 567.85 0.06 12M USCP Inflation / 2.043% 05/05/2026 (OTC) (JP) . . . . . . . Count 60 000 000 455 922.42 0.04
175
Deutsche Invest I Global Bonds Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Interest rate swaps 1M Libor / 1.165% 24/06/2021 (OTC) (GS). . . . . . . . . . . . . . . . Count 100 000 000 757 927.65 0.07 3M Euribor / 1.7901% 27/12/2021 (OTC) (DB). . . . . . . . . . . . . Count 5 000 000 -522 651.50 -0.05 3M Libor / 1.23% 06/08/2018 (OTC) (JP). . . . . . . . . . . . . . . . . Count 60 000 000 -514 840.27 -0.05 3M Libor / 2.1% 25/05/2026 (OTC) (JP). . . . . . . . . . . . . . . . . . Count 60 000 000 -845 716.10 -0.08 3M Libor / 2.182% 05/05/2026 (OTC) (JP). . . . . . . . . . . . . . . . Count 60 000 000 -1 063 203.69 -0.10 6M Euribor / 0.001% 23/06/2019 (OTC) (DB). . . . . . . . . . . . . . Count 55 300 000 -61 012.49 -0.01 6M Euribor / 0.107% 21/07/2017 (OTC) (JP) . . . . . . . . . . . . . . Count 25 000 000 -79 042.50 -0.01 6M Euribor / 0.569% 13/06/2018 (OTC) (DB). . . . . . . . . . . . . . Count 30 000 000 -445 335.00 -0.04 6M Euribor / 1.115% 25/05/2026 (OTC) (JP) . . . . . . . . . . . . . . Count 52 000 000 750 568.00 0.08 6M Euribor / 1.152% 05/05/2026 (OTC) (JP) . . . . . . . . . . . . . . Count 52 000 000 874 645.20 0.09 6M Euribor / 1.2865% 17/06/2022 (OTC) (DB). . . . . . . . . . . . . Count 19 000 000 -1 462 925.90 -0.14 6M Euribor / 1.692% 26/03/2022 (OTC) (DB). . . . . . . . . . . . . . Count 15 000 000 -1 379 211.00 -0.14 6M HICP / 1.04% 12/11/2020 (OTC) (ML) . . . . . . . . . . . . . . . . Count 10 000 000 -249 407.00 -0.02 6M Libor / 1.451% 24/06/2021 (OTC) (GS). . . . . . . . . . . . . . . . Count 100 000 000 -765 708.88 -0.08 Credit default swaps Protection seller Banco Santander SA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . . Count 10 000 000 342 199.40 0.03 Brazil 13/07.01.25 / 1% 20/12/2020 (OTC) (ML). . . . . . . . . . . . Count 9 000 000 647 739.35 0.06 Intesa Sanpaolo SpA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . . Count 3 200 000 327 654.05 0.03 Intesa Sanpaolo SpA / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . Count 1 800 000 184 305.40 0.02 MARKIT CDX.NA.IG.26 06/19 - Serie 26 / 1% 20/06/2019 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 66 000 000 -842 883.17 -0.08 MARKIT CDX.NA.IG.26 06/26 - Serie 26 / 1% 20/06/2026 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 000 000 610 984.16 0.06 People‘s Republic of China / 1% 20/06/2021 (OTC) (DB). . . . . Count 23 000 000 214 615.01 0.02 Republic of South Africa / 1% 20/06/2021 (OTC) (GS). . . . . . . Count 22 000 000 1 646 198.60 0.17 Société Générale SA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . . Count 20 000 000 -56 501.20 -0.01 Standard Chartered Bank / 1% 20/06/2021 (OTC) (JP). . . . . . . Count 7 000 000 207 214.11 0.02 UniCredit SpA / 1% 20/06/2021 (OTC) (GS). . . . . . . . . . . . . . . Count 9 500 000 1 388 548.69 0.14 UniCredit SpA / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . Count 5 500 000 803 896.61 0.08 Unione di Banche Italiane SpA / 1% 20/06/2021 (OTC) (JP). . . Count 3 200 000 184 473.63 0.02 Unione di Banche Italiane SpA / 1% 20/06/2021 (OTC) (JP). . . Count 1 800 000 103 766.42 0.01 Protection buyer Brazil 13/07.01.25 / 1% 20/06/2020 (OTC) (DB). . . . . . . . . . . . Count 2 500 000 136 838.10 0.01 CMW BK AU / 1% 20/03/2020 (OTC) (ML). . . . . . . . . . . . . . . . Count 10 000 000 126 831.23 0.01 Deutsche Bank AG / 1% 20/06/2021 (OTC) (JP). . . . . . . . . . . . Count 20 000 000 -1 106 167.80 -0.11 MARKIT CDX.NA.IG.26 06/21 - Serie 26 / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 000 000 770 918.25 0.08 MARKIT CDX.NA.IG.26 06/21 - Serie 26 / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 000 405 725.86 0.04 MARKIT ITRX EUR XOVER 06/21 - Serie 25 / 5% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 000 2 679 185.00 0.26 MARKIT ITRX EUROPE 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 000 347 484.00 0.03 MARKIT ITRX EUROPE 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 40 000 000 277 987.20 0.03 Mediobanca SpA / 1% 20/06/2019 (OTC) (GS). . . . . . . . . . . . . Count 10 000 000 -231 059.80 -0.02 United Kingdom of Great Britain / 1% 20/06/2021 (OTC) (GS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 000 1 270 540.15 0.12 Volkswagen AG / 1% 20/12/2016 (OTC) (GS). . . . . . . . . . . . . . Count 9 600 000 30 035.52 0.00 Wal-Mart / 1% 20/03/2020 (OTC) (JP) . . . . . . . . . . . . . . . . . . . Count 5 000 000 -126 699.63 -0.01 Cash at bank 26 204 914.14 2.57 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 17 604 242.12 1.72 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 2 246 444 2 715 276.14 0.27 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 6 331 802 55 415.30 0.01 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 32 22.23 0.00 Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 633 30.75 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 6 480 837 5 829 927.60 0.57 Other assets 105 117 675.28 10.31 Prepaid placement fee ***. . . . . . . . . . . . . . . . . . . . . . . . . . . . 804 695.79 0.08 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 334 142.21 0.92 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94 978 837.28 9.31 Receivables from share certificate transactions 237 624.52 0.01 Total assets **** 1 154 234 992.26 113.25
176
Deutsche Invest I Global Bonds Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Other liabilities -103 759 739.15 -10.18 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -103 759 739.15 -10.18 Liabilities from share certificate transactions -550 878.96 -0.06 Total liabilities -135 002 478.29 -13.25 Net assets 1 019 232 513.97 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 98.31 Class CHF FDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 97.10 Class CHF ICH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 99.07 Class CHF LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 97.90 Class CHF LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 96.92 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 113.84 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97.51 Class IC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.40 Class ID. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97.41 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.61 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97.95 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.46 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98.67 Class PFDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 96.93 Class GBP CH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 100.54 Class GBP DH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 98.90 Class GBP IDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 98.82 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 005.46 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 002.44 Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100.49 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100.22 Number of shares outstanding Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 103 Class CHF FDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 103 Class CHF ICH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 389 870 Class CHF LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 128 Class CHF LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 103 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 164 947 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 202 481 Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 256 185 Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 521 809 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 338 196 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 309 127 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 267 657 Class PFDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 344 506 Class GBP CH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 926 Class GBP DH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 160 726 Class GBP IDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 612 446 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95 Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 949 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 89 215 Presentation of the maximum limit (according to CSSF circular 11/512) 10% of portfolio value Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 0.357 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 0.761 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 0.530 The values-at-risk were calculated for the period from January 1, 2015, through December 31, 2015, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 1.7, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 2 158 190 568.86 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes.
177
Deutsche Invest I Global Bonds Total collateral pledged by third parties in connection with derivatives EUR 7 860 000.00 thereof: Cash at bank EUR 7 860 000.00
Market abbreviations Futures exchanges CBT = Chicago Board of Trade EUR = Eurex
Contracting parties for derivatives (with the exception of currency futures) DB = Deutsche Bank AG GS = Goldman Sachs International JP = JPMorgan Securities Plc ML = Merrill Lynch International Contracting parties for currency futures Crédit Suisse London Branch (GFX), Deutsche Bank AG Frankfurt, Goldman Sachs International, JP Morgan Securities PLC, Morgan Stanley and Co. International PLC, State Street Bank and Trust Company and UBS AG London
Securities lending The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
Securities loans Total market value in EUR Perpetual
1.875 % BMW Finance NV (MTN) 2015/2020 GBP 1 600 000 1 976 253.30 3.00 % Bundesrepublik Deutschland 2010/2020 EUR 2 800 000 3 210 620.00 .50 3 % Netherlands Government Bond 2010/2020 EUR 4 500 000 5 244 660.00 0.10 % Deutsche Bundesrepublik Inflation Linked Bond 2015/2026 EUR 40 000 000 44 360 000.00 1.75 % Netherlands Government Bond 144A 2013/2023 EUR 9 000 000 10 289 070.00 2.25 % Bundesrepublik Deutschland 2010/2020 EUR 10 000 000 11 223 200.00 Total receivables from securities loans 76 303 803.30 76 303 Contracting parties for securities loans BNP Paribas Arbitrage SNC, Barclays Capital Securities Limited, Deutsche Bank AG FI, J.P. Morgan Securities plc (Fix Income), Morgan Stanley Intl. FI Total collateral pledged by third parties for securities loans EUR 80 922 thereof: Bonds EUR 2 518 Equities EUR 78 403 Exchange rates (indirect quotes) Australian dollar. . . . . . . . . . . . . . . . . . Canadian dollar . . . . . . . . . . . . . . . . . . British pound . . . . . . . . . . . . . . . . . . . Japanese yen . . . . . . . . . . . . . . . . . . . Mexican peso . . . . . . . . . . . . . . . . . . . U.S. dollar . . . . . . . . . . . . . . . . . . . . . .
AUD CAD GBP JPY MXN USD
Total
803.30
659.05 682.32 976.73
As of: June 30, 2016
1.494856 = EUR 1.443366 = EUR 0.827335 = EUR 114.260909 = EUR 20.597200 = EUR 1.111650 = EUR
1 1 1 1 1 1
Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Floating interest rate. ** Some or all of these securities are lent. *** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). **** Does not include positions with a negative balance, if such exist.
178
Deutsche Invest I Global Bonds 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
Securities traded on an exchange Interest-bearing securities 3.50 % AyT Cedulas Cajas Global 2005/2016. . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 7.00 % Bank of America Corp. (MTN) 2009/2016. . . . . . . . . . . . . . . . . . . . . . EUR 1 600 000 3.00 % Bayer AG 2014/2075 *. . . . . . . . . . . . EUR 7 230 000 4.25 % Bundesrepublik Deutschland 2007/2017. . . . . . . . . . . . . . . . . . . . . . EUR 27 500 000 1.50 % Bundesrepublik Deutschland 2014/2024. . . . . . . . . . . . . . . . . . . . . . EUR 14 300 000 1.25 % Credit Suisse Group Funding Guernsey Ltd (MTN) 2015/2022. . . . . EUR 20 000 000 3.875 % Danske Bank A/S (MTN) 2011/2016. . EUR 1 100 000 3.50 % Enel SpA 2010/2016. . . . . . . . . . . . . . EUR 1 100 000 4.875 % Eni SpA 2011/2017. . . . . . . . . . . . . . . EUR 1 900 000 1.875 % FCE Bank Plc (MTN) 2013/2016. . . . . EUR 1 800 000 3.75 % France Government Bond OAT 2009/2019. . . . . . . . . . . . . . . . . . . . . . EUR 1 500 000 8.375 % Intesa Sanpaolo SpA 2009/2049 *. . . EUR 5 000 000 3.90 % Ireland Government Bond 2013/2023 -Reg-. . . . . . . . . . . . . . . . . EUR 3 500 000 7.375 % Linde Finance BV 2006/2066 *. . . . . . EUR 8 000 000 2.25 % Mediobanca SpA 2014/2019. . . . . . . . EUR 10 000 000 6.75 % OMV AG (MTN) 2011/2049 *. . . . . . . EUR 4 400 000 4.25 % Repsol International Finance BV (MTN) 2011/2016. . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 1.10 % Santander Consumer Finance SA 2015/2018. . . . . . . . . . . . . . . . . . . . . . EUR 2 900 000 5.25 % Siemens Financieringsmaatschappij NV 2006/2066 * . . . . . . . . . . . . . . . . . . . . EUR 7 747 000 3.125 % UBS AG (MTN) 2012/2016. . . . . . . . . EUR 900 000 4.125 % GE Capital UK Funding (MTN) 2010/2017. . . . . . . . . . . . . . . . . . . . . . GBP 3 500 000 2.875 % Walgreens Boots Alliance, Inc. 2014/2020. . . . . . . . . . . . . . . . . . . . . . GBP 1 340 000 5.00 % New Zealand Government Bond 2010/2019. . . . . . . . . . . . . . . . . . . . . . NZD 38 000 000 6.25 % Argentine Republic Government International Bond -Reg- 2016/2019. . USD 1 254 000 1 254 000 6.25 % Argentine Republic Government International Bond -Reg- 2016/2019. . USD 1 089 000 1 089 000 3.75 % Barclays Bank Plc 2014/2024. . . . . . . USD 4 700 000 3.25 % Deutsche Bank AG 2011/2016. . . . . . USD 1 100 000 4.375 % Royal Bank of Scotland Plc 2011/2016. . . . . . . . . . . . . . . . . . . . . . USD 2 100 000 Securities admitted to or included in organized markets Interest-bearing securities 2.375 % BNP Paribas SA 2012/2017. . . . . . . . . USD 2 500 000 3.00 % Daimler Finance North America LLC 144A 2011/2016. . . . . . . . . . . . . . . . . USD 7 000 000 3.875 % Danske Bank A/S (MTN) -Reg2011/2016. . . . . . . . . . . . . . . . . . . . . . USD 2 200 000 6.50 % Intesa Sanpaolo SpA 144A 2011/2021. . . . . . . . . . . . . . . . . . . . . . USD 5 100 000 4.25 % Petroleos Mexicanos -Reg2014/2025. . . . . . . . . . . . . . . . . . . . . . USD 990 000 0.375 % United States Treasury Inflation Indexed Bonds 2015/2025 . . . . . . . . . USD 27 060 11 059 620 Unlisted securities Interest-bearing securities 1.822 % Freddie Mac Structured Agency Credit Risk Debt Notes 2014/2024 *. USD 35 836
options
Value (’000) Futures contracts Interest rate futures Contracts purchased (Underlyings: 90DAY EUR Futures, Euro Bobl, Euro Bund, Euro Buxl Futures, Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, UK Treasury Notes, US Treasury Note 10-Year, US Treasury Note 2-Year, US Treasury Note 5-Year) EUR 1 211 867 Contracts sold (Underlyings: Euro SCHATZ Futures, UK Treasury Notes, US Treasury Note 10-Year) EUR 96 459 Currency futures (short) Futures contracts to sell currencies EUR/AUD EUR 108 546 EUR/CHF EUR 306 960 EUR/GBP EUR 1 085 512 EUR/JPY EUR 49 EUR/NZD EUR 49 363 EUR/SEK EUR 124 EUR/USD EUR 1 398 381 Currency futures (long) Futures contracts to purchase currencies CHF/EUR EUR 242 279 GBP/EUR EUR 516 225 JPY/EUR EUR 98 NZD/EUR EUR 25 072 SEK/EUR EUR 104 USD/EUR EUR 371 399 Swaps Interest rate swaps (Underlyings: 12M CPTFE Inflation, 3M Libor, 6M Euribor) EUR 689 190 (Underlyings: 12M USCP Inflation, 1M Libor, 3M Libor, 6M Libor) USD 558 100 Credit default swaps Protection seller (Underlyings: Deutsche Bank AG, Intesa Sanpaolo, iTraxx Europe 5 Years, MARKIT ITRX EUROPE, Mediobanca SpA, Volkswagen AG) EUR 310 600 (Underlyings: CDX.NA., MARKIT CDX., United Kingdom of Great Britain) USD 300 000 Protection buyer (Underlyings: Banco Santander SA, CDX EM, Intesa Sanpaolo SpA, iTraxx Europe Senior Financials 5 Years, Société Générale SA, UniCredit, Unione di Banche Italiane SpA) EUR 189 155 (Underlyings: Standard Chartered Bank) GBP 14 000 (Underlyings: Brazil, CDX.NA., MARKIT CDX, People‘s Republic of China, Republic of South Africa, South Africa) USD 337 000
179
Deutsche Invest I Global Bonds Dynamic Plus Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 15 029 205.50 Interest-bearing securities 5.25 % Australia Government Bond 2006/2019 . . . . . . . . . . AUD 265 000 279 000 % 109.717 194 500.32 4.25 % Australia Government Bond 2014/2026 . . . . . . . . . . AUD 757 000 757 000 % 120.006 607 714.17 4.25 % Queensland Treasury Corp. 144A 2012/2023. . . . . . AUD 533 000 533 000 % 113.048 403 079.41 7.125 % ABN AMRO Bank NV 2012/2022. . . . . . . . . . . . . . . EUR 135 000 % 125.815 169 850.25 3.25 % Alliander NV 2013/2049 *. . . . . . . . . . . . . . . . . . . . . EUR 422 000 % 105 443 100.00 4.125 % Allied Irish Banks PLC 2015/2025*. . . . . . . . . . . . . . EUR 110 000 % 93.326 102 658.60 5.125 % America Movil SAB de CV 2013/2073 *. . . . . . . . . . EUR 200 000 % 105.319 210 638.00 4.75 % Banco Espanol de Credito SA 2012/2017. . . . . . . . . EUR 100 000 100 000 % 102.73 102 730.00 4.00 % Banco Popular Espanol SA 2006/2016. . . . . . . . . . . EUR 100 000 % 101.173 101 173.00 4.125 % Bankinter SA 2012/2017. . . . . . . . . . . . . . . . . . . . . . EUR 50 000 % 102.985 51 492.50 6.625 % Barclays Bank PLC 2011/2022 . . . . . . . . . . . . . . . . . EUR 100 000 % 118.166 118 166.00 3.50 % BBVA Sub Capital Unipers -Reg- 2014/2024 *. . . . . EUR 100 000 300 000 % 101.976 101 976.00 3.375 % Bharti Airtel International Netherlands BV -Reg2014/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 % 108.132 108 132.00 1.50 % Bundesrepublik Deutschland 2014/2024 . . . . . . . . . EUR 137 000 % 114.753 157 211.61 0.50 % Bundesrepublik Deutschland 2015/2025 . . . . . . . . . EUR 170 000 % 106.588 181 199.60 3.00 % CaixaBank SA 2013/2018 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 105.26 105 260.00 1.375 % Credit Suisse AG/London 2014/2019 . . . . . . . . . . . . EUR 250 000 % 103.512 258 780.00 1.25 % Credit Suisse Group Funding Guernsey Ltd (MTN) 2015/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 97.775 195 550.00 0.10 % Deutsche Bundesrepublik Inflation Linked Bond 2015/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 851 255 853 644 2 389 % 110.9 944 041.78 4.875 % DONG Energy A/S (MTN) 2013/3013 *. . . . . . . . . . . EUR 153 000 % 105.323 161 144.19 7.375 % EnBW Energie Baden-Wuerttemberg AG (MTN) 2011/2072 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 305 000 % 104.148 317 651.40 4.875 % Eni SpA 2011/2017. . . . . . . . . . . . . . . . . . . . . . . . . . EUR 20 000 % 106.232 21 246.40 3.75 % France Government Bond OAT 2009/2019. . . . . . . . EUR 62 500 50 000 % 114.095 71 309.38 3.50 % France Government Bond OAT 2010/2020. . . . . . . . EUR 62 500 50 000 % 115.19 71 993.75 3.875 % GDF Suez 2013/2049 *. . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 % 104.66 104 660.00 4.25 % German Postal Pensions Securitisation 2 Plc 2006/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 350 000 % 102.374 358 309.00 2.50 % Hutchison Whampoa Europe Finance 12 Ltd 2012/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 % 102.302 102 302.00 3.75 % Hutchison Whampoa Europe Finance 13 Ltd 2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 345 000 % 102.545 353 780.25 2.875 % Indonesia Government International Bond (MTN) -Reg- 2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 104.375 104 375.00 3.75 % Indonesia Government International Bond (MTN) -Reg- 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 160 000 160 000 % 101.22 161 952.00 3.90 % Ireland Government Bond 2013/2023 -Reg-. . . . . . . EUR 36 995 % 124.89 46 203.06 0.10 % John Deere Bank SA (MTN) 2016/2020 *. . . . . . . . . EUR 100 000 100 000 % 99.953 99 953.00 6.125 % Koninklijke KPN NV 2013/2049 * . . . . . . . . . . . . . . . EUR 200 000 % 106.715 213 430.00 2.125 % Maexim Secured Funding Ltd 2013/2019. . . . . . . . . EUR 200 000 % 103.528 207 055.00 2.40 % Mediobanca SpA 2013/2018. . . . . . . . . . . . . . . . . . . EUR 80 000 % 104.966 83 972.80 1.625 % Mexico Government Bond (MTN) 2015/2024. . . . . . EUR 100 000 % 100.89 100 890.00 1.75 % Netherlands Government Bond 144A 2013/2023. . . EUR 75 210 % 114.323 85 982.33 3.75 % Petroleos Mexicanos (MTN) 2016/2019. . . . . . . . . . EUR 240 000 240 000 % 104.615 251 076.00 5.625 % Telekom Austria AG 2013/2049* . . . . . . . . . . . . . . . EUR 150 000 % 105.035 157 552.50 5.50 % The Royal Bank of Scotland Plc (MTN) 2010/2020. . EUR 171 000 % 116.794 199 717.74 2.25 % Total SA (MTN) 2015/2049 *. . . . . . . . . . . . . . . . . . . EUR 100 000 % 96.849 96 849.00 3.00 % Vattenfall AB 2015/2077 * . . . . . . . . . . . . . . . . . . . . EUR 115 000 % 82.177 94 503.55 4.45 % Veolia Environnement SA 2013/2049 * . . . . . . . . . . EUR 300 000 % 105.162 315 486.00 8.875 % Zinc Capital SA (MTN) 2011/2018. . . . . . . . . . . . . . . EUR 100 000 100 000 % 100.101 100 101.00 1.875 % Abbey National Treasury Services Plc (MTN) 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 200 000 % 100.533 243 028.45 1.375 % BASF SE (MTN) 2014/2017. . . . . . . . . . . . . . . . . . . . GBP 84 000 % 100.851 102 394.82 1.875 % BMW Finance NV (MTN) 2015/2020 . . . . . . . . . . . . GBP 123 000 58 000 % 102.189 151 924.47 1.504 % Gosforth Funding 2016-2 Plc 2016/2058 *. . . . . . . . GBP 100 000 100 000 % 99.958 120 819.22 6.125 % Siemens Financieringsmaatschappij NV 2006/2066. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 53 000 174 000 % 100.584 64 435.21 6.375 % UBS AG, Jersey 2007/2024 . . . . . . . . . . . . . . . . . . . GBP 58 000 % 111.965 78 492.61 1.75 % United Kingdom Gilt 2011/2017 . . . . . . . . . . . . . . . . GBP 706 447 % 100.827 860 944.01 0.10 % Japan Government Two Year Bond 2015/2017 . . . . JPY 46 000 000 % 100.44 404 358.77 4.125 % Ally Financial, Inc. 2015/2022. . . . . . . . . . . . . . . . . . USD 30 000 30 000 % 97.172 26 223.73 6.00 % Bank of America Corp 2007/2017. . . . . . . . . . . . . . . USD 120 000 % 105.116 113 469.74 5.75 % Bank of America Corp. 2007/2017 . . . . . . . . . . . . . . USD 340 000 280 000 % 105.847 323 734.91 5.875 % Cemex SAB de CV -Reg- 2013/2019. . . . . . . . . . . . . USD 400 000 200 000 % 102.647 369 350.18 2.15 % Citigroup Inc 2015/2018 . . . . . . . . . . . . . . . . . . . . . . USD 330 000 100 000 % 100.982 299 771.25 1.90 % CVS Health Corp 2015/2018. . . . . . . . . . . . . . . . . . . USD 327 000 % 101.324 298 053.55 2.943 % Ford Motor Credit Co LLC 2016/2019. . . . . . . . . . . . USD 200 000 200 000 % 102.855 185 049.31 1.50 % HSBC USA, Inc. 2014/2017. . . . . . . . . . . . . . . . . . . . USD 200 000 % 99.78 179 516.09 6.25 % Hungary Government International Bond 2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 199 000 199 000 % 111.129 198 935.62 6.00 % JPMorgan Chase & Co 2007/2018. . . . . . . . . . . . . . USD 182 000 % 106.889 174 999.36 2.25 % JPMorgan Chase & Co 2015/2020. . . . . . . . . . . . . . USD 157 000 % 101.372 143 169.24 2.00 % JPMorgan Chase & Co. 2012/2017. . . . . . . . . . . . . . USD 86 000 % 100.888 78 049.48 7.75 % Majapahit Holding BV -Reg- 2009/2020 . . . . . . . . . . USD 100 000 100 000 % 114.5 103 000.08 5.95 % Mexico Government International Bond (MTN) 2008/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 140 000 % 111.9 140 925.70 2.00 % Nomura Holdings, Inc. (MTN) 2013/2016. . . . . . . . . USD 17 000 % 100.16 15 317.06
180
% of net assets
75.55 0.98 3.05 2.03 0.85 2.24 0.52 1.06 0.52 0.51 0.26 0.59 0.51 0.54 0.79 0.91 0.53 1.30 0.98 4.75 0.81 1.60 0.11 0.36 0.36 0.53 1.80 0.51 1.78 0.52 0.81 0.23 0.50 1.07 1.04 0.42 0.51 0.43 1.26 0.79 1.00 0.49 0.48 1.59 0.50 1.22 0.51 0.76 0.61 0.32 0.39 4.33 2.03 0.13 0.57 1.63 1.87 1.51 1.50 0.93 0.90 1.00 0.88 0.72 0.39 0.52 0.71 0.08
Deutsche Invest I Global Bonds Dynamic Plus Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
1.50 % PNC Bank NA 2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 250 000 250 000 % 100.428 225 854.66 1.14 1.85 % PNC Bank NA 2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 250 000 % 101.107 227 380.54 1.14 11.00 % Rabobank Nederland 2014/2049 * . . . . . . . . . . . . . . USD 75 000 % 120.941 81 595.63 0.41 5.625 % SSE Plc 2012/2049 *. . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 102.935 185 193.24 0.93 1.20 % Toyota Motor Credit Corp. (MTN) 2016/2018. . . . . . USD 256 000 256 000 % 100.331 231 050.64 1.16 0.625 % United States Treasury Note/Bond 2012/2017. . . . . USD 400 000 400 000 % 100.068 360 071.58 1.81 1.90 % UnitedHealth Group Inc 2015/2018. . . . . . . . . . . . . . USD 96 000 % 101.518 87 669.49 0.44 5.75 % Wachovia Corp. (MTN) 2008/2018 . . . . . . . . . . . . . . USD 143 000 % 106.94 137 565.10 0.69 4.25 % Wal-Mart Stores, Inc. 2011/2021 . . . . . . . . . . . . . . . USD 143 000 % 113.223 145 647.41 0.73 2.25 % WellPoint, Inc. 2014/2019. . . . . . . . . . . . . . . . . . . . . USD 256 000 % 100.946 232 465.76 1.17 Securities admitted to or included in organized markets 1 956 184.66 9.83 Interest-bearing securities 2.00 % Banque Federative du Credit Mutuel SA (MTN) -Reg2016/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 101.058 181 816.28 0.91 1.55 % Citigroup, Inc. 2014/2017 . . . . . . . . . . . . . . . . . . . . . USD 256 000 % 100.272 230 913.62 1.16 3.48 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2019. . . . . . . . . . . . . . . . . USD 85 000 85 000 % 102.192 78 139.01 0.39 2.589 % Fannie Mae Connecticut Avenue Securities 2016/2028 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 165 150 168 099 2 949 % 101.222 150 378.52 0.76 2.439 % Fannie Mae Connecticut Avenue Securities 2016/2028 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 155 501 156 881 1 380 % 100.742 140 921.15 0.71 1.875 % Freddie Mac Structured Agency Credit Risk Debt Notes 2016/2028 * . . . . . . . . . . . . USD 332 770 344 800 12 030 % 100.355 300 409.91 1.51 1.546 % Freddie Mac Structured Agency Credit Risk Debt Notes 2016/2028 * . . . . . . . . . . . . USD 150 000 150 000 % 100.055 135 008.86 0.68 2.70 % Glencore Finance Canada Ltd -Reg- 2012/2017. . . . USD 163 000 % 99.975 146 592.27 0.74 8.00 % Petroleos Mexicanos 2009/2019. . . . . . . . . . . . . . . . USD 135 000 % 111.811 135 784.55 0.68 4.25 % Petroleos Mexicanos 2016/2025. . . . . . . . . . . . . . . . USD 30 000 30 000 % 95.902 25 881.00 0.13 2.25 % Roche Holdings, Inc. 2014/2019. . . . . . . . . . . . . . . . USD 200 000 % 103.192 185 655.62 0.93 2.65 % Swedbank AB 144A 2016/2021 . . . . . . . . . . . . . . . . USD 200 000 200 000 % 103.574 186 342.88 0.94 3.832 % Taco Bell Funding LLC 144A 2016/2046. . . . . . . . . . USD 63 955 63 955 % 101.407 58 340.99 0.29 Investment fund units 9 546.42 In-group fund units Deutsche Global Liquidity Series Plc - Managed Euro Fund -Z- EUR - (0.000%) Units 1 50 49 EUR 9 985.794 9 546.42 Total securities portfolio 16 994 936.58 Derivatives (Minus signs denote short positions) Equity index derivatives -43 448.94 Receivables/payables Equity index futures MSCI World Index 09/2016 (DB). . . . . . . . . . . . . . . . . . . . . . . . Count -46 -46 -43 448.94 Interest rate derivatives -62 237.91 Receivables/payables Interest rate futures US Treasury Notes 2 year Futures 09/2016 (CBT) . . . . . . . . . . Count -4 -4 -7 266.80 Euro SCHATZ Futures 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . Count -18 -18 -2 340.00 Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . . Count -6 -6 -38 260.00 Germany Federal Republic Bonds 5 year 09/2016 (EUR) . . . . Count -2 -2 -2 480.00 US Treasury Notes 5 year Futures 09/2016 (CBT) . . . . . . . . . . Count -10 -10 -17 147.94 US Treasury Notes 10 year Futures 09/2016 (CBT) . . . . . . . . . Count 17 17 5 256.83 Currency derivatives 54 760.36 Receivables/payables Currency futures Currency futures (short) Open positions EUR/AUD 1.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -29 159.29 EUR/GBP 1.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102 453.16 EUR/JPY 47.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -63 566.03 EUR/USD 9.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 868.47 USD/GBP 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 867.84 USD/TWD 4.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 653.48 Closed positions EUR/USD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 614.20
0.05
0.05 85.43
-0.22
-0.22 -0.31
-0.04 -0.01 -0.19 -0.01 -0.09 0.03 0.28
-0.15 0.53 -0.32 0.18 0.01 -0.01 -0.01
181
Deutsche Invest I Global Bonds Dynamic Plus Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
Option contracts Currency options Call USD CALL/CNH 11/2016 6.6 USD (ML). . . . . . . . . . . . . . . Count 1 000 000 22 614.14 Call USD CALL/CNH 11/2016 6.95 USD (ML). . . . . . . . . . . . . . Count -2 000 000 -14 222.11 Options on currency futures Call Currency Call Option EUR/USD 02/2017 1.23 EUR (CIT). . Count -300 000 -1 422.00 Put Currency Call Option EUR/USD 02/2017 1.07 EUR (CIT). . Count 300 000 4 909.50 Currency futures (long) Open positions CHF/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99.29 SEK/EUR 3.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -414.93 Swaps 155 406.99 Receivables/payables Inflation swaps 12M CPTFE Inflation / 1.169% 25/05/2026 (OTC) (JP). . . . . . . Count 1 250 000 -22 005.62 12M CPTFE Inflation / 1.471% 05/05/2026 (OTC) (JP). . . . . . . Count 1 250 000 -18 499.25 12M CPTFE Inflation / 0.852% 25/05/2021 (OTC) (JP). . . . . . . Count 1 250 000 7 745.13 12M USCP Inflation / 1.637% 25/05/2021 (OTC) (JP) . . . . . . . Count 1 437 500 -5 795.39 12M USCP Inflation / 2.043% 05/05/2026 (OTC) (JP) . . . . . . . Count 1 437 500 10 923.14 12M USCP Inflation / 1.812% 25/05/2026 (OTC) (JP) . . . . . . . Count 1 437 500 13 502.15 Interest rate swaps 1M Libor / 1.165% 24/06/2021 (OTC) (GS) . . . . . . . . . . . . . . . Count 2 000 000 15 158.55 3M Libor / 1.23% 06/08/2018 (OTC) (JP). . . . . . . . . . . . . . . . . Count 440 000 -3 775.50 3M Libor / 2.1% 25/05/2026 (OTC) (JP). . . . . . . . . . . . . . . . . . Count 1 437 500 -20 261.95 3M Libor / 2.182% 05/05/2026 (OTC) (JP). . . . . . . . . . . . . . . . Count 1 437 500 -25 472.59 3M Libor / 2.56% 06/07/2025 (OTC) (BNP). . . . . . . . . . . . . . . . Count 120 000 -11 576.15 6M Euribor / 0.001% 23/06/2019 (OTC) (DB). . . . . . . . . . . . . . Count 1 850 000 -2 041.10 6M Euribor / 0.741% 04/09/2022 (OTC) (DB). . . . . . . . . . . . . . Count 400 000 -18 331.68 6M Euribor / 0.752% 21/07/2022 (OTC) (JP) . . . . . . . . . . . . . . Count 95 000 -4 404.70 6M Euribor / 1.115% 25/05/2026 (OTC) (JP) . . . . . . . . . . . . . . Count 1 250 000 18 042.50 6M Euribor / 1.152% 05/05/2026 (OTC) (JP) . . . . . . . . . . . . . . Count 1 250 000 21 025.13 6M Euribor / 1.28% 06/07/2025 (OTC) (BNP). . . . . . . . . . . . . . Count 120 000 -10 828.90 6M Libor / 1.451% 24/06/2021 (OTC) (GS). . . . . . . . . . . . . . . . Count 2 000 000 -15 314.18
% of net assets
0.11 -0.07 -0.01 0.02
0.00 0.00 0.78
-0.11 -0.09 0.04 -0.03 0.05 0.07 0.08 -0.02 -0.10 -0.13 -0.06 -0.01 -0.09 -0.02 0.09 0.11 -0.05 -0.08
Credit default swaps Protection seller Deutsche Bank AG / 1% 20/06/2021 (OTC) (JP). . . . . . . . . . . . Count 400 000 -22 123.36 -0.11 MARKIT CDX.NA.IG.26 06/21 - Serie 26 / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 7 709.18 0.04 MARKIT CDX.NA.IG.26 06/21 - Serie 26 / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 300 000 10 548.87 0.05 MARKIT ITRX EUR XOVER 06/21 - Serie 25 / 5% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 300 000 69 658.81 0.34 MARKIT ITRX EUROPE 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 000 3 474.84 0.02 Mediobanca SpA / 1% 20/06/2019 (OTC) (GS). . . . . . . . . . . . . Count 160 000 -3 696.96 -0.02 United Kingdom of Great Britain / 1% 20/06/2021 (OTC) (GS). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 300 000 33 034.04 0.17 Volkswagen AG / 1% 20/12/2016 (OTC) (GS). . . . . . . . . . . . . . Count 200 000 625.74 0.00 Protection buyer Banco Santander SA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . . Count 100 000 3 421.99 0.02 Brazil 13/07.01.25 / 1% 20/12/2020 (OTC) (ML). . . . . . . . . . . . Count 250 000 17 992.76 0.09 Credit Suisse / 1% 20/09/2020 (OTC) (JP) . . . . . . . . . . . . . . . . Count 95 000 2 035.33 0.01 Credit Suisse Group Finance 99/27.09.19 / 1% 20/09/2020 (OTC) (JP). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 96 000 2 322.26 0.01 Intesa Sanpaolo SpA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . . Count 70 000 7 167.43 0.04 Intesa Sanpaolo SpA / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . Count 33 000 3 378.93 0.02 MARKIT CDX.NA.IG.26 06/19 - Serie 26 / 1% 20/06/2019 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 660 000 -8 428.83 -0.04 MARKIT CDX.NA.IG.26 06/26 - Serie 26 / 1% 20/06/2026 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 340 000 6 109.84 0.03 MARKIT ITRX EUROPE 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 050 000 7 297.16 0.04 People‘s Republic of China / 1% 20/06/2021 (OTC) (DB). . . . . Count 100 000 933.11 0.00 Republic of South Africa / 1% 20/06/2021 (OTC) (GS). . . . . . . Count 440 000 32 923.97 0.16 Société Générale SA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . . Count 400 000 -1 130.02 -0.01 Standard Chartered Bank / 1% 20/06/2021 (OTC) (JP). . . . . . . Count 100 000 2 960.20 0.01 UniCredit SpA / 1% 20/06/2021 (OTC) (GS). . . . . . . . . . . . . . . Count 200 000 29 232.60 0.15 UniCredit SpA / 1% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . Count 109 000 15 931.77 0.08 Unione di Banche Italiane SpA / 1% 20/06/2021 (OTC) (JP). . . Count 103 000 5 937.74 0.03
182
Deutsche Invest I Global Bonds Dynamic Plus Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Cash at bank 2 689 631.65 13.52 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 538 930.28 2.71 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 107 612 130 070.19 0.65 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 1 275 668 11 164.52 0.06 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 233 823 2 009 466.66 10.10 Other assets 2 703 620.82 13.59 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190 565.76 0.96 Receivables from exceeding the expense cap. . . . . . . . . . . . . 43 621.86 0.22 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 469 433.20 12.41 Total assets ** 22 909 351.45 115.17 Other liabilities -2 600 066.47 -13.07 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 600 066.47 -13.07 Total liabilities -3 016 748.37 -15.17 Net assets 19 892 603.08 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 99.33 Class CHF LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 98.98 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 125.81 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.36 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.46 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98.96 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98.89 Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98.61 Number of shares outstanding Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 Class CHF LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 157 212 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 539 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 Presentation of the maximum limit (according to CSSF circular 11/512) 10% of portfolio value Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 0.313 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 1.220 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 0.598 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 1.4, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 46 477 755.10 as of the reporting date.
183
Deutsche Invest I Global Bonds Dynamic Plus Market abbreviations Futures exchanges CBT = Chicago Board of Trade DB = Deutsche Bank AG EUR = Eurex Contracting parties for derivatives (with the exception of currency futures) BNP = BNP Parisbas SA DB = Deutsche Bank AG GS = Goldman Sachs International JP = JPMorgan Securities Plc ML = Merrill Lynch International Contracting parties for currency futures Barclays Bank PLC Wholesale, Crédit Suisse London Branch (GFX), Deutsche Bank AG Frankfurt, JP Morgan Securities PLC, Merrill Lynch International, Morgan Stanley and Co. International PLC and State Street Bank and Trust Company Exchange rates (indirect quotes) Australian dollar. . . . . . . . . . . . . . . . . . British pound . . . . . . . . . . . . . . . . . . . Japanese yen . . . . . . . . . . . . . . . . . . . Swedish krona. . . . . . . . . . . . . . . . . . . New Taiwan dollar. . . . . . . . . . . . . . . . U.S. dollar . . . . . . . . . . . . . . . . . . . . . .
AUD GBP JPY SEK TWD USD
As of: June 30, 2016
1.494856 = EUR 0.827335 = EUR 114.260909 = EUR 9.432959 = EUR 35.860706 = EUR 1.111650 = EUR
1 1 1 1 1 1
Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Floating interest rate. ** Does not include positions with a negative balance, if such exist.
184
Deutsche Invest I Global Bonds Dynamic Plus 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 Derivatives (option premiums realized in opening transactions, or total Count/ Purchases/ Sales/ Description units/ transactions; in the case of warrants, purchases and sales are shown) additions disposals currency Securities traded on an exchange Interest-bearing securities 3.50 % AyT Cedulas Cajas Global 2005/2016. . . . . . . . . . . . . . . . . . . . . . EUR 100 000 3.00 % Bayer AG 2014/2075 *. . . . . . . . . . . . EUR 270 000 4.25 % Bundesrepublik Deutschland 2007/2017. . . . . . . . . . . . . . . . . . . . . . EUR 827 000 2.25 % Bundesrepublik Deutschland 2010/2020. . . . . . . . . . . . . . . . . . . . . . EUR 434 340 681 085 3.00 % Bundesrepublik Deutschland 2010/2020. . . . . . . . . . . . . . . . . . . . . . EUR 420 467 796 120 3.50 % Enel SpA 2010/2016. . . . . . . . . . . . . . EUR 12 000 7.375 % Linde Finance BV 2006/2066 *. . . . . . EUR 270 000 2.25 % Mediobanca SpA 2014/2019. . . . . . . . EUR 160 000 6.75 % OMV AG (MTN) 2011/2049 *. . . . . . . EUR 153 000 5.25 % Siemens Financieringsmaatschappij NV 2006/2066 * . . . . . . . . . . . . . . . . . . . . EUR 203 000 4.125 % GE Capital UK Funding (MTN) 2010/2017. . . . . . . . . . . . . . . . . . . . . . GBP 86 000 1.00 % United Kingdom Gilt 2012/2017. . . . . GBP 706 447 5.00 % New Zealand Government Bond 2010/2019. . . . . . . . . . . . . . . . . . . . . . NZD 1 028 000 3.75 % Barclays Bank Plc 2014/2024. . . . . . . USD 200 000 4.375 % Royal Bank of Scotland Plc 2011/2016. . . . . . . . . . . . . . . . . . . . . . USD 18 000 Securities admitted to or included in organized markets Interest-bearing securities 2.375 % BNP Paribas SA 2012/2017. . . . . . . . . USD 56 000 3.00 % Daimler Finance North America LLC 144A 2011/2016 . . . . . . . . . . . . . USD 150 000 6.50 % Intesa Sanpaolo SpA 144A 2011/2021. . . . . . . . . . . . . . . . . . . . . . USD 100 000 4.25 % Petroleos Mexicanos -Reg2014/2025. . . . . . . . . . . . . . . . . . . . . . USD 30 000 0.375 % United States Treasury Inflation Indexed Bonds 2015/2025 . . . . . . . . . USD 561 229 236
options
Value (’000) Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro Bobl, Euro Bund, Euro Buxl Futures, Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, UK Treasury Notes, US Treasury Note 10-Year, US Treasury Note 2-Year, US Treasury Note 5-Year) EUR 29 309 Contracts sold (Underlyings: UK Treasury Notes, US Treasury Note 10-Year) EUR 1 568 Currency futures (short) Futures contracts to sell currencies EUR/AUD EUR 2 251 EUR/CHF EUR 118 EUR/GBP EUR 9 584 EUR/JPY EUR 992 EUR/NZD EUR 1 331 EUR/USD EUR 25 550 USD/GBP EUR 785 USD/JPY EUR 195 Currency futures (long) Futures contracts to purchase currencies CHF/EUR EUR 99 GBP/EUR EUR 861 JPY/EUR EUR 1 176 NZD/EUR EUR 685 SEK/EUR EUR 398 USD/EUR EUR 6 255 USD/GBP EUR 985 USD/JPY EUR 393 Swaps Interest rate swaps (Underlyings: 12M CPTFE Inflation, 6M Euribor) EUR 14 500 (Underlyings: 12M USCP Inflation, 1M Libor, 3M Libor, 6M Libor) USD 12 038 Credit default swaps Protection seller (Underlyings: Deutsche Bank AG, iTraxx Europe, MARKIT ITRX EUROPE, Mediobanca SpA, Volkswagen AG) EUR 6 780 (Underlyings: CDX.NA., MARKIT CDX., United Kingdom of Great Britain) USD 4 600
Protection buyer (Underlyings: Banco Santander SA, Commerzbank, Intesa Sanpaolo SpA, iTraxx Europe, Santander I nternational Debt, Société Générale SA, UniCredit SpA, Unione di Banche Italiane SpA) EUR 1 965 (Underlying: Standard Chartered Bank) GBP 200 (Underlyings: Brazil, CDX.NA., MARKIT CDX, People‘s Republic of China, Republic of South Africa) USD 3 670
185
Deutsche Invest I Global Commodities Blend Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 8 034 971.79 Equities BHP Billiton Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 290 3 289 AUD 18.65 115 903.11 Agnico-Eagle Mines Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 198 3 304 106 CAD 69.11 153 123.88 Barrick Gold Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 634 7 887 253 CAD 27.39 144 866.43 Canadian Natural Resources Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 4 352 249 CAD 39.36 118 677.27 Crescent Point Energy Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 367 370 CAD 20.33 61 509.77 HudBay Minerals, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 723 11 723 CAD 6.22 50 518.76 Lundin Mining Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 239 2 572 CAD 4.38 73 555.03 Pembina Pipeline Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 647 3 647 CAD 38.79 98 011.97 Silver Wheaton Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 696 1 278 273 CAD 29.85 35 074.68 Suncor Energy, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 362 439 CAD 35.39 155 990.37 Syngenta AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 491 211 CHF 374.1 169 514.96 Acerinox SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 426 529 EUR 9.835 53 364.71 Acerinox SA -Rights Exp 13Jul16. . . . . . . . . . . . . . . . . . . . . . . Count 5 426 5 426 EUR 0.445 2 414.57 Air Liquide SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 587 92 EUR 92.92 147 464.04 Akzo Nobel NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 720 278 EUR 55.87 151 966.40 BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 655 579 75 EUR 68.1 180 805.50 Eni SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 069 324 EUR 14.26 115 063.94 Linde AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 060 77 EUR 124 131 440.00 Salzgitter AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 546 171 EUR 23.535 36 385.11 Solvay SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 597 326 EUR 83.46 49 825.62 Total SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 262 1 086 305 EUR 43.05 355 679.10 BHP Billiton Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 322 3 322 GBP 9.261 37 185.70 BP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 606 261 916 GBP 4.276 142 695.55 Glencore International Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 65 808 3 442 GBP 1.516 120 585.86 Rio Tinto Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 955 32 165 GBP 22.565 135 144.22 Royal Dutch Shell Plc -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 292 7 029 175 GBP 20.055 297 963.93 Royal Dutch Shell Plc -B-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 317 9 012 251 GBP 20.155 275 697.36 Shin-Etsu Chemical Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 984 173 JPY 5 962 103 522.79 Air Products & Chemicals, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . Count 743 33 USD 139.3 93 104.78 Anadarko Petroleum Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 580 1 566 136 USD 52.16 167 978.10 Apache Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 441 94 USD 55.33 71 722.71 Cabot Oil & Gas Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 778 2 778 USD 25.19 62 949.53 Celanese Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 688 651 USD 64.36 97 728.35 CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 567 520 313 USD 23.72 76 111.43 Chevron Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 043 200 USD 103.38 189 992.72 Crown Holdings, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 437 327 USD 49.36 108 208.84 Diamondback Energy, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 753 100 USD 89.93 60 916.04 Dow Chemical Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 909 682 USD 49.32 217 795.13 Eastman Chemical Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 037 721 USD 66.77 62 286.25 Ecolab, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 770 354 USD 117.06 81 083.28 EI du Pont de Nemours & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 519 963 USD 63.68 144 298.99 Enterprise Products Partners LP. . . . . . . . . . . . . . . . . . . . . . . . Count 6 237 4 938 174 USD 28.79 161 528.62 EOG Resources, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 884 112 USD 83.14 140 903.89 EQT Midstream Partners LP. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 783 226 USD 77.37 124 095.49 Exxon Mobil Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 477 3 277 USD 92.53 372 650.51 Halliburton Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 932 276 USD 44.49 157 364.94 Marathon Petroleum Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 570 521 USD 36.18 148 736.25 Martin Marietta Materials, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . Count 713 62 USD 185.57 119 022.58 Monsanto Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 226 1 226 USD 103.09 113 694.40 Newmont Mining Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 354 5 354 USD 38.27 184 318.49 Noble Energy, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 133 828 59 USD 35.46 68 039.58 Occidental Petroleum Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 389 140 USD 74.95 161 071.93 Pioneer Natural Resources Co . . . . . . . . . . . . . . . . . . . . . . . . . Count 555 42 USD 150.67 75 223.21 PPG Industries, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 612 690 USD 102.09 148 040.42 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 993 1 365 USD 78.25 281 070.80 USG Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 672 450 USD 26.3 86 874.13 Vulcan Materials Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 119 298 USD 118.59 226 053.43 Interest-bearing securities 0.00 % United States Treasury Bill 2016/2017. . . . . . . . . . . USD 401 000 401 000 % 99.696 359 628.20 0.00 % United States Treasury Bill 2016/2017. . . . . . . . . . . USD 177 000 177 000 % 99.564 158 528.14 Securities admitted to or included in organized markets 3 082 426.78 Interest-bearing securities 0.00 % Treasury Bill 2015/2016. . . . . . . . . . . . . . . . . . . . . . . USD 562 000 398 000 7 000 % 99.874 504 919.99 0.00 % United States Treasury Bill 2015/2016. . . . . . . . . . . USD 1 290 000 755 000 23 000 % 99.99 1 160 321.52 0.00 % United States Treasury Bill 2015/2016. . . . . . . . . . . USD 856 000 856 000 % 99.971 769 804.25 0.00 % United States Treasury Bill 2015/2016. . . . . . . . . . . USD 720 000 342 000 16 000 % 99.953 647 381.02 Investment fund units 1 068 070.53 Non-group fund units ETFS Brent Crude. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 106 USD 23.35 2 226.51 ETFS Nickel. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 3 229 3 229 4 996 USD 9.48 27 536.48 ETFS Sugar ETC (USD) ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 3 588 3 588 4 269 USD 13.98 45 122.35 ETFS Zinc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 14 874 14 874 USD 6.15 82 287.71 iShares Silver Trust USD - (0.500%). . . . . . . . . . . . . . . . . . . . . Units 4 718 4 718 3 345 USD 17.53 74 399.83 SPDR Gold Shares USD - (0.400%) . . . . . . . . . . . . . . . . . . . . . Units 7 376 USD 126.07 836 497.65
186
% of net assets
49.85 0.72 0.95 0.90 0.74 0.38 0.31 0.46 0.61 0.22 0.97 1.05 0.33 0.01 0.91 0.94 1.12 0.71 0.82 0.23 0.31 2.21 0.23 0.89 0.75 0.84 1.85 1.71 0.64 0.58 1.04 0.44 0.39 0.61 0.47 1.18 0.67 0.38 1.35 0.39 0.50 0.90 1.00 0.87 0.77 2.31 0.98 0.92 0.74 0.71 1.14 0.42 1.00 0.47 0.92 1.74 0.54 1.40 2.23 0.98 19.12 3.13 7.20 4.77 4.02 6.63 0.02 0.17 0.28 0.51 0.46 5.19
Deutsche Invest I Global Commodities Blend Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Total securities portfolio 12 185 469.10 75.60 Derivatives (Minus signs denote short positions) Swaps 189 494.48 1.18 Receivables/payables Commodity swaps DJ Soybeans / 0.21% 26/07/2016 (OTC) (UBS) . . . . . . . . . . . . Count 4 491 81 345.48 0.50 DJ Live Cat. Cap / 0.22% 26/07/2016 (OTC) (UBS) . . . . . . . . . Count 3 304 34 455.03 0.21 DJ Coffee / 0.22% 26/07/2016 (OTC) (UBS). . . . . . . . . . . . . . . Count 4 671 62 514.12 0.39 DJ KanWheat / 0.21% 25/08/2016 (OTC) (UBS). . . . . . . . . . . . Count 2 270 7 710.47 0.05 DJ Wheat / 0.22% 26/09/2016 (OTC) (UBS). . . . . . . . . . . . . . . Count 5 069 16 990.59 0.11 DJ Cotton / 0.21% 26/09/2016 (OTC) (UBS). . . . . . . . . . . . . . . Count 18 000 -2 066.42 -0.01 DJ Silver / 0.22% 21/10/2016 (OTC) (UBS). . . . . . . . . . . . . . . . Count 4 925 45 029.35 0.29 DJ Unl.Gas / 0.21% 25/11/2016 (OTC) (UBS). . . . . . . . . . . . . . Count 5 925 23 864.78 0.15 DJ Gold SI / 0.21% 26/09/2016 (OTC) (UBS). . . . . . . . . . . . . . Count 4 202 21 321.30 0.13 DJ Corn Cap / 0.22% 23/08/2016 (OTC) (UBS). . . . . . . . . . . . . Count 8 403 24 531.59 0.15 BCOM Index / 0.12% 15/08/2016 (OTC) (UBS) . . . . . . . . . . . . Count 1 990 000 -121 560.18 -0.76 DJ Zinc / 0.22% 16/12/2016 (OTC) (UBS). . . . . . . . . . . . . . . . . Count 5 882 3 344.04 0.02 DJ Soybeans / 0.22% 18/11/2016 (OTC) (UBS) . . . . . . . . . . . . Count 4 814 -7 865.52 -0.05 DJ Nickel / 0.23% 17/11/2016 (OTC) (UBS). . . . . . . . . . . . . . . Count 4 135 8 677.96 0.05 DJ Lean Hogs Cap. / 0.24% 18/08/2016 (OTC) (UBS) . . . . . . . Count 220 000 3 063.79 0.02 DJ Heat Oil / 0.21% 19/07/2016 (OTC) (UBS) . . . . . . . . . . . . . Count 3 565 137.09 0.00 DJ Gold SI / 0.21% 19/09/2016 (OTC) (UBS). . . . . . . . . . . . . . Count 1 380 000 -15 080.05 -0.09 DJ Brent Crude / 0.22% 14/10/2016 (OTC) (UBS) . . . . . . . . . . Count 42 281 -10 132.21 -0.06 DJ WTI Crude Oil / 0.21% 18/08/2016 (OTC) (UBS). . . . . . . . . Count 10 743 -5 269.66 -0.03 DJ Soybeans Oil / 0.23% 14/10/2016 (OTC) (UBS) . . . . . . . . . Count 4 030 -6 279.25 -0.04 DJ Aluminium / 0.21% 14/10/2016 (OTC) (UBS) . . . . . . . . . . . Count 550 000 -5 648.53 -0.04 DJ Sugar / 1% 22/12/2016 (OTC) (UBS). . . . . . . . . . . . . . . . . . Count 3 953 10 917.06 0.07 DJ Nat. Gas Cap. / 1% 22/12/2016 (OTC) (UBS) . . . . . . . . . . . Count 24 070 19 493.65 0.12 Cash at bank 3 712 322.67 23.03 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 218 787.54 7.56 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 9 910 11 978.54 0.07 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 21 163 14 157.03 0.09 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 1 195 894 10 466.34 0.06 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 15 937 11 041.62 0.07 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 11 380 10 502.05 0.07 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 11 128 10 010.09 0.06 Time deposits USD deposits (Landeskreditbank Baden Württemberg 0.01% 04/03/2016). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 628 820.57 3.90 USD deposits (FMS Wertmanagement 0.01% 04/04/2016). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 449 749.87 2.79 USD deposits (DZ Privatbank S.A. 0.01% 22/01/2016). . . . . . . USD 500 000 449 032.89 2.79 USD deposits (Kommuninvest I Sverige AB 0.01% 26/01/2016). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 449 248.14 2.79 USD deposits (European Investment Bank 0.01% 16/02/2016). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 448 527.99 2.78 Other assets 31 815.72 0.20 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 465.72 0.06 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 687.45 0.09 Receivables from exceeding the expense cap. . . . . . . . . . . . . 8 662.55 0.05 Receivables from share certificate transactions 7 792.08 0.04 Total assets * 16 300 795.87 101.13 Other liabilities -7 572.04 -0.05 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 744.19 -0.03 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 827.85 -0.02 Total liabilities -181 473.86 -1.13 Net assets 16 119 322.01 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
187
Deutsche Invest I Global Commodities Blend Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 84.34 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 83.37 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 82.99 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 83.69 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 82.85 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 215 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 132 151 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 802 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 856 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 811 Composition of the reference portfolio (according to CSSF circular 11/512) Bloomberg Commodity Index Total Return Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 83.590 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 122.928 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 94.929 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.8, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 13 800 801.12 as of the reporting date. Market abbreviations Contracting party for derivatives (with the exception of currency futures) UBS = UBS AG Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnote * Does not include positions with a negative balance, if such exist.
188
Deutsche Invest I Global Commodities Blend 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
Swaps
Securities traded on an exchange Equities Alamos Gold, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . California Resources Corp. . . . . . . . . . . . . . . . . . . Chemours Co/The. . . . . . . . . . . . . . . . . . . . . . . . . Goldcorp, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Pacific Drilling SA . . . . . . . . . . . . . . . . . . . . . . . . . Pacific Drilling SA . . . . . . . . . . . . . . . . . . . . . . . . . Phillips 66 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PrairieSky Royalty Ltd. . . . . . . . . . . . . . . . . . . . . . RPM International, Inc.. . . . . . . . . . . . . . . . . . . . . Tahoe Resources, Inc.. . . . . . . . . . . . . . . . . . . . . . Valero Energy Corp.. . . . . . . . . . . . . . . . . . . . . . . . Westrock Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Weyerhaeuser Co.. . . . . . . . . . . . . . . . . . . . . . . . . Williams Cos, Inc.. . . . . . . . . . . . . . . . . . . . . . . . .
22 3 852 406 87
9 200 22 996 10 768 4 200 406 337 87 3 317 1 986 1 561 2 785 2 344 2 725
USD
1 290 000
1 290 000
USD
1 321 000
1 321 000
Non-group fund units ETFS Aluminium. . . . . . . . . . . . . . . . . . . . . . . . . . Units 27 961
27 961
Interest-bearing securities 0.00 % United States Treasury Bill 2015/2016. . . . . . . . . . . . . . . . . . . . . . 0.00 % United States Treasury Bill 2015/2016. . . . . . . . . . . . . . . . . . . . . .
Count Count Count Count Count Count Count Count Count Count Count Count Count Count
Commodity swaps (Underlyings: BCOM Index, DJ Aluminium, DJ Brent Crude Oil, DJ Coffee, DJ Commodity, DJ Copper, DJ Corn Cap, DJ Cotton, DJ Gas, DJ Gold SI, DJ Heat Oil, DJ Heating Oil, DJ KanWheat, DJ Lean Hogs Cap., DJ Live Cat. Cap, DJ Nat. Gas Cap., DJ Natural Gas, DJ Nickel, DJ Silver, DJ Soybeans, DJ Soybeans Oil, DJ Soyboil, DJ Sugar, DJ Unl. Gas, DJ Wheat, DJ WTI Crude Oil, DJ Zinc) USD
options Value (’000)
35 165
Securities admitted to or included in organized markets Interest-bearing securities 0.00 % United States Treasury Bill 2015/2016. . . . . . . . . . . . . . . . . . . . . . USD 1 284 000 0.00 % United States Treasury Bill 2015/2016. . . . . . . . . . . . . . . . . . . . . . USD 430 000 1 285 000 0.00 % United States Treasury Bill Zero Coupon 2015/2016. . . . . . . . . . . USD 1 317 000 1 317 000 Unlisted securities Interest-bearing securities 0.00 % United States Treasury Bill 2015/2016. . . . . . . . . . . . . . . . . . . . . . USD 570 000 1 286 000 Investment fund units Non-group fund units ETFS Corn. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 25 564 25 564 ETFS Physical Palladium Shares USD (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 1 959
189
Deutsche Invest I Global Corporate Bonds Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 45 680 871.95 Interest-bearing securities 1.125 % 2i Rete Gas SpA (MTN) 2014/2020. . . . . . . . . . . . . . EUR 400 000 % 102.988 411 952.00 0.625 % ABN AMRO Bank NV (MTN) 2016/2022. . . . . . . . . . EUR 160 000 160 000 % 101.224 161 958.40 0.75 % Air Liquide Finance SA (MTN) 2016/2024. . . . . . . . . EUR 200 000 200 000 % 101.983 203 966.00 2.241 % Allianz SE 2015/2045 *. . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 % 93.779 281 337.00 1.50 % America Movil SAB de CV 2016/2024 . . . . . . . . . . . EUR 270 000 270 000 % 101.041 272 810.70 0.875 % Anheuser-Busch InBev SA/NV (MTN) 2016/2022. . . EUR 200 000 350 000 150 000 % 102.647 205 294.00 4.125 % Ardagh Packaging Finance Plc Via Ardagh Holdings USA, Inc. -Reg- 2016/2023. . . . . . . . . . . . . EUR 170 000 170 000 % 101.855 173 153.50 5.50 % Assicurazioni Generali SpA 2015/2047*. . . . . . . . . . EUR 130 000 % 102.678 133 481.40 1.00 % Autoroutes du Sud de la France SA (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 % 102.506 205 012.00 1.00 % Banco Bilbao Vizcaya Argentaria SA 2016/2021. . . . EUR 200 000 200 000 % 101.405 202 810.00 3.00 % Banque Federative du Credit Mutuel SA (MTN) 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 106.731 213 462.00 2.625 % Barclays PLC 2015/2025*. . . . . . . . . . . . . . . . . . . . . EUR 136 000 % 94.172 128 073.92 0.50 % Berkshire Hathaway, Inc. 2016/2020 . . . . . . . . . . . . EUR 120 000 120 000 % 101.012 121 214.40 6.50 % BG Energy Capital Plc 2012/2072 * . . . . . . . . . . . . . EUR 200 000 200 000 % 107.549 215 098.00 4.625 % Cemex Finance LLC -Reg- 2016/2024 . . . . . . . . . . . EUR 270 000 270 000 % 98.38 265 626.00 0.50 % Danske Bank A/S (MTN) 2016/2021. . . . . . . . . . . . . EUR 150 000 150 000 % 101.05 151 575.00 1.00 % Deutsche Bank AG (MTN) 2016/2019. . . . . . . . . . . . EUR 400 000 400 000 % 100.547 402 188.00 0.375 % Deutsche Post AG (MTN) 2016/2021. . . . . . . . . . . . EUR 155 000 155 000 % 101.606 157 489.30 2.625 % EDP Finance BV 2014/2022 . . . . . . . . . . . . . . . . . . . EUR 400 000 % 105.345 421 380.00 0.75 % Eni SpA (MTN) 2016/2022. . . . . . . . . . . . . . . . . . . . . EUR 260 000 260 000 % 101.831 264 760.60 1.875 % ESB Finance Ltd (MTN) 2016/2031. . . . . . . . . . . . . . EUR 290 000 290 000 % 104.043 301 724.70 1.50 % Eurogrid GmbH (MTN) 2016/2028 . . . . . . . . . . . . . . EUR 200 000 200 000 % 104.524 209 048.00 2.625 % Eutelsat SA 2013/2020. . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 106.383 212 766.00 1.125 % Eutelsat SA 2016/2021. . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 100.816 100 816.00 0.75 % Goldman Sachs Group, Inc./The (MTN) 2016/2019. EUR 395 000 395 000 % 101.28 400 056.00 2.25 % HeidelbergCement AG (MTN) 2016/2024. . . . . . . . . EUR 400 000 400 000 % 100.446 401 784.00 1.00 % Heineken NV (MTN) 2016/2026 . . . . . . . . . . . . . . . . EUR 360 000 360 000 % 101.449 365 216.40 1.125 % Iberdrola International BV (MTN) 2016/2026. . . . . . . EUR 200 000 200 000 % 101.828 203 656.00 2.375 % IE2 Holdco SAU 2015/2023. . . . . . . . . . . . . . . . . . . . EUR 200 000 % 102.792 205 584.00 4.375 % Intesa Sanpaolo SpA 2012/2019. . . . . . . . . . . . . . . . EUR 300 000 300 000 % 111.677 335 031.00 1.75 % JAB Holdings BV 2016/2023. . . . . . . . . . . . . . . . . . . EUR 300 000 300 000 % 103.346 310 038.00 2.375 % Kerry Group Financial Services 2015/2025. . . . . . . . EUR 250 000 250 000 % 112.399 280 997.50 2.75 % La Banque Postale SA 2015/2027. . . . . . . . . . . . . . . EUR 200 000 % 101.53 203 060.00 5.05 % La Mondiale SAM 2014/49/1*. . . . . . . . . . . . . . . . . . EUR 200 000 % 97.482 194 964.00 1.90 % Magna International Inc 2015/2023. . . . . . . . . . . . . . EUR 130 000 % 106.9 138 970.00 3.375 % Merck KGaA 2014/2074 *. . . . . . . . . . . . . . . . . . . . . EUR 300 000 % 102.542 307 626.00 1.25 % Molson Coors Brewing Co. 2016/2024. . . . . . . . . . . EUR 110 000 110 000 % 100.604 110 664.40 1.75 % Nasdaq, Inc. 2016/2023 . . . . . . . . . . . . . . . . . . . . . . EUR 140 000 140 000 % 102.971 144 159.40 1.125 % Nomura Europe Finance NV 2015/2020. . . . . . . . . . EUR 470 000 % 101.302 476 119.40 1.00 % Nordea Bank AB (MTN) 2016/2023. . . . . . . . . . . . . . EUR 400 000 400 000 % 103.135 412 540.00 1.00 % Orange SA (MTN) 2016/2025. . . . . . . . . . . . . . . . . . EUR 200 000 200 000 % 102.58 205 160.00 5.50 % Petroleos Mexicanos (MTN) 2009/2017. . . . . . . . . . EUR 300 000 300 000 % 102.485 307 455.00 1.625 % PGE Sweden AB 2014/2019. . . . . . . . . . . . . . . . . . . EUR 130 000 130 000 % 101.977 132 570.10 3.50 % Rexel SA 2016/2023. . . . . . . . . . . . . . . . . . . . . . . . . EUR 390 000 490 000 100 000 % 101.194 394 656.60 2.00 % RTE Reseau de Transport d‘Electricite SA (MTN) 2016/2036. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 108.376 108 376.00 1.125 % Sanofi (MTN) 2016/2028. . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 103.625 103 625.00 1.125 % Societe Des Autoroutes Paris-Rhin-Rhone (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 300 000 % 102.723 308 169.00 1.00 % Southern Power Co. 2016/2022. . . . . . . . . . . . . . . . EUR 170 000 170 000 % 101.022 171 737.40 1.46 % Telefonica Emisiones SAU (MTN) 2016/2026. . . . . . EUR 300 000 400 000 100 000 % 101.187 303 561.00 1.00 % TenneT Holding BV (MTN) 2016/2026 . . . . . . . . . . . EUR 300 000 300 000 % 102.612 307 836.00 4.125 % Tereos Finance Groupe I SA 2016/2023. . . . . . . . . . EUR 600 000 600 000 % 99.221 595 326.00 1.50 % Transmission Finance DAC (MTN) 2016/2023 . . . . . EUR 180 000 180 000 % 102.697 184 854.60 2.375 % Turkiye Vakiflar Bankasi TAO 2016/2021 . . . . . . . . . EUR 240 000 240 000 % 100.511 241 226.40 4.25 % Unione di Banche Italiane SpA (MTN) 2016/2026 *. EUR 305 000 485 000 180 000 % 97.822 298 357.10 1.625 % Vonovia Finance BV 2015/2020. . . . . . . . . . . . . . . . . EUR 300 000 % 105.121 315 363.00 3.05 % Apple Inc 2015/2029. . . . . . . . . . . . . . . . . . . . . . . . . GBP 310 000 % 106.56 399 277.08 6.25 % Atlantia SpA (MTN) 2004/2022. . . . . . . . . . . . . . . . . GBP 250 000 % 123.334 372 684.47 5.75 % Barclays Bank Plc (MTN) 2001/2026. . . . . . . . . . . . . GBP 150 000 150 000 % 108.729 197 131.09 10.00 % Barclays Bank Plc (MTN) 2009/2021. . . . . . . . . . . . . GBP 100 000 % 124.086 149 982.73 5.25 % Centrica Plc 2015/2075 * . . . . . . . . . . . . . . . . . . . . . GBP 250 000 250 000 % 94.586 285 815.21 5.597 % Telefonica Emisiones SAU (MTN) 2012/2020. . . . . . GBP 100 000 % 113.084 136 684.62 4.00 % Thames Water Utilities Cayman Finance Ltd 2014/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 100 000 100 000 % 114.743 138 689.85 2.625 % Volkswagen Financial Services NV (MTN) 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 300 000 % 102.333 371 069.65 2.50 % Westpac Securities NZ Ltd/London (MTN) 2016/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 200 000 300 000 100 000 % 103.19 249 451.48 3.60 % AbbVie, Inc. 2015/2025. . . . . . . . . . . . . . . . . . . . . . . USD 560 000 % 105.022 529 054.46 3.20 % AbbVie, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . . USD 190 000 190 000 % 101.474 173 436.48 6.50 % Abu Dhabi National Energy Co. -Reg- 2006/2036 . . USD 100 000 % 128.224 115 345.69 2.50 % Abu Dhabi National Energy Co. 2012/2018. . . . . . . . USD 400 000 % 100.8 362 704.20 3.625 % Abu Dhabi National Energy Co., PJSC 144A 2012/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 103.75 186 659.53 3.45 % Actavis Funding SCS 2015/2022. . . . . . . . . . . . . . . . USD 540 000 % 103.816 504 301.34
190
% of net assets
76.14 0.69 0.27 0.34 0.47 0.45 0.34 0.29 0.22 0.34 0.34 0.36 0.21 0.20 0.36 0.44 0.25 0.67 0.26 0.70 0.44 0.50 0.35 0.35 0.17 0.67 0.67 0.61 0.34 0.34 0.56 0.52 0.47 0.34 0.32 0.23 0.51 0.18 0.24 0.79 0.69 0.34 0.51 0.22 0.66 0.18 0.17 0.51 0.29 0.51 0.51 0.99 0.31 0.40 0.50 0.53 0.67 0.62 0.33 0.25 0.48 0.23 0.23 0.62 0.42 0.88 0.29 0.19 0.60 0.31 0.84
Deutsche Invest I Global Corporate Bonds Description
3.95 % A erCap Ireland Capital Ltd Via AerCap Global Aviation Trust 2016/2022 . . . . . . . . . . . . . . . . . . . . . 2.80 % Aetna, Inc. 2016/2023. . . . . . . . . . . . . . . . . . . . . . . . 2.25 % Agricultural Bank China HK 2014/2017. . . . . . . . . . . 3.90 % American International Group, Inc. 2016/2026. . . . . 3.45 % American Tower Corp. 2014/2021 . . . . . . . . . . . . . . 3.375 % American Tower Corp. 2016/2026 . . . . . . . . . . . . . . 4.90 % Anheuser-Busch InBev Finance, Inc. 2016/2046 . . . 4.40 % Appalachian Power Co. 2014/2044. . . . . . . . . . . . . . 4.375 % AstraZeneca Plc 2015/2045 . . . . . . . . . . . . . . . . . . . 4.50 % AT&T, Inc. 2015/2035. . . . . . . . . . . . . . . . . . . . . . . . 5.65 % AT&T, Inc. 2016/2047. . . . . . . . . . . . . . . . . . . . . . . . 3.125 % AutoZone, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . 2.875 % Axis Bank Ltd Via Dubai (MTN) -Reg- 2016/2021. . . 3.875 % Bank of America Corp 2015/2025. . . . . . . . . . . . . . . 4.20 % Bank of America Corp. (MTN) 2014/2024. . . . . . . . . 2.125 % Bank of China 2015/2018 . . . . . . . . . . . . . . . . . . . . . 2.625 % BB&T Corp. 2015/2020. . . . . . . . . . . . . . . . . . . . . . . 2.675 % Becton Dickinson and Co. 2014/2019. . . . . . . . . . . . 2.315 % BP Capital Markets Plc 2015/2020. . . . . . . . . . . . . . 5.15 % Burlington Northern Santa Fe LLC 2013/2043 . . . . . 3.375 % CBS Corp. 2012/2022. . . . . . . . . . . . . . . . . . . . . . . . 7.50 % CenturyLink, Inc. 2016/2024. . . . . . . . . . . . . . . . . . . 4.65 % Citigroup Inc 2015/2045 . . . . . . . . . . . . . . . . . . . . . . 2.55 % Citizens Bank NA/Providence RI (MTN) 2016/2021. 3.30 % Columbia Pipeline Group, Inc. 2016/2020. . . . . . . . . 3.35 % ConocoPhillips Co. 2015/2025 . . . . . . . . . . . . . . . . . 2.50 % Deutsche Bank AG/London 2014/2019. . . . . . . . . . . 8.75 % Deutsche Telekom International Finance BV 2000/2030. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.25 % Duke Energy Progress LLC 2015/2025. . . . . . . . . . . 3.50 % Emirates Telecommunications Corp. 2014/2024 . . . 5.95 % Energy Transfer Partners LP 2013/2043. . . . . . . . . . 4.85 % Enterprise Products Operating LLC 2013/2044 . . . . 2.85 % Enterprise Products Operating LLC 2016/2021 . . . . 4.45 % Exelon Corp. 2016/2046. . . . . . . . . . . . . . . . . . . . . . 2.709 % Exxon Mobil Corp. 2015/2025. . . . . . . . . . . . . . . . . . 4.75 % FedEx Corp. 2015/2045. . . . . . . . . . . . . . . . . . . . . . . 2.021 % Ford Motor Credit Co. LLC 2016/2019. . . . . . . . . . . 3.10 % Freeport-McMoRan Copper & Gold, Inc. 2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.418 % GE Capital International Funding Co 2015/2035. . . . 2.40 % General Motors Financial Co, Inc. 2016/2019. . . . . . 6.25 % Goldman Sachs Group Inc 2011/2041 . . . . . . . . . . . 3.50 % Goldman Sachs Group Inc/The 2015/2025. . . . . . . . 4.75 % Halliburton Co. 2013/2043. . . . . . . . . . . . . . . . . . . . . 4.25 % HCP, Inc. 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . 4.50 % Health Care REIT, Inc. 2013/2024. . . . . . . . . . . . . . . 7.875 % Hess Corp. 1999/2029 . . . . . . . . . . . . . . . . . . . . . . . 5.875 % Home Depot, Inc. 2006/2036. . . . . . . . . . . . . . . . . . 3.90 % HSBC Holdings Plc 2016/2026. . . . . . . . . . . . . . . . . 5.75 % Hutchison Whampoa International 09/19 Ltd 2009/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.75 % JPMorgan Chase & Co. 2015/2020. . . . . . . . . . . . . . 3.30 % JPMorgan Chase & Co. 2016/2026. . . . . . . . . . . . . . 3.40 % KeyBank NA/Cleveland OH (MTN) 2016/2026 . . . . . 2.30 % KeyCorp (MTN) 2013/2018. . . . . . . . . . . . . . . . . . . . 2.90 % KeyCorp 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . 4.15 % Kinder Morgan Energy Partners LP 2013/2024. . . . . 3.875 % Korea Gas Corp. 2014/2024 . . . . . . . . . . . . . . . . . . . 6.30 % Lincoln National Corp. 2007/2037. . . . . . . . . . . . . . . 3.50 % Lloyds Bank Plc 2015/2025. . . . . . . . . . . . . . . . . . . . 3.70 % Lowe‘s Cos, Inc. 2016/2046. . . . . . . . . . . . . . . . . . . 4.375 % Macy‘s Retail Holdings, Inc. 2013/2023. . . . . . . . . . 4.875 % McDonalds Corp 2015/2045. . . . . . . . . . . . . . . . . . . 3.15 % Medtronic Inc 2015/2022 . . . . . . . . . . . . . . . . . . . . . 4.15 % Merck & Co., Inc. 2013/2043 . . . . . . . . . . . . . . . . . . 4.60 % MetLife Inc 2015/2046. . . . . . . . . . . . . . . . . . . . . . . 3.85 % Mitsubishi UFJ Financial Group, Inc. 2016/2026. . . . 2.632 % Mizuho Financial Group, Inc. -Reg- 2016/2021. . . . . 2.10 % Molson Coors Brewing Co. 2016/2021. . . . . . . . . . . 3.00 % Molson Coors Brewing Co. 2016/2026. . . . . . . . . . . 7.30 % Morgan Stanley 2009/2019. . . . . . . . . . . . . . . . . . . . 4.20 % Newell Rubbermaid, Inc. 2016/2026. . . . . . . . . . . . . 5.50 % Newell Rubbermaid, Inc. 2016/2046. . . . . . . . . . . . . 3.875 % NIKE Inc 2015/2045 . . . . . . . . . . . . . . . . . . . . . . . . . 3.40 % Oracle Corp. 2014/2024 . . . . . . . . . . . . . . . . . . . . . . 3.10 % PepsiCo Inc 2015/2022. . . . . . . . . . . . . . . . . . . . . . . 4.25 % Philip Morris International, Inc. 2014/2044. . . . . . . . 2.60 % Plains All American Pipeline LP / PAA Finance Corp. 2014/2019 . . . . . . . . . . . . . . . . . 3.85 % Plains All American Pipeline LP 2013/2023. . . . . . . . 2.60 % PNC Bank NA 2015/2020 . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
600 000 840 000 240 000 290 000 290 000 200 000 400 000 500 000 100 000 150 000 250 000 250 000 200 000 200 000 160 000 130 000 300 000 300 000 400 000 100 000 75 000 75 000 500 000 500 000 135 000 360 000 200 000 500 000 300 000 250 000 200 000 200 000 300 000 350 000 550 000 300 000 300 000 200 000 250 000 250 000 410 000 410 000 200 000 510 000
% % % % % % % % % % % % % % % % % % % % % % % % % % %
99.875 101.98 100.871 103.502 104.054 100.333 117.742 107.578 108.97 102.752 116.488 102.884 100.445 106.435 103.601 100.926 103.509 102.906 102.144 123.712 104.446 99.965 111.634 100.974 103.321 103.21 100.166
539 063.73 266 038.86 181 479.84 372 426.69 140 405.52 225 639.89 211 832.93 154 837.99 127 433.14 277 296.00 314 365.23 69 413.06 451 783.53 129 255.88 335 504.63 181 578.79 465 564.85 277 711.60 183 770.13 333 861.93 516 757.24 269 774.75 200 843.86 227 081.44 381 069.79 185 688.00 459 539.21
0.90 0.44 0.30 0.62 0.23 0.38 0.35 0.26 0.21 0.46 0.52 0.12 0.75 0.22 0.56 0.30 0.78 0.46 0.31 0.56 0.86 0.45 0.33 0.38 0.64 0.31 0.77
USD USD USD USD USD USD USD USD USD USD
100 290 200 400 100 150 200 100 250 230
000 000 000 000 000 000 150 000 000 200 000 000 000 000 230 000
% % % % % % % % % %
151.433 107.642 105.041 99.906 105.812 103.3 107.636 104.558 111.891 100.839
136 280 188 359 95 139 193 94 251 208
223.68 809.52 982.20 487.36 185.12 387.44 651.84 056.61 632.79 635.61
0.23 0.47 0.32 0.60 0.16 0.23 0.32 0.16 0.42 0.35
USD USD USD USD USD USD USD USD USD USD USD
100 413 600 150 300 250 300 300 150 150 280
000 000 000 600 000 000 000 000 000 000 300 000 000 000 000 280 000
% % % % % % % % % % %
95 112.066 100.444 129.914 103.247 106.558 103.688 108.148 119.5 138.024 102.855
85 416 542 175 278 239 279 291 161 186 259
458.58 349.39 134.84 298.94 631.85 640.48 821.98 856.79 246.85 242.13 069.03
0.14 0.69 0.90 0.29 0.46 0.40 0.47 0.49 0.27 0.31 0.43
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
200 000 200 000 500 000 226 000 226 000 300 000 300 000 200 000 278 000 540 000 200 000 100 000 200 000 341 000 341 000 500 000 400 000 250 000 300 000 240 000 430 000 270 000 240 000 240 000 390 000 390 000 85 000 85 000 72 000 72 000 450 000 450 000 490 000 40 000 111 000 111 000 100 000 300 000 300 000 214 000 280 000 280 000
% % % % % % % % % % % % % % % % % % % % % % % % % % %
112.221 103.128 103.691 100.672 101.69 103.248 100.684 110.858 118.099 102.925 103.278 103.855 117.715 106.76 112.236 109.486 109.394 102 100.39 100.152 114.87 108.667 119.037 111.926 108.358 106.583 111
201 899.94 463 851.18 210 805.32 271 681.37 182 954.23 258 202.60 489 087.19 199 447.73 106 237.61 185 175.25 316 806.63 467 121.10 423 568.70 288 113.71 434 140.97 265 923.31 236 176.57 357 846.56 76 761.15 64 867.06 464 998.12 439 888.15 118 860.35 100 685.05 292 424.87 205 179.41 279 584.49
0.34 0.77 0.35 0.45 0.30 0.43 0.82 0.33 0.18 0.31 0.53 0.78 0.71 0.48 0.72 0.44 0.39 0.60 0.13 0.11 0.78 0.73 0.20 0.17 0.49 0.34 0.47
USD USD USD
400 000 400 000 143 000 300 000
% % %
97.908 97.287 103.493
352 299.85 125 147.71 279 295.73
0.59 0.21 0.47
191
Deutsche Invest I Global Corporate Bonds Description
5.25 % 3.45 % 3.75 % 2.70 % 2.25 % 3.375 % 3.25 % 2.75 %
Prudential Plc (MTN) 2016/2049. . . . . . . . . . . . . . . . uest Diagnostics, Inc. 2016/2026. . . . . . . . . . . . . . Q Rio Tinto Finance USA Ltd 2015/2025 . . . . . . . . . . . Santander Holdings USA, Inc. 2016/2019. . . . . . . . . Shell International Finance BV 2015/2020 . . . . . . . . Simon Property Group LP 2014/2024. . . . . . . . . . . . SingTel Group Treasury Pte Ltd 2015/2025 . . . . . . . Sinopec Group Overseas Development 2016 Ltd -Reg- 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.00 % Synchrony Financial 2014/2019. . . . . . . . . . . . . . . . . 3.30 % Sysco Corp. 2016/2026. . . . . . . . . . . . . . . . . . . . . . . 5.00 % Tenneco, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . 3.85 % The Kroger Co. 2013/2023 . . . . . . . . . . . . . . . . . . . . 5.30 % Thermo Fisher Scientific, Inc. 2013/2044. . . . . . . . . 5.35 % Time Warner, Inc. 2013/2043. . . . . . . . . . . . . . . . . . 4.625 % TransCanada PipeLines Ltd 2014/2034. . . . . . . . . . . 5.875 % United Rentals North America, Inc. 2016/2026 . . . . 3.10 % UnitedHealth Group, Inc. 2016/2026. . . . . . . . . . . . . 4.672 % Verizon Communications Inc 2015/2055. . . . . . . . . . 3.45 % Verizon Communications, Inc. 2014/2021. . . . . . . . . 4.30 % VISA Inc 2015/2045. . . . . . . . . . . . . . . . . . . . . . . . . . 4.90 % Wells Fargo & Co 2015/2045 . . . . . . . . . . . . . . . . . . 1.75 % Wells Fargo Bank NA 2016/2019 . . . . . . . . . . . . . . . 7.25 % Williams Partners LP / Williams Partners Finance Corp. 2007/2017 . . . . . . . . . . . . . . . . . . . . . 4.25 % Willow No 2 Ireland Plc for Zurich Insurance C., Ltd (MTN) 2015/2045 *. . . . . . . . . . . . . . . . . . . . . . . 3.55 % Zimmer Holdings, Inc. 2015/2025. . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
USD USD USD USD USD USD USD
200 130 300 380 147 400 500
000 200 000 000 130 000 000 300 000 000 380 000 000 000 250 000 000
% % % % % % %
103.736 103.545 104.967 100.337 102.477 106.242 107.04
186 121 283 342 135 382 481
634.34 088.96 273.60 986.30 511.39 287.71 446.65
0.31 0.20 0.47 0.57 0.23 0.64 0.80
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
380 550 104 130 320 300 510 430 135 340 400 190 240 250 470
000 380 000 000 000 104 000 000 130 000 000 200 000 000 300 000 000 000 000 135 000 000 340 000 000 000 000 000 000 470 000
% % % % % % % % % % % % % % %
101.915 102.03 104.082 101.688 110.062 116.282 115.167 106.493 98.812 104.503 100.436 107.312 116.403 110.097 101.168
348 504 97 118 316 313 528 411 119 319 361 183 251 247 427
380.45 803.83 374.02 916.74 825.00 810.65 360.44 928.26 999.03 624.26 394.44 414.62 308.68 598.24 733.33
0.58 0.84 0.16 0.20 0.53 0.52 0.88 0.69 0.20 0.53 0.60 0.31 0.42 0.41 0.71
USD
350 000
350 000
%
102.883
323 924.45
0.54
USD USD
200 000 200 000 150 000
% %
95.841 102.968
172 430.23 138 938.78
0.29 0.23
Securities admitted to or included in organized markets 11 015 837.01 18.36 Interest-bearing securities 4.00 % BAT International Finance Plc 2015/2055. . . . . . . . . GBP 130 000 % 120.72 189 688.52 4.125 % CRH Financial UK Plc 2015/2029 . . . . . . . . . . . . . . . GBP 100 000 % 110.879 134 019.43 5.50 % Altice US Finance I Corp. 144A 2016/2026. . . . . . . . USD 260 000 260 000 % 100 233 886.64 3.30 % Amazon.com, Inc. 2014/2021. . . . . . . . . . . . . . . . . . USD 510 000 % 108.052 495 718.42 2.70 % Amgen, Inc. 2015/2022. . . . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 103.085 278 194.66 3.85 % Apple, Inc. 2013/2043. . . . . . . . . . . . . . . . . . . . . . . . USD 482 000 % 101.064 438 203.24 2.00 % Banque Federative du Credit Mutuel SA (MTN) -Reg- 2016/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 101.058 181 816.28 4.50 % Berkshire Hathaway Energy Co. 2015/2045 * . . . . . USD 300 000 230 000 % 111.874 301 912.12 2.45 % BNP Paribas SA (MTN) 2014/2019. . . . . . . . . . . . . . USD 300 000 % 102.06 275 428.51 2.60 % Cisco Systems, Inc. 2016/2023. . . . . . . . . . . . . . . . . USD 160 000 160 000 % 105.109 151 283.64 3.375 % Comcast Corp. 2014/2025 . . . . . . . . . . . . . . . . . . . . USD 300 000 250 000 % 108.185 291 957.99 4.42 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2021. . . . . . . . . . . . . . . . . USD 340 000 340 000 % 103.001 315 030.37 6.02 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2026. . . . . . . . . . . . . . . . . USD 440 000 440 000 % 103.796 410 833.04 6.35 % Discovery Communications LLC 2010/2040. . . . . . . USD 200 000 200 000 % 103.767 186 690.12 2.962 % Dominion Resources Inc/VA 2016/2019. . . . . . . . . . USD 210 000 210 000 % 101.325 191 411.48 6.65 % E.ON International Finance BV -Reg- 2008/2038 . . . USD 150 000 % 119.148 160 771.20 5.125 % Enel Finance International NV -Reg- 2009/2019. . . . USD 500 000 % 110.326 496 226.49 3.40 % Express Scripts Holding Co. 2016/2027. . . . . . . . . . USD 280 000 280 000 % 100.21 252 406.86 2.25 % Fifth Third Bank Via Cincinnati OH 2016/2021. . . . . USD 330 000 330 000 % 100.442 298 166.74 3.85 % Fifth Third Bank/Cincinnati OH 2016/2026. . . . . . . . USD 400 000 400 000 % 105.447 379 425.30 3.70 % Gilead Sciences, Inc. 2014/2024. . . . . . . . . . . . . . . . USD 300 000 % 108.708 293 369.41 2.80 % H.J. Heinz Co. 2015/2020 . . . . . . . . . . . . . . . . . . . . USD 275 000 % 103.066 254 966.02 2.85 % Hewlett Packard Enterprise Co 2015/2018. . . . . . . . USD 500 000 % 102.041 458 962.05 3.75 % Imperial Tobacco Finance PLC 2015/2022. . . . . . . . USD 200 000 % 106.122 190 927.06 2.375 % Intesa Sanpaolo SpA 2014/2017. . . . . . . . . . . . . . . . USD 700 000 % 100.445 632 496.94 2.50 % Korea East-West Power Co., Ltd -Reg- 2014/2020. . USD 400 000 % 102.549 368 997.55 4.375 % Kraft Heinz Foods Co. 144A 2016/2046. . . . . . . . . . USD 330 000 330 000 % 106.404 315 865.30 3.95 % Mylan NV 144A 2016/2026. . . . . . . . . . . . . . . . . . . . USD 130 000 130 000 % 101.048 118 168.89 3.50 % Origin Energy Finance Ltd 2013/2018. . . . . . . . . . . . USD 235 000 % 100.768 213 021.07 4.25 % Quest Diagnostics, Inc. 2014/2024. . . . . . . . . . . . . . USD 300 000 300 000 % 107.725 290 716.60 3.35 % Roche Holdings, Inc. -Reg- 2014/2024. . . . . . . . . . . USD 510 000 % 109.257 501 246.69 2.625 % Societe Generale SA 2015/2020. . . . . . . . . . . . . . . . USD 300 000 % 103.285 278 734.40 4.45 % Solvay Finance (America) 2015/2025 . . . . . . . . . . . . USD 200 000 % 106.659 191 893.19 5.75 % Stanley Black & Decker, Inc. 2013/2053 *. . . . . . . . USD 290 000 % 106.166 276 960.33 2.45 % Starbucks Corp. 2016/2026. . . . . . . . . . . . . . . . . . . . USD 120 000 120 000 % 101.512 109 579.85 2.95 % UBS Group Funding Jersey Ltd 2015/2020 . . . . . . . USD 310 000 % 101.848 284 018.26 4.75 % West Corp. 144A 2016/2021. . . . . . . . . . . . . . . . . . . USD 640 000 640 000 % 99.5 572 842.35 Total securities portfolio 56 696 708.96 Derivatives (Minus signs denote short positions) Interest rate derivatives -131 685.56 Receivables/payables
192
% of net assets
0.32 0.22 0.39 0.83 0.46 0.73 0.30 0.50 0.46 0.25 0.49 0.53 0.68 0.31 0.32 0.27 0.83 0.42 0.50 0.63 0.49 0.42 0.77 0.32 1.05 0.62 0.53 0.20 0.36 0.48 0.84 0.46 0.32 0.46 0.18 0.47 0.95 94.50
-0.21
Deutsche Invest I Global Corporate Bonds Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Interest rate futures UK Treasury Notes 09/2016 (IFLL) . . . . . . . . . . . . . . . . . . . . . . Count 8 8 49 991.83 0.09 US Treasury Notes 10 year Futures 09/2016 (CBT). . . . . . . . . Count -39 -39 -126 037.39 -0.21 Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . . Count -13 -13 -55 640.00 -0.09 Currency derivatives 230 043.67 0.38 Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 2.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -6 629.93 -0.01 EUR/USD 45.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 236 673.60 0.39 Cash at bank 2 822 513.62 4.70 Demand deposits at Depositary EUR deposits EUR 1 858 307.37 3.10 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 65 938 79 698.95 0.13 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 983 262 884 507.30 1.47 Other assets 909 966.36 1.52 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 455 428.54 0.77 Receivables from exceeding the expense cap. . . . . . . . . . . . . 19 828.28 0.03 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 434 709.54 0.72 Total assets ** 60 715 854.37 101.20 Other liabilities -532 602.51 -0.89 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -532 602.51 -0.89 Total liabilities -720 909.83 -1.20 Net assets 59 994 944.54 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102.29 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102.63 Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.53 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 596 605 Composition of the reference portfolio (according to CSSF circular 11/512) Barclays Capital Global Aggregate Credit ex Asian Countries Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 92.662 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 121.611 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 109.831 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.8, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 49 961 175.24 as of the reporting date.
193
Deutsche Invest I Global Corporate Bonds Market abbreviations
Futures exchanges CBT = Chicago Board of Trade EUR = Eurex IFLL = ICE Futures Europe - Financial Products Division Contracting parties for currency futures Barclays Bank PLC Wholesale, JP Morgan Securities PLC, Morgan Stanley and Co. International PLC, State Street Bank and Trust Company, State Street Bank London Exchange rates (indirect quotes) As of: June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Floating interest rate. ** Does not include positions with a negative balance, if such exist.
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Interest-bearing securities 0.95 % 3M Co. (MTN) 2015/2023. . . . . . . . . . EUR 1.00 % ABN AMRO Bank NV (MTN) 2015/2025. . . . . . . . . . . . . . . . . . . . . . EUR 1.125 % Akzo Nobel NV (MTN) 2016/2026. . . . EUR 100 000 0.875 % A lliander NV (MTN) 2016/2026. . . . . . EUR 100 000 1.375 % Allianz Finance II BV (MTN) 2016/2031. . . . . . . . . . . . . . . . . . . . . . EUR 300 000 6.375 % A merica Movil SAB de CV 2013/2073 * . . . . . . . . . . . . . . . . . . . . EUR 100 000 1.25 % Amgen, Inc. 2016/2022. . . . . . . . . . . . EUR 170 000 2.00 % A nheuser-Busch InBev SA/NV (MTN) 2016/2028. . . . . . . . . . . . . . . . . . . . . . EUR 280 000 3.375 % ASML Holding NV 2013/2023. . . . . . . EUR 0.875 % Banca Popolare di Milano Scarl 2015/2022. . . . . . . . . . . . . . . . . . . . . . EUR 4.625 % Bank of America Corp. (MTN) 2010/2017. . . . . . . . . . . . . . . . . . . . . . EUR 2.15 % Berkshire Hathaway, Inc. 2016/2028. EUR 200 000 2.15 % B erkshire Hathaway, Inc. 2016/2028. EUR 170 000 5.875 % BiSoho SAS -Reg- 2016/2023. . . . . . . EUR 290 000 2.875 % B NP Paribas SA (MTN) 2016/2026. . . EUR 300 000 1.373 % BP Capital Markets Plc (MTN) 2016/2022. . . . . . . . . . . . . . . . . . . . . . EUR 180 000 2.875 % B PCE SA (MTN) 2016/2026 . . . . . . . . EUR 100 000 2.75 % BPCE SA 2015/2027*. . . . . . . . . . . . . EUR 2.00 % Brisa Concessao Rodoviaria SA (MTN) 2016/2023. . . . . . . . . . . . . . . . . . . . . . EUR 100 000 1.875 % C arnival Corp. 2015/2022. . . . . . . . . . EUR 2.798 % Casino Guichard Perrachon SA (MTN) 2014/2026. . . . . . . . . . . . . . . . . . . . . . EUR 3.00 % Centrica Plc 2015/2076 * . . . . . . . . . . EUR 200 000 5.75 % C irsa Funding Luxembourg SA -Reg- 2016/2021. . . . . . . . . . . . . . . . . EUR 500 000 1.25 % CK Hutchison Finance 16 Ltd 2016/2023. . . . . . . . . . . . . . . . . . . . . . EUR 310 000 1.875 % C oca-Cola HBC Finance BV (MTN) 2016/2024. . . . . . . . . . . . . . . . . . . . . . EUR 100 000 1.75 % Covestro AG 2016/2024. . . . . . . . . . . EUR 130 000 3.25 % C redit Mutuel Arkea SA (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . EUR 100 000 0.75 % Danske Bank AS (MTN) 2015/2020 . . EUR 1.25 % Deutsche Bank AG (MTN) 2014/2021. . . . . . . . . . . . . . . . . . . . . . EUR
194
160 000 300 000 100 000 100 000 300 000 100 000 170 000 280 000 100 000 365 000 350 200 170 290 300
000 000 000 000 000
180 000 100 000 100 000 100 000 100 000 100 000 200 000 500 000 310 000 100 000 130 000 100 000 140 000 100 000
1.125 % D eutsche Pfandbriefbank AG (MTN) 2016/2020. . . . . . . . . . . . . . . . . . . . . . 0.625 % D eutsche Telekom International Finance BV (MTN) 2016/2023. . . . . . . 1.50 % Deutsche Telekom International Finance BV (MTN) 2016/2028. . . . . . . 1.70 % D H Europe Finance SA 2015/2022. . . 1.75 % easyJet Plc (MTN) 2016/2023. . . . . . . 2.375 % E DP Finance BV (MTN) 2016/2023. . . 4.50 % eircom Finance DAC -Reg2016/2022. . . . . . . . . . . . . . . . . . . . . . 1.00 % E li Lilly & Co. 2015/2022. . . . . . . . . . . 1.75 % Emirates Telecommunications Corp. 2014/2021. . . . . . . . . . . . . . . . . . . . . . 1.375 % E nagas Financiaciones SAU (MTN) 2016/2028. . . . . . . . . . . . . . . . . . . . . . 2.125 % ESB Finance Ltd (MTN) 2015/2027 . . 2.125 % E XOR SpA 2015/2022. . . . . . . . . . . . . 1.625 % FedEx Corp. 2016/2027 . . . . . . . . . . . 3.50 % G estamp Funding Luxembourg SA -Reg- 2016/2023. . . . . . . . . . . . . . . . . 1.25 % Glencore Finance Europe SA (MTN) 2015/2021. . . . . . . . . . . . . . . . . . . . . . 3.75 % G OODYEAR DUNLOP Tires 2015/2023. . . . . . . . . . . . . . . . . . . . . . 3.50 % Hanesbrands Finance Luxembourg SCA -Reg- 2016/2024 . . 2.25 % H eidelbergCement AG (MTN) 2016/2023. . . . . . . . . . . . . . . . . . . . . . 1.30 % Honeywell International, Inc. 2016/2023. . . . . . . . . . . . . . . . . . . . . . 1.50 % H SBC Holdings Plc (MTN) 2016/2022. . . . . . . . . . . . . . . . . . . . . . 0.50 % International Business Machines Corp. 2016/2021. . . . . . . . . 4.875 % IPIC GMTN Ltd (MTN) 2011/2016 . . . 1.625 % JAB Holdings BV 2015/2025. . . . . . . . 1.875 % M anpowerGroup Inc 2015/2022. . . . . 1.00 % McDonald‘s Corp. 2016/2023. . . . . . . 0.75 % M erck Financial Services GmbH 2015/2019. . . . . . . . . . . . . . . . . . . . . . 2.625 % MOL Hungarian Oil & Gas Plc 2016/2023. . . . . . . . . . . . . . . . . . . . . . 1.50 % M ondi Finance Plc (MTN) 2016/2024. 1.75 % Morgan Stanley (MTN) 2016/2024. . .
EUR
185 000
185 000
EUR
230 000
230 000
EUR EUR EUR EUR
380 300 100 320
380 300 100 320
000 000 000 000
000 000 000 000
EUR 300 000 EUR
300 000 100 000
EUR
250 000
EUR 100 000 EUR EUR EUR 330 000
100 100 250 330
EUR
535 000
535 000
000 000 000 000
EUR
250 000
EUR
200 000
EUR
180 000
180 000
EUR
290 000
290 000
EUR
180 000
180 000
EUR
100 000
100 000
EUR 240 000 EUR EUR EUR EUR 200 000
240 100 200 200 200
EUR
187 000
EUR EUR EUR
410 000 185 000 320 000
410 000 185 000 320 000
000 000 000 000 000
Deutsche Invest I Global Corporate Bonds
Count/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
1.875 % Nordea Bank AB 2015/2025*. . . . . . . 5.375 % N umericable Group SA -Reg2014/2022. . . . . . . . . . . . . . . . . . . . . . 1.00 % OMV AG 2015/2049. . . . . . . . . . . . . . 1.875 % P etroleos Mexicanos (MTN) 2015/2022. . . . . . . . . . . . . . . . . . . . . . 3.75 % P etroleos Mexicanos (MTN) 2016/2019. . . . . . . . . . . . . . . . . . . . . . 0.50 % Royal Bank of Canada 2015/2020. . . . 1.00 % RTE Reseau de Transport d‘Electricite SA (MTN) 2016/2026. . . . 1.375 % S antander International Debt SAU (MTN) 2016/2021. . . . . . . . 3.25 % Santander Issuances SAU (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . 2.375 % S nam SpA (MTN) 2013/2017 . . . . . . . 1.75 % T DC A/S (MTN) 2015/2027. . . . . . . . . 2.20 % V odafone Group Plc (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . 1.375 % Wells Fargo & Co. (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . 0.75 % W PP Finance 2013 2015/2019. . . . . . 6.00 % E lectricite de France SA (MTN) 2014/2114. . . . . . . . . . . . . . . . . . . . . . 5.375 % H SBC Bank Plc (MTN) 2003/2033 . . . 5.50 % R WE Finance 2009/2022 . . . . . . . . . . 3.30 % A nheuser-Busch InBev Finance, Inc. 2016/2023 . . . . . . . . . . . . . . . . . . 3.65 % Anheuser-Busch InBev Finance, Inc. 2016/2026 . . . . . . . . . . . . . . . . . . 1.75 % A T&T, Inc. 2016/2018. . . . . . . . . . . . . 2.05 % Bank of America NA 2015/2018. . . . . 2.15 % Bank of Tokyo-Mitsubishi UFJ Ltd/The 2015/2018 . . . . . . . . . . . 4.375 % B arclays Plc 2016/2026. . . . . . . . . . . . 4.50 % Berkshire Hathaway, Inc. 2013/2043. 3.119 % B P Capital Markets Plc 2016/2026. . . 2.35 % British Telecommunications Plc 2014/2019. . . . . . . . . . . . . . . . . . . . . . 3.70 % Citigroup, Inc. 2016/2026. . . . . . . . . . 3.875 % C VS Health Corp 2015/2025. . . . . . . . 1.65 % D anaher Corp 2015/2018 . . . . . . . . . . 5.00 % D evon Energy Corp. 2015/2045. . . . . 1.75 % D IRECTV Holdings LLC 2013/2018. . . 4.00 % E nbridge, Inc. 2013/2023 . . . . . . . . . . 3.25 % F edEx Corp. 2016/2026 . . . . . . . . . . . 1.724 % Ford Motor Credit Co. LLC 2014/2017. . . . . . . . . . . . . . . . . . . . . . 0.964 % GE Capital International Funding Co 2015/2016. . . . . . . . . . . . . . . . . . . . . . 5.875 % General Electric Capital Corp. 2008/2038. . . . . . . . . . . . . . . . . . . . . . 6.25 % GTH Finance BV -Reg- 2016/2020 . . . 5.00 % H SBC USA, Inc. 2010/2020 . . . . . . . . 3.90 % J PMorgan Chase & Co 2015/2025. . . 2.125 % N estle Holdings, Inc. (MTN) 2014/2020. . . . . . . . . . . . . . . . . . . . . . 2.00 % N omura Holdings, Inc. (MTN) 2013/2016. . . . . . . . . . . . . . . . . . . . . . 7.875 % O oredoo International Finance Ltd 144A 2009/2019. . . . . . . . . . . . . . . . . 5.50 % P enske Automotive Group, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . 6.75 % Qwest Corp. 2011/2021. . . . . . . . . . . 4.15 % S outhern Power Co 2015/2025. . . . . . 3.784 % S umitomo Mitsui Financial Group, Inc. 2016/2026 . . . . . . . . . . . . . . . . . . 4.50 % Sysco Corp. 2016/2046. . . . . . . . . . . . 3.192 % Telefonica Emisiones SAU 2013/2018. . . . . . . . . . . . . . . . . . . . . . 1.75 % Toronto-Dominion Bank/The 2015/2018. . . . . . . . . . . . . . . . . . . . . . 3.70 % US Bancorp (MTN) 2014/2024 . . . . . . 3.65 % V alero Energy Corp. 2015/2025 . . . . .
EUR
104 000
EUR 200 000 EUR
200 000 310 000
EUR
100 000
EUR 240 000 EUR
240 000 339 000
EUR
100 000
100 000
EUR
300 000
300 000
EUR 200 000 EUR EUR
200 000 195 000 100 000
EUR
550 000
550 000
EUR 360 000 EUR
360 000 150 000
GBP GBP GBP
200 000 50 000 150 000
USD
160 000
160 000
USD 300 000 USD 172 000 USD
300 000 172 000 290 000
USD USD 230 000 USD 200 000 USD 190 000
200 230 300 190
000 000 000 000
USD USD 400 000 USD USD USD USD USD USD 120 000
250 400 330 140 115 172 168 120
000 000 000 000 000 000 000 000
USD
650 000
USD
245 000
USD USD 222 000 USD USD
129 222 500 425
USD
100 000
000 000 000 000
USD
100 000
USD
400 000
USD 580 000 USD USD
580 000 485 000 100 000
USD USD
170 000 80 000
170 000 80 000
USD
500 000
USD USD USD
400 000 50 000 550 000
Securities admitted to or included in organized markets Interest-bearing securities 1.00 % CNP Assurances 2015/2047. . . . . . . . 1.125 % ISS Global A/S 2015/2021. . . . . . . . . . 1.50 % JPMorgan Chase & Co 2015/2022. . . 1.00 % BHP Billiton Finance Ltd 2015/2077.
EUR EUR EUR 300 000 GBP 200 000
200 140 300 200
000 000 000 000
5.00 % AMC Networks, Inc. 2016/2024. . . . . USD 70 000 2.90 % Biogen Inc 2015/2020. . . . . . . . . . . . . USD 2.80 % B MW US Capital LLC -Reg2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 60 000 4.75 % C elulosa Arauco y Constitucion SA 2012/2022. . . . . . . . . . . . . . . . . . . . . . USD 7.00 % C heniere Corpus Christi Holdings LLC 144A 2016/2024 . . . . . . . . . . . . . USD 100 000 4.95 % Citigroup, Inc. 2013/2043. . . . . . . . . . USD 3.30 % Columbia Pipeline Group, Inc. 144A 2015/2020. . . . . . . . . . . . . . . . . USD 3.15 % Comcast Corp. 2016/2026 . . . . . . . . . USD 140 000 4.50 % Corp Nacional del Cobre de Chile -Reg- 2013/2023. . . . . . . . . . . . . . . . . USD 3.80 % e Bay, Inc. 2016/2022 . . . . . . . . . . . . . USD 80 000 4.375 % GLP Capital LP / GLP Financing II, Inc. 2016/2021 . . . . . . . . . . . . . . . . . . USD 40 000 5.00 % Goodyear Tire & Rubber Co./The 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 80 000 4.625 % Hanesbrands, Inc. 144A 2016/2024. . USD 230 000 4.30 % HSBC Holdings Plc 2016/2026. . . . . . USD 200 000 2.70 % ING Bank NV 2015/2020. . . . . . . . . . . USD 5.875 % K aiser Aluminum Corp. 144A 2016/2024. . . . . . . . . . . . . . . . . . . . . . USD 55 000 5.25 % K FC Holding Co. Via Pizza Hut Holdings LLC Via Taco Bell of America LLC 144A 2016/2026 . . . . . . USD 20 000 3.00 % Kraft Heinz Foods Co. 144A 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 310 000 7.50 % Micron Technology, Inc. 144A 2016/2023. . . . . . . . . . . . . . . . . . . . . . USD 360 000 3.30 % Penske Truck Leasing Co Lp / PTL Finance Corp 2015/2021. . . . . . . . . . . USD 5.50 % Performance Food Group, Inc. 144A 2016/2024. . . . . . . . . . . . . . . . . . . . . . USD 150 000 9.25 % P rime Security Services Borrower LLC / Prime Finance, Inc. 144A 2016/2023 USD 170 000 5.375 % Sirius XM Radio, Inc. 144A 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 280 000 5.50 % Virgin Media Secured Finance Plc 144A 2016/2026. . . . . . . . . . . . . . . . . USD 200 000 10.50 % Western Digital, Corp. 144A 2016/2024. . . . . . . . . . . . . . . . . . . . . . USD 400 000
70 000 115 000 60 000 100 000 100 000 84 000 410 000 140 000 250 000 80 000 40 000 80 230 200 400
000 000 000 000
55 000 20 000 310 000 360 000 105 000 150 000 170 000 280 000 200 000 400 000
Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000) Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, US Treasury Note 10-Year, US Treasury Note 5-Year, US Treasury Ultra Bond) EUR 24 014 Contracts sold (Underlyings: UK Treasury Notes, US Treasury Note 5-Year) EUR 4 223 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 12 974 EUR/USD EUR 139 207 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 15 471 USD/EUR EUR 171 798 Swaps Credit default swaps Protection buyer (Underlying: MARKIT ITRX EUROPE) EUR 12 000
195
Deutsche Invest I Global Emerging Markets Equities Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 524 499 548.29 Equities Emaar Malls Group PJSC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 848 660 AED 2.82 5 420 557.29 Banco do Brasil SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 969 407 951 499 432 092 BRL 16.39 4 451 336.15 BB Seguridade Participacoes . . . . . . . . . . . . . . . . . . . . . . . . . . Count 624 867 624 867 BRL 27.93 4 889 492.81 BRF SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 314 721 150 279 BRL 44.16 3 893 678.36 CCR SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 989 876 1 512 144 522 268 BRL 16.55 4 589 697.68 Lojas Americanas SA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 887 530 887 530 760 000 BRL 15.87 3 946 074.27 Lojas Renner SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 486 594 712 071 225 477 BRL 23.24 3 168 167.69 Multiplan Empreendimentos Imobiliarios SA . . . . . . . . . . . . . . Count 272 632 409 717 137 085 BRL 60.12 4 591 991.63 Rumo Logistica Operadora Multimodal SA. . . . . . . . . . . . . . . . Count 3 571 684 3 571 684 BRL 4.79 4 793 070.63 Moneta Money Bank AS 144A. . . . . . . . . . . . . . . . . . . . . . . . . Count 1 414 441 1 414 441 CZK 71.95 3 754 134.29 BHP Billiton Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 489 036 489 036 GBP 9.261 5 474 156.27 China Communications Construction Co., Ltd -H- . . . . . . . . . . Count 4 789 690 4 789 690 HKD 8.3 4 609 113.58 China Construction Bank Corp. -H-. . . . . . . . . . . . . . . . . . . . . . Count 18 939 250 6 060 750 HKD 5.13 11 264 503.50 China Merchants Bank Co., Ltd -H-. . . . . . . . . . . . . . . . . . . . . . Count 2 918 110 1 281 890 HKD 17.3 5 853 015.50 China Mobile Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 580 000 HKD 88.75 16 257 634.70 China Overseas Land & Investment Ltd. . . . . . . . . . . . . . . . . . Count 4 060 000 HKD 24.5 11 532 515.06 Industrial & Commercial Bank of China Ltd -H-. . . . . . . . . . . . Count 22 329 900 5 770 100 HKD 4.29 11 106 468.33 PetroChina Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 278 517 2 578 517 HKD 5.29 10 597 271.21 Ping An Insurance Group Co. of China Ltd. . . . . . . . . . . . . . . . Count 1 766 590 803 410 HKD 34.15 6 994 527.60 Tencent Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 330 000 HKD 176.3 27 185 408.65 Astra International Tbk PT. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 237 087 11 237 087 IDR 7 400 5 661 513.27 Bank Central Asia Tbk PT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 223 583 6 223 583 IDR 13 325 5 646 180.66 Telekomunikasi Indonesia Persero Tbk PT . . . . . . . . . . . . . . . Count 31 026 475 31 026 475 35 000 000 IDR 3 980 8 407 416.75 Axis Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 785 496 354 074 INR 533.5 5 585 201.77 ICICI Bank Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 803 551 1 196 449 INR 240.4 5 778 609.62 ITC Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 INR 369 4 917 980.83 Maruti Suzuki India Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 000 100 000 INR 4 199.7 5 597 301.92 State Bank of India . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 500 000 INR 219.3 7 306 999.97 Tata Consultancy Services Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 156 276 38 724 INR 2 548.05 5 307 141.87 UltraTech Cement Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 67 089 67 089 INR 3 410.8 3 049 776.67 Amorepacific Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 440 KRW 431 500 6 551 084.49 Hyundai Motor Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 310 54 690 KRW 135 500 5 323 898.33 Korea Electric Power Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 169 000 KRW 60 400 7 971 862.21 KT Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 291 000 KRW 29 650 6 738 354.06 LG Chem Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 370 25 370 KRW 260 000 5 151 455.53 LG Household & Health Care Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 7 056 7 056 KRW 1117 000 6 155 281.02 NAVER Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 000 KRW 710 000 7 762 873.78 Samsung Electronics Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 766 4 534 KRW 1425 000 29 787 529.00 Samsung Fire & Marine Insurance Co., Ltd . . . . . . . . . . . . . . . Count 27 110 8 890 KRW 263 500 5 578 870.46 Shinhan Financial Group Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 178 980 127 020 KRW 38 000 5 311 586.28 Fomento Economico Mexicano SAB de CV. . . . . . . . . . . . . . . Count 898 387 101 613 MXN 169.7 7 401 795.91 Gruma SAB de CV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 176 427 176 427 MXN 263.89 2 260 371.32 Grupo Financiero Inbursa SAB de CV. . . . . . . . . . . . . . . . . . . . Count 1 564 285 1 564 285 MXN 30.9 2 346 746.43 Grupo Mexico SAB de CV -B-. . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 679 877 679 877 MXN 41.56 5 407 321.67 Tenaga Nasional Bhd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 780 800 1 780 800 MYR 14.1 5 602 729.59 BDO Unibank, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 586 200 413 800 PHP 112 3 396 811.79 Metropolitan Bank & Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 422 212 532 260 PHP 90.35 4 184 425.35 SM Investments Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 256 170 256 170 PHP 967 4 736 420.57 Universal Robina Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 348 830 651 170 PHP 208 5 364 337.18 CP ALL PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 539 200 4 539 200 THB 50.25 5 839 097.06 Denizbank AS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 TRY 2.37 0.41 KOC Holding AS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 174 841 1 174 841 TRY 13.01 4 766 866.30 Turkiye Garanti Bankasi AS. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 389 479 889 479 TRY 7.58 5 648 706.42 Advanced Semiconductor Engineering, Inc. 21/01/2020 . . . . . Count 5 357 000 2 443 000 TWD 36.65 5 474 907.57 Catcher Technology Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 673 000 TWD 237.5 4 457 176.63 Delta Electronics, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 578 767 TWD 156 6 867 897.50 Fubon Financial Holding Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 4 844 000 1 095 000 TWD 37.65 5 085 694.65 Largan Precision Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 309 43 691 TWD 2 945 5 938 254.70 Taiwan Semiconductor Manufacturing Co., Ltd. . . . . . . . . . . . Count 4 000 000 TWD 162.5 18 125 688.96 Alibaba Group Holding *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 127 500 80 387 USD 78.8 9 037 919.50 Baidu, Inc. -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 40 000 USD 162.49 5 846 806.17 Ctrip.com International Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . Count 133 800 133 800 USD 40.81 4 911 959.47 Gazprom OAO -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 524 520 675 885 USD 4.292 5 885 377.30 Grupo Financiero Galicia SA -ADR-. . . . . . . . . . . . . . . . . . . . . . Count 115 291 115 291 USD 30.9 3 204 689.46 HDFC Bank Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 306 USD 65.39 2 135 609.32 Infosys Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 332 118 332 118 USD 17.88 5 341 853.77 Itau Unibanco Holding SA -ADR-. . . . . . . . . . . . . . . . . . . . . . . . Count 1 173 707 256 293 USD 9.16 9 671 353.00 JD.com, Inc. -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 314 007 USD 20.41 5 765 200.31 Lukoil PJSC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 213 730 213 730 USD 41.35 7 950 108.69 Magnit OJSC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 495 USD 139.545 4 706 746.89 New Oriental Education & Technology Group, Inc. -ADR-. . . . Count 173 800 173 800 USD 41.79 6 533 625.09 Pampa Energia SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 150 277 150 277 USD 27.03 3 654 017.55 Sberbank of Russia PJSC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 355 305 1 664 368 USD 2.066 8 093 034.14 Taiwan Semiconductor Manufacturing Co., Ltd -ADR-. . . . . . . Count 324 280 83 382 USD 25.905 7 556 763.45 Yandex NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 153 993 153 993 USD 21.43 2 968 624.16 Aspen Pharmacare Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 307 234 103 813 ZAR 364.6 6 846 741.98 FirstRand Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 950 000 ZAR 44.98 5 361 077.49 Naspers Ltd -N-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 71 065 11 700 ZAR 2 252.42 9 783 700.68 Shoprite Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 000 ZAR 167.49 4 094 933.90 Woolworths Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 831 620 381 620 ZAR 84.21 4 280 422.27
196
% of net assets
96.48 1.00 0.82 0.90 0.72 0.84 0.73 0.58 0.84 0.88 0.69 1.01 0.85 2.07 1.08 2.99 2.12 2.04 1.95 1.29 5.00 1.04 1.04 1.55 1.03 1.06 0.90 1.03 1.34 0.98 0.56 1.20 0.98 1.47 1.24 0.95 1.13 1.43 5.48 1.03 0.98 1.36 0.42 0.43 0.99 1.03 0.62 0.77 0.87 0.99 1.07 0.00 0.88 1.04 1.01 0.82 1.26 0.94 1.09 3.33 1.66 1.08 0.90 1.08 0.59 0.39 0.98 1.78 1.06 1.46 0.87 1.20 0.67 1.49 1.39 0.55 1.26 0.99 1.80 0.75 0.79
Deutsche Invest I Global Emerging Markets Equities Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities admitted to or included in organized markets 0.00 0.00 Equities DenizBank AS Count 0 TRY 0 0.00 0.00 Investment fund units 6 396 000.00 1.18 In-group fund units db x-trackers - FTSE Vietnam ETF -1C- EUR - (0.650%) Units 300 000 EUR 21.32 6 396 000.00 1.18 Total securities portfolio 530 895 548.29 97.66 Cash at bank 9 593 138.98 1.76 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 182 970.15 0.77 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 0 0.37 0.00 Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 1 0.16 0.00 Czech koruna. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CZK 1 000 000 36 888.77 0.01 Hungarian forint. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HUF 371 1.17 0.00 Deposits in non-EU/EEA currencies Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 0 0.06 0.00 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 5 371 036 622 715.93 0.11 Indian rupee. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . INR 13 939 486 185 783.54 0.03 Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 3 575 960 230 243 466.80 0.04 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 17 830 12 352.74 0.00 Malaysian ringgit. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 453 357 101 159.28 0.02 Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 16 494 505 800 812.97 0.15 New Taiwan dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 20 233 564.21 0.00 Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 4 584 473 87 656.66 0.02 Russian rouble. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . RUB 2 966 732 41 534.77 0.01 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 1 464 977.13 0.00 South African rand. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 2 367 294 144 693.92 0.03 South Korean won. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 2 041 171 855 1 594 100.55 0.29 Thai baht. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 7 303 662 186 969.60 0.03 Turkish lira. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 6 852 2 137.04 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 244 518 1 119 523.23 0.21 UAE dirham. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AED 934 358 228 829.93 0.04 Other assets 4 258 450.71 0.78 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 837 238.46 0.52 Prepaid placement fee **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 071.42 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 418 140.83 0.26 Receivables from share certificate transactions 58 264.96 0.02 Total assets 544 805 402.94 100.22 Other liabilities -837 058.08 -0.15 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -837 058.08 -0.15 Liabilities from share certificate transactions -366 509.98 -0.07 Total liabilities -1 203 568.06 -0.22 Net assets 543 601 834.88 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
197
Deutsche Invest I Global Emerging Markets Equities Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 199.29 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 182.24 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 174.71 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 167.99 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104.17 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 92.71 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 88.40 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 68 226 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 329 572 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 324 288 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 297 541 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 725 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 688 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 453 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI EM (EMERGING MARKETS) Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 96.167 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 109.091 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 100.168 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date.
Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
Alibaba Group Holding
Count
Securities loans Total market value in EUR Perpetual
Total
120 000 8 506 277.16
Total receivables from securities loans 8 506 277.16 8 506 277.16 Contracting party for securities loans Citigroup Global Markets Total collateral pledged by third parties for securities loans EUR 8 773 710.54 thereof: Equities EUR 8 773 710.54
198
Deutsche Invest I Global Emerging Markets Equities Exchange rates (indirect quotes) As of: June 30, 2016 UAE dirham. . . . . . . . . . . . . . . . . . . . . AED 4.083200 = EUR 1 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3.569396 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Czech koruna. . . . . . . . . . . . . . . . . . . . CZK 27.108521 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Hungarian forint. . . . . . . . . . . . . . . . . . HUF 316.719933 = EUR 1 Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687.670916 = EUR 1 Indian rupee. . . . . . . . . . . . . . . . . . . . . INR 75.030793 = EUR 1 South Korean won. . . . . . . . . . . . . . . . KRW 1 280.453642 = EUR 1 Mexican peso . . . . . . . . . . . . . . . . . . . MXN 20.597200 = EUR 1 Malaysian ringgit. . . . . . . . . . . . . . . . . MYR 4.481616 = EUR 1 Philippine peso . . . . . . . . . . . . . . . . . . PHP 52.300337 = EUR 1 Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 4.417251 = EUR 1 Russian rouble. . . . . . . . . . . . . . . . . . . RUB 71.427658 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 Thai baht. . . . . . . . . . . . . . . . . . . . . . . THB 39.063368 = EUR 1 Turkish lira. . . . . . . . . . . . . . . . . . . . . . TRY 3.206442 = EUR 1 New Taiwan dollar. . . . . . . . . . . . . . . . TWD 35.860706 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 South African rand. . . . . . . . . . . . . . . . ZAR 16.360704 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Some or all of these securities are lent. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations).
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Equities Anhui Conch Cement Co., Ltd -H-. . . . . . . . . . . . . Count Ayala Land, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . Count Banco Bradesco SA -ADR- . . . . . . . . . . . . . . . . . . Count Bank Mandiri Tbk PT. . . . . . . . . . . . . . . . . . . . . . . Count Bank Rakyat Indonesia Persero Tbk PT . . . . . . . . Count Cathay Financial Holding Co., Ltd. . . . . . . . . . . . . Count China Overseas Property Holdings Ltd. . . . . . . . . Count China Unicom Hong Kong Ltd. . . . . . . . . . . . . . . . Count Chow Tai Fook Jewellery Group Ltd. . . . . . . . . . . Count Cia Brasileira de Distribuicao . . . . . . . . . . . . . . . . Count El Puerto de Liverpool SAB de CV . . . . . . . . . . . . Count 224 901 Emaar Properties PJSC. . . . . . . . . . . . . . . . . . . . . Count Grupo Financiero Santander Mexico SAB de CV Count 1 729 113 Hana Financial Group, Inc.. . . . . . . . . . . . . . . . . . . Count Hanjaya Mandala Sampoerna Tbk PT. . . . . . . . . . Count HCL Technologies Ltd . . . . . . . . . . . . . . . . . . . . . Count Hermes Microvision, Inc. . . . . . . . . . . . . . . . . . . . Count Hikma Pharmaceuticals Plc. . . . . . . . . . . . . . . . . . Count
2 360 000 6 000 000 480 000 8 900 000 9 400 000 5 664 554 1 353 333 6 550 000 4 800 000 220 000 224 901 1 100 000 1 729 113 257 000 1 534 200 300 000 670 204 546
Hon Hai Precision Industry Co., Ltd . . . . . . . . . . . Kasikornbank PCL. . . . . . . . . . . . . . . . . . . . . . . . . Kotak Mahindra Bank Ltd . . . . . . . . . . . . . . . . . . . Larsen & Toubro Ltd. . . . . . . . . . . . . . . . . . . . . . . Malayan Banking Bhd. . . . . . . . . . . . . . . . . . . . . . Petroleo Brasileiro SA. . . . . . . . . . . . . . . . . . . . . . Shinsegae Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . Tata Motors Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . The Foschini Group Ltd. . . . . . . . . . . . . . . . . . . . . Turkcell Iletisim Hizmetleri AS . . . . . . . . . . . . . . . Vipshop Holdings Ltd -ADR-. . . . . . . . . . . . . . . . . Wipro Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count Count Count Count Count Count Count Count Count Count Count Count
1 151 400 275 835 2 722 600 700 940
3 045 000 1 151 400 275 835 300 000 2 722 600 1 327 308 22 661 738 532 350 000 1 000 000 700 940 500 000
Units
70 000
Units
70 000
Investment fund units Non-group fund units iShares VII PLC - iShares MSCI Mexico Capped UCITS ETF EUR - (0.650%) iShares VII PLC - iShares MSCI Mexico Capped UCITS ETF EUR - (0.650%)
70 000
199
Deutsche Invest I Global Infrastructure Investment portfolio – June 30, 2016 Description
200
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 728 147 364.13 Equities Sydney Airport. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 911 672 827 091 2 431 419 AUD 6.94 8 875 102.46 Transurban Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 915 186 1 266 358 1 054 807 AUD 11.99 23 382 232.71 Enbridge, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 496 901 325 000 590 442 CAD 54.31 18 697 056.21 Inter Pipeline Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 796 842 280 666 325 524 CAD 27.18 15 005 318.89 Pembina Pipeline Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 705 287 371 400 575 487 CAD 38.79 18 954 364.09 TransCanada Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 929 542 839 279 433 740 CAD 57.91 37 294 616.24 Flughafen Zuerich AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 83 600 83 600 CHF 172.1 13 277 795.36 Aena SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 805 162 856 109 051 EUR 117.05 6 297 875.25 Ferrovial SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 912 124 157 700 382 576 EUR 17.31 15 788 866.44 Groupe Eurotunnel SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 516 517 454 429 EUR 9.421 4 866 106.66 Snam SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 165 561 1 156 426 1 105 365 EUR 5.29 16 745 817.69 Vinci SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 612 51 266 145 183 EUR 63.33 1 875 327.96 National Grid Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 790 308 1 330 644 543 000 GBP 10.765 62 329 830.77 Severn Trent Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 712 100 70 800 60 400 GBP 23.89 20 562 485.60 United Utilities Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 530 800 1 014 200 70 000 GBP 10.21 18 891 706.01 Beijing Enterprises Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 2 001 100 HKD 43.95 10 196 698.63 China Merchants Holdings International Co., Ltd. . . . . . . . . . . Count 3 287 279 3 287 279 HKD 20.6 7 851 193.81 ENN Energy Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 631 730 1 631 730 1 152 488 HKD 38.25 7 236 218.13 Tokyo Gas Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 434 700 2 939 100 504 400 JPY 420.4 8 957 988.28 Infraestructura Energetica Nova SAB de CV . . . . . . . . . . . . . . Count 1 927 485 1 927 485 MXN 75.77 7 090 552.86 Auckland International Airport Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 945 380 945 380 NZD 6.5 3 928 051.58 American Tower Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 469 835 132 600 158 814 USD 112.01 47 340 651.47 American Water Works Co., Inc.. . . . . . . . . . . . . . . . . . . . . . . . Count 160 237 15 300 161 286 USD 82.61 11 907 689.30 Avangrid INC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 212 934 76 181 194 775 USD 45.82 8 776 718.40 Columbia Pipeline Group Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 538 091 USD 25.49 12 338 365.48 Crown Castle International Corp. . . . . . . . . . . . . . . . . . . . . . . . Count 535 325 155 500 221 802 USD 99.98 48 146 278.63 Edison International. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 779 169 979 54 200 USD 76.01 7 916 488.65 Enbridge Energy Management LLC . . . . . . . . . . . . . . . . . . . . . Count 875 118 84 489 225 837 USD 22.43 17 657 448.86 Eversource Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 677 931 360 627 140 897 USD 58.71 35 803 842.72 Kinder Morgan, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 932 326 1 067 089 762 508 USD 18.34 48 377 525.36 NiSource, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 761 291 62 200 162 400 USD 26.04 17 832 972.60 NorthWestern Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 326 600 64 800 44 200 USD 62.295 18 302 121.64 Pattern Energy Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91 734 42 678 USD 22.37 1 845 985.91 PG&E Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 917 640 490 556 127 700 USD 62.83 51 864 651.34 SBA Communications Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 163 321 163 321 57 546 USD 107.15 15 742 230.70 Sempra Energy. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 479 554 45 300 69 200 USD 111.89 48 268 172.76 Union Pacific Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 102 615 396 068 293 453 USD 85.81 7 921 014.68
92.07
Total securities portfolio 728 147 364.13 Derivatives (Minus signs denote short positions) Currency derivatives -131 392.78 Receivables/payables Currency futures (short) Open positions CHF/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 466.12 CHF/HKD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -264.32 CHF/MXN 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -238.37 CHF/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -101.57 EUR/AUD 1.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -22 000.35 EUR/CAD 4.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 865.90 EUR/GBP 2.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173 617.00 EUR/HKD 7.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -12 907.09 EUR/JPY 35.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -14 014.43 EUR/MXN 5.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -7 602.06 EUR/NZD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 641.19 EUR/USD 18.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -217 632.35 GBP/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -24.03 GBP/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -48.20 GBP/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -17.31 GBP/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -8.96 GBP/MXN 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5.38 GBP/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2.96 SEK/HKD 1.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 812.74 SEK/MXN 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 985.35 SEK/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 066.33 SGD/MXN 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -20.86 SGD/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3.81 USD/AUD 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 260.67 USD/CAD 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 713.70 USD/GBP 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50 611.82 USD/HKD 1.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -50.21 USD/JPY 8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 154.04 USD/MXN 1.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 228.51 USD/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -362.66
92.07
1.12 2.96 2.36 1.90 2.40 4.72 1.68 0.80 2.00 0.62 2.12 0.24 7.88 2.60 2.39 1.29 0.99 0.91 1.13 0.90 0.50 5.98 1.50 1.11 1.56 6.09 1.00 2.23 4.53 6.12 2.25 2.31 0.23 6.56 1.99 6.10 1.00
-0.02
0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.00 -0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.00
Deutsche Invest I Global Infrastructure Description
Closed positions AUD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/MXN 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/CHF 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/HKD 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/JPY 6.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/MXN 1.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/SEK 1.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/USD 1.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/MXN 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/SEK 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/MXN 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/MXN 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/JPY 1.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/MXN 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
-413.41 4.43 0.85 1.27 1.23 -1 274.83 299.91 971.69 165.64 -1 168.98 -386.26 -122.12 -1 829.13 80.74 -681.43 -1.30 -0.14 -0.07 -0.44 -0.23 -0.02 174.69 -0.21 -25.62 -293.44 -3.43 22.91 -193.56 -75.70 0.92 0.72 -95.77 36.47 158.25 0.49 -227.06 -12.04 6.36 -4.02 19.14
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
-536.60 11 102.82 5 504.19 -373.55 -3 509.35 -7 276.72 -7 810.33 -1 715.75 -4 197.83 25 334.29 -3 538.33 -86 114.08 -5.28 274.18 30.53 101.88 1 034.93 17.50 -36.16 363.59
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Currency futures (long) Open positions CHF/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/EUR 2.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/USD 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/AUD 2.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/CAD 5.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/CHF 0.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/EUR 3.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/GBP 6.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/JPY 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/USD 30.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Cash at bank 63 544 153.09 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 698 005.98 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 6 956 8 407.18 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 11 625 1 232.38
8.03 0.21
0.00 0.00
201
Deutsche Invest I Global Infrastructure Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 13 612 9 106.01 0.00 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 77 566 8 992.95 0.00 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 17 017 699 148 937.19 0.02 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 12 819 8 881.39 0.00 Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 16 317 043 792 197.14 0.10 New Zealand dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 14 139 9 038.21 0.00 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 9 557 8 819.59 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 67 644 476 60 850 535.07 7.70 Other assets 9 383 396.68 1.19 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 576 471.10 0.58 Receivables from exceeding the expense cap. . . . . . . . . . . . . 114.36 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 806 811.22 0.61 Receivables from share certificate transactions 1 241 458.76 0.16 Total assets * 802 598 356.82 101.47 Other liabilities -10 162 250.18 -1.29 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -10 162 250.18 -1.29 Liabilities from share certificate transactions -1 121 683.56 -0.14 Total liabilities -11 697 310.68 -1.47 Net assets 790 901 046.14 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class CHF FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 112.46 Class CHF LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 139.58 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 147.78 Class FCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102.31 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 96.40 Class FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97.22 Class IDH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.24 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 138.19 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 148.69 Class LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 108.97 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 129.75 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 120.49 Class GBP DH (P) RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 99.75 Class SEK FCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 132.86 Class SEK LCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 122.56 Class SGD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 9.19 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 109.27 Class USD FDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 109.63 Class USD ID. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 111.92 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 121.81 Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100.55 Class USD LD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 111.04 Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 110.73 Number of shares outstanding Class CHF FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 300 Class CHF LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 792 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 316 671 Class FCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 265 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 129 892 Class FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class IDH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 277 350 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 321 672 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 193 920 Class LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 168 866 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 132 320 Class GBP DH (P) RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 Class SEK FCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95 Class SEK LCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 505 Class SGD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 331 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 885 733 Class USD FDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 Class USD ID. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 462 277 Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 072 Class USD LD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 160 Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115
202
Deutsche Invest I Global Infrastructure Composition of the reference portfolio (according to CSSF circular 11/512) Dow Jones Brookfield Global Infrastructure Index in EUR Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 89.965 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 118.197 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 93.375 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes.
Market abbreviations
Contracting parties for currency futures Citigroup Global Markets Limited and State Street Bank and Trust Company Exchange rates (indirect quotes) Australian dollar. . . . . . . . . . . . . . . . . . Canadian dollar . . . . . . . . . . . . . . . . . . Swiss franc. . . . . . . . . . . . . . . . . . . . . British pound . . . . . . . . . . . . . . . . . . . Hong Kong dollar . . . . . . . . . . . . . . . . Japanese yen . . . . . . . . . . . . . . . . . . . Mexican peso . . . . . . . . . . . . . . . . . . . New Zealand dollar. . . . . . . . . . . . . . . Swedish krona. . . . . . . . . . . . . . . . . . . U.S. dollar . . . . . . . . . . . . . . . . . . . . . .
AUD CAD CHF GBP HKD JPY MXN NZD SEK USD
As of: June 30, 2016
1.494856 = EUR 1.443366 = EUR 1.083580 = EUR 0.827335 = EUR 8.625178 = EUR 114.260909 = EUR 20.597200 = EUR 1.564381 = EUR 9.432959 = EUR 1.111650 = EUR
1 1 1 1 1 1 1 1 1 1
Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnote * Does not include positions with a negative balance, if such exist.
203
Deutsche Invest I Global Infrastructure 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
Securities traded on an exchange Equities Atlantia SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 700 Beijing Enterprises Water Group Ltd . . . . . . . . . . Count Ferrovial SA -Rights Exp 17Jun16. . . . . . . . . . . . . Count 964 906 Flughafen Zuerich AG . . . . . . . . . . . . . . . . . . . . . . Count Hong Kong & China Gas Co., Ltd. . . . . . . . . . . . . Count ITC Holdings Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 31 900 Koninklijke Vopak NV. . . . . . . . . . . . . . . . . . . . . . . Count Pepco Holdings, Inc.. . . . . . . . . . . . . . . . . . . . . . . Count Promotora y Operadora de Infraestructura SAB de CV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Spectra Energy Corp. . . . . . . . . . . . . . . . . . . . . . . Count Transurban Group. . . . . . . . . . . . . . . . . . . . . . . . . Count Transurban Group 15/12/2015. . . . . . . . . . . . . . . . Count Westar Energy, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count
Currency futures (long)
674 5 730 964 16 4 132 415 577 245
981 535 906 700 276 454 669 058
487 782 67 67 284
100 685 358 357 212
Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000) Futures contracts Currency futures (short) Futures contracts to sell currencies AUD/CHF EUR AUD/SEK EUR AUD/SGD EUR CAD/SEK EUR CAD/SGD EUR CHF/CAD EUR CHF/HKD EUR CHF/MXN EUR CHF/SEK EUR CHF/SGD EUR EUR/AUD EUR EUR/CAD EUR EUR/CHF EUR EUR/GBP EUR EUR/HKD EUR EUR/JPY EUR EUR/MXN EUR EUR/NZD EUR EUR/SEK EUR EUR/SGD EUR EUR/USD EUR GBP/AUD EUR GBP/CAD EUR GBP/CHF EUR GBP/HKD EUR GBP/JPY EUR GBP/SEK EUR GBP/SGD EUR HKD/SGD EUR JPY/CHF EUR JPY/SEK EUR JPY/SGD EUR SEK/HKD EUR SEK/MXN EUR SEK/NZD EUR SGD/MXN EUR USD/AUD EUR USD/CAD EUR USD/CHF EUR USD/GBP EUR USD/HKD EUR USD/JPY EUR USD/MXN EUR USD/NZD EUR USD/SEK EUR USD/SGD EUR
204
200 580 23 1 173 48 497 149 20 190 8 7 127 14 901 20 518 18 179 4 240 2 168 561 5 6 114 100 101 220 3 6 512 2 1 1 553 60 14 62 163 7 359 4 1 2 3 447 7 176 3 209 8 246 2 202 701 327 1 6 579 256
Futures contracts to purchase currencies AUD/CHF EUR AUD/EUR EUR AUD/SEK EUR AUD/SGD EUR CAD/EUR EUR CAD/SEK EUR CAD/SGD EUR CHF/CAD EUR CHF/EUR EUR CHF/HKD EUR CHF/MXN EUR CHF/SEK EUR CHF/SGD EUR GBP/AUD EUR GBP/CAD EUR GBP/CHF EUR GBP/EUR EUR GBP/HKD EUR GBP/JPY EUR GBP/SEK EUR GBP/SGD EUR HKD/EUR EUR HKD/SGD EUR JPY/CHF EUR JPY/EUR EUR JPY/SEK EUR JPY/SGD EUR MXN/EUR EUR NZD/EUR EUR SEK/EUR EUR SEK/HKD EUR SEK/MXN EUR SEK/NZD EUR SGD/EUR EUR SGD/MXN EUR USD/AUD EUR USD/CAD EUR USD/CHF EUR USD/EUR EUR USD/GBP EUR USD/HKD EUR USD/JPY EUR USD/MXN EUR USD/NZD EUR USD/SEK EUR USD/SGD EUR
options Value (’000)
234 8 373 575 27 17 975 1 181 57 413 18 012 119 15 192 9 2 5 590 20 923 1 1 1 558 69 5 290 17 63 2 206 165 7 725 5 6 230 354 4 1 87 2 3 029 6 127 3 429 113 555 7 318 1 850 691 276 1 6 656 295
Deutsche Invest I Global Real Estate Securities Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
Securities traded on an exchange 124 452 553.67 Equities Dexus Property Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 133 964 72 550 AUD 9.02 898 593.15 Goodman Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 914 52 954 AUD 7.11 152 878.44 Investa Office Fund. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 019 29 165 133 192 AUD 4.28 38 254.33 Mirvac Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 619 205 206 599 AUD 2.02 930 152.77 Scentre Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 672 049 164 615 43 783 AUD 4.92 2 458 863.96 Vicinity Centres. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 896 409 240 292 83 333 AUD 3.32 2 213 159.69 Westfield Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 163 647 56 540 24 770 AUD 10.65 1 296 063.01 Chartwell Retirement Residences . . . . . . . . . . . . . . . . . . . . . . Count 105 283 51 284 2 766 CAD 15.71 1 273 872.40 First Capital Realty, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 936 48 677 2 741 CAD 22.29 788 596.30 PSP Swiss Property AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 116 1 885 280 CHF 95.1 889 388.66 Swiss Prime Site AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 237 4 679 442 CHF 88.05 382 731.83 Ado Properties SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 337 4 697 399 EUR 34.64 783 127.92 Alstria Office REIT-AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 404 9 074 1 270 EUR 12.05 594 808.37 AZ. BGP Holdings. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 462 440 EUR 0.026 42 919.04 BUWOG AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 308 36 308 EUR 20.68 834 681.51 Citycon Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 249 948 56 988 2 500 EUR 2.048 569 046.23 Deutsche Annington Immobilien SE . . . . . . . . . . . . . . . . . . . . Count 50 876 24 413 34 832 EUR 32.765 1 853 066.75 Gecina SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 968 2 506 6 404 EUR 122.4 675 975.47 Green Reit Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 287 171 142 351 2 400 EUR 1.387 442 776.92 Hibernia REIT Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 497 366 191 964 11 115 EUR 1.33 735 352.66 ICADE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 155 11 923 3 768 EUR 63.64 576 928.60 Klepierre . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 434 8 771 10 158 EUR 39.92 1 705 587.68 LEG Immobilien AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 995 1 257 7 016 EUR 84 466 425.96 TLG Immobilien AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 826 21 826 EUR 18.785 455 777.92 Unibail-Rodamco SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 778 1 706 1 672 EUR 233.9 1 242 350.96 Unibail-Rodamco SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 212 50 EUR 234 55 146.72 Wereldhave NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 130 2 560 100 EUR 40.755 549 553.06 Assura Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 372 639 81 085 6 500 GBP 0.544 272 549.23 British Land Co., Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 177 124 54 094 5 601 GBP 5.975 1 422 006.98 Derwent London Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 876 9 256 6 380 GBP 25.83 99 815.89 Great Portland Estates Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 64 743 16 865 2 644 GBP 6.17 536 740.53 Hammerson Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 89 455 42 179 57 819 GBP 5.17 621 414.77 Intu Properties Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 361 114 718 254 291 GBP 2.841 58 637.73 Land Securities Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 60 412 52 671 30 101 GBP 10.25 832 019.47 Londonmetric Property Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 145 041 64 110 41 291 GBP 1.486 289 598.30 Safestore Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 645 7 688 500 GBP 3.553 203 586.86 Segro Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 142 853 117 592 98 359 GBP 4.108 788 508.18 St Modwen Properties Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 040 14 496 3 800 GBP 2.632 286 597.06 Unite Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 778 35 778 GBP 6.17 296 611.26 Cheung Kong Property Holdings Ltd. . . . . . . . . . . . . . . . . . . . . Count 358 777 189 112 95 690 HKD 48.5 2 242 674.15 Hang Lung Properties Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 291 766 328 683 300 454 HKD 15.66 588 879.29 Link REIT. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 195 820 47 500 59 522 HKD 52.8 1 332 572.40 Sino Land Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 637 688 1 057 018 419 330 HKD 12.66 1 040 499.31 Sun Hung Kai Properties Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 88 317 32 674 34 507 HKD 93 1 058 588.33 Wharf Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 88 057 123 804 43 031 HKD 46.9 532 275.62 Advance Residence Investment Corp.. . . . . . . . . . . . . . . . . . . Count 89 89 JPY 275 300 238 378.17 Aeon Mall Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 400 4 400 JPY 1 334 57 105.61 Daibiru Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 500 11 800 3 900 JPY 877 294 366.88 Daiwa House Residential Investment Corp.. . . . . . . . . . . . . . . Count 59 87 28 JPY 279 100 160 207.23 Frontier Real Estate Investment Corp.. . . . . . . . . . . . . . . . . . . Count 171 125 4 JPY 534 000 888 398.11 Global One Real Estate Investment Corp. . . . . . . . . . . . . . . . . Count 173 67 JPY 378 500 637 062.80 Invesco Office J-Reit, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 403 130 JPY 94 400 370 124.05 Japan Logistics Fund, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 418 201 137 JPY 239 700 974 797.88 Japan Real Estate Investment Corp.. . . . . . . . . . . . . . . . . . . . . Count 256 87 23 JPY 634 000 1 579 063.09 Mitsubishi Estate Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 117 000 40 000 18 000 JPY 1 873 2 132 032.88 Mitsui Fudosan Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 110 000 38 000 14 000 JPY 2 331.5 2 495 159.80 Mori Hills REIT Investment Corp.. . . . . . . . . . . . . . . . . . . . . . . Count 549 124 26 JPY 161 200 861 008.90 Mori Trust Sogo Reit, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 285 311 26 JPY 194 800 540 137.18 Nippon Accommodations Fund, Inc.. . . . . . . . . . . . . . . . . . . . . Count 92 53 80 JPY 468 000 418 893.81 Nippon Building Fund, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 17 72 JPY 633 000 30 792.43 NTT Urban Development Corp.. . . . . . . . . . . . . . . . . . . . . . . . . Count 51 800 13 600 43 900 JPY 1 092 550 329.33 Sekisui House Reit, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 115 JPY 138 700 155 183.15 Tokyo Tatemono Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 200 21 000 40 700 JPY 1 222 608 711.39 Top REIT, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 123 73 9 JPY 415 500 497 217.49 United Urban Investment Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 524 376 135 JPY 185 100 943 643.53 Ayala Land, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 409 400 PHP 0.1 870.18 Fabege AB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 876 9 516 38 394 SEK 142.7 283 800.72 Hufvudstaden AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 197 11 474 440 SEK 131.4 668 911.95 CapitaLand Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 340 400 266 500 177 200 SGD 3.07 775 415.89 CapitaMall Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 298 300 312 500 459 300 SGD 2.13 471 454.33 Frasers Logistics & Industrial Trust. . . . . . . . . . . . . . . . . . . . . . Count 823 800 823 800 SGD 0.95 580 700.45 Keppel REIT Management Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 375 300 375 300 SGD 1.05 292 398.16 Mapletree Industrial Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 31 400 31 400 7 100 SGD 1.72 40 074.20 Agree Realty Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 326 8 397 2 103 USD 47.54 918 758.04 American Campus Communities, Inc.. . . . . . . . . . . . . . . . . . . . Count 18 110 18 882 772 USD 51.93 940 452.30 AvalonBay Communities, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 109 7 477 368 USD 177.25 1 260 070.25 Boston Properties, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 943 9 518 13 170 USD 130.67 1 691 261.81 Camden Property Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 773 7 372 459 USD 86.84 1 196 047.32 Chesapeake Lodging Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 957 6 112 25 157 USD 23.25 22 250.25 CoreSite Realty Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 372 4 581 6 296 USD 87.44 557 167.68 Crown Castle International Corp. . . . . . . . . . . . . . . . . . . . . . . . Count 6 902 6 902 3 721 USD 99.98 690 061.96
% of net assets
96.57 0.70 0.12 0.03 0.72 1.91 1.72 1.01 0.99 0.61 0.69 0.30 0.61 0.46 0.03 0.65 0.44 1.44 0.52 0.34 0.57 0.45 1.32 0.36 0.35 0.96 0.04 0.43 0.21 1.11 0.08 0.42 0.48 0.05 0.65 0.22 0.16 0.61 0.22 0.23 1.74 0.46 1.03 0.81 0.82 0.41 0.18 0.04 0.23 0.12 0.69 0.49 0.29 0.76 1.23 1.65 1.94 0.67 0.42 0.33 0.02 0.43 0.12 0.47 0.39 0.73 0.00 0.22 0.52 0.60 0.37 0.45 0.23 0.03 0.71 0.73 0.98 1.31 0.93 0.02 0.43 0.54
205
Deutsche Invest I Global Real Estate Securities Description
CubeSmart. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DDR Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Digital Realty Trust, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Douglas Emmett, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Duke Realty Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DuPont Fabros Technology, Inc.. . . . . . . . . . . . . . . . . . . . . . . . Education Realty Trust Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Equity Commonwealth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Equity Lifestyle Properties, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Equity One, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Equity Residential. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Extra Space Storage, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Federal Realty Investment Trust. . . . . . . . . . . . . . . . . . . . . . . . Four Corners Property Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . General Growth Properties, Inc.. . . . . . . . . . . . . . . . . . . . . . . . Healthcare Trust of America, Inc.. . . . . . . . . . . . . . . . . . . . . . . Hongkong Land Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Hudson Pacific Properties, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . LaSalle Hotel Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Mid-America Apartment Communities, Inc.. . . . . . . . . . . . . . . National Health Investors, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . National Retail Properties, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Paramount Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Pebblebrook Hotel Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Prologis, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Public Storage. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Regency Centers Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Retail Properties of Americ A Aktie . . . . . . . . . . . . . . . . . . . . . Rexford Industrial Realty, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . RLJ Lodging Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Senior Housing Properties Trust. . . . . . . . . . . . . . . . . . . . . . . . Silver Bay Realty Trust Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . Simon Property Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Sovran Self Storage, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Spirit Realty Capital, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . STORE Capital Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Sunstone Hotel Investors, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . The Macerich Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Urban Edge Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Ventas, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Vereit Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Vornado Realty Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Washington Real Estate Investment Trust. . . . . . . . . . . . . . . . Welltower Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . WP Glimcher, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
22 430 76 410 13 676 38 218 70 134 23 231 20 260 39 240 14 599 38 807 77 485 21 639 4 940 30 294 63 104 38 666 162 500 35 517 23 065 11 183 5 972 19 589 67 615 19 327 59 298 8 593 15 801 44 966 50 818 23 507 49 224 13 340 32 598 2 570 112 750 50 322 84 205 17 885 49 549 39 209 93 701 22 192 39 956 30 510 7 130
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
7 007 19 742 76 410 23 130 9 454 38 218 85 170 15 036 24 906 1 675 12 368 14 463 39 792 552 6 772 2 556 39 351 544 28 754 8 377 10 473 3 842 5 075 10 945 28 286 11 010 79 089 45 871 14 536 5 033 52 700 34 500 38 786 3 269 9 978 2 736 4 887 4 602 5 132 7 421 21 554 30 625 67 615 9 699 17 277 44 633 30 490 3 553 1 960 18 396 2 595 30 297 37 086 24 740 1 629 25 017 1 510 85 811 40 746 13 340 10 506 9 153 4 531 1 961 17 793 13 128 51 333 24 420 41 755 12 167 9 143 20 862 13 088 7 763 49 020 9 811 101 025 7 324 24 967 28 897 17 933 1 679 33 299 48 837 22 045 14 915
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
30.45 17.99 107.98 34.81 26.09 46.64 45.24 28.79 79.05 31.61 67.87 91.565 163.01 19.93 29.7 32.07 6.09 28.66 23.07 104.88 73.71 51.21 15.52 25.71 48.45 252.57 82.7 16.69 20.99 21.09 21.04 16.78 214.49 103.91 12.57 28.72 11.86 84.15 29.4 71.94 9.93 98.82 30.9 75.02 10.91
Total market value in USD
682 993.50 374 615.90 476 734.48 330 368.58 829 796.06 083 493.84 916 562.40 1 129 719.60 1 154 050.95 1 226 689.27 5 258 906.95 1 981 375.04 805 269.40 603 759.42 1 874 188.80 1 240 018.62 989 625.00 1 017 917.22 532 109.55 1 172 873.04 440 196.12 1 003 152.69 1 049 384.80 496 897.17 2 872 988.10 2 170 334.01 1 306 742.70 750 482.54 1 066 669.82 495 762.63 1 035 672.96 223 845.20 6 991 945.02 267 048.70 1 417 267.50 1 445 247.84 998 671.30 1 505 022.75 1 456 740.60 2 820 695.46 930 450.93 2 193 013.44 1 234 640.40 2 288 860.20 77 788.30
1 1 1 1 1
Total securities portfolio 124 452 553.67 Derivatives (Minus signs denote short positions) Currency derivatives -91 574.86 Receivables/payables Currency futures Currency futures (short) Open positions CHF/CAD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 706.96 CHF/HKD 3.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 222.17 CHF/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.02 CHF/SEK 0.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 114.25 CHF/SGD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 499.09 EUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -14.81 EUR/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.06 EUR/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -9.19 EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -64.18 EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3.03 GBP/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 741.48 GBP/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -316.54 GBP/HKD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 294.10 GBP/JPY 5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 368.35 GBP/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.17 GBP/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -96.45 GBP/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -351.79 SEK/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -17.07 SEK/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5.06 USD/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -15.28 USD/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.09 USD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.58 USD/JPY 0.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -165.86 USD/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3.76
206
% of net assets
0.53 1.07 1.15 1.03 1.42 0.84 0.71 0.88 0.90 0.95 4.08 1.54 0.62 0.47 1.45 0.96 0.77 0.79 0.41 0.91 0.34 0.78 0.81 0.39 2.23 1.68 1.01 0.58 0.83 0.38 0.80 0.17 5.43 0.21 1.10 1.12 0.77 1.17 1.13 2.19 0.72 1.70 0.96 1.78 0.06 96.57
-0.07
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Deutsche Invest I Global Real Estate Securities Description
Closed positions AUD/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/JPY 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/CHF 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
-50.15 26.34 79.74 0.01 11.41 -5.75 543.35 -175.39 -1.60 -0.04 4 047.65 -6.57 -51.33 -1.36 -2 676.65 -6.48 1 713.42 -4.68 -0.03 -6.37 -0.48
% of net assets
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Currency futures (long) Open positions CHF/AUD 0.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/EUR 0.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/GBP 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/JPY 0.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/USD 4.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/USD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
-7 3 19 -37 -44
535.90 690.13 001.09 878.97 531.85 -33.48 -1 697.47 -13 384.91 -23.63 -2.52 -13.09 -77.37 -165.35
-0.01 0.00 0.01 -0.03 -0.03 0.00 0.00 -0.01 0.00 0.00 0.00 0.00 0.00
Cash at bank 2 841 279.57 2.21 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 18 810 20 910.04 0.02 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 152 546 204 968.74 0.16 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 6 076 725.40 0.00 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 138 166 16 282.49 0.01 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 13 508 10 045.18 0.01 Chinese renminbi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNY 24 3.54 0.00 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 146 528 18 885.19 0.01 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 3 420 870 33 281.80 0.03 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 13 518 10 411.17 0.01 Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 4 082 86.76 0.00 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 22 334 22 912.97 0.02 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 13 633 10 116.06 0.01 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 492 650.23 1.93 Other assets 1 446 016.50 1.11 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 338 587.47 0.26 Receivables from exceeding the expense cap. . . . . . . . . . . . . -0.01 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 107 429.04 0.85 Receivables from share certificate transactions 1 093 116.91 0.85 Total assets * 129 863 912.17 100.75 Other liabilities -852 191.43 -0.66 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -852 191.43 -0.66 Liabilities from share certificate transactions -13 563.48 -0.01 Total liabilities -988 275.29 -0.75 Net assets 128 875 636.88 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
207
Deutsche Invest I Global Real Estate Securities Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class CHF LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 98.37 Class FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106.50 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 168.40 Class GBP DH (P) RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 107.10 Class SEK FCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 066.05 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 162.80 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 120.98 Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 103.95 Number of shares outstanding Class CHF LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 055 Class FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 193 438 Class GBP DH (P) RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 766 Class SEK FCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 462 796 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 71 695 Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 428 Composition of the reference portfolio (according to CSSF circular 11/512) FTSE EPRA/NAREIT Developed Index Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 89.207 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 103.700 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 95.831 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations Contracting parties for currency futures Citigroup Global Markets Limited and State Street Bank and Trust Company Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.344719 = USD 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.298400 = USD 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 0.974750 = USD 1 Chinese renminbi . . . . . . . . . . . . . . . . CNY 6.643600 = USD 1 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0.899564 = USD 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.744241 = USD 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 7.758900 = USD 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 102.785000 = USD 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 8.376300 = USD 1 Philippine peso . . . . . . . . . . . . . . . . . . PHP 47.047500 = USD 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 8.485550 = USD 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.347700 = USD 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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 valued to a minor extent at derived market values. Footnote * Does not include positions with a negative balance, if such exist.
208
Deutsche Invest I Global Real Estate Securities 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
Securities traded on an exchange Equities Alexandria Real Estate Equities, Inc.. . . . . . . . . . . Count American Homes 4 Rent. . . . . . . . . . . . . . . . . . . . Count 24 077 American Residential Properties, Inc.. . . . . . . . . . Count Ascendas Real Estate Investment Trust. . . . . . . . Count 302 500 Brixmor Property Group, Inc. . . . . . . . . . . . . . . . . Count 28 004 CapitaCommercial Trust . . . . . . . . . . . . . . . . . . . . Count 288 300 CyrusOne, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 413 DCT Industrial Trust, Inc.. . . . . . . . . . . . . . . . . . . . Count 1 850 Deutsche Wohnen AG . . . . . . . . . . . . . . . . . . . . . Count 30 120 Equinix, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 131 Essex Property Trust, Inc.. . . . . . . . . . . . . . . . . . . Count 347 First Industrial Realty Trust, Inc.. . . . . . . . . . . . . . Count 393 HCP, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 635 Healthcare Realty Trust, Inc.. . . . . . . . . . . . . . . . . Count 4 358 Helical Bar Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Henderson Land Development Co., Ltd. . . . . . . . Count 127 794 Highwoods Properties, Inc.. . . . . . . . . . . . . . . . . . Count 24 205 Host Hotels & Resorts, Inc. . . . . . . . . . . . . . . . . . Count 9 708 InterXion Holding NV. . . . . . . . . . . . . . . . . . . . . . . Count 9 277 Japan Retail Fund Investment Corp.. . . . . . . . . . . Count 64 Kenedix Office Investment Corp.. . . . . . . . . . . . . Count 9 Kilroy Realty Corp.. . . . . . . . . . . . . . . . . . . . . . . . . Count Kimco Realty Corp.. . . . . . . . . . . . . . . . . . . . . . . . Count 4 353 LaSalle Logiport REIT . . . . . . . . . . . . . . . . . . . . . . Count 188 LXB Retail Properties Plc . . . . . . . . . . . . . . . . . . . Count Mack-Cali Realty Corp. . . . . . . . . . . . . . . . . . . . . . Count Mapletree Logistics Trust. . . . . . . . . . . . . . . . . . . Count MGM Growth Properties LLC. . . . . . . . . . . . . . . . Count 14 755 New World Development Co. Ltd. . . . . . . . . . . . . Count Pandox AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Physicians Realty Trust. . . . . . . . . . . . . . . . . . . . . Count 39 073 Piedmont Office Realty Trust, Inc. . . . . . . . . . . . . Count Post Properties, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 3 443 Smart Real Estate Investment . . . . . . . . . . . . . . . Count 8 187 Sumitomo Realty & Development Co., Ltd. . . . . . Count Sun Communities, Inc. . . . . . . . . . . . . . . . . . . . . . Count 2 475 Suntec Real Estate Investment Trust. . . . . . . . . . Count 287 800 Swire Properties Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 58 650 Taubman Centers, Inc. . . . . . . . . . . . . . . . . . . . . . Count 3 187 Weingarten Realty Investors. . . . . . . . . . . . . . . . . Count 7 954
6 24 26 302 28 417 26 26 30 5 6 12 24 4 26 176 24 26 9 8 4 62 12 334 14 363 11 39 29 19 42 3 2 287 110 4 35
273 077 062 500 004 000 101 898 120 693 946 443 635 358 644 545 205 535 277 316 54 476 353 188 284 903 900 755 602 239 073 638 463 064 000 475 800 999 779 986
Futures contracts Currency futures (short) Futures contracts to sell currencies AUD/CHF USD AUD/SEK USD CAD/SEK USD CHF/CAD USD CHF/HKD USD CHF/SEK USD CHF/SGD USD EUR/AUD USD EUR/CAD USD EUR/CHF USD EUR/GBP USD EUR/HKD USD EUR/JPY USD EUR/SEK USD EUR/SGD USD GBP/AUD USD GBP/CAD USD GBP/CHF USD GBP/HKD USD GBP/JPY USD GBP/SEK USD GBP/SGD USD JPY/CHF USD JPY/SEK USD SEK/HKD USD SEK/SGD USD USD/AUD USD USD/CAD USD USD/CHF USD USD/EUR USD USD/GBP USD USD/HKD USD USD/JPY USD USD/SEK USD USD/SGD USD
options
Value (’000)
2 728 4 1 798 3 049 595 906 4 1 4 356 144 4 8 7 1 91 23 2 635 82 180 17 24 5 288 7 4 1 10 2 29 888 53 973 9 19 40 3
Currency futures (long) Futures contracts to purchase currencies AUD/CHF AUD/SEK AUD/USD CAD/SEK CAD/USD CHF/CAD CHF/HKD CHF/SEK CHF/SGD CHF/USD EUR/AUD EUR/CAD EUR/CHF EUR/GBP EUR/HKD EUR/JPY EUR/SEK EUR/SGD EUR/USD GBP/AUD GBP/CAD GBP/CHF GBP/HKD GBP/JPY GBP/SEK GBP/SGD GBP/USD HKD/USD JPY/CHF JPY/SEK JPY/USD SEK/HKD SEK/SGD SEK/USD SGD/USD
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
3 286 4 10 1 3 668 2 506 462 758 25 115 4 1 5 267 144 3 7 8 1 48 90 23 3 228 82 176 18 24 971 9 6 449 8 20 3 1 34 3
209
Deutsche Invest I Global Short Duration (formerly: Deutsche Invest I Global Bonds (Short))
Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
Securities traded on an exchange 52 077 738.83 Interest-bearing securities 3.00 % Asian Development Bank (MTN) 2012/2016. . . . . . . AUD 500 000 % 100.335 373 070.51 4.00 % Telstra Corp., Ltd (MTN) 2012/2017. . . . . . . . . . . . . AUD 450 000 % 101.856 340 853.37 4.25 % Canadian Government Bond 2007/2018. . . . . . . . . . CAD 400 000 400 000 % 107.06 329 821.32 1.25 % Canadian Government Bond 2014/2018. . . . . . . . . . CAD 500 000 % 101.132 389 448.55 4.00 % Denmark Government Bond 2006/2017. . . . . . . . . . DKK 1 000 000 % 106.385 158 959.15 2.00 % Nykredit Realkredit A/S 2012/2018. . . . . . . . . . . . . . DKK 1 000 000 % 103.69 154 932.31 4.375 % Anglo American Capital Plc 2009/2016. . . . . . . . . . . EUR 500 000 500 000 % 101.267 562 867.12 0.509 % Anheuser-Busch InBev SA/NV (MTN) 2016/2020 *. EUR 400 000 790 000 390 000 % 101.054 449 346.57 4.125 % Banco Nacional de Desenvolvimento Economico e Social 2010/2017. . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 100 000 % 101.365 338 047.10 1.875 % Bank of Ireland Mortgage Bank 2013/2017 . . . . . . . EUR 300 000 % 101.672 339 070.93 2.00 % Brisa Concessao Rodoviaria SA (MTN) 2016/2023. . EUR 200 000 400 000 200 000 % 102.199 227 218.96 4.00 % Bundesrepublik Deutschland 2006/2016 . . . . . . . . . EUR 500 000 500 000 % 100.038 556 036.04 3.75 % Bundesrepublik Deutschland 2008/2019 . . . . . . . . . EUR 400 000 % 111.132 494 159.39 0.367 % Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (MTN) 2014/2019 *. . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 200 000 % 100.607 335 519.21 1.00 % Corp Andina de fomento 2015/2020. . . . . . . . . . . . . EUR 200 000 206 000 % 102.743 228 428.44 5.00 % Czech Republic Govermnent Bond (MTN) 2008/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 200 000 % 110.058 367 037.81 4.75 % Deutsche Bahn Finance BV (MTN) 2003/2018. . . . . EUR 400 000 400 000 % 108.547 482 664.94 1.00 % Deutsche Bank AG (MTN) 2016/2019. . . . . . . . . . . . EUR 500 000 500 000 % 100.547 558 865.18 1.125 % Erste Abwicklungsanstalt (MTN) 2012/2017. . . . . . . EUR 200 000 % 101.698 226 105.09 0.85 % FADE - Fondo de Amortizacion del Deficit Electrico 2015/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 % 102.351 341 335.36 0.303 % FedEx Corp. 2016/2019 *. . . . . . . . . . . . . . . . . . . . . EUR 200 000 1 090 000 890 000 % 100.295 222 985.80 2.875 % Islandsbanki HF (MTN) 2015/2018 . . . . . . . . . . . . . . EUR 200 000 200 000 % 102 226 776.53 3.50 % Italy Buoni Poliennali Del Tesoro 2012/2017. . . . . . . EUR 800 000 % 104.818 932 167.14 3.50 % Italy Buoni Poliennali Del Tesoro 2013/2018. . . . . . . EUR 400 000 % 106.808 474 932.30 1.15 % Italy Buoni Poliennali Del Tesoro 2014/2017. . . . . . . EUR 100 000 % 101.18 112 476.71 0.875 % KFW 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 250 000 150 000 % 102.664 285 316.00 1.00 % LeasePlan Corp NV (MTN) 2016/2020 . . . . . . . . . . . EUR 300 000 600 000 300 000 % 101.239 337 626.89 4.25 % Mexico Government Bond (MTN) 2010/2017 **. . . EUR 300 000 % 104.34 347 968.57 1.25 % Molson Coors Brewing Co. 2016/2024. . . . . . . . . . . EUR 370 000 370 000 % 100.604 413 794.68 5.375 % Morocco Government International Bond 2007/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 % 105.114 350 549.82 5.50 % Nuova Banca delle Marche SpA 2012/2017. . . . . . . EUR 100 000 % 102.422 113 857.94 3.75 % Petroleos Mexicanos (MTN) 2016/2019. . . . . . . . . . EUR 500 000 1 220 000 720 000 % 104.615 581 476.14 2.75 % Prologis International Funding II SA (MTN) 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 250 000 % 105.796 294 020.21 1.00 % Sanofi (MTN) 2012/2017. . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 101.587 225 858.30 0.625 % Schlumberger Finance France SAS 2016/2019. . . . . EUR 130 000 130 000 % 101.567 146 779.00 0.50 % Sinopec Group Overseas Development 2015 Ltd -Reg- 2015/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 400 000 100 000 % 100.53 447 016.55 4.70 % Slovenia Government International Bond 2013/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 % 101.53 564 328.94 4.10 % Spain Government Bond 2008/2018. . . . . . . . . . . . . EUR 100 000 % 108.835 120 986.39 5.875 % Standard Chartered Bank 2007/2017 . . . . . . . . . . . . EUR 200 000 % 106.063 235 809.79 0.875 % State of North Rhine-Westphalia (MTN) 2014/2019. EUR 200 000 200 000 % 104.125 231 501.04 2.375 % State of North Rhine-Westphalia 2010/2016. . . . . . EUR 500 000 % 100.01 555 880.40 3.035 % Vnesheconombank Via VEB Finance Plc -Reg- 2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 102.229 113 642.83 1.50 % Barclays Bank Plc (MTN) 2012/2017. . . . . . . . . . . . . GBP 200 000 % 100.678 270 552.15 6.25 % General Electric Capital Corp. (MTN) 2002/2017 . . . GBP 200 000 % 107.469 288 801.61 6.25 % Heathrow Funding Ltd 2010/2018 . . . . . . . . . . . . . . GBP 200 000 % 108.84 292 485.90 0.779 % Nationwide Building Society 2014/2017 * . . . . . . . . GBP 200 000 % 99.916 268 504.42 5.40 % Societe Generale SA (MTN) 2003/2018 . . . . . . . . . . GBP 200 000 % 105.367 283 152.90 1.25 % Transport for London 2012/2017. . . . . . . . . . . . . . . . GBP 100 000 % 100.625 135 204.86 1.00 % United Kingdom Gilt 2012/2017 . . . . . . . . . . . . . . . . GBP 100 000 % 100.89 135 560.93 1.75 % United Kingdom Gilt 2013/2019 . . . . . . . . . . . . . . . . GBP 200 000 200 000 % 104.495 280 809.58 0.30 % Japan Government Five Year Bond 2012/2017 . . . . JPY 125 000 000 % 100.431 1 221 372.28 0.20 % Japan Government Five Year Bond 2012/2017 . . . . JPY 100 000 000 % 100.501 977 778.86 0.20 % Japan Government Five Year Bond 2013/2018 . . . . JPY 150 000 000 % 101.241 1 477 467.53 0.20 % Japan Government Five Year Bond 2014/2019 . . . . JPY 100 000 000 % 101.367 986 204.21 1.70 % Japan Government Ten Year Bond 2006/2016. . . . . JPY 100 000 000 % 100.911 981 767.77 1.70 % Japan Government Ten Year Bond 2007/2017. . . . . JPY 100 000 000 % 102.444 996 682.40 1.70 % Japan Government Ten Year Bond 2008/2018. . . . . JPY 150 000 000 % 103.413 1 509 164.76 0.10 % Japan Government Two Year Bond 2015/2017 . . . . JPY 100 000 000 % 100.204 974 889.33 8.50 % Mexican Bonos 2009/2018. . . . . . . . . . . . . . . . . . . . MXN 3 000 000 % 108.22 175 221.96 5.125 % Cooperatieve Rabobank UA (MTN) 2013/2018. . . . . NZD 200 000 200 000 % 103.962 147 750.84 6.00 % Inter-American Development Bank 2005/2017. . . . . NZD 100 000 % 104.801 74 471.62 4.75 % Poland Government Bond 2014/2016. . . . . . . . . . . . PLN 600 000 % 100.988 152 488.42 4.75 % KFW (MTN) 2008/2017. . . . . . . . . . . . . . . . . . . . . . . SEK 4 000 000 % 105.686 498 192.81 2.25 % Kommuninvest I Sverige AB (MTN) 2013/2019 . . . . SEK 2 000 000 2 000 000 % 106.544 251 118.67 1.70 % Aetna, Inc. 2016/2018. . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 1 000 000 700 000 % 100.768 302 302.50 1.90 % Aetna, Inc. 2016/2019. . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 1 000 000 700 000 % 101.208 303 625.50 2.00 % Baxalta, Inc. 2015/2018. . . . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 99.746 299 238.00
210
% of net assets
95.68 0.69 0.63 0.61 0.72 0.29 0.28 1.03 0.83 0.62 0.62 0.42 1.02 0.91 0.62 0.42 0.67 0.89 1.03 0.42 0.63 0.41 0.42 1.71 0.87 0.21 0.52 0.62 0.64 0.76 0.64 0.21 1.07 0.54 0.41 0.27 0.82 1.04 0.22 0.43 0.43 1.02 0.21 0.50 0.53 0.54 0.49 0.52 0.25 0.25 0.52 2.24 1.80 2.71 1.81 1.80 1.83 2.77 1.79 0.32 0.27 0.14 0.28 0.92 0.46 0.56 0.56 0.55
Deutsche Invest I Global Short Duration Description
7.375 % Colombia Government International Bond 2006/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.50 % Corp Nacional del Cobre de Chile -Reg2009/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.00 % Corporacion Andina de Fomento 2016/2019 . . . . . . 1.70 % Credit Suisse/New York NY 2015/2018 . . . . . . . . . . 6.25 % Croatia Government International Bond -Reg2012/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.90 % CVS Health Corp 2015/2018. . . . . . . . . . . . . . . . . . . 6.00 % EDP Finance BV 2007/2018 . . . . . . . . . . . . . . . . . . . 2.875 % Export-Import Bank of Malaysia Bhd (MTN) 2012/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.875 % Indonesia Government International Bond -Reg2006/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.00 % Instituto de Credito Oficial 2006/2016 . . . . . . . . . . . 3.625 % Kookmin Bank 2011/2017. . . . . . . . . . . . . . . . . . . . . 2.25 % Korea Gas Corp. 144A 2012/2017. . . . . . . . . . . . . . . 5.80 % McDonald‘s Corp. 2007/2017. . . . . . . . . . . . . . . . . . 1.80 % Mizuho Bank Ltd 2015/2018. . . . . . . . . . . . . . . . . . . 1.45 % Molson Coors Brewing Co. 2016/2019. . . . . . . . . . . 4.20 % Molson Coors Brewing Co. 2016/2046. . . . . . . . . . . 8.375 % Petrobras Global Finance BV 2016/2021. . . . . . . . . . 5.50 % Petroleos Mexicanos (MTN) -Reg- 2016/2019 . . . . . 1.60 % PNC Bank NA (MTN) 2015/2018. . . . . . . . . . . . . . . . 5.25 % Republic of Latvia -Reg- 2012/2017 . . . . . . . . . . . . . 3.50 % The Korea Development Bank 2012/2017 . . . . . . . . 7.00 % Turkey Government International Bond 2006/2016. 3.25 % Under Armour, Inc. 2016/2026. . . . . . . . . . . . . . . . . 2.375 % United States Treasury Note/Bond 2010/2017. . . . . 1.875 % United States Treasury Note/Bond 2010/2017. . . . . 2.625 % United States Treasury Note/Bond 2011/2018. . . . . 0.625 % United States Treasury Note/Bond 2012/2017. . . . . 0.625 % United States Treasury Note/Bond 2012/2017. . . . . 1.125 % United States Treasury Note/Bond 2012/2019. . . . . 0.75 % United States Treasury Note/Bond 2013/2018. . . . . 1.00 % United States Treasury Note/Bond 2013/2018. . . . . 1.25 % United States Treasury Note/Bond 2013/2018. . . . . 1.00 % United States Treasury Note/Bond 2014/2017. . . . . 1.50 % United States Treasury Note/Bond 2014/2019. . . . . 1.625 % United States Treasury Note/Bond 2014/2019. . . . . 1.625 % United States Treasury Note/Bond 2014/2019. . . . . 1.00 % United States Treasury Note/Bond 2015/2018. . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
% of net assets
USD
500 000
500 000
%
103.525
517 625.00
0.95
USD USD USD
250 000 250 000 284 000 284 000 500 000
% % %
114.278 100.864 100.172
285 695.00 286 453.76 500 860.00
0.52 0.53 0.92
USD USD USD
800 000 200 000 200 000 100 000 300 000
% % %
103.296 101.324 105.562
826 368.00 202 649.00 316 687.50
1.52 0.37 0.58
USD
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
750 000 1 000 500 200 300 200 200 1 000 370 410 240 250 750 800 1 100 330 200 1 000 1 200 400 200 1 200 1 000 1 200 1 200 200 1 200 1 000 1 500 1 000
000 000 000 000 000 000 000 1 000 000 000 370 000 000 410 000 000 240 000 000 250 000 000 000 000 000 330 000 000 000 000 000 600 000 000 000 1 200 000 000 800 000 000 1 200 000 000 700 000 000 000 1 200 000 000 1 000 000 000 1 500 000 000 500 000
%
101.947
% % % % % % % % % % % % % % % % % % % % % % % % % % % % %
103.712 101.38 101.291 100.97 105.802 100.52 100.171 100.665 103.065 105.454 100.602 102.716 102.572 101.353 101.128 101.996 101.727 103.189 100.109 100.068 101.184 100.246 100.73 101.355 100.543 102.051 102.465 102.645 100.76
764 602.50 1 037 506 202 302 211 201 1 001 372 422 253 251 770 820 1 114 333 203 1 017 1 238 400 200 1 214 1 002 1 208 1 216 201 1 224 1 024 1 539 1 007
120.00 900.00 582.00 910.00 605.00 040.00 710.00 460.50 566.50 089.60 503.75 370.00 576.00 883.00 722.40 992.19 265.63 273.44 437.50 136.72 203.13 460.94 765.63 265.63 085.94 609.37 648.44 667.97 597.66
1.40 1.91 0.93 0.37 0.56 0.39 0.37 1.84 0.68 0.78 0.46 0.46 1.42 1.51 2.05 0.61 0.37 1.87 2.27 0.74 0.37 2.23 1.84 2.22 2.23 0.37 2.25 1.88 2.83 1.85
Securities admitted to or included in organized markets 3 307 011.64 6.07 Interest-bearing securities 5.50 % Australian Government 2010/2018. . . . . . . . . . . . . . AUD 100 000 % 105.958 78 795.64 0.14 2.25 % Baidu, Inc. 2012/2017. . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 100.995 302 985.00 0.56 4.80 % Express Scripts Holding Co. 2016/2046. . . . . . . . . . USD 1 180 000 1 180 000 % 100.965 1 191 387.00 2.19 1.875 % Private Export Funding Corp. 2013/2018 . . . . . . . . . USD 400 000 % 101.878 407 512.00 0.75 4.125 % State Bank of India -Reg- 2012/2017 . . . . . . . . . . . . USD 1 000 000 250 000 % 102.581 1 025 810.00 1.88 1.875 % VW Credit Inc 2012/2016 . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 100.174 300 522.00 0.55 Unlisted securities 1 369 702.11 2.52 Interest-bearing securities 2.27 % Bank of Nova Scotia/The 2015/2020. . . . . . . . . . . . . CAD 200 000 % 102.605 158 048.37 0.29 1.75 % Province of Alberta Canada 2012/2017. . . . . . . . . . . CAD 400 000 % 101.023 311 223.04 0.57 3.20 % Province of Ontario Canada 2011/2016 . . . . . . . . . . CAD 400 000 % 100.453 309 467.04 0.57 0.34 % Development Bank of Japan, Inc. 2013/2019. . . . . . JPY 60 000 000 60 000 000 % 101.237 590 963.66 1.09 Investment fund units 559 993.51 1.03 In-group fund units DWS Short Duration Emerging Markets FX EUR - (0.600%) Units 5 000 1 000 EUR 100.75 559 993.51 1.03 Total securities portfolio 57 314 446.09 105.30 Derivatives (Minus signs denote short positions) Interest rate derivatives -1 858.54 0.00 Receivables/payables Interest rate futures US Ultra Bond 09/2016 (CBT) Count -5 -5 2 656.25 0.00 Germany Federal Republic Notes 10 year 09/2016 (EUR) Count -17 -17 -4 514.79 0.00
211
Deutsche Invest I Global Short Duration Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
Currency derivatives -1 230 746.68 Receivables/payables Currency futures Currency futures (short) Open positions USD/AUD 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -27 707.98 USD/CAD 2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -11 926.29 USD/DKK 2.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 055.79 USD/EUR 11.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 665.26 USD/GBP 1.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187 321.34 USD/JPY 1000 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -647 409.93 USD/MXN 3.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281.15 USD/NZD 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -11 380.91 USD/PLN 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 504.80 USD/SEK 6.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 871.15
% of net assets
-2.26
-0.05 -0.02 0.00 0.07 0.34 -1.18 0.00 -0.02 0.00 0.03
Closed positions USD/EUR 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128.17 0.00 Currency futures (long) Open positions EUR/USD 48.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -776 149.23 -1.43 Cash at bank 949 794.56 1.74 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 48 64.97 0.00 Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 2 024 302.39 0.00 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 635 75.81 0.00 Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 1 490 375.10 0.00 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 645 75.98 0.00 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 4 180 3 108.13 0.01 Chinese renminbi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNY 197 29.71 0.00 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 1 601 199 15 578.14 0.03 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 13 086 10 078.77 0.02 Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 130 189 7 026.42 0.01 New Zealand dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 3 802 2 701.37 0.00 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 483 358.39 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 910 019.38 1.67 Other assets 519 885.48 0.96 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 483 054.63 0.89 Receivables from exceeding the expense cap. . . . . . . . . . . . . 36 830.85 0.07 Receivables from share certificate transactions 38 545.50 0.07 Total assets *** 59 069 155.54 108.52 Short-term liabilities -513.19 0.00 EUR loans. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 462 -513.19 0.00 Other liabilities -2 997 004.79 -5.51 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 997 004.79 -5.51 Liabilities from share certificate transactions -160 799.03 -0.30 Total liabilities -4 637 406.14 -8.52 Net assets 54 431 749.40 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
212
Deutsche Invest I Global Short Duration Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.85 Class LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.61 Class NCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.74 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 102.55 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 102.30 Number of shares outstanding Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 391 273 Class LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 79 951 Class NCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 854 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 939 Composition of the reference portfolio (according to CSSF circular 11/512) Barclays Capital Global Aggregate - 1 - 3 Yrs Hedged in USD Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 58.706 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 180.297 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 84.023 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 1.6, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 30 735 079.68 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations Futures exchanges CBT = Chicago Board of Trade EUR = Eurex Contracting parties for currency futures Citigroup Global Markets Limited, Goldman Sachs International, JP Morgan Securities PLC, Merrill Lynch International and State Street Bank and Trust Company
Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
4.25
EUR
% Mexico Government Bond (MTN) 2010/2017
300 000
Securities loans Total market value in USD Perpetual
Total
347 968.57
Total receivables from securities loans 347 968.57 347 968.57 Contracting party for securities loans Deutsche Bank AG FI Total collateral pledged by third parties for securities loans EUR 466 506.86 thereof: Bonds EUR 466 506.86 Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.344719 = USD 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.298400 = USD 1 Chinese renminbi . . . . . . . . . . . . . . . . CNY 6.643600 = USD 1 Danish krone. . . . . . . . . . . . . . . . . . . . DKK 6.692600 = USD 1 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0.899564 = USD 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.744241 = USD 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 102.785000 = USD 1 Mexican peso . . . . . . . . . . . . . . . . . . . MXN 18.528500 = USD 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 8.376300 = USD 1 New Zealand dollar. . . . . . . . . . . . . . . NZD 1.407261 = USD 1 Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 3.973600 = USD 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 8.485550 = USD 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.347700 = USD 1
213
Deutsche Invest I Global Short Duration Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Floating interest rate. ** Some or all of these securities are lent. *** Does not include positions with a negative balance, if such exist.
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Interest-bearing securities 1.50 % 3M Co. 2016/2031 . . . . . . . . . . . . . . . 2.875 % ABN AMRO Bank NV (MTN) 2016/2028 * . . . . . . . . . . . . . . . . . . . . 0.75 % Air Liquide Finance SA (MTN) 2016/2024. . . . . . . . . . . . . . . . . . . . . . 1.25 % Air Liquide Finance SA (MTN) 2016/2028. . . . . . . . . . . . . . . . . . . . . . 1.875 % Alimentation Couche-Tard, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . 0.875 % Anheuser-Busch InBev SA/NV (MTN) 2016/2022. . . . . . . . . . . . . . . . . . . . . . 1.50 % Anheuser-Busch InBev SA/NV (MTN) 2016/2025. . . . . . . . . . . . . . . . . . . . . . 2.00 % Anheuser-Busch InBev SA/NV (MTN) 2016/2028. . . . . . . . . . . . . . . . . . . . . . 4.125 % Ardagh Packaging Finance Plc Via Ardagh Holdings USA, Inc. -Reg2016/2023. . . . . . . . . . . . . . . . . . . . . . 1.75 % Bank Gospodarstwa Krajowego (MTN) 2016/2026 . . . . . . . . . . . . . . . . 3.125 % Belfius Bank SA/NV 2016/2026. . . . . . 0.50 % Berkshire Hathaway, Inc. 2016/2020. 1.30 % Berkshire Hathaway, Inc. 2016/2024. 2.15 % Berkshire Hathaway, Inc. 2016/2028. 2.875 % BPCE SA (MTN) 2016/2026 . . . . . . . . 1.875 % Bulgaria Government International Bond (MTN) 2016/2023. . . . . . . . . . . . 3.00 % Bulgaria Government International Bond (MTN) 2016/2028. . . . . . . . . . . . 4.25 % Bulgaria Government International Bond 2012/2017. . . . . . . . . . . . . . . . . 4.625 % Cemex Finance LLC -Reg2016/2024. . . . . . . . . . . . . . . . . . . . . . 1.25 % CK Hutchison Finance 16 Ltd 2016/2023. . . . . . . . . . . . . . . . . . . . . . 2.00 % CK Hutchison Finance 16 Ltd 2016/2028. . . . . . . . . . . . . . . . . . . . . . 3.875 % Colombia Government International Bond (MTN) 2016/2026. . . . . . . . . . . . 1.125 % Deutsche Pfandbriefbank AG (MTN) 2016/2020. . . . . . . . . . . . . . . . . . . . . . 1.75 % easyJet Plc (MTN) 2016/2023. . . . . . . 1.875 % ESB Finance Ltd (MTN) 2016/2031 . . 1.50 % Eurogrid GmbH (MTN) 2016/2028 . . . 1.125 % Eutelsat SA 2016/2021. . . . . . . . . . . . 1.625 % FedEx Corp. 2016/2027 . . . . . . . . . . . 1.75 % Fomento Economico Mexicano SAB de CV 2016/2023 . . . . . . . . . . . . . . . . 1.00 % French Treasury Note BTAN 2012/2017. . . . . . . . . . . . . . . . . . . . . . 2.25 % Holcim Finance Luxembourg SA (MTN) 2016/2028 . . . . . . . . . . . . . . . .
214
EUR
2 190 000
2 190 000
EUR
400 000
400 000
EUR
400 000
400 000
EUR
400 000
400 000
EUR
690 000
690 000
EUR
780 000
780 000
EUR
660 000
660 000
EUR
610 000
610 000
EUR
150 000
150 000
EUR EUR EUR EUR EUR EUR
770 300 420 460 340 500
770 300 420 460 340 500
000 000 000 000 000 000
000 000 000 000 000 000
EUR
2 000 000
2 000 000
EUR
2 000 000
2 000 000
EUR
250 000
EUR
230 000
230 000
EUR
1 380 000
1 380 000
EUR
1 690 000
1 690 000
EUR
1 570 000
1 570 000
EUR EUR EUR EUR EUR EUR
185 150 1 040 1 000 300 830
000 000 000 000 000 000
EUR
1 030 000
EUR EUR
1 000 000
185 150 1 040 1 000 300 830
000 000 000 000 000 000
1 030 000 500 000 1 000 000
3.125 % H SBC Holdings Plc (MTN) 2016/2028. . . . . . . . . . . . . . . . . . . . . . 3.75 % Indonesia Government International Bond (MTN) -Reg- 2016/2023. . . . . . . 3.75 % Indonesia Government International Bond (MTN) -Reg- 2016/2028. . . . . . . 2.875 % Islandsbanki 2015/2018. . . . . . . . . . . . 1.50 % Italy Buoni Poliennali Del Tesoro 2014/2016. . . . . . . . . . . . . . . . . . . . . . 1.75 % J AB Holdings BV 2016/2023. . . . . . . . 1.50 % JPMorgan Chase & Co. (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . 1.50 % K raft Heinz Foods Co. 2016/2024. . . . 2.25 % Kraft Heinz Foods Co. 2016/2028. . . . 1.375 % L atvia Government International Bond 2016/2036. . . . . . . . . . . . . . . . . 1.75 % Nasdaq, Inc. 2016/2023 . . . . . . . . . . . 0.50 % N ationwide Building Society (MTN) 2016/2019. . . . . . . . . . . . . . . . . . . . . . 2.50 % Netherlands Government Bond 2011/2017. . . . . . . . . . . . . . . . . . . . . . 1.125 % N omura Europe Finance NV 2015/2020. . . . . . . . . . . . . . . . . . . . . . 5.125 % Petroleos Mexicanos (MTN) 2016/2023. . . . . . . . . . . . . . . . . . . . . . 3.00 % Pohjola Bank Oyj (MTN) 2010/2017. . . . . . . . . . . . . . . . . . . . . . 1.20 % Praxair, Inc. 2016/2024. . . . . . . . . . . . 3.50 % R exel SA 2016/2023. . . . . . . . . . . . . . 1.00 % RTE Reseau de Transport d‘Electricite SA (MTN) 2016/2026. . . . 2.00 % R TE Reseau de Transport d‘Electricite SA (MTN) 2016/2036. . . . 0.114 % Sanofi (MTN) 2014/2018 * . . . . . . . . . 0.625 % S anofi (MTN) 2016/2024. . . . . . . . . . . 1.125 % Sanofi (MTN) 2016/2028. . . . . . . . . . . 3.25 % S antander Issuances SAU (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . 4.625 % SES SA 2016/2049 *. . . . . . . . . . . . . . 3.45 % S pain Government Bond 144A 2016/2066. . . . . . . . . . . . . . . . . . . . . . 0.50 % Temasek Financial I Ltd (MTN) 2016/2022. . . . . . . . . . . . . . . . . . . . . . 2.75 % T hyssenKrupp AG (MTN) 2016/2021. 1.25 % Toyota Motor Credit Corp. (MTN) 2013/2017. . . . . . . . . . . . . . . . . . . . . . 2.375 % T urkiye Vakiflar Bankasi TAO 2016/2021. . . . . . . . . . . . . . . . . . . . . . 0.542 % United Technologies Corp. 2016/2018 * . . . . . . . . . . . . . . . . . . . . 0.605 % U nited Technologies Corp. 2016/2018 * . . . . . . . . . . . . . . . . . . . . 2.75 % Anheuser-Busch InBev SA/NV (MTN) 2016/2036. . . . . . . . . . . . . . . . . . . . . . 1.75 % United Kingdom Gilt 2011/2017. . . . .
EUR
520 000
520 000
EUR
410 000
410 000
EUR 390 000 EUR
390 000 200 000
EUR EUR 600 000
300 000 600 000
EUR EUR EUR
590 000 395 000 595 000
590 000 395 000 595 000
EUR EUR
389 000 900 000
389 000 900 000
EUR
585 000
585 000
EUR
100 000
EUR
300 000
EUR
1 220 000
1 220 000
EUR EUR 740 000 EUR 250 000
200 000 740 000 250 000
EUR
400 000
400 000
EUR 600 000 EUR EUR 1 100 000 EUR 500 000
600 300 1 100 500
000 000 000 000
EUR EUR
600 000 320 000
600 000 320 000
EUR
600 000
600 000
EUR EUR
300 000 270 000
300 000 270 000
EUR
200 000
EUR
430 000
430 000
EUR
190 000
190 000
EUR
190 000
190 000
EUR 610 000 GBP
610 000 200 000
Deutsche Invest I Global Short Duration
Count/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
2.30 % 4.30 % 4.45 % 2.125 %
AbbVie, Inc. 2016/2021. . . . . . . . . . . . AbbVie, Inc. 2016/2036. . . . . . . . . . . . AbbVie, Inc. 2016/2046. . . . . . . . . . . . Abu Dhabi Government International Bond -Reg- 2016/2021 . . . . . . . . . . . . 4.375 % Aetna, Inc. 2016/2046. . . . . . . . . . . . . 4.00 % A frican Export-Import Bank (MTN) 2016/2021. . . . . . . . . . . . . . . . . . . . . . 1.25 % Anheuser-Busch InBev Finance, Inc. 2013/2018. . . . . . . . . . . . . . . . . . . . . . 1.90 % Anheuser-Busch InBev Finance, Inc. 2016/2019. . . . . . . . . . . . . . . . . . . . . . 4.90 % A nheuser-Busch InBev Finance, Inc. 2016/2046. . . . . . . . . . . . . . . . . . . . . . 6.75 % Australia & New Zealand Banking Group Ltd/United Kingdom -Reg2016/2049 * . . . . . . . . . . . . . . . . . . . . 1.45 % B erkshire Hathaway Finance Corp. 2016/2018. . . . . . . . . . . . . . . . . . . . . . 4.875 % Black Sea Trade & Development Bank (MTN) -Reg- 2016/2021. . . . . . . 1.625 % DBS Bank Ltd 2015/2018. . . . . . . . . . 7.25 % G TH Finance BV -Reg- 2016/2023 . . . 4.875 % Iceland Government International Bond -Reg- 2011/2016 . . . . . . . . . . . . 1.00 % Kommunekredit (MTN) 2014/2017. . . 5.50 % Magyar Export-Import Bank 2012/2018. . . . . . . . . . . . . . . . . . . . . . 4.20 % Newell Rubbermaid, Inc. 2016/2026. . 5.375 % Newell Rubbermaid, Inc. 2016/2036. . 5.50 % Newell Rubbermaid, Inc. 2016/2046. . 5.25 % P rudential Plc (MTN) 2016/2049. . . . . 2.375 % Qatar Government International Bond -Reg- 2016/2021 . . . . . . . . . . . . 3.30 % S ysco Corp. 2016/2026. . . . . . . . . . . . 4.50 % Sysco Corp. 2016/2046. . . . . . . . . . . . 4.75 % T C Ziraat Bankasi AS (MTN) -Reg- 2016/2021. . . . . . . . . . . . . . . . . 9.375 % Trade & Development Bank of Mongolia LLC (MTN) -Reg2015/2020. . . . . . . . . . . . . . . . . . . . . . 4.50 % Transnet SOC Ltd -Reg- 2011/2016. . 4.50 % U nited States Treasury Note/Bond 2007/2017. . . . . . . . . . . . . . . . . . . . . . 3.25 % U nited States Treasury Note/Bond 2009/2016. . . . . . . . . . . . . . . . . . . . . . 3.00 % United States Treasury Note/Bond 2010/2017. . . . . . . . . . . . . . . . . . . . . . 0.50 % U nited States Treasury Note/Bond 2015/2017. . . . . . . . . . . . . . . . . . . . . . 1.45 % UnitedHealth Group Inc 2015/2017 . .
USD USD USD
1 000 000 1 000 000 1 000 000
1 000 000 1 000 000 1 000 000
USD USD
1 850 000 500 000
1 850 000 500 000
USD
645 000
645 000
USD
350 000
USD
410 000
410 000
USD
400 000
400 000 675 000
USD
400 000
USD
520 000
USD USD 210 000 USD 1 000 000 USD 260 000
USD
520 000
300 210 1 000 260
220 000
CAD
400 000
NZD
200 000
Unlisted securities Interest-bearing securities 1.50 % Canadian Government Bond 2013/2017. . . . . . . . . . . . . . . . . . . . . . 4.625 % International Finance Corp. (MTN) 2011/2016. . . . . . . . . . . . . . . . . . . . . .
USD
675 000
USD
145 000
145 000
USD 1 060 000 USD USD 200 000
1 060 000 200 000 200 000
Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown)
USD USD
1 000 000 350 000
Futures contracts
USD USD 79 000 USD 1 000 000 USD 221 000 USD 410 000
500 79 1 000 221 410
USD USD USD
390 000 417 000 310 000
390 000 417 000 310 000
USD
990 000
990 000
Interest rate futures Contracts purchased (Underlyings: 90 Day Euro, 90DAY EUR Futures, Euro BTP Futures, Euro Bund, Germany Federal Republic Notes 10 year, Japan 10 year Bond, US Treasury Note 10-Year, US Treasury Note 5-Year) USD Contracts sold (Underlyings: Euro BTP Futures, Germany Federal Republic Notes 10 year) USD
000 000 000 000 000
USD USD
210 000 1 300 000
USD
200 000
USD
1 000 000
USD
1 000 000
USD USD
200 000 300 000
USD
440 000
440 000
USD 670 000 USD
670 000 300 000
USD
80 000
80 000
USD
100 000
100 000
000 000 000 000
220 000
Securities admitted to or included in organized markets Interest-bearing securities 2.00 % Banque Federative du Credit Mutuel SA (MTN) -Reg- 2016/2019 . . 2.50 % Banque Federative du Credit Mutuel SA -Reg- 2016/2021. . . . . . . . 2.00 % B axalta, Inc. 2015/2018. . . . . . . . . . . . 5.875 % D iamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2021. . . . . . . . . . . . . . . . . . . . . . 7.125 % D iamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2024. . . . . . . . . . . . . . . . . . . . . .
6.20 % H ewlett Packard Enterprise Co 2015/2035. . . . . . . . . . . . . . . . . . . . . . 3.00 % Kraft Heinz Foods Co. 144A 2016/2026. . . . . . . . . . . . . . . . . . . . . . 1.625 % L VMH Moet Hennessy Louis Vuitton SE 144A 2012/2017 . . . 3.95 % M ylan NV 144A 2016/2026. . . . . . . . . 5.25 % Mylan NV 144A 2016/2046. . . . . . . . . 3.85 % Nasdaq, Inc. 2016/2026 . . . . . . . . . . . 2.00 % New York Life Global Funding 144A 2016/2021. . . . . . . . . . . . . . . . . . . . . .
Value (’000)
72 579
4 907
Currency futures (short) Futures contracts to sell currencies USD/AUD USD USD/CAD USD USD/DKK USD USD/EUR USD USD/GBP USD USD/JPY USD USD/MXN USD USD/NZD USD USD/PLN USD USD/SEK USD Currency futures (long) Futures contracts to purchase currencies AUD/USD USD CAD/USD USD DKK/USD USD EUR/USD USD GBP/USD USD JPY/USD USD MXN/USD USD NZD/USD USD PLN/USD USD SEK/USD USD
1 597 2 849 622 343 448 4 209 16 285 355 403 313 1 318
2 389 4 321 932 305 043 6 364 24 771 529 601 470 1 836
215
Deutsche Invest I Global Thematic Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
Securities traded on an exchange 38 034 936.56 Equities SLC Agricola SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 367 1 182 BRL 14.79 70 783.25 Cie Financiere Richemont SA . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 573 3 006 413 CHF 56.45 496 482.02 Nestle SA -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 437 4 638 201 CHF 75 341 395.23 Novartis AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 319 2 487 CHF 79.3 432 722.95 Roche Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 086 476 CHF 253.5 542 499.10 ArcelorMittal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 97 743 78 848 121 795 EUR 4.105 446 032.77 Axel Springer SE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 680 405 505 EUR 46.97 348 790.75 Bayer AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 784 3 925 141 EUR 88.9 373 956.27 Commerzbank AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106 298 14 122 7 075 EUR 5.788 683 945.58 Ferrari NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 107 5 335 1 228 EUR 36.15 165 044.45 Fiat Chrysler Automobiles NV. . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 726 1 670 EUR 5.43 131 143.73 Infineon Technologies AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 753 8 777 1 726 EUR 12.93 341 416.83 Koninklijke Philips NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 932 1 802 1 023 EUR 22.21 590 874.82 Luxottica Group SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 155 11 440 285 EUR 43.49 539 295.65 OSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 859 3 268 EUR 45.89 349 902.30 Rocket Internet AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 670 4 940 270 EUR 16.9 87 734.72 Salvatore Ferragamo Italia SpA. . . . . . . . . . . . . . . . . . . . . . . . . Count 5 694 5 694 EUR 18.03 114 125.09 Siemens AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 720 4 852 132 EUR 90.93 477 108.47 Technogym SpA 144A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 973 31 938 965 EUR 3.956 136 209.53 AstraZeneca Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 101 4 837 GBP 43.53 766 265.94 Diageo Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 109 20 504 394 GBP 20.235 546 739.05 Rolls-Royce Holdings Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 693 949 7 567 GBP 7.06 423 965.60 Vodafone Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 162 245 5 408 138 206 GBP 2.215 482 871.38 Worldpay Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 047 41 047 GBP 2.681 147 864.75 China Life Insurance Co., Ltd -H- . . . . . . . . . . . . . . . . . . . . . . . Count 239 953 61 560 15 293 HKD 16.62 513 992.82 Ping An Insurance Group Co. of China Ltd. . . . . . . . . . . . . . . . Count 136 960 22 564 8 839 HKD 34.15 602 815.35 Tsingtao Brewery Co., Ltd -H-. . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 356 10 579 1 627 HKD 26.85 156 956.35 Bank Rakyat Indonesia Persero Tbk PT . . . . . . . . . . . . . . . . . . Count 316 323 316 323 IDR 10 800 258 564.87 ICICI Bank Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 288 121 22 000 INR 240.4 1 026 213.62 Samsung Electronics Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Count 891 168 198 KRW 1425 000 1 102 291.97 SM Investments Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 679 830 PHP 967 219 492.92 Millicom International Cellular SA -SDR-. . . . . . . . . . . . . . . . . . Count 2 740 212 SEK 513.5 165 810.11 Telefonaktiebolaget LM Ericsson -B- . . . . . . . . . . . . . . . . . . . . Count 43 949 11 196 1 932 SEK 64.15 332 250.51 Bim Birlesik Magazalar AS . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 315 4 571 256 TRY 55.8 83 475.59 Adobe Systems, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 153 2 105 3 007 USD 94.58 392 790.74 Advance Auto Parts, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 609 2 744 135 USD 160.28 418 170.52 Aluminium Bahrain BSC -GDR-. . . . . . . . . . . . . . . . . . . . . . . . . Count 57 309 USD 3.682 210 989.39 Apple, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 502 12 694 192 USD 94.48 1 181 188.96 Aramark Services, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 407 13 024 617 USD 32.79 406 825.53 Artisan Partners Asset Management, Inc. . . . . . . . . . . . . . . . . Count 5 987 3 073 USD 26.95 161 349.65 Bank of America Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 68 536 43 108 4 215 USD 13.16 901 933.76 Biogen Idec, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 818 871 53 USD 237.08 193 931.44 Brunswick Corp./DE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 278 5 535 257 USD 44.13 232 918.14 Cabela‘s, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 252 3 226 USD 49.27 110 956.04 Celgene Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 118 403 131 USD 97.61 206 737.98 Cepheid. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 610 6 728 118 USD 29.81 197 044.10 Cerner Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 896 12 139 243 USD 57.85 688 183.60 CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 817 7 560 879 USD 23.72 493 779.24 Comcast Corp. -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 500 8 872 372 USD 64.27 546 295.00 Dr Reddy‘s Laboratories Ltd - ADR-. . . . . . . . . . . . . . . . . . . . . Count 2 578 2 650 72 USD 49.89 128 616.42 eBay, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 194 14 511 1 406 USD 23.31 517 342.14 Estee Lauder Cos, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 364 3 426 USD 89.73 391 581.72 Fibria Celulose SA -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 829 26 869 1 040 USD 6.79 175 378.91 Fortinet, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 556 3 640 675 USD 31.16 297 764.96 General Motors Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 263 1 766 USD 27.79 729 848.77 Global Telecom Holding -GDR- . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 237 4 245 USD 1.78 98 321.86 Goldman Sachs Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 838 5 972 269 USD 146.07 1 290 966.66 GrubHub, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 202 1 759 3 150 USD 31.45 415 202.90 Harley-Davidson, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 081 1 740 2 511 USD 43.99 575 433.19 JPMorgan Chase & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 556 13 556 USD 61.29 830 847.24 Laboratory Corp. of America Holdings . . . . . . . . . . . . . . . . . . . Count 6 031 3 114 755 USD 128.5 774 983.50 Lazard Ltd -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 381 4 150 702 USD 29.39 422 657.59 Lions Gate Entertainment Corp.. . . . . . . . . . . . . . . . . . . . . . . . Count 8 951 9 193 242 USD 21.68 194 057.68 Marsh & McLennan Cos, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 124 624 USD 67.14 545 445.36 Medidata Solutions, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 775 2 905 506 USD 46 403 650.00 Mohawk Industries Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 417 936 177 USD 187.42 452 994.14 Mondelez International, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 662 4 939 277 USD 43.1 200 932.20 Monsanto Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 967 5 095 128 USD 103.09 512 048.03 Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 682 975 USD 25.3 320 854.60 NIKE, Inc. -B-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 841 15 133 292 USD 55.09 817 590.69 Oracle Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 378 3 231 USD 40.64 706 241.92 Potash Corp. of Saskatchewan, Inc.. . . . . . . . . . . . . . . . . . . . . Count 38 721 8 039 USD 15.73 609 081.33 Ralph Lauren Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 073 2 073 USD 88.67 183 812.91 Restoration Hardware Holdings, Inc. . . . . . . . . . . . . . . . . . . . . Count 7 800 7 919 119 USD 28.02 218 556.00 Roper Industries, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 750 857 120 USD 167.77 461 367.50 Stanley Black & Decker, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 845 296 USD 108.475 417 086.38 Stericycle Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 559 4 559 USD 101.51 462 784.09 Thermo Fisher Scientific, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 383 3 849 USD 145.35 491 719.05 Tiffany & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 569 1 862 USD 59.95 573 661.55 Tim Participacoes SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 620 20 587 USD 10.34 151 170.80
216
% of net assets
97.30 0.18 1.27 0.87 1.11 1.39 1.14 0.89 0.96 1.75 0.42 0.34 0.87 1.51 1.37 0.90 0.22 0.29 1.22 0.35 1.96 1.40 1.09 1.24 0.38 1.32 1.54 0.40 0.66 2.63 2.82 0.56 0.42 0.85 0.21 1.01 1.07 0.54 3.02 1.04 0.41 2.31 0.50 0.60 0.28 0.53 0.50 1.76 1.26 1.40 0.33 1.32 1.00 0.45 0.76 1.87 0.25 3.30 1.06 1.47 2.13 1.98 1.08 0.50 1.40 1.03 1.16 0.51 1.31 0.82 2.09 1.81 1.56 0.47 0.56 1.18 1.07 1.18 1.26 1.47 0.39
Deutsche Invest I Global Thematic Description
Time Warner, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . T-Mobile US, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TransDigm Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Tyco International Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . UBS Group AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . US Foods Holding Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . VF Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Westlake Chemical Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Yum! Brands, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MTN Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Shoprite Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Count Count Count Count Count Count Count Count Count Count Count
4 11 1 11 27 8 7 7 5 16 22
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
533 4 851 318 303 3 250 10 435 430 1 759 329 195 4 990 138 24 776 47 717 631 8 631 839 559 250 557 053 389 024 798 036 1 098
USD USD USD USD USD USD USD USD USD ZAR ZAR
72.37 43.37 260.35 42.07 12.95 24.05 60.6 41.73 82.16 143.96 167.49
Total market value in USD
328 490 372 470 351 207 475 302 415 156 250
053.21 211.11 300.50 973.65 437.10 575.55 043.40 542.50 154.48 739.60 776.94
% of net assets
0.84 1.25 0.95 1.21 0.90 0.53 1.22 0.77 1.06 0.40 0.64
Securities admitted to or included in organized markets 4 507.71 0.01 Equities Rolls-Royce Holdings Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 354 821 3 354 821 GBP 0.001 4 507.71 0.01 Total securities portfolio 38 039 444.27 97.31 Derivatives (Minus signs denote short positions) Cash at bank 933 293.16 2.39 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 84 813 94 282.20 0.24 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 191 256.46 0.00 Hungarian forint. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HUF 10 631 37.31 0.00 Deposits in non-EU/EEA currencies Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 1 0.31 0.00 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 85 10.90 0.00 Indian rupee. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . INR 131 066 1 941.86 0.00 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 51 38.89 0.00 Malaysian ringgit. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 318 78.76 0.00 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 48 49.65 0.00 South Korean won. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 120 0.10 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 836 596.72 2.15 Other assets 415 226.80 1.06 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79 436.05 0.20 Receivables from exceeding the expense cap. . . . . . . . . . . . . 35 112.72 0.09 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300 678.03 0.77 Total assets 39 387 964.20 100.77 Other liabilities -296 440.95 -0.76 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -62 867.14 -0.16 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -233 870.04 -0.60 Liabilities from share certificate transactions -3 726.90 -0.01 Total liabilities -300 484.08 -0.77 Net assets 39 087 500.20 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
217
Deutsche Invest I Global Thematic Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 115.71 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 108.17 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 96.35 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 143.41 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100.52 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 92.99 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 734 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 979 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 219 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 247 280 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 71 587 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI THE WORLD INDEX Constituents USD Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 96.769 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 109.704 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 100.253 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0.00 as of the reporting date. Exchange rates (indirect quotes) As of: June 30, 2016 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3.210900 = USD 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.298400 = USD 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 0.974750 = USD 1 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0.899564 = USD 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.744241 = USD 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 7.758900 = USD 1 Hungarian forint. . . . . . . . . . . . . . . . . . HUF 284.909850 = USD 1 Indonesian rupiah . . . . . . . . . . . . . . . . IDR 13 212.500000 = USD 1 Indian rupee. . . . . . . . . . . . . . . . . . . . . INR 67.495000 = USD 1 South Korean won. . . . . . . . . . . . . . . . KRW 1 151.850000 = USD 1 Malaysian ringgit. . . . . . . . . . . . . . . . . MYR 4.031500 = USD 1 Philippine peso . . . . . . . . . . . . . . . . . . PHP 47.047500 = USD 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 8.485550 = USD 1 Turkish lira. . . . . . . . . . . . . . . . . . . . . . TRY 2.884400 = USD 1 South African rand. . . . . . . . . . . . . . . . ZAR 14.717500 = USD 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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.
218
Deutsche Invest I Global Thematic 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
options
Securities traded on an exchange Equities Adidas AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Alibaba Group Holding . . . . . . . . . . . . . . . . . . . . . Count 2 203 Ambev SA -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . Count American Express Co.. . . . . . . . . . . . . . . . . . . . . . Count Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . Count ArcelorMittal -Rights Exp 30Mar2016. . . . . . . . . . Count 112 646 Barrick Gold Corp.. . . . . . . . . . . . . . . . . . . . . . . . . Count Calpine Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count China Overseas Land & Investment Ltd. . . . . . . . Count Citigroup, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Credicorp Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 892 CSX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Deutsche Post AG -Reg-. . . . . . . . . . . . . . . . . . . . Count 5 510 Dow Chemical Co.. . . . . . . . . . . . . . . . . . . . . . . . . Count Endo International Plc. . . . . . . . . . . . . . . . . . . . . . Count 2 832 Exxon Mobil Corp.. . . . . . . . . . . . . . . . . . . . . . . . . Count HCA Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Count Hershey Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Homeinns Hotel Group -ADR-. . . . . . . . . . . . . . . . Count Interval Leisure Group, Inc.. . . . . . . . . . . . . . . . . . Count 3 411 Itau Unibanco Holding SA -ADR-. . . . . . . . . . . . . . Count 6 604 Kinder Morgan, Inc.. . . . . . . . . . . . . . . . . . . . . . . . Count LendingClub Corp.. . . . . . . . . . . . . . . . . . . . . . . . . Count 4 461 Mindray Medical International Ltd -ADR- . . . . . . . Count Newmont Mining Corp.. . . . . . . . . . . . . . . . . . . . . Count Procter & Gamble Co.. . . . . . . . . . . . . . . . . . . . . . Count QIAGEN NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Rizzoli Corriere Della Sera Mediagroup SpA. . . . . Count 1 553 Starwood Hotels & Resorts Worldwide, Inc. . . . . Count Swatch Group AG -B- . . . . . . . . . . . . . . . . . . . . . . Count Syngenta AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Tumi Holdings, Inc.. . . . . . . . . . . . . . . . . . . . . . . . Count UniCredit SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Vale SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count
3 2 138 8 3 112 41 19 81 8 5 19 41 16 9 9 3 1 7 3 187 21 18 6 32 9 10 1 10
041 203 628 362 556 646 481 320 092 203 177 360 157 245 403 747 776 700 095 411 681 428 253 583 285 502 265 553 554 546 775 12 127 84 647 51 927
Value (’000) Futures contracts Currency futures (short) Futures contracts to sell currencies USD/ZAR USD 16 Currency futures (long) Futures contracts to purchase currencies EUR/USD USD 44
Securities admitted to or included in organized markets Equities Rolls Royce Holdings Plc. . . . . . . . . . . . . . . . . . . .
Count
5 340 074
219
Deutsche Invest I Gold and Precious Metals Equities Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in USD
Securities traded on an exchange 154 818 863.92 Equities Evolution Mining Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 205 045 1 205 045 AUD 2.33 2 087 986.30 Newcrest Mining Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 382 291 129 224 59 209 AUD 23 6 538 684.29 Agnico-Eagle Mines Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 190 461 56 889 20 365 CAD 69.11 10 137 676.92 Alamos Gold, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 581 254 217 339 58 622 CAD 11.35 5 081 048.14 Argonaut Gold, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 144 996 376 509 121 572 CAD 3.81 3 359 854.25 Asanko Gold, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 312 460 312 460 CAD 4.81 1 157 526.65 AuRico Metals Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 261 167 97 652 26 340 CAD 0.98 197 122.35 B2Gold Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 272 908 475 960 128 382 CAD 3.18 3 117 565.80 Barrick Gold Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 706 069 286 847 108 494 CAD 27.39 14 894 662.59 Belo Sun Mining Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 478 012 478 012 CAD 0.9 331 339.19 Continental Gold, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 593 081 221 761 59 814 CAD 3.55 1 621 563.12 Detour Gold Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 164 821 88 536 15 947 CAD 32.62 4 140 835.66 Eldorado Gold Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 584 083 218 397 58 908 CAD 5.78 2 600 123.03 Franco-Nevada Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 078 34 803 9 388 CAD 97.25 6 971 530.73 Goldcorp, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 565 021 220 380 56 756 CAD 24.54 10 679 001.34 Kirkland Lake Gold, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 116 059 116 059 CAD 10.71 957 325.85 MAG Silver Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 114 146 42 680 11 512 CAD 16.02 1 408 363.31 New Gold, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 686 435 256 667 69 231 CAD 5.66 2 992 315.23 OceanaGold Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 844 891 313 983 85 522 CAD 5.02 3 266 599.52 Osisko Gold Royalties Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 057 8 995 2 427 CAD 16.87 312 570.54 Pan American Silver Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91 849 34 342 9 264 CAD 21 1 485 542.98 Silver Wheaton Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 263 460 98 509 26 570 CAD 29.85 6 056 901.57 Tahoe Resources, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 342 027 127 890 34 495 CAD 19.13 5 039 261.02 Torex Gold Resources, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 130 288 796 569 214 857 CAD 2.275 3 732 597.97 Yamana Gold, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 729 860 272 904 73 610 CAD 6.77 3 805 570.09 Centamin Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 614 572 595 575 164 155 GBP 1.275 2 766 011.68 Fresnillo Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 260 675 96 155 26 501 GBP 16.05 5 621 611.48 Randgold Resources Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 76 005 22 465 11 691 GBP 82.8 8 455 881.90 Korea Zinc Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 440 847 255 KRW 508 000 1 076 112.34 Cia de Minas Buenaventura SA -ADR- . . . . . . . . . . . . . . . . . . . Count 110 344 41 258 11 128 USD 11.68 1 288 817.92 Newmont Mining Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 392 349 301 118 47 144 USD 38.27 15 015 196.23 Stillwater Mining Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 138 746 51 879 13 993 USD 11.08 1 537 305.68 Anglo American Platinum Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Count 78 916 29 108 8 024 ZAR 370.72 1 987 819.91 AngloGold Ashanti Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 356 409 131 469 36 235 ZAR 268.37 6 499 030.63 Sibanye Gold Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 660 255 243 547 67 126 ZAR 50.86 2 281 676.19 Non-group fund units iShares MSCI Global Gold Miners ETF USD - (0.390%). . . . . .
Units
540 739
1 262 189
721 450
USD
11.68
6 315 831.52
% of net assets
97.68 1.32 4.13 6.40 3.21 2.12 0.73 0.12 1.97 9.40 0.21 1.02 2.61 1.64 4.40 6.74 0.60 0.89 1.89 2.06 0.20 0.94 3.82 3.18 2.35 2.40 1.75 3.55 5.33 0.68 0.81 9.47 0.97 1.25 4.10 1.44 3.98
Total securities portfolio 154 818 863.92 97.68 Cash at bank 4 688 846.07 2.96 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 216 10 244.53 0.01 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 734 986.79 0.00 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 13 346 9 925.10 0.01 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 775 99.92 0.00 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 12 906 9 940.07 0.01 South African rand. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 147 326 10 010.26 0.01 South Korean won. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 113 126 770 98 213.11 0.06 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 549 426.29 2.86 Other assets 18 769.87 0.01 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 658.80 0.01 Receivables from exceeding the expense cap. . . . . . . . . . . . . 1 111.07 0.00 Receivables from share certificate transactions 1 642 034.06 1.04 Total assets 161 167 519.33 101.69 Other liabilities -1 339 366.97 -0.85 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -270 425.95 -0.17 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 068 941.02 -0.67 Liabilities from share certificate transactions -1 328 628.80 -0.85 Total liabilities -2 667 001.18 -1.69 Net assets 158 500 518.15 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
220
Deutsche Invest I Gold and Precious Metals Equities Net asset value per share and number of shares outstanding
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ currency
Net asset value per share in the respective currency
EUR EUR EUR EUR USD USD
89.01 84.10 77.47 76.89 79.58 72.92
Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 133 980 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 351 656 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 662 737 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 291 600 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 291 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 401 900 Composition of the reference portfolio (according to CSSF circular 11/512) S&P - Gold & Precious Metals Mining Index Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 63.681 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 74.602 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 70.455 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0.00 as of the reporting date. Exchange rates (indirect quotes) Australian dollar. . . . . . . . . . . . . . . . . . Canadian dollar . . . . . . . . . . . . . . . . . . Euro . . . . . . . . . . . . . . . . . . . . . . . . . . British pound . . . . . . . . . . . . . . . . . . . Hong Kong dollar . . . . . . . . . . . . . . . . South Korean won. . . . . . . . . . . . . . . . South African rand. . . . . . . . . . . . . . . .
AUD CAD EUR GBP HKD KRW ZAR
As of: June 30, 2016
1.344719 = USD 1.298400 = USD 0.899564 = USD 0.744241 = USD 7.758900 = USD 1 151.850000 = USD 14.717500 = USD
1 1 1 1 1 1 1
Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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.
221
Deutsche Invest I Gold and Precious Metals Equities 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) Option contracts
Securities traded on an exchange Equities Gold Fields Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 176 987 Impala Platinum Holdings Ltd. . . . . . . . . . . . . . . . Count 48 034 Medusa Mining Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 102 375 Regis Resources Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 207 605 Teranga Gold Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 291 475 Non-group fund units VanEck Vectors Gold Miners ETF USD (0.500%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 195 182
660 179 466 1 474 1 088
668 304 408 645 030
195 182
Investment fund units Non-group fund units ETFS Physical Palladium Shares USD (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iShares Silver Trust USD - (0.500%). . . . . . . . . . . SPDR Gold Shares USD - (0.400%) . . . . . . . . . . .
222
options
Units Units Units
148 31 324 16 205
6 100 31 324 43 543
Options on equity index derivatives Options on equity indices Put options sold (Underlying: Vaneck Vectors Gold Miners ETF) USD
66
Deutsche Invest I Latin American Equities Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 23 507 395.94 Equities AES Tiete Energia SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 57 000 57 000 BRL 14.42 230 274.26 Ambev SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 265 892 141 000 80 000 BRL 18.87 1 405 667.03 B2W Cia Digital. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 185 9 000 81 000 BRL 9.4 74 225.17 Banco Bradesco SA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 242 000 153 000 66 000 BRL 24.87 1 686 150.90 Banco do Brasil SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 216 900 295 000 215 600 BRL 16.39 995 964.35 BM&FBovespa SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 153 000 202 000 274 000 BRL 17.61 754 842.03 BR Malls Participacoes SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 85 325 149 025 226 000 BRL 12.86 307 413.59 BRF SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 233 51 733 58 300 BRL 44.16 522 499.99 Cia Energetica de Minas Gerais -Pref- . . . . . . . . . . . . . . . . . . . Count 75 000 75 000 BRL 6.96 146 243.24 Eletropaulo Metropolitana Eletricidade de Sao Paulo SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 000 55 000 BRL 8.35 128 663.23 Gafisa SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 334 255 190 000 BRL 2.05 191 971.63 Iguatemi Empresa de Shopping Centers SA. . . . . . . . . . . . . . . Count 81 427 81 427 BRL 28.02 639 207.49 Investimentos Itau SA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 432 997 139 363 BRL 7.38 895 254.55 Itau Unibanco Holding SA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . Count 104 303 57 000 53 000 BRL 29.63 865 832.21 Lojas Americanas SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 64 000 64 000 BRL 11.2 200 818.30 Lojas Americanas SA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 153 993 141 858 155 500 BRL 15.87 684 672.99 Lojas Renner SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 117 066 117 066 BRL 23.24 762 205.70 Multiplan Empreendimentos Imobiliarios SA . . . . . . . . . . . . . . Count 63 800 29 800 7 500 BRL 60.12 1 074 595.30 Ouro Fino Saude Animal Participacoes SA. . . . . . . . . . . . . . . . Count 5 228 5 228 BRL 43.15 63 200.67 Raia Drogasil SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106 300 45 700 32 697 BRL 62.06 1 848 205.77 Cencosud SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 209 095 CLP 1 889 536 373.95 Embotelladora Andina SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 111 714 CLP 2 330.2 353 502.81 Itau CorpBanca . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 219 000 42 219 000 CLP 5.53 317 048.10 Grupo de Inversiones Suramericana -Pref-. . . . . . . . . . . . . . . . Count 25 000 COP 37 300 286 479.48 Grupo de Inversiones Suramericana SA. . . . . . . . . . . . . . . . . . Count 19 676 COP 38 060 230 064.85 Prosegur Cia de Seguridad SA . . . . . . . . . . . . . . . . . . . . . . . . Count 70 056 EUR 5.36 375 500.16 Fomento Economico Mexicano SAB de CV. . . . . . . . . . . . . . . Count 25 000 25 000 MXN 169.7 205 974.59 Gruma SAB de CV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 000 20 200 MXN 263.89 602 160.96 Grupo Aeroportuario del Centro Norte SAB de CV. . . . . . . . . . Count 44 000 62 000 18 000 MXN 106.28 227 036.68 Grupo Aeroportuario del Pacifico SAB de CV. . . . . . . . . . . . . . Count 25 000 17 000 16 000 MXN 187.7 227 822.22 Ambev SA -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 000 90 000 70 500 USD 5.865 379 867.89 Anheuser-Busch InBev NV -ADR-. . . . . . . . . . . . . . . . . . . . . . . Count 2 000 USD 129.33 232 681.22 Banco Bradesco SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 54 500 133 000 148 200 USD 7.67 376 031.25 Credicorp Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 650 500 USD 154.33 367 898.74 Empresa Nacional de Electricidad SA. . . . . . . . . . . . . . . . . . . . Count 7 500 USD 27.42 184 995.34 Endesa Americas SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 500 7 500 USD 13.57 91 553.13 Enersis Chile SA -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 600 23 600 USD 5.76 122 283.13 Enersis SA -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 600 USD 8.51 180 664.84 Fomento Economico Mexicano SA de CV -ADR-. . . . . . . . . . . Count 16 567 11 300 8 400 USD 91.69 1 366 463.11 Globant SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 057 9 100 6 000 USD 39.1 951 674.57 Grupo Clarin SA -GDR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 500 USD 19.9 581 793.02 Grupo Financiero Galicia SA -ADR-. . . . . . . . . . . . . . . . . . . . . . Count 28 700 19 100 6 400 USD 30.9 797 760.34 Grupo Supervielle SA -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 703 32 703 USD 12.66 372 437.47 InRetail Peru Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 520 27 500 USD 16.34 448 609.69 Interest-bearing securities 1.875 % KFW 2012/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
EUR
200 000
%
106.405
212 810.00
% of net assets
98.03 0.96 5.86 0.31 7.03 4.15 3.15 1.28 2.18 0.61 0.54 0.80 2.67 3.73 3.61 0.84 2.86 3.18 4.48 0.26 7.71 2.24 1.47 1.32 1.19 0.96 1.57 0.86 2.51 0.95 0.95 1.58 0.97 1.57 1.53 0.77 0.38 0.51 0.75 5.70 3.97 2.43 3.33 1.55 1.87 0.89
Total securities portfolio 23 507 395.94 98.03 Cash at bank 368 788.40 1.54 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104 092.29 0.43 Deposits in non-EU/EEA currencies Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 259 628 72 737.37 0.30 Chilean peso. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CLP 93 874 263 127 478.99 0.54 Colombian peso. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . COP 151 042 671 46 402.82 0.19 Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 107 696 5 228.68 0.02 Peruvian nuevo sol . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PEN 4 877 1 332.20 0.01 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 12 802 11 516.05 0.05 Other assets 163 547.48 0.68 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57 320.51 0.24 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 058.22 0.00 Receivables from exceeding the expense cap. . . . . . . . . . . . . 20 608.85 0.09 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84 559.90 0.35 Receivables from share certificate transactions 4 129.90 0.02 Total assets 24 043 861.72 100.27 Other liabilities -55 354.84 -0.23 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -55 354.84 -0.23 Liabilities from share certificate transactions -9 564.80 -0.04
223
Deutsche Invest I Latin American Equities Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Total liabilities -64 919.64 -0.27 Net assets 23 978 942.08 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 93.24 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 89.16 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 86.95 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 73.80 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 425 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 256 589 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 812 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 142 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI EM Latin America10/40 Index in EUR Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 79.985 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 98.439 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 89.188 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Exchange rates (indirect quotes) As of: June 30, 2016 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3.569396 = EUR 1 Chilean peso. . . . . . . . . . . . . . . . . . . . CLP 736.390073 = EUR 1 Colombian peso. . . . . . . . . . . . . . . . . . COP 3 255.032438 = EUR 1 Mexican peso . . . . . . . . . . . . . . . . . . . MXN 20.597200 = EUR 1 Peruvian nuevo sol . . . . . . . . . . . . . . . PEN 3.660607 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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.
224
Deutsche Invest I Latin American Equities 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/ Purchases/ Sales/ Description units/ additions disposals currency
Securities traded on an exchange Equities AES Tiete SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count America Movil SAB de CV -ADR- . . . . . . . . . . . . . Count 50 000 B2W Cia Digital -Rights Exp 30Jun16. . . . . . . . . . Count 9 014 Banco Bradesco S.A. 05/02/2016. . . . . . . . . . . . . Count Banco Santander Brasil SA. . . . . . . . . . . . . . . . . . Count 22 000 BB Seguridade Participacoes . . . . . . . . . . . . . . . . Count 45 500 BRF SA -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 000 CCR SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 248 Cielo SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Corpbanca SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Corporativo Fragua SAB de CV. . . . . . . . . . . . . . . Count Grupo Financiero Inbursa SAB de CV. . . . . . . . . . Count 115 000 Grupo Herdez SAB de CV. . . . . . . . . . . . . . . . . . . Count Itau CorpBanca -ADR-. . . . . . . . . . . . . . . . . . . . . . Count Itau Unibanco Holding SA -ADR-. . . . . . . . . . . . . . Count Marcopolo SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . Count Telefonica Brasil SA. . . . . . . . . . . . . . . . . . . . . . . . Count
47 50 9 5 74 81 40 81 36 13 900 44 115 164 28 69 437 21
000 000 014 077 000 500 000 248 648 000 000 000 010 146 500 000 000
225
Deutsche Invest I Liquidity Fund Investment portfolio – June 30, 2016 Description
226
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 53 332 811.14 Interest-bearing securities 0.576 % ABN AMRO Bank NV (MTN) 2013/2017 *. . . . . . . . EUR 1 000 000 1 000 000 % 100.661 1 006 610.00 0.346 % ANZ New Zealand Int‘l Ltd (MTN) 2013/2016 *. . . . EUR 1 000 000 % 100.163 1 001 630.00 0.269 % ASB Finance Ltd/London (MTN) 2014/2017 * . . . . . EUR 1 050 000 1 050 000 % 100.154 1 051 617.00 0.274 % Bank of Montreal (MTN) 2013/2016 * . . . . . . . . . . . EUR 1 000 000 % 100.102 1 001 020.00 0.199 % Bank of Nova Scotia (MTN) 2013/2016 *. . . . . . . . . EUR 1 000 000 % 100.055 1 000 550.00 0.00 % Banque Federative du Credit Mutuel SA (MTN) 2015/2017 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.06 1 000 600.00 0.128 % Banque Federative du Credit Mutuel SA (MTN) 2016/2018 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 100 000 1 100 000 % 100.052 1 100 572.00 0.00 % Barclays Bank Plc (MTN) 2015/2016 *. . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.059 1 000 590.00 0.139 % BASF SE (MTN) 2013/2016 *. . . . . . . . . . . . . . . . . . EUR 1 000 000 % 100.022 1 000 220.00 0.096 % BMW Finance NV (MTN) 2013/2016 *. . . . . . . . . . . EUR 525 000 525 000 % 100.021 525 110.25 0.218 % BMW Finance NV (MTN) 2014/2017 *. . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.067 1 000 670.00 0.058 % BNP Paribas SA 2015/2017 *. . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.083 1 000 830.00 0.056 % BPCE SA (MTN) 2016/2017 *. . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.082 1 000 815.00 0.108 % BPCE SA (MTN) 2016/2018 *. . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.091 1 000 910.00 0.122 % Caisse Centrale Desjardins 2015/2017. . . . . . . . . . . EUR 800 000 % 100.101 800 808.00 0.158 % Caisse Centrale Desjardins 2016/2018 * . . . . . . . . . EUR 800 000 800 000 % 100.085 800 680.00 0.037 % Coca-Cola Co/The 2015/2017. . . . . . . . . . . . . . . . . . EUR 1 000 000 % 100.07 1 000 700.00 0.276 % Commonwealth Bank of Australia (MTN) 2013/2016 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 250 000 % 100.062 1 250 775.00 0.264 % Cooperatieve Centrale RaiffeisenBoerenleenbank BA (MTN) 2013/2016 * . . . . . . . . . EUR 1 000 000 % 100.084 1 000 840.00 0.126 % Cooperatieve Rabobank UA (MTN) 2016/2018 * . . . EUR 1 400 000 1 400 000 % 100.103 1 401 442.00 0.291 % Credit Suisse AG/London (MTN) 2015/2017 *. . . . . EUR 1 000 000 1 000 000 % 100.178 1 001 780.00 0.199 % Credit Suisse AG/London (MTN) 2015/2017 *. . . . . EUR 1 000 000 1 000 000 % 100.047 1 000 470.00 0.236 % Danske Bank A/S (MTN) 2014/2017 * . . . . . . . . . . . EUR 1 500 000 1 500 000 % 100.119 1 501 785.00 0.34 % DekaBank Deutsche Girozentrale (MTN) 2016/2018 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 900 000 900 000 % 100.378 903 402.00 0.00 % France Treasury Bill BTF 2016/2016. . . . . . . . . . . . . EUR 2 800 000 2 800 000 % 100.043 2 801 204.00 0.00 % GE Capital European Funding Unlimited Co. (MTN) 2007/2017 *. . . . . . . . . . . . . . . . . . . . . . . . . . EUR 800 000 800 000 % 99.933 799 464.00 0.305 % Honeywell International, Inc. 2016/2018 *. . . . . . . . EUR 430 000 430 000 % 100.37 431 591.00 0.337 % ING Bank NV (MTN) 2013/2016 *. . . . . . . . . . . . . . . EUR 1 000 000 % 100.074 1 000 740.00 0.531 % ING Bank NV (MTN) 2015/2017 *. . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.545 1 005 450.00 0.055 % JPMorgan Chase & Co. (MTN) 2014/2016 * . . . . . . EUR 1 000 000 1 000 000 % 100.047 1 000 470.00 0.00 % La Banque Postale SA (MTN) 2015/2017 * . . . . . . . EUR 1 000 000 1 000 000 % 100.114 1 001 145.00 0.078 % Landesbank Berlin AG 2015/2017 *. . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.128 1 001 285.00 0.25 % Landesbank Hessen-Thueringen Girozentrale (MTN) 2015/2017 *. . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.222 1 002 220.00 0.358 % Landesbank Hessen-Thueringen Girozentrale (MTN) 2016/2018 *. . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.224 1 002 235.00 0.345 % Lloyds Bank Plc (MTN) 2015/2017 *. . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.138 1 001 380.00 0.289 % Lloyds Bank Plc (MTN) 2016/2018 *. . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.009 1 000 090.00 0.248 % National Australia Bank Ltd (MTN) 2013/2016 *. . . . EUR 1 000 000 % 100.014 1 000 140.00 0.138 % National Australia Bank Ltd (MTN) 2015/2018 *. . . . EUR 1 000 000 1 000 000 % 100.043 1 000 430.00 0.167 % National Bank of Canada 2015/2017. . . . . . . . . . . . . EUR 1 529 000 600 000 % 100.091 1 530 391.39 0.412 % Nationwide Building Society (MTN) 2016/2018 *. . . EUR 1 000 000 1 000 000 % 100.119 1 001 190.00 0.201 % Nordea Bank AB (MTN) 2013/2016 *. . . . . . . . . . . . EUR 1 000 000 % 100.089 1 000 890.00 0.234 % Pohjola Bank Plc (MTN) 2014/2017 *. . . . . . . . . . . . EUR 1 000 000 % 100.132 1 001 320.00 0.149 % SBAB Bank AB (MTN) 2013/2016 *. . . . . . . . . . . . . EUR 300 000 300 000 % 100.032 300 097.50 0.272 % Skandinaviska Enskilda Banken AB 2015/2017. . . . . EUR 800 000 % 100.167 801 336.00 0.221 % Societe Generale SA (MTN) 2015/2017 *. . . . . . . . . EUR 400 000 % 100.06 400 240.00 0.051 % Societe Generale SA (MTN) 2015/2017 *. . . . . . . . . EUR 1 000 000 1 000 000 % 100.117 1 001 170.00 0.161 % Societe Generale SA (MTN) 2016/2018 *. . . . . . . . . EUR 1 000 000 1 000 000 % 100.187 1 001 870.00 0.557 % Standard Chartered Bank 2015/2017 *. . . . . . . . . . . EUR 1 000 000 % 100.265 1 002 650.00 0.151 % Toronto-Dominion Bank 2015/2017 * . . . . . . . . . . . EUR 1 200 000 % 100.128 1 201 536.00 0.087 % Toyota Motor Credit Corp 2015/2017. . . . . . . . . . . . EUR 1 185 000 800 000 % 100.1 1 186 185.00 0.126 % UBS AG (MTN) 2014/2016 *. . . . . . . . . . . . . . . . . . . EUR 1 000 000 % 100.038 1 000 380.00 0.101 % UBS AG/London (MTN) 2015/2017 *. . . . . . . . . . . . EUR 500 000 500 000 % 100.085 500 425.00 0.257 % Westpac Banking Corp. (MTN) 2013/2016 * . . . . . . EUR 1 000 000 % 100.086 1 000 860.00
91.22
Securities admitted to or included in organized markets 1 331 064.00 Interest-bearing securities 1.00 % Canadian Imperial Bank 2015/2017 . . . . . . . . . . . . . EUR 1 330 000 500 000 % 100.08 1 331 064.00 Total securities portfolio 54 663 875.14
2.28
1.72 1.71 1.80 1.71 1.71 1.71 1.88 1.71 1.71 0.90 1.71 1.71 1.71 1.71 1.37 1.37 1.71 2.15 1.71 2.40 1.71 1.71 2.57 1.55 4.79 1.37 0.75 1.71 1.72 1.71 1.71 1.71 1.71 1.71 1.71 1.71 1.71 1.71 2.62 1.71 1.71 1.71 0.51 1.37 0.69 1.71 1.72 1.72 2.06 2.03 1.71 0.86 1.71
2.28 93.50
Deutsche Invest I Liquidity Fund Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Derivatives (Minus signs denote short positions) Currency derivatives 248 102.17 0.42 Receivables/payables Currency futures Currency futures (short) Closed positions EUR/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67.66 0.00 Currency futures (long) Open positions USD/EUR 19.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248 034.51 0.42 Cash at bank 3 020 771.65 5.17 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 506 759.53 0.87 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 15 426 13 876.45 0.02 Time deposits EUR deposits (Honeywell International 0.01% 28/07/2016). . . 1 000 097.54 1.71 EUR deposits (LVMH Finance Belgique 0.01% 31/08/2016) . . 1 500 038.13 2.57 Other assets 54 055.90 0.09 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 614.98 0.01 Receivables from exceeding the expense cap. . . . . . . . . . . . . 48 440.92 0.08 Receivables from share certificate transactions 757 068.69 1.29 Total assets 58 743 873.55 100.47 Other liabilities -22 057.85 -0.04 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -22 057.85 -0.04 Liabilities from share certificate transactions -254 943.68 -0.43 Total liabilities -277 001.53 -0.47 Net assets 58 466 872.02 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.00 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.80 Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98.68 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 101.26 Class USD LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100.84 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 244 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 309 031 Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 032 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 168 396 Class USD LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 063 Presentation of the maximum limit (according to CSSF circular 11/512) 0.80% of portfolio value Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 0.045 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 0.134 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 0.093
227
Deutsche Invest I Liquidity Fund The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations
Contracting party for currency futures State Street Bank and Trust Company Exchange rates (indirect quotes) As of: June 30, 2016 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnote * Floating interest rate
228
Deutsche Invest I Liquidity Fund 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
Securities traded on an exchange
options
Value (’000) Futures contracts Currency futures (short) Futures contracts to sell currencies EUR/USD EUR 112 724 Currency futures (long) Futures contracts to purchase currencies USD/EUR EUR 93 950
Interest-bearing securities 0.375 % ABN AMRO Bank NV (MTN) 2013/2016 * . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 0.102 % Banque Federative du Credit Mutuel SA (MTN) 2006/2016 *. . . . . . . . . . . . EUR 1 400 000 0.00 % Belgium Treasury Bill Zero Coupon 2015/2016. . . . . . . . . . . . . . . . . . . . . . EUR 2 500 000 2 500 000 0.431 % BPCE SA (MTN) 2014/2016 *. . . . . . . EUR 800 000 0.469 % Credit Agricole SA (MTN) 2013/2016 * . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 0.259 % Credit Suisse AG (MTN) 2014/2016 * . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 0.00 % France Treasury Bill BTF 2015/2016. . EUR 2 000 000 2 000 000 0.00 % France Treasury Bill BTF 2015/2016. . EUR 1 600 000 1 600 000 0.00 % France Treasury Bill BTF 2016/2016. . EUR 4 500 000 4 500 000 0.00 % France Treasury Bill BTF Zero Coupon 2016/2016. . . . . . . . . . . EUR 3 000 000 3 000 000 0.00 % French Discount Bill 2016/2016 . . . . . EUR 800 000 800 000 0.382 % GE Capital European Funding (MTN) 2013/2016 * . . . . . . . . . . . . . . . . . . . . EUR 1 400 000 0.189 % HSBC France SA (MTN) 2014/2016 * . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 0.219 % Societe Generale SA (MTN) 2014/2016 * . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 0.317 % Swedbank AB (MTN) 2013/2016 *. . . EUR 1 400 000 0.246 % Volkswagen International Finance NV (MTN) 2014/2016 *. . . . . . . . . . . . . . . EUR 1 000 000 0.07 % Wells Fargo & Co. 2015/2016 *. . . . . EUR 1 500 000 Securities admitted to or included in organized markets Interest-bearing securities 0.00 % Societe Financiere Interbail 2015/2016. . . . . . . . . . . . . . . . . . . . . . EUR 1 500 000
229
Deutsche Invest I Multi Asset Balance Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 21 339 145.89 Equities BHP Billiton Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 541 AUD 18.65 94 082.38 Bank of Montreal. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 143 CAD 82.3 179 212.28 Sun Life Financial, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 322 CAD 41.91 183 567.47 Suncor Energy, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 521 CAD 35.39 159 888.90 Novartis AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 641 CHF 79.3 46 910.50 Roche Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 307 CHF 253.5 71 821.61 Sika AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 CHF 4 045 123 188.82 Allianz SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 369 EUR 126.15 172 699.35 Amadeus IT Holding SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 504 EUR 39.215 58 979.36 Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 812 EUR 116.4 210 916.80 Atlantia SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 844 EUR 22.11 217 650.84 AXA SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 844 EUR 17.55 172 762.20 BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 578 EUR 68.1 175 561.80 Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 156 EUR 168.5 194 786.00 Deutsche Telekom AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 245 EUR 15.13 200 396.85 Enel SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 074 EUR 3.92 184 530.08 Gas Natural SDG SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 055 EUR 17.42 140 318.10 Henkel AG & Co. KGaA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 267 EUR 108.55 246 082.85 Koninklijke Ahold NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 311 EUR 19.785 263 358.14 Koninklijke Philips NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 139 EUR 22.21 180 767.19 Muenchener Rueckversicherungs AG -Reg-. . . . . . . . . . . . . . . Count 1 174 EUR 148.5 174 339.00 Orange SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 624 EUR 14.5 212 048.00 Safran SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 539 EUR 60.88 215 454.32 SAP AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 705 EUR 66.85 113 979.25 Societe Generale SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 157 EUR 27.97 88 301.29 Tenaris SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 187 EUR 12.91 157 334.17 Total SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 776 EUR 43.05 162 556.80 TUI AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 029 EUR 10.15 61 194.35 Unilever NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 334 EUR 41.55 221 627.70 Wolters Kluwer NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 227 EUR 36.505 300 326.64 HSBC Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 563 GBP 4.571 124 659.83 Kingfisher Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 48 770 GBP 3.197 188 457.69 Legal & General Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 60 137 GBP 1.867 135 739.70 Old Mutual Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 73 918 GBP 1.943 173 596.70 Royal Dutch Shell Plc -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 363 GBP 20.055 154 242.15 Central Japan Railway Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 600 JPY 18 125 253 805.09 Fuji Heavy Industries Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 300 JPY 3 478 191 766.37 Nippon Telegraph & Telephone Corp.. . . . . . . . . . . . . . . . . . . . Count 7 400 JPY 4 800 310 867.47 DBS Group Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 500 SGD 15.76 152 532.73 Anthem, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 918 USD 130.9 108 097.19 Apple, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 080 USD 94.48 91 790.07 Archer-Daniels-Midland Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 459 USD 41.8 167 666.32 CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 683 7 683 USD 23.72 163 937.23 Comcast Corp. -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 683 USD 64.27 155 117.59 CSX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 166 USD 25.57 141 829.42 CVS Health Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 071 USD 94.58 261 283.02 Delta Air Lines, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 198 USD 35.94 168 053.06 Eli Lilly & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 297 USD 77.48 229 795.03 FNF Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 527 USD 36.87 183 313.59 Ford Motor Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 103 USD 12.301 178 188.34 Gilead Sciences, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 086 USD 81.75 153 403.10 Hewlett Packard Enterprise . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 089 USD 17.9 49 739.68 HP Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 089 USD 12.17 33 817.43 Intel Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 779 USD 32.16 196 116.32 International Paper Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 201 USD 41.01 154 979.59 Johnson & Johnson. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 072 USD 119.24 222 251.03 Macy‘s, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 964 USD 32.99 117 638.11 Micron Technology, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 831 USD 13.32 81 850.36 Microsoft Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 693 USD 50.52 122 386.01 Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 824 USD 25.3 87 030.30 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 465 USD 34.95 234 697.82 Quest Diagnostics, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 596 USD 80.01 258 818.92 Raytheon Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 178 USD 135.25 264 988.62 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 293 USD 78.25 161 406.29 TE Connectivity Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 754 USD 56.06 189 312.56 TJX Cos, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 502 USD 76.37 240 586.36 Travelers Cos, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 201 USD 117.4 232 445.00 US Bancorp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 131 USD 39.74 183 426.44 Western Union Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 332 USD 18.78 208 334.49 Interest-bearing securities 4.125 % Banque Federative du Credit Mutuel (MTN) 2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.50 % Bundesrepublik Deutschland 2010/2021 . . . . . . . . . 2.375 % Daimler AG 2012/2022. . . . . . . . . . . . . . . . . . . . . . . 0.10 % Deutsche Bundesrepublik Inflation Linked Bond 2015/2026 . . . . . . . . . . . . . . . . . . . . . . 0.375 % Deutsche Post AG (MTN) 2016/2021. . . . . . . . . . . . 4.25 % France Government Bond OAT 2003/2019. . . . . . . . 3.25 % France Government Bond OAT 2011/2021. . . . . . . .
230
EUR EUR EUR
50 000 316 171 79 000
EUR EUR EUR EUR
475 70 273 113
% of net assets
83.22 0.37 0.70 0.72 0.62 0.18 0.28 0.48 0.67 0.23 0.82 0.85 0.67 0.68 0.76 0.78 0.72 0.55 0.96 1.03 0.71 0.68 0.83 0.84 0.44 0.34 0.61 0.63 0.24 0.86 1.17 0.49 0.74 0.53 0.68 0.60 0.99 0.75 1.21 0.59 0.42 0.36 0.65 0.64 0.61 0.55 1.02 0.66 0.90 0.71 0.70 0.60 0.19 0.13 0.76 0.60 0.87 0.46 0.32 0.48 0.34 0.92 1.01 1.03 0.63 0.74 0.94 0.91 0.72 0.81
50 000 234 742 22 000
% % %
115.785 114.195 112.809
57 892.50 361 051.47 89 119.11
0.23 1.41 0.35
111 475 111 000 70 000 115 852 875 017 83 910
% % % %
110.9 101.606 113.48 119.173
526 71 309 134
2.05 0.28 1.21 0.53
897.59 124.20 930.90 685.75
Deutsche Invest I Multi Asset Balance Description
1.75 2.125 3.75 4.00 4.50 4.75 4.25 2.00 3.50 8.125 4.10
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% % % % % % % % % % %
France Government Bond OAT 2014/2024. . . . . . . . EUR 220 488 163 702 % 114.503 252 465.37 Goldman Sachs Group, Inc. (MTN) 2014/2024. . . . . EUR 49 000 14 000 % 105.533 51 711.17 Italy Buoni Poliennali Del Tesoro 2006/2016. . . . . . . EUR 469 000 348 000 % 100.303 470 421.07 Italy Buoni Poliennali Del Tesoro 2007/2017. . . . . . . EUR 647 000 481 000 % 102.443 662 806.21 Italy Buoni Poliennali Del Tesoro 2013/2024. . . . . . . EUR 222 000 165 000 % 125.963 279 637.86 Linde Finance BV (MTN) 2007/2017. . . . . . . . . . . . . EUR 67 000 18 000 % 103.977 69 664.59 Metro Finance BV (MTN) 2010/2017 . . . . . . . . . . . . EUR 83 000 23 000 % 102.72 85 257.60 National Australia Bank Ltd 2013/2020. . . . . . . . . . . EUR 53 000 14 000 % 107.78 57 123.40 Netherlands Government Bond 2010/2020 . . . . . . . EUR 759 224 563 695 % 116.548 884 860.39 Orange SA (MTN) 2003/2033. . . . . . . . . . . . . . . . . . EUR 23 000 7 000 % 192.214 44 209.22 Portugal Obrigacoes do Tesouro OT 144A 2015/2045. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 72 803 54 052 % 101.805 74 117.09 4.125 % Rabobank Nederland (MTN) 2010/2020 . . . . . . . . . . EUR 76 000 22 000 % 114.029 86 662.04 1.00 %RTE Reseau de Transport d‘Electricite SA (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 101.553 101 553.00 4.125 % Sanofi (MTN) 2009/2019. . . . . . . . . . . . . . . . . . . . . . EUR 68 000 18 000 % 113.879 77 437.72 2.75 % Spain Government Bond 144A 2014/2024. . . . . . . . EUR 229 000 169 000 % 113.835 260 682.15 4.20 % Spain Government Bond 2005/2037. . . . . . . . . . . . . EUR 66 000 50 000 % 137.158 90 524.28 2.10 % Spain Government Bond 2013/2017. . . . . . . . . . . . . EUR 667 000 494 000 % 101.943 679 959.81 2.625 % Volkswagen Leasing GmbH (MTN) 2014/2024. . . . . EUR 62 000 17 000 % 110.373 68 431.26 3.75 % American International Group, Inc. 2015/2025. . . . . USD 74 000 74 000 % 102.274 68 081.49 4.45 % AT&T, Inc. 2016/2024. . . . . . . . . . . . . . . . . . . . . . . . USD 70 000 70 000 % 109.631 69 034.07 3.875 % Bank of America Corp 2015/2025. . . . . . . . . . . . . . . USD 71 000 71 000 % 106.435 67 979.02 6.90 % Canadian National Railway Co. 1998/2028. . . . . . . . USD 51 000 51 000 % 142.648 65 443.71 6.00 % ConocoPhillips 2009/2020. . . . . . . . . . . . . . . . . . . . . USD 54 000 54 000 % 113.756 55 258.63 2.40 % ConocoPhillips Co. 2012/2022 . . . . . . . . . . . . . . . . . USD 76 000 76 000 % 98.808 67 551.93 3.70 % Deutsche Bank AG/London 2014/2024. . . . . . . . . . . USD 70 000 70 000 % 99.127 62 419.76 3.90 % Dominion Resources, Inc./VA 2015/2025. . . . . . . . . USD 69 000 69 000 % 107.262 66 577.43 9.00 % Energy Transfer Partners LP 2009/2019. . . . . . . . . . USD 50 000 50 000 % 112.476 50 589.68 4.00 % FS Investment Corp. 2014/2019. . . . . . . . . . . . . . . . USD 69 000 69 000 % 100.168 62 174.19 5.95 % Gap, Inc./The 2011/2021. . . . . . . . . . . . . . . . . . . . . . USD 66 000 66 000 % 105.003 62 341.57 4.65 % HP, Inc. 2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . . USD 47 000 47 000 % 108.162 45 730.36 9.00 % Kinder Morgan Energy Partners LP 2008/2019. . . . . USD 65 000 65 000 % 114.294 66 829.31 4.15 % Magna International, Inc. 2015/2025. . . . . . . . . . . . . USD 48 000 48 000 % 109.794 47 407.81 3.20 % ONEOK Partners LP 2013/2018 . . . . . . . . . . . . . . . . USD 76 000 76 000 % 101.397 69 321.95 7.00 % Pepsi Bottling Group, Inc./The 1999/2029 . . . . . . . . USD 100 000 100 000 % 143.233 128 847.25 8.75 % Plains All American Pipeline LP 2009/2019. . . . . . . . USD 65 000 65 000 % 114.85 67 154.70 6.70 % Rockwell Automation, Inc. 1998/2028 . . . . . . . . . . . USD 56 000 56 000 % 137.994 69 515.28 3.625 % Rogers Communications, Inc. 2015/2025. . . . . . . . . USD 34 000 34 000 % 107.591 32 906.90 3.85 % Thomson Reuters Corp. 2014/2024 . . . . . . . . . . . . . USD 52 000 52 000 % 106.53 49 831.89 3.75 % TransCanada PipeLines Ltd 2013/2023. . . . . . . . . . . USD 53 000 53 000 % 107.79 51 391.16 6.625 % Union Pacific Corp. 1999/2029. . . . . . . . . . . . . . . . . USD 52 000 52 000 % 139.63 65 314.95 2.75 % United States Treasury Note/Bond 2010/2017. . . . . USD 367 000 452 400 85 400 % 102.037 336 865.30 0.625 % United States Treasury Note/Bond 2012/2017. . . . . USD 378 500 466 600 88 100 % 100.109 340 857.38 0.875 % United States Treasury Note/Bond 2014/2017. . . . . USD 379 200 467 400 88 200 % 100.328 342 233.95 0.875 % United States Treasury Note/Bond 2014/2017. . . . . USD 210 400 259 300 48 900 % 100.361 189 952.14 2.125 % United States Treasury Note/Bond 2014/2021. . . . . USD 110 100 135 700 25 600 % 105.078 104 071.48 2.00 % United States Treasury Note/Bond 2014/2021. . . . . USD 364 700 449 600 84 900 % 104.531 342 936.71 2.25 % United States Treasury Note/Bond 2014/2021. . . . . USD 106 500 131 300 24 800 % 105.734 101 297.30 1.00 % United States Treasury Note/Bond 2015/2018. . . . . USD 306 100 377 300 71 200 % 100.643 277 125.92 2.25 % United States Treasury Note/Bond 2015/2025. . . . . USD 173 100 213 400 40 300 % 106.742 166 213.10 1.375 % United States Treasury Note/Bond 2016/2021. . . . . USD 79 700 98 200 18 500 % 101.664 72 888.31 4.00 % Unum Group 2014/2024. . . . . . . . . . . . . . . . . . . . . . USD 58 000 58 000 % 103.497 53 999.26 3.75 % Ventas Realty LP 2014/2024. . . . . . . . . . . . . . . . . . . USD 62 000 62 000 % 104.291 58 166.19 Securities admitted to or included in organized markets 215 128.31 Interest-bearing securities 3.75 % Marriott International, Inc./MD 2015/2025. . . . . . . . USD 47 000 47 000 % 106.234 44 915.21 6.60 % Pharmacia Corp. 2000/2028 . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 138.592 124 671.92 3.55 % Sempra Energy 2014/2024. . . . . . . . . . . . . . . . . . . . USD 48 000 48 000 % 105.47 45 541.18 Investment fund units 2 215 216.52 In-group fund units db x-trackers II - IBOXX EUR HIGH YIELD BOND UCITS-1C- EUR - (0.250%) . . . . . . . . . . . . . . . . . . . . . . Units 29 959 23 101 EUR 17.29 517 991.11 DWS European Opportunities EUR - (1.400%). . . . . . . . . . . . . Units 983 EUR 251.18 246 909.94 DWS Invest - DWS Invest Emerging Markets Corporates -E2- USD - (0.600%). . . . . . . . . . . . . . . . . . . . . . . . Units 2 127 2 127 USD 145 277 439.03 Non-group fund units iShares Diversified Commodity Swap UCITS ETF (DE) EUR - (0.460%). . . . . . . . . . . . . . . . . . . . . . . . Units 9 535 EUR 20.13 191 939.55 iShares II PLC - iShares J,P, Morgan $ Emerging Markets Bond UCITS ETF USD - (0.500%). . . . . . . . . . . . . . . . Units 5 740 USD 113.25 584 766.08 iShares PLC - iShares $ Corporate Bond UCITS ETF USD - (0.200%). . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 1 117 1 117 USD 117.74 118 306.68 Neuberger Berman Investment Funds plc - Neuberger Berman High Yield Bond Fund -I- USD - (0.600%). . . . . . . . . . Units 15 053 10 065 USD 20.52 277 864.13 Total securities portfolio 23 769 490.72
% of net assets
0.98 0.20 1.83 2.59 1.09 0.27 0.33 0.22 3.45 0.17 0.29 0.34 0.40 0.30 1.02 0.35 2.65 0.27 0.27 0.27 0.27 0.26 0.22 0.26 0.24 0.26 0.20 0.24 0.24 0.18 0.26 0.18 0.27 0.50 0.26 0.27 0.13 0.19 0.20 0.25 1.31 1.33 1.33 0.74 0.41 1.34 0.40 1.08 0.65 0.28 0.21 0.23 0.84 0.17 0.49 0.18 8.64
2.02 0.96 1.08
0.75 2.28 0.46 1.09 92.70
231
Deutsche Invest I Multi Asset Balance Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Derivatives (Minus signs denote short positions) Derivatives on individual securities 983 064.28 Warrants on securities Equity warrants Deutsche Bank AG 30/12/2016. . . . . . . . . . . . . . . . . . . . . . . . . Count 5 700 5 700 EUR 26.78 152 646.00 DZ Bank AG Deutsche Zentral-Genossenschaftsbank 23/12/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 600 5 600 EUR 26.76 149 856.00 DZ Bank AG Deutsche Zentral-Genossenschaftsbank 23/12/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 876 20 876 EUR 25.28 527 745.28 Societe Generale Effekten GmbH 23/12/2016. . . . . . . . . . . . . Count 5 700 5 700 EUR 26.81 152 817.00 Equity index derivatives 495 604.82 Receivables/payables Equity index futures DJ EURO STOXX 50 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . Count -127 -127 28 083.75 MSCI Asia ex Japan 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . Count 12 12 5 829.17 MSCI Emerging Market 09/2016 (IFUS) . . . . . . . . . . . . . . . . . Count 23 23 17 172.68 S & P MINI 500 Futures 09/2016 (CME). . . . . . . . . . . . . . . . . . Count -15 -15 17 237.90 Topix Index 09/2016 (OSE). . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 3 -26 150.68 Option contracts Options on equity indices Call DJ EURO STOXX 50 06/2018 2 500 EUR (DB). . . . . . . . . Count 1 120 453 432.00 Currency derivatives -132 538.91 Receivables/payables Currency futures Currency futures (short) Open positions EUR/AUD 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -8 570.21 EUR/CAD 0.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -11 856.25 EUR/GBP 0.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41 873.54 EUR/JPY 103.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -69 935.84 EUR/USD 1.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -39 166.66 Closed positions EUR/USD 1.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -44 883.49 Cash at bank 515 647.43 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 306 233.64 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 0.75 Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 1 0.09 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 20 857 2 239.87 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 29 196 3 095.13 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 1 0.52 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 65 598 7 605.41 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 11 167 554 97 737.31 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 1 921 1 330.66 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 1 0.50 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 10 833 7 230.83 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 240 90 172.72
232
% of net assets
3.83
0.59 0.58 2.06 0.60 1.93
0.11 0.02 0.07 0.07 -0.11
1.77 -0.52
-0.03 -0.05 0.16 -0.27 -0.15 -0.18 2.01 1.19
0.00 0.00 0.01 0.01
0.00 0.03 0.38 0.01 0.00 0.03 0.35
Deutsche Invest I Multi Asset Balance Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Other assets 148 027.12 0.58 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 895.62 0.09 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106 910.23 0.42 Receivables from exceeding the expense cap. . . . . . . . . . . . . 19 221.27 0.07 Receivables from share certificate transactions 15 272.60 0.06 Total assets * 25 995 131.18 101.38 Other liabilities -30 356.82 -0.12 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -30 356.82 -0.12 Liabilities from share certificate transactions -123 707.23 -0.47 Total liabilities -354 627.18 -1.38 Net assets 25 640 504.01 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 109.46 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 111.43 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102.83 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 223 209 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 607 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 916 Composition of the reference portfolio (according to CSSF circular 11/512) 50% iBoxx EUR Overall - Constituents, 50% MSCI THE WORLD INDEX in EUR Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 65.006 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 92.226 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 77.753 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.5, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 17 783 705.70 as of the reporting date. Market abbreviations
Futures exchanges CME = Chicago Mercantile Exchange DB = Deutsche Bank AG EUR = Eurex IFUS = Ice Futures U.S. OSE = Osaka Exchange Contracting parties for currency futures Deutsche Bank AG Frankfurt and Société Générale Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 Danish krone. . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1
233
Deutsche Invest I Multi Asset Balance Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnote * Does not include positions with a negative balance, if such exist.
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
Securities traded on an exchange Equities BP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Mondelez International, Inc. . . . . . . . . . . . . . . . . .
Count Count
32 180 6 235
EUR
100 000
EUR EUR EUR
50 000 100 000 100 000
EUR
50 000
EUR EUR EUR
100 000 50 000 100 000
EUR
50 000
EUR EUR
100 000 100 000
EUR EUR
100 000 50 000
EUR
100 000
EUR
100 000
EUR USD 65 000
86 000 65 000
USD
70 000
70 000
Non-group fund units iShares V plc - iShares $ Emerging Markets Corporate Bond UCITS ETF USD - (0.500%) . . . . Units 3 021
3 021
Interest-bearing securities 4.375 % American International Group, Inc. (MTN) 2006/2016 . . . . . . . . . . . . . . . . 5.375 % BAT International Finance Plc (MTN) 2007/2017. . . . . . . . . . . . . . . . . . . . . . 3.125 % CaixaBank SA (MTN) 2013/2018. . . . . 1.375 % Credit Suisse AG/London 2014/2019. 4.50 % Electricite de France SA (MTN) 2010/2040. . . . . . . . . . . . . . . . . . . . . . 5.00 % Enel Finance International NV (MTN) 2011/2021. . . . . . . . . . . . . . . . . . . . . . 5.625 % Enel SpA (MTN) 2007/2027 . . . . . . . . 3.625 % Eni SpA (MTN) 2014/2029 . . . . . . . . . 4.75 % Hutchison Whampoa Finance 09 Ltd 2009/2016. . . . . . . . . . . . . . . . . . . . . . 3.50 % Iberdrola International BV (MTN) 2013/2021. . . . . . . . . . . . . . . . . . . . . . 1.875 % JPMorgan Chase & Co. 2012/2019 . . 1.125 % Societe Des Autoroutes Paris-Rhin-Rhone (MTN) 2014/2021. . 5.875 % Standard Chartered Bank 2007/2017. 2.125 % Total Capital International SA (MTN) 2012/2023. . . . . . . . . . . . . . . . . . . . . . 1.875 % Vodafone Group Plc (MTN) 2014/2025. . . . . . . . . . . . . . . . . . . . . . 5.00 % Volvo Treasury AB (MTN) 2007/2017. . . . . . . . . . . . . . . . . . . . . . 2.25 % Devon Energy Corp. 2013/2018. . . . . 4.45 % DIRECTV Holdings LLC via DIRECTV Financing Co, Inc. 2014/2024
234
options
Value (’000) Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), FTSE 100, S & P MINI 500 Futures 06/2016 (CME), S&P 500) EUR 10 752 Contracts sold (Underlyings: Dax, MSCI Emerging Market , MSCI Taiwan Index, Swiss Market Index, Topix) EUR 5 378 Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Notes 10 year) EUR 2 090 Contracts sold (Underlying: Germany Federal Republic Notes 10 year) EUR 1 303 Currency futures (short) Futures contracts to sell currencies EUR/AUD EUR 132 EUR/CAD EUR 498 EUR/GBP EUR 2 152 EUR/JPY EUR 707 EUR/USD EUR 7 522 Currency futures (long) Futures contracts to purchase currencies AUD/EUR EUR 259 CAD/EUR EUR 997 GBP/EUR EUR 2 135 JPY/EUR EUR 1 424 USD/EUR EUR 6 111
Deutsche Invest I Multi Asset Defensive Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 16 016 384.43 Equities BHP Billiton Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 941 743 AUD 18.65 36 692.25 Bank of Montreal. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 225 310 CAD 82.3 69 848.89 Sun Life Financial, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 511 635 CAD 41.91 72 910.14 Suncor Energy, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 539 642 CAD 35.39 62 253.94 Sika AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 3 CHF 4 045 44 795.93 Allianz SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 532 134 EUR 126.15 67 111.80 Amadeus IT Holding SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 613 155 EUR 39.215 24 038.80 Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 485 EUR 116.4 56 454.00 Atlantia SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 831 968 EUR 22.11 84 703.41 AXA SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 831 968 EUR 17.55 67 234.05 BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 017 257 EUR 68.1 69 257.70 Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 387 98 EUR 168.5 65 209.50 Deutsche Telekom AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 217 1 319 EUR 15.13 78 933.21 Enel SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 320 4 634 EUR 3.92 71 814.40 Gas Natural SDG SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 132 792 EUR 17.42 54 559.44 Henkel AG & Co. KGaA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . Count 884 224 EUR 108.55 95 958.20 Koninklijke Ahold NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 175 1 308 EUR 19.785 102 387.38 Koninklijke Philips NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 168 801 EUR 22.21 70 361.28 Muenchener Rueckversicherungs AG -Reg-. . . . . . . . . . . . . . . Count 456 115 EUR 148.5 67 716.00 Orange SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 691 1 439 EUR 14.5 82 519.50 Safran SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 377 348 EUR 60.88 83 831.76 SAP AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 642 162 EUR 66.85 42 917.70 Societe Generale SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 211 306 EUR 27.97 33 871.67 Tenaris SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 742 1 199 EUR 12.91 61 219.22 Total SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 473 372 EUR 43.05 63 412.65 Unilever NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 044 517 EUR 41.55 84 928.20 Wolters Kluwer NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 199 808 EUR 36.505 116 779.50 BP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 502 3 162 GBP 4.276 64 622.90 HSBC Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 764 2 216 GBP 4.571 48 420.81 Kingfisher Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 941 4 791 GBP 3.197 73 192.07 Legal & General Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 355 5 907 GBP 1.867 52 716.31 Old Mutual Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 705 7 261 GBP 1.943 67 413.81 Royal Dutch Shell Plc -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 470 624 GBP 20.055 59 873.98 Shire Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 499 379 GBP 45.28 82 040.17 Central Japan Railway Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 900 200 JPY 18 125 142 765.36 Fuji Heavy Industries Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 300 600 JPY 3 478 70 009.95 Nippon Telegraph & Telephone Corp.. . . . . . . . . . . . . . . . . . . . Count 2 800 700 JPY 4 800 117 625.53 DBS Group Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 755 SGD 15.76 60 539.72 Anthem, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 353 89 USD 130.9 41 566.78 Apple, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 555 140 USD 94.48 47 169.90 Archer-Daniels-Midland Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 025 512 USD 41.8 76 143.59 CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 948 2 948 USD 23.72 62 903.42 Comcast Corp. -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 119 283 USD 64.27 64 694.96 CSX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 391 604 USD 25.57 54 997.43 CVS Health Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 175 297 USD 94.58 99 969.90 Delta Air Lines, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 017 510 USD 35.94 65 210.28 Eli Lilly & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 281 324 USD 77.48 89 283.42 FNF Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 186 552 USD 36.87 72 502.90 Ford Motor Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 233 1 576 USD 12.301 68 971.49 Gilead Sciences, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 818 206 USD 81.75 60 155.19 Hewlett Packard Enterprise . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 367 598 USD 17.9 38 113.90 HP Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 367 598 USD 12.17 25 913.19 Intel Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 623 663 USD 32.16 75 883.33 International Paper Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 628 412 USD 41.01 60 058.74 Johnson & Johnson. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 799 201 USD 119.24 85 703.95 Macy‘s, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 552 393 USD 32.99 46 058.11 Micron Technology, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 642 668 USD 13.32 31 656.95 Microsoft Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 689 174 USD 50.52 31 312.28 Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 324 335 USD 25.3 30 132.88 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 891 731 USD 34.95 90 892.35 Quest Diagnostics, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 396 353 USD 80.01 100 475.87 Raytheon Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 847 214 USD 135.25 103 051.13 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 889 225 USD 78.25 62 577.49 TE Connectivity Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 447 366 USD 56.06 72 971.57 TJX Cos, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 373 347 USD 76.37 94 324.69 Travelers Cos, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 935 237 USD 117.4 98 744.24 US Bancorp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 988 502 USD 39.74 71 068.36 Western Union Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 774 1 207 USD 18.78 80 651.06 Interest-bearing securities 2.50 % Bundesrepublik Deutschland 2010/2021 . . . . . . . . . 0.10 % Deutsche Bundesrepublik Inflation Linked Bond 2015/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.375 % Deutsche Post AG (MTN) 2016/2021. . . . . . . . . . . . 4.25 % France Government Bond OAT 2003/2019. . . . . . . . 3.25 % France Government Bond OAT 2011/2021. . . . . . . . 1.75 % France Government Bond OAT 2014/2024. . . . . . . . 3.75 % Italy Buoni Poliennali Del Tesoro 2006/2016. . . . . . . 4.00 % Italy Buoni Poliennali Del Tesoro 2007/2017. . . . . . . 4.50 % Italy Buoni Poliennali Del Tesoro 2013/2024. . . . . . .
EUR
327 159
143 105
EUR EUR EUR EUR EUR EUR EUR EUR
656 60 666 268 229 471 616 285
656 60 291 171 100 205 269 124
975 000 166 802 986 000 000 000
61.62 0.14 0.27 0.28 0.24 0.17 0.26 0.09 0.22 0.33 0.26 0.27 0.25 0.30 0.28 0.21 0.37 0.39 0.27 0.26 0.32 0.32 0.16 0.13 0.24 0.24 0.33 0.45 0.25 0.19 0.28 0.20 0.26 0.23 0.32 0.55 0.27 0.44 0.23 0.16 0.18 0.29 0.24 0.25 0.21 0.38 0.25 0.34 0.28 0.27 0.23 0.15 0.10 0.29 0.23 0.33 0.18 0.12 0.12 0.12 0.35 0.39 0.40 0.24 0.28 0.36 0.38 0.27 0.31
278 244
%
114.195
373 599.22
1.44
975 000 413 566 654 469 147 172 607 195 630 000 401 000 000 524 000 000 242 000
% % % % % % % %
110.9 101.606 113.48 119.173 114.503 100.303 102.443 125.963
728 585.25 60 963.60 755 965.18 320 339.41 263 340.87 472 427.13 631 048.88 358 994.55
2.80 0.23 2.91 1.23 1.01 1.82 2.43 1.38
235
Deutsche Invest I Multi Asset Defensive Description
3.50 % Netherlands Government Bond 2010/2020 . . . . . . . 4.10 % P ortugal Obrigacoes do Tesouro OT 144A 2015/2045. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.75 % Spain Government Bond 144A 2014/2024. . . . . . . . 4.20 % Spain Government Bond 2005/2037. . . . . . . . . . . . . 2.10 % Spain Government Bond 2013/2017. . . . . . . . . . . . . 3.75 % American International Group, Inc. 2015/2025. . . . . 4.45 % AT&T, Inc. 2016/2024. . . . . . . . . . . . . . . . . . . . . . . . 3.875 % Bank of America Corp 2015/2025. . . . . . . . . . . . . . . 6.90 % Canadian National Railway Co. 1998/2028. . . . . . . . 6.00 % ConocoPhillips 2009/2020. . . . . . . . . . . . . . . . . . . . . 2.40 % ConocoPhillips Co. 2012/2022 . . . . . . . . . . . . . . . . . 3.70 % Deutsche Bank AG/London 2014/2024. . . . . . . . . . . 3.90 % Dominion Resources, Inc./VA 2015/2025. . . . . . . . . 9.00 % Energy Transfer Partners LP 2009/2019. . . . . . . . . . 4.00 % FS Investment Corp. 2014/2019. . . . . . . . . . . . . . . . 5.95 % Gap, Inc./The 2011/2021. . . . . . . . . . . . . . . . . . . . . . 4.65 % HP, Inc. 2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . . 9.00 % Kinder Morgan Energy Partners LP 2008/2019. . . . . 4.15 % Magna International, Inc. 2015/2025. . . . . . . . . . . . . 3.20 % ONEOK Partners LP 2013/2018 . . . . . . . . . . . . . . . . 7.00 % Pepsi Bottling Group, Inc./The 1999/2029 . . . . . . . . 8.75 % Plains All American Pipeline LP 2009/2019. . . . . . . . 6.70 % Rockwell Automation, Inc. 1998/2028 . . . . . . . . . . . 3.625 % Rogers Communications, Inc. 2015/2025. . . . . . . . . 3.85 % Thomson Reuters Corp. 2014/2024 . . . . . . . . . . . . . 3.75 % TransCanada PipeLines Ltd 2013/2023. . . . . . . . . . . 6.625 % Union Pacific Corp. 1999/2029. . . . . . . . . . . . . . . . . 2.75 % United States Treasury Note/Bond 2010/2017. . . . . 0.625 % United States Treasury Note/Bond 2012/2017. . . . . 0.875 % United States Treasury Note/Bond 2014/2017. . . . . 0.875 % United States Treasury Note/Bond 2014/2017. . . . . 2.125 % United States Treasury Note/Bond 2014/2021. . . . . 2.00 % United States Treasury Note/Bond 2014/2021. . . . . 2.25 % United States Treasury Note/Bond 2014/2021. . . . . 1.00 % United States Treasury Note/Bond 2015/2018. . . . . 2.25 % United States Treasury Note/Bond 2015/2025. . . . . 1.375 % United States Treasury Note/Bond 2016/2021. . . . . 4.00 % Unum Group 2014/2024. . . . . . . . . . . . . . . . . . . . . . 3.75 % Ventas Realty LP 2014/2024. . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
EUR
785 124
343 450
EUR EUR EUR EUR USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
31 295 29 741 95 95 91 51 53 97 95 93 67 95 89 63 80 60 92 100 84 53 47 54 72 69 524 538 538 299 263 518 258 435 246 113 79 83
13 186 13 324 95 95 91 51 53 97 95 93 67 95 89 63 80 60 92 100 84 53 47 54 72 69 603 619 619 343 303 595 297 500 283 130 79 83
723 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 500 900 600 100 800 100 300 600 200 200 000 000
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
667 841
%
116.548
915 046.32
3.52
877 26 983 000 163 000 000 26 000 000 631 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 78 500 600 80 700 300 80 700 900 44 800 300 39 500 700 77 600 000 38 700 800 65 200 100 36 900 200 17 000 000 000
% % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % % %
101.805 113.835 137.158 101.943 102.274 109.631 106.435 142.648 113.756 98.808 99.127 107.262 112.476 100.168 105.003 108.162 114.294 109.794 101.397 143.233 114.85 137.994 107.591 106.53 107.79 139.63 102.037 100.109 100.328 100.361 105.078 104.531 105.734 100.643 106.742 101.664 103.497 104.291
32 335 39 755 87 93 87 65 54 86 84 89 67 85 84 61 82 59 83 128 86 65 45 51 69 86 481 485 486 270 249 487 245 394 236 103 73 77
0.12 1.29 0.15 2.91 0.34 0.36 0.34 0.25 0.21 0.33 0.33 0.35 0.26 0.33 0.32 0.24 0.32 0.23 0.32 0.50 0.33 0.25 0.17 0.20 0.27 0.33 1.85 1.87 1.87 1.04 0.96 1.87 0.94 1.52 0.90 0.40 0.28 0.30
295.60 813.25 775.82 397.63 401.91 689.10 128.04 443.71 235.33 217.60 712.53 734.80 790.17 602.15 066.66 298.14 251.45 259.77 916.04 847.25 784.54 791.25 488.95 748.50 814.41 667.92 432.84 305.26 094.95 031.78 355.62 182.64 681.62 368.02 404.76 525.17 550.72 867.64
Securities admitted to or included in organized markets 239 885.75 Interest-bearing securities 3.75 % Marriott International, Inc./MD 2015/2025. . . . . . . . USD 60 000 60 000 % 106.234 57 338.57 6.60 % Pharmacia Corp. 2000/2028 . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 138.592 124 671.92 3.55 % Sempra Energy 2014/2024. . . . . . . . . . . . . . . . . . . . USD 61 000 61 000 % 105.47 57 875.26 Investment fund units 6 664 293.42 In-group fund units Concept Fund Solutions - db x-trackers Equity Low Beta Factor UCITS ETF (DR) -1C- EUR - (0.150%). . . . . . . . . . Units 4 709 4 709 EUR 22.27 104 869.43 Concept Fund Solutions - db x-trackers Equity Value Factor UCITS ETF (DR) -1C- EUR - (0.150%) . . . . . . . . . . . . . . Units 4 688 4 688 EUR 22.06 103 417.28 db x-trackers Equity Momentum Factor UCITS ETF DR. . . . . . Units 5 179 5 179 EUR 19.86 102 854.94 db x-trackers II - IBOXX EUR HIGH YIELD BOND UCITS-1C- EUR - (0.250%). . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 27 072 6 847 19 101 EUR 17.29 468 074.88 Deutsche Invest I SICAV - Deutsche Invest I Convertibles -FC- EUR - (0.650%). . . . . . . . . . . . . . . . . . . . . . Units 3 110 700 EUR 174.09 541 419.90 db x-trackers - MSCI AC Asia ex Japan Index UCITS ETF -1C- USD - (0.450%). . . . . . . . . . . . . . . . . . . . . . . . Units 5 209 1 317 USD 32.165 150 719.69 db x-trackers - MSCI EM Latam Index UCITS ETF -1C- USD - (0.450%). . . . . . . . . . . . . . . . . . . . . . . . Units 3 185 805 USD 36.065 103 330.24 DWS Invest - DWS Invest Emerging Markets Corporates -E2- USD - (0.600%). . . . . . . . . . . . . . . . . Units 2 258 2 258 USD 145 294 526.25 Non-group fund units Amundi ETF Japan Topix EUR Hedged Daily UCITS EUR (hedged) - (0.480%). . . . . . . . . . . . . . . . . . . . . . . . Units 1 170 296 EUR 161.29 188 709.30 Deutsche MAG FI - EUR IG Corporates -I- EUR (0.100%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 6 287 1 400 EUR 102.3 643 160.10 iShares Diversified Commodity Swap UCITS ETF (DE) EUR - (0.460%). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 6 960 1 760 EUR 20.13 140 104.80 iShares Edge MSCI World Size Factor UCITS ETF. . . . . . . . . . Units 4 472 4 472 EUR 22.99 102 811.28 iShares PLC - iShares Markit iBoxx Euro
236
% of net assets
0.92 0.22 0.48 0.22 25.64
0.40 0.40 0.40 1.80 2.08 0.58 0.40 1.13
0.73 2.46 0.54 0.40
Deutsche Invest I Multi Asset Defensive Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Corporate Bond EUR - (0.200%). . . . . . . . . . . . . . . . . . . . . . . . Units 11 688 11 688 EUR 136.05 1 590 152.40 6.12 iShares II PLC - iShares J,P, Morgan $ Emerging Markets Bond UCITS ETF USD - (0.500%). . . . . . . . . . . . . . . . Units 10 909 6 292 USD 113.25 1 111 361.17 4.28 iShares PLC - iShares $ Corporate Bond UCITS ETF USD (0.200%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 3 921 3 921 USD 117.74 415 291.40 1.60 iShares V plc - iShares $ Emerging Markets Corporate Bond UCITS ETF USD - (0.500%) . . . . . . . . . . . . . . Units 1 358 2 672 1 314 USD 99.6 121 672.15 0.47 Neuberger Berman Investment Funds plc Neuberger Berman High Yield Bond Fund -I- USD (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 26 102 16 586 6 975 USD 20.52 481 818.21 1.85 Total securities portfolio 22 920 563.60 88.18 Derivatives (Minus signs denote short positions) Derivatives on individual securities 414 217.02 1.59 Warrants on securities Equity warrants Commerzbank AG 22/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 543 2 543 EUR 26.73 67 974.39 0.26 Deutsche Bank AG 29/12/2016. . . . . . . . . . . . . . . . . . . . . . . . . Count 1 900 1 900 EUR 26.67 50 673.00 0.19 DZ Bank AG Deutsche Zentral-Genossenschaftsbank 23/12/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 007 9 007 EUR 25.28 227 696.96 0.88 Vontobel Financial Products GmbH 23/12/2016. . . . . . . . . . . . Count 2 543 2 543 EUR 26.69 67 872.67 0.26 Equity index derivatives 273 484.87 1.05 Receivables/payables Equity index futures MSCI Taiwan Index 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . . Count 7 7 3 395.88 0.01 S & P MINI 500 Futures 09/2016 (CME). . . . . . . . . . . . . . . . . . Count -2 -2 2 298.39 0.01 DJ EURO STOXX 50 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . Count -58 -58 9 306.49 0.04 Topix Index 09/2016 (OSE). . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 1 -8 716.89 -0.03 Option contracts Options on equity indices Call DJ EURO STOXX 50 06/2018 2 500 EUR (DB). . . . . . . . . Count 660 267 201.00 1.02 Interest rate derivatives 5 120.00 0.02 Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . . Count 2 2 5 120.00 0.02 Currency derivatives -184 759.53 -0.71 Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 0.4 million. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 695.32 0.08 EUR/JPY 61.8 million. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -41 671.15 -0.16 EUR/USD 6.1 million. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -138 356.94 -0.53 Closed positions EUR/USD 0.9 million. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -25 426.76 -0.10 Cash at bank 2 232 080.72 8.59 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 277 329.66 1.07 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 41 851 50 584.90 0.19 Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 280 822 37 745.78 0.15 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 1 761 189.07 0.00 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 149 737 15 873.81 0.06 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 629 420.53 0.00 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 529 61.30 0.00
237
Deutsche Invest I Multi Asset Defensive Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 3 256 596 28 501.40 0.11 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 3 188 2 208.48 0.01 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 609 561.87 0.00 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 234 210 156 330.92 0.60 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 180 391 162 273.00 0.62 Time deposits EUR deposits (Norddeutsche Landesbank 0.01% 01/07/2016). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 500 000.00 5.78 Other assets 342 200.04 1.32 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 020.67 0.05 Prepaid placement fee *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197 254.95 0.77 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111 734.64 0.43 Receivables from exceeding the expense cap. . . . . . . . . . . . . 19 189.78 0.07 Receivables from share certificate transactions 20 091.96 0.08 Total assets ** 26 237 170.42 100.94 Other liabilities -30 221.23 -0.12 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -30 221.23 -0.12 Total liabilities -244 392.97 -0.94 Net assets 25 992 777.45 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98.19 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102.72 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.61 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102.02 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102.43 Number of shares outstanding Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 155 194 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 945 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 511 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 79 670 Composition of the reference portfolio (according to CSSF circular 11/512) 65% iBoxx EUR Overall - Constituents, 35% MSCI THE WORLD INDEX in EUR Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 44.667 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 78.784 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 61.215 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.4, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 12 590 259.10 as of the reporting date. Market abbreviations
Futures exchanges CME = Chicago Mercantile Exchange EUR = Eurex OSE = Osaka Exchange Contracting parties for currency futures Société Générale and Deutsche Bank AG Frankfurt
238
Deutsche Invest I Multi Asset Defensive Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 Danish krone. . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). ** Does not include positions with a negative balance, if such exist.
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
Securities traded on an exchange Equities Mondelez International, Inc. . . . . . . . . . . . . . . . . . Interest-bearing securities 2.25 % Devon Energy Corp. 2013/2018. . . . . 4.45 % DIRECTV Holdings LLC via DIRECTV Financing Co, Inc. 2014/2024. . . . . . .
Count
1 772
USD
64 000
64 000
USD
95 000
95 000
Non-group fund units iShares PLC - iShares Euro Corporate Bond Large Cap UCITS ETF EUR - (0.200%). . . . . . . . . Units 4 227
19 357
Investment fund units
options
Value (’000) Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), S & P MINI 500 Futures 06/2016 (CME), S&P 500) EUR 6 067 Contracts sold (Underlyings: MSCI Taiwan Index, Topix) EUR 560 Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Notes 10 year) EUR 1 305 Contracts sold (Underlying: Germany Federal Republic Notes 10 year) EUR 814 Currency futures (short) EUR/GBP EUR 309 EUR/JPY EUR 154 EUR/USD EUR 11 581 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 617 JPY/EUR EUR 309 USD/EUR EUR 11 142 Option contracts Options on equity index derivatives Options on equity indices Call options sold (Underlying: DJ Euro Stoxx 50) EUR 226
239
Deutsche Invest I Multi Asset Dynamic Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 49 009 634.54 Equities BHP Billiton Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 600 AUD 18.65 19 961.78 Bank of Montreal. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 563 CAD 82.3 659 316.46 Sun Life Financial, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 528 CAD 41.91 712 202.28 Suncor Energy, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 721 CAD 35.39 606 136.11 Novartis AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 917 CHF 79.3 652 575.52 Roche Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 794 CHF 253.5 653 646.87 Sika AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 117 CHF 4 045 436 760.36 Allianz SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 004 EUR 126.15 631 254.60 Amadeus IT Holding SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 843 EUR 39.215 385 993.25 Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 596 EUR 116.4 69 374.40 Atlantia SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 192 EUR 22.11 778 095.12 AXA SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 354 EUR 17.55 638 012.70 BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 680 EUR 68.1 659 208.00 Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 841 EUR 168.5 815 708.50 Credit Agricole SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 57 916 EUR 7.526 435 875.82 Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 427 EUR 53.03 499 913.81 Deutsche Bank AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 868 EUR 12.25 427 133.00 Deutsche Telekom AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 48 954 EUR 15.13 740 674.02 Enel SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 171 877 EUR 3.92 673 757.84 Gas Natural SDG SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 683 EUR 17.42 499 657.86 Henkel AG & Co. KGaA -Pref-. . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 365 EUR 108.55 908 020.75 Koninklijke Ahold NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 48 805 EUR 19.785 965 606.93 Koninklijke Philips NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 318 EUR 22.21 651 152.78 Muenchener Rueckversicherungs AG -Reg-. . . . . . . . . . . . . . . Count 4 260 EUR 148.5 632 610.00 Orange SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 52 634 EUR 14.5 763 193.00 Safran SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 144 EUR 60.88 800 206.72 SAP AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 652 EUR 66.85 778 936.20 Societe Generale SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 832 EUR 27.97 330 941.04 Tenaris SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 050 EUR 12.91 581 595.50 Total SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 997 EUR 43.05 602 570.85 Unilever NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 515 EUR 41.55 810 848.25 Wolters Kluwer NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 872 EUR 36.505 1 090 477.36 BP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 90 273 GBP 4.276 466 621.58 HSBC Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 82 767 GBP 4.571 457 284.96 Kingfisher Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 127 492 GBP 3.197 492 656.30 Legal & General Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 190 661 GBP 1.867 430 355.15 Old Mutual Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 292 233 GBP 1.943 686 310.33 Royal Dutch Shell Plc -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 250 GBP 20.055 830 236.30 Shire Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 716 GBP 45.28 477 026.07 Central Japan Railway Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 200 JPY 18 125 824 866.54 Fuji Heavy Industries Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 600 JPY 3 478 779 241.13 Nippon Telegraph & Telephone Corp.. . . . . . . . . . . . . . . . . . . . Count 26 400 JPY 4 800 1 109 040.72 DBS Group Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 500 SGD 15.76 531 234.69 Anthem, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 999 USD 130.9 353 141.03 Apple, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 916 USD 94.48 672 787.23 Archer-Daniels-Midland Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 420 USD 41.8 805 430.02 CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 553 28 553 USD 23.72 609 254.15 Comcast Corp. -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 115 USD 64.27 584 798.51 CSX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 166 USD 25.57 509 859.04 CVS Health Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 608 USD 94.58 817 455.97 Delta Air Lines, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 667 USD 35.94 635 840.60 Eli Lilly & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 712 USD 77.48 886 003.76 FNF Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 634 USD 36.87 684 366.32 Ford Motor Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 709 USD 12.301 660 712.14 Gilead Sciences, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 768 USD 81.75 571 253.72 Hewlett Packard Enterprise . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 969 USD 17.9 15 603.03 HP Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 674 USD 12.17 160 646.46 Intel Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 953 USD 32.16 721 889.75 International Paper Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 592 USD 41.01 575 206.34 Johnson & Johnson. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 529 USD 119.24 807 590.74 Macy‘s, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 509 USD 32.99 460 254.64 Micron Technology, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 104 USD 13.32 312 783.15 Microsoft Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 039 USD 50.52 410 786.15 Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 092 USD 25.3 252 442.49 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 334 USD 34.95 859 374.45 Quest Diagnostics, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 276 USD 80.01 955 528.36 Raytheon Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 873 USD 135.25 957 876.66 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 399 USD 78.25 591 213.03 TE Connectivity Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 315 USD 56.06 671 469.56 TJX Cos, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 812 USD 76.37 880 180.59 Travelers Cos, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 830 USD 117.4 932 525.82 US Bancorp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 290 USD 39.74 689 591.91 Western Union Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 781 USD 18.78 790 309.42 Interest-bearing securities 2.50 % Bundesrepublik Deutschland 2010/2021 . . . . . . . . . 0.10 % Deutsche Bundesrepublik Inflation Linked Bond 2015/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.375 % Deutsche Post AG (MTN) 2016/2021. . . . . . . . . . . . 1.00 % RTE Reseau de Transport d‘Electricite SA (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
240
EUR
230 340
EUR EUR
EUR
70.90 0.03 0.95 1.03 0.88 0.94 0.95 0.63 0.91 0.56 0.10 1.13 0.92 0.95 1.18 0.63 0.72 0.62 1.07 0.98 0.72 1.31 1.40 0.94 0.92 1.10 1.16 1.13 0.48 0.84 0.87 1.17 1.58 0.68 0.66 0.71 0.62 0.99 1.20 0.69 1.19 1.13 1.61 0.77 0.51 0.97 1.17 0.88 0.85 0.74 1.18 0.92 1.28 0.99 0.96 0.83 0.02 0.23 1.05 0.83 1.17 0.67 0.45 0.59 0.37 1.24 1.38 1.39 0.86 0.97 1.27 1.35 1.00 1.14
103 134
%
114.195
263 036.76
0.38
628 999 185 000
628 999 185 000
% %
110.9 101.606
697 560.08 187 971.10
1.01 0.27
100 000
100 000
%
101.553
101 553.00
0.15
Deutsche Invest I Multi Asset Dynamic Description
3.75 4.45 3.875 6.90 6.00 2.40 3.70 3.90 9.00 4.00 5.95 4.65 9.00 4.15 3.20 7.00 8.75 6.70 3.625 3.85 3.75 6.625 1.375 4.00 3.75
% % % % % % % % % % % % % % % % % % % % % % % % %
Count/ units/ currency
American International Group, Inc. 2015/2025. . . . . AT&T, Inc. 2016/2024. . . . . . . . . . . . . . . . . . . . . . . . Bank of America Corp 2015/2025. . . . . . . . . . . . . . . Canadian National Railway Co. 1998/2028. . . . . . . . ConocoPhillips 2009/2020. . . . . . . . . . . . . . . . . . . . . ConocoPhillips Co. 2012/2022 . . . . . . . . . . . . . . . . . Deutsche Bank AG/London 2014/2024. . . . . . . . . . . Dominion Resources, Inc./VA 2015/2025. . . . . . . . . Energy Transfer Partners LP 2009/2019. . . . . . . . . . FS Investment Corp. 2014/2019. . . . . . . . . . . . . . . . Gap, Inc./The 2011/2021. . . . . . . . . . . . . . . . . . . . . . HP, Inc. 2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . . Kinder Morgan Energy Partners LP 2008/2019. . . . . Magna International, Inc. 2015/2025. . . . . . . . . . . . . ONEOK Partners LP 2013/2018 . . . . . . . . . . . . . . . . Pepsi Bottling Group, Inc./The 1999/2029 . . . . . . . . Plains All American Pipeline LP 2009/2019. . . . . . . . Rockwell Automation, Inc. 1998/2028 . . . . . . . . . . . Rogers Communications, Inc. 2015/2025. . . . . . . . . Thomson Reuters Corp. 2014/2024 . . . . . . . . . . . . . TransCanada PipeLines Ltd 2013/2023. . . . . . . . . . . Union Pacific Corp. 1999/2029. . . . . . . . . . . . . . . . . United States Treasury Note/Bond 2016/2021. . . . . Unum Group 2014/2024. . . . . . . . . . . . . . . . . . . . . . Ventas Realty LP 2014/2024. . . . . . . . . . . . . . . . . . .
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
Quantity/ principal amount
93 88 89 67 72 98 91 89 69 97 87 59 74 65 97 100 74 69 46 75 78 68 24 74 75
000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 600 000 000
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
93 88 89 67 72 98 91 89 69 97 87 59 74 65 97 100 74 69 46 75 78 68 97 74 75
000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 100 72 500 000 000
% % % % % % % % % % % % % % % % % % % % % % % % %
102.274 109.631 106.435 142.648 113.756 98.808 99.127 107.262 112.476 100.168 105.003 108.162 114.294 109.794 101.397 143.233 114.85 137.994 107.591 106.53 107.79 139.63 101.664 103.497 104.291
Total market value in EUR
85 86 85 85 73 87 81 85 69 87 82 57 76 64 88 128 76 85 44 71 75 85 22 68 70
561.87 785.69 213.13 975.07 678.18 106.44 145.68 875.24 813.76 404.30 177.52 406.20 082.60 198.09 476.70 847.25 453.04 652.76 521.10 872.91 632.27 411.86 497.52 895.61 362.32
Securities admitted to or included in organized markets 239 885.75 Interest-bearing securities 3.75% Marriott International, Inc./MD 2015/2025 . . . . . . . . . . USD 60 000 60 000 % 106.234 57 338.57 6.60% Pharmacia Corp. 2000/2028 . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 138.592 124 671.92 3.55% Sempra Energy 2014/2024 . . . . . . . . . . . . . . . . . . . . . . USD 61 000 61 000 % 105.47 57 875.26 Investment fund units 13 688 909.89 In-group fund units Concept Fund Solutions - db x-trackers Equity Low Beta Factor UCITS ETF (DR) -1C- EUR - (0.150%). . . . . . . . . . Concept Fund Solutions - db x-trackers Equity Value Factor UCITS ETF (DR) -1C- EUR - (0.150%) . . . . . . . . . db x-trackers Equity Momentum Factor UCITS ETF DR. . . . . . Deutsche Invest I - Multi Asset Balance -FC- EUR (0.650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Deutsche Invest I SICAV - Deutsche Invest I Convertibles -FC- EUR - (0.650%). . . . . . . . . . . . . . . . . . . . . . . Deutsche Invest II - Europe Stability -LC- EUR - (1.500%). . . . DWS European Opportunities EUR - (1.400%). . . . . . . . . . . . . DWS Invest - DWS Invest Euro High Yield Corporates -FC- EUR - (0.650%). . . . . . . . . . . . . . . . . . . . . . . . db x-trackers - MSCI EM Latam Index UCITS ETF -1C- USD - (0.450%). . . . . . . . . . . . . . . . . . . . . . . . DWS Invest - DWS Invest Emerging Markets Corporates -E2- USD - (0.600%). . . . . . . . . . . . . . . . . . . . . . . .
% of net assets
0.12 0.13 0.12 0.12 0.11 0.13 0.12 0.12 0.10 0.13 0.12 0.08 0.11 0.09 0.13 0.19 0.11 0.12 0.07 0.10 0.11 0.12 0.03 0.10 0.10 0.35 0.08 0.18 0.09 19.81
Units
31 416
31 416
EUR
22.27
699 634.32
1.01
Units Units
31 106 34 498
31 106 34 498
EUR EUR
22.06 19.86
686 198.36 685 130.28
0.99 0.99
Units
13 000
EUR
109.09
1 418 170.00
2.05
Units Units Units
8 002 2 746 7 318
EUR EUR EUR
174.09 132.54 251.18
1 393 068.18 363 954.84 1 838 135.24
2.02 0.53 2.66
Units
5 458
EUR
136.76
746 436.08
1.08
4 042
Units
3 197
USD
Units
8 720
USD
145
2 079 2 921 1 214 0 15 000
EUR EUR EUR EUR
161.29 102.3 12.933 15.11
10 403 29 616 29 616
EUR EUR
Non-group fund units Amundi ETF Japan Topix EUR Hedged Daily UCITS EUR (hedged) - (0.480%). . . . . . . . . . . . . . . . . . . . . . . . Units Deutsche MAG FI - EUR IG Corporates -I- EUR - (0.100%). . . Units GAM Star Fund plc - Cat Bond -Inst- EUR - (0.950%). . . . . . . . Units Gamax Funds FCP - Asia Pacific -A- EUR - (1.500%). . . . . . . . Units iShares Diversified Commodity Swap UCITS ETF (DE) EUR - (0.460%). . . . . . . . . . . . . . . . . . . . . . . . Units iShares Edge MSCI World Size Factor UCITS ETF. . . . . . . . . . Units iShares PLC - iShares Markit iBoxx Euro Corporate Bond EUR - (0.200%). . . . . . . . . . . . . . . . . . . . . . . . Units iShares II PLC - iShares J,P, Morgan $ Emerging Markets Bond UCITS ETF USD - (0.500%). . . . . . . . . . . . . . . . Units Neuberger Berman Investment Funds plc Neuberger Berman High Yield Bond Fund -I- USD - (0.600%). Units
8 720
36.065
103 719.56
0.15
1 137 408.72
1.65
335 321.91 124 192.20 2.07 226 650.00
0.48 0.18 0.00 0.33
20.13 22.99
209 412.39 680 871.84
0.30 0.99
EUR
136.05
640 795.50
0.93
4 710
4 710
22 368
14 677
USD
113.25
2 278 753.93
3.30
6 558
USD
20.52
121 054.47
0.17
Total securities portfolio 62 938 430.18 Derivatives (Minus signs denote short positions) Derivatives on individual securities 3 307 518.72 Warrants on securities
91.06
4.79
241
Deutsche Invest I Multi Asset Dynamic Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Equity warrants Commerzbank AG 22/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 500 23 500 EUR 26.92 632 620.00 0.92 Deutsche Bank AG 29/12/2016. . . . . . . . . . . . . . . . . . . . . . . . . Count 23 500 23 500 EUR 26.91 632 385.00 0.92 DZ Bank AG Deutsche Zentral-Genossenschaftsbank . . . . . . . 23/12/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 799 55 799 EUR 25.28 1 410 598.72 2.04 Goldman Sachs & Co Wertpapier GmbH 21/12/2016. . . . . . . . Count 23 500 23 500 EUR 26.89 631 915.00 0.91 Equity index derivatives 1 816 567.22 2.63 Receivables/payables Equity index futures S & P MINI 500 Futures 09/2016 (CME). . . . . . . . . . . . . . . . . . Count -28 -28 32 114.44 0.05 DJ EURO STOXX 50 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . Count -607 -607 245 170.01 0.35 Topix Index 09/2016 (OSE). . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 17 -147 443.25 -0.21 Dax Index 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 1 -3 275.00 0.00 MSCI Asia ex Japan 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . Count 87 87 42 261.52 0.06 Option contracts Options on equity indices Call DJ EURO STOXX 50 06/2018 2 500 EUR (DB). . . . . . . . . 4070 1 647 739.50 2.38 Interest rate derivatives -24 797.60 -0.04 Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . . Count -4 -4 -24 797.60 -0.04 Currency derivatives -142 118.91 -0.21 Receivables/payables Currency futures Currency futures (short) Open positions EUR/CAD 2.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -42 354.68 -0.06 EUR/GBP 3.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167 705.07 0.24 EUR/JPY 343.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -231 328.82 -0.33 Closed positions Cash at bank 1 230 186.75 1.78 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 581 598.29 0.84 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 70 020 84 633.32 0.12 Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 6 466 869.16 0.00 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 3 761 403.95 0.00 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 255 27.03 0.00 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 1 0.52 0.00 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 10 747 1 246.06 0.00 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 32 411 470 283 661.93 0.41 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 12 662 8 772.65 0.01 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 9 975 9 206.03 0.01 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 23 506 15 689.79 0.02 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 271 329 244 078.02 0.35 Other assets 104 027.73 0.15 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74 326.59 0.11 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 701.14 0.04 Receivables from share certificate transactions 451.44 0.00 Total assets * 69 715 605.36 100.85 Other liabilities -90 071.23 -0.13 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -90 071.23 -0.13 Liabilities from share certificate transactions -20 465.22 -0.03 Total liabilities -595 876.28 -0.85 Net assets 69 119 729.08 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
242
Deutsche Invest I Multi Asset Dynamic Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104.58 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 91.06 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103.65 Number of shares outstanding Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 759 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 751 305 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 021 Composition of the reference portfolio (according to CSSF circular 11/512) 75% MSCI THE WORLD INDEX in EUR Constituents, 25% iBoxx EUR Overall - Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 73.220 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 92.997 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 84.805 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.5, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 57 245 821.20 as of the reporting date. Market abbreviations
Futures exchanges CME = Chicago Mercantile Exchange EUR = Eurex OSE = Osaka Exchange Contracting party for derivatives (with the exception of currency futures) DB = Deutsche Bank AG Contracting parties for currency futures Deutsche Bank AG Frankfurt, JP Morgan Securities PLC and Société Générale Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 Danish krone. . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnote * Does not include positions with a negative balance, if such exist.
243
Deutsche Invest I Multi Asset Dynamic 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
Securities traded on an exchange Equities Mondelez International, Inc. . . . . . . . . . . . . . . . . . Interest-bearing securities 4.25 % France Government Bond OAT 2003/2019. . . . . . . . . . . . . . . . . . . . . . 3.25 % France Government Bond OAT 2011/2021. . . . . . . . . . . . . . . . . . . . . . 1.75 % France Government Bond OAT 2014/2024. . . . . . . . . . . . . . . . . . . . . . 3.75 % Italy Buoni Poliennali Del Tesoro 2006/2016. . . . . . . . . . . . . . . . . . . . . . 4.00 % Italy Buoni Poliennali Del Tesoro 2007/2017. . . . . . . . . . . . . . . . . . . . . . 4.50 % Italy Buoni Poliennali Del Tesoro 2013/2024. . . . . . . . . . . . . . . . . . . . . . 3.50 % Netherlands Government Bond 2010/2020. . . . . . . . . . . . . . . . . . . . . . 4.10 % Portugal Obrigacoes do Tesouro OT 144A 2015/2045. . . . . 2.75 % Spain Government Bond 144A 2014/2024. . . . . . . . . . . . . . . . . . . . . . 4.20 % Spain Government Bond 2005/2037. . 2.10 % Spain Government Bond 2013/2017. . 2.25 % Devon Energy Corp. 2013/2018. . . . . 4.45 % DIRECTV Holdings LLC via DIRECTV Financing Co, Inc. 2014/2024. . . . . . . 2.75 % United States Treasury Note/Bond 2010/2017. . . . . . . . . . . . . . . . . . . . . . 0.625 % United States Treasury Note/Bond 2012/2017. . . . . . . . . . . . . . . . . . . . . . 0.875 % United States Treasury Note/Bond 2014/2017. . . . . . . . . . . . . . . . . . . . . . 0.875 % United States Treasury Note/Bond 2014/2017. . . . . . . . . . . . . . . . . . . . . . 2.125 % United States Treasury Note/Bond 2014/2021. . . . . . . . . . . . . . . . . . . . . . 2.00 % United States Treasury Note/Bond 2014/2021. . . . . . . . . . . . . . . . . . . . . . 2.25 % United States Treasury Note/Bond 2014/2021. . . . . . . . . . . . . . . . . . . . . . 1.00 % United States Treasury Note/Bond 2015/2018. . . . . . . . . . . . . . . . . . . . . . 2.25 % United States Treasury Note/Bond 2015/2025. . . . . . . . . . . . . . . . . . . . . .
Count
23 063
EUR
687 790
EUR
125 053
EUR
236 211
EUR
479 000
EUR
667 000
EUR
146 000
EUR
805 896
EUR
194 527
EUR EUR EUR USD 87 000
361 181 445 87
000 000 000 000
USD
88 000
88 000
USD
437 800
437 800
USD
451 600
451 600
USD
449 700
449 700
USD
247 600
247 600
USD
130 000
130 000
USD
432 500
432 500
USD
128 400
128 400
USD
367 200
367 200
USD
208 500
208 500
Non-group fund units iShares V plc - iShares $ Emerging Markets Corporate Bond UCITS ETF USD - (0.500%) . . . . Units 10 730 10 730 Investment fund units In-group fund units db x-trackers - MSCI AC Asia ex Japan Index UCITS ETF -1C- USD - (0.450%). . . . . . . . . . . . . . Units 66 593 db x-trackers - S&P 500 ETF -1C- USD - (0.050%) Units 82 468 db x-trackers - STOXX EUROPE 600 UCITS ETF (DR) -1C- EUR - (0.100%). . . . . . . . . . Units 10 763 db x-trackers II - iBOXX € Sovereigns Eurozone 3-5 Total Return Index ETF -1C- EUR - (0.050%). Units 9 020 db x-trackers II - IBOXX EUR HIGH YIELD BOND UCITS-1C- EUR - (0.250%) . . . . . . . . . . . . Units 5 212 Non-group fund units iShares PLC - iShares Core MSCI Emerging Markets IMI UCITS ETF USD - (0.250%) . . . . . . . Units 83 433 83 433 iShares PLC - iShares Euro Corporate Bond arge Cap UCITS ETF EUR - (0.200%). . . . . . . . . . Units 14 774 iShares STOXX Europe 600 UCITS ETF (DE) EUR - (0.200%). . . . . . . . . . . . . . Units 20 658 iShares VII plc - iShares FTSE 100 UCITS ETF (Acc) GBP - (0.090%). . . . . . . . . . . . . Units 7 000 7 000
244
options
Value (’000) Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), S & P MINI 500 Futures 06/2016 (CME), S&P 500) EUR 38 265 Contracts sold (Underlyings: Dax Index, MSCI Taiwan Index, Topix) EUR 14 683 Interest rate futures Contracts purchased (Underlying: Germany Federal Republic Notes 10 year) EUR 980 Contracts sold (Underlying: Germany Federal Republic Notes 10 year) EUR 1 628 Currency futures (short) Futures contracts to sell currencies EUR/CAD EUR 116 EUR/GBP EUR 649 EUR/JPY EUR 206 EUR/USD EUR 4 346 Currency futures (long) Futures contracts to purchase currencies CAD/EUR EUR 233 GBP/EUR EUR 644 JPY/EUR EUR 415 USD/EUR EUR 3 681 Option contracts Options on equity index derivatives Options on equity indices Call options sold (Underlying: DJ Euro Stoxx 50) EUR 1 394
Deutsche Invest I Multi Asset Income Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 67 077 504.78 Equities Caltex Australia Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 733 2 733 AUD 31.9 58 321.79 CSL Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 750 655 AUD 112.18 356 458.99 Dexus Property Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 701 9 701 AUD 9.02 58 536.07 Macquarie Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 045 420 AUD 68.9 140 348.26 Scentre Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 633 53 633 AUD 4.92 176 521.54 Wesfarmers Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 525 17 525 AUD 40.1 470 113.72 Woodside Petroleum Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 786 4 999 33 434 AUD 26.84 50 022.36 Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 184 1 184 CAD 63.3 51 925.30 Canadian Imperial Bank of Commerce. . . . . . . . . . . . . . . . . . . Count 7 963 1 098 CAD 97.2 536 249.06 Canadian Natural Resources Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 10 926 1 508 CAD 39.36 297 947.57 Canadian Tire Corp., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 725 725 CAD 141.1 70 874.27 Dollarama Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 246 172 CAD 90.73 78 323.58 Magna International, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 131 570 CAD 45.12 129 136.15 Metro, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 526 348 CAD 45.04 78 823.42 PrairieSky Royalty Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 218 218 CAD 24.03 3 629.39 ABB Ltd -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 758 32 758 CHF 19.04 575 603.13 Actelion Ltd -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 001 138 CHF 162.8 150 392.89 Kuehne + Nagel International AG. . . . . . . . . . . . . . . . . . . . . . . Count 1 849 1 849 CHF 135.2 230 702.57 Nestle SA -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 537 350 CHF 75 175 598.40 Partners Group Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 161 161 CHF 415.25 61 698.46 Sika AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 3 CHF 4 045 82 125.88 Swiss Life Holding AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 326 45 CHF 222.4 66 910.03 Swiss Re Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 973 1 100 1 003 CHF 84 540 552.37 UBS Group AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 443 5 117 2 629 CHF 12.63 401 460.80 Novo Nordisk A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 748 1 894 3 976 DKK 355.3 465 530.27 Allianz SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 430 611 EUR 126.15 558 844.50 AtoS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 882 882 EUR 74.58 65 779.56 Boskalis Westminster NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 814 1 078 EUR 30.94 241 765.16 Cie Generale des Etablissements Michelin. . . . . . . . . . . . . . . . Count 4 866 4 866 EUR 85.36 415 361.76 Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 112 153 EUR 168.5 187 372.00 Deutsche Wohnen AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 966 409 EUR 30.4 90 166.40 Galp Energia SGPS SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 621 4 621 EUR 12.29 56 792.09 Gecina SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 348 348 EUR 122.4 42 595.20 Groupe Bruxelles Lambert SA. . . . . . . . . . . . . . . . . . . . . . . . . . Count 824 114 EUR 72.94 60 102.56 KBC Groep NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 415 333 EUR 43.59 105 269.85 Kone Oyj. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 596 496 EUR 40.87 146 968.52 Koninklijke Ahold NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 380 5 104 28 599 EUR 19.785 165 798.30 ProSiebenSat.1 Media AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 878 1 981 8 476 EUR 38.755 227 801.89 Publicis Groupe SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 902 1 902 EUR 60.53 115 128.06 Red Electrica Corp. SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 017 1 206 2 722 EUR 79.29 477 087.93 Renault SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 940 1 940 EUR 68.03 131 978.20 Scor SE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 143 1 400 EUR 26.585 269 651.66 Societe Generale SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 235 998 EUR 27.97 202 362.95 Total SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 588 11 588 EUR 43.05 498 863.40 TUI AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 375 4 375 EUR 10.15 44 406.25 Unilever NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 796 2 180 EUR 41.55 656 323.80 UPM-Kymmene Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 898 4 231 2 761 EUR 16.33 455 574.34 Valeo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 184 2 184 EUR 40.085 87 545.64 3i Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 811 9 811 GBP 5.37 63 680.44 Admiral Group PLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 065 5 065 GBP 19.81 121 278.10 Barratt Developments Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 098 1 394 GBP 3.969 48 443.43 Berkeley Group Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 307 1 307 GBP 24.83 39 225.71 BP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 99 072 99 072 GBP 4.276 512 103.67 Carnival Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 902 1 902 GBP 32.63 75 014.65 Direct Line Insurance Group PLC. . . . . . . . . . . . . . . . . . . . . . . Count 94 568 15 792 19 819 GBP 3.428 391 835.24 Hammerson Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 973 1 100 GBP 5.17 49 823.10 International Consolidated Airlines Group SA. . . . . . . . . . . . . . Count 8 099 8 099 GBP 3.665 35 877.64 Meggitt Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 66 913 66 913 GBP 4.065 328 768.00 Mondi PLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 718 513 GBP 13.67 61 432.24 National Grid Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 946 22 946 GBP 10.765 298 565.42 Persimmon Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 460 3 645 8 953 GBP 14.11 297 776.03 Rio Tinto Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 360 2 947 GBP 22.565 582 579.32 Royal Mail Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 028 9 028 GBP 4.904 53 513.14 Taylor Wimpey Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 055 4 562 GBP 1.304 52 098.26 Unilever Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 743 1 553 5 511 GBP 34.99 242 885.30 Cheung Kong Infrastructure Holdings Ltd. . . . . . . . . . . . . . . . . Count 56 273 7 000 HKD 66.55 434 190.22 HKT Trust & HKT Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 228 484 228 484 HKD 11.2 296 691.93 Link REIT. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 056 3 000 HKD 52.8 141 139.90 Chubu Electric Power Co., Inc.. . . . . . . . . . . . . . . . . . . . . . . . . Count 6 500 6 500 JPY 1 448.5 82 401.32 Daiichi Sankyo Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 400 5 100 30 700 JPY 2 473.5 138 546.07 Daiwa House Industry Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 800 JPY 2 982 156 588.99 ITOCHU Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 200 8 200 15 000 JPY 1 239.5 479 480.70 Japan Tobacco, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 100 1 500 JPY 4 103 398 590.39 KDDI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 400 14 400 JPY 3 113 392 323.15 Nippon Telegraph & Telephone Corp.. . . . . . . . . . . . . . . . . . . . Count 7 000 7 000 JPY 4 800 294 063.83 NTT DOCOMO, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 800 4 800 8 700 JPY 2 766.5 624 672.96 Otsuka Holdings Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 900 500 JPY 4 719 161 070.84 Tohoku Electric Power Co, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . Count 4 600 4 600 JPY 1 287 51 813.00 Yara International ASA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 161 2 240 2 075 NOK 263.4 400 580.25 Husqvarna AB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 966 35 966 SEK 62.5 238 300.10
75.58 0.07 0.40 0.07 0.16 0.20 0.53 0.06 0.06 0.60 0.34 0.08 0.09 0.15 0.09 0.00 0.65 0.17 0.26 0.20 0.07 0.09 0.08 0.61 0.45 0.52 0.63 0.07 0.27 0.47 0.21 0.10 0.06 0.05 0.07 0.12 0.17 0.19 0.26 0.13 0.54 0.15 0.30 0.23 0.56 0.05 0.74 0.51 0.10 0.07 0.14 0.05 0.04 0.58 0.08 0.44 0.06 0.04 0.37 0.07 0.34 0.34 0.66 0.06 0.06 0.27 0.49 0.33 0.16 0.09 0.16 0.18 0.54 0.45 0.44 0.33 0.70 0.18 0.06 0.45 0.27
245
Deutsche Invest I Multi Asset Income Description
Count/ units/ currency
Quantity/ principal amount
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
24 208 11 963 6 799 13 177 3 555 6 408 6 001 15 164 3 115 3 977 1 432 1 924 4 422 36 734 1 759 2 249 1 660 1 987 4 495 14 471 1 938 3 277 12 252 452 5 706 8 244 1 395 9 730 2 559 17 543 6 874 2 738 8 740 1 747 2 946 18 444 227 22 533 4 653 16 151 9 332 9 157 10 906 792 8 005 5 519 14 087 16 849 1 882 5 486 5 355 5 616 22 145 8 809 5 647 5 964 5 321 1 448 3 102 19 892 1 696 2 442 5 888 1 271 8 767 3 236 2 932 471 4 150 5 140 8 391 2 265 27 281
Certificates Societe Generale Effekten GmbH - Basket ExpressMulti 2019/08 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count
Skanska AB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AbbVie, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AES Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Altria Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Amgen, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Apple, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Archer-Daniels-Midland Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . AT&T, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Best Buy Co., Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Boeing Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Bunge Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CA, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Capital One Financial Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Cisco Systems, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CIT Group Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Coca-Cola European Partners Plc. . . . . . . . . . . . . . . . . . . . . . . Cummins, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Delta Air Lines, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Discover Financial Services. . . . . . . . . . . . . . . . . . . . . . . . . . . . Dow Chemical Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Dr Pepper Snapple Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . Edison International. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Emerson Electric Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Everest Re Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Exxon Mobil Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Fifth Third Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Foot Locker, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GameStop Corp. -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Gap, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . General Motors Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Gilead Sciences, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Goodyear Tire & Rubber Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . Helmerich & Payne, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HollyFrontier Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Hormel Foods Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HP Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Ingevity Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Intel Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . International Business Machines Corp.. . . . . . . . . . . . . . . . . . . Johnson & Johnson. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPMorgan Chase & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Kroger Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Las Vegas Sands Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Lear Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . LyondellBasell Industries NV. . . . . . . . . . . . . . . . . . . . . . . . . . . Marathon Petroleum Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Murphy Oil Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . National Oilwell Varco, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Northrop Grumman Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . NVIDIA Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Packaging Corporation of America . . . . . . . . . . . . . . . . . . . . . . PepsiCo, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Philip Morris International, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . Phillips 66 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Progressive Corp/The . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Public Service Enterprise Group, Inc.. . . . . . . . . . . . . . . . . . . . Quest Diagnostics, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Raytheon Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Seagate Technology Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Southwest Airlines Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SunTrust Banks, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Target Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Tesoro Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Texas Instruments, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Travelers Cos, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Tyson Foods, Inc. -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . United Therapeutics Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . UnitedHealth Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Valero Energy Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Western Digital Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Western Union Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
246
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
24 208 11 963 938 1 818 652 1 170 884 6 001 15 164 3 115 711 1 178 1 432 1 924 610 13 607 243 2 249 1 660 1 987 620 1 997 267 3 277 2 161 3 407 62 787 1 137 192 1 343 353 17 543 948 378 1 351 1 046 1 747 1 676 2 545 227 3 109 4 653 9 792 1 526 1 725 1 264 1 505 109 1 104 761 2 120 1 278 2 660 2 428 260 757 5 355 775 3 055 1 216 779 823 5 321 1 448 428 2 745 234 2 442 5 888 175 1 458 1 800 446 404 65 891 2 307 709 8 391 312 5 321 11 273
SEK USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
174.2 61.42 12.02 67.9 149.98 94.48 41.8 42.62 30.27 128.02 58.92 32.24 61.63 28.21 30.87 35.29 109.72 35.94 52.35 49.32 94.72 76.01 50.8 176.08 92.53 17.18 54.96 26.22 20.72 27.79 81.75 25.46 65.19 22.92 35.59 12.17 34.2 32.16 148.85 119.24 61.29 36.33 43.08 102.09 73.37 36.18 31.17 32.65 218.34 46.69 65.94 104.36 34.95 99.18 77.82 32.83 45.34 80.01 135.25 23.44 38.71 40.32 69.91 73.52 61.46 117.4 65.1 103.69 140.28 50.32 72.61 45.19 18.78
447 053.12 660 970.36 73 515.95 804 856.37 479 628.54 544 621.09 225 648.25 581 378.93 84 820.83 458 000.00 75 899.31 55 799.74 245 156.25 932 187.71 48 846.62 71 395.88 163 842.27 64 240.37 211 679.33 642 027.57 165 130.59 224 067.69 559 890.07 71 594.64 474 948.36 127 406.98 68 968.85 229 497.31 47 697.11 438 555.41 505 509.54 62 708.14 512 536.12 36 019.66 94 317.61 201 919.27 6 983.68 651 879.20 623 037.17 1 732 421.05 514 513.08 299 261.38 422 642.59 72 734.50 528 338.09 179 622.62 394 991.17 494 868.01 369 645.13 230 415.53 317 643.87 527 221.65 696 233.52 785 928.03 395 312.99 176 132.94 217 023.54 104 218.52 377 408.03 419 438.34 59 058.32 88 572.37 370 287.60 84 058.79 484 702.91 341 750.12 171 702.66 43 932.90 523 691.98 232 667.55 548 077.82 92 075.19 460 880.08
0.50 0.74 0.08 0.91 0.54 0.61 0.25 0.65 0.10 0.52 0.09 0.06 0.28 1.05 0.05 0.08 0.18 0.07 0.24 0.72 0.19 0.25 0.63 0.08 0.53 0.14 0.08 0.26 0.05 0.49 0.57 0.07 0.58 0.04 0.11 0.23 0.01 0.73 0.70 1.95 0.58 0.34 0.48 0.08 0.60 0.20 0.44 0.56 0.42 0.26 0.36 0.59 0.78 0.89 0.45 0.20 0.24 0.12 0.42 0.47 0.07 0.10 0.42 0.09 0.55 0.38 0.19 0.05 0.59 0.26 0.62 0.10 0.52
2 000
EUR
79.83
159 660.00
0.18
Deutsche Invest I Multi Asset Income Description
Interest-bearing securities 10.00 % Brazil Notas do Tesouro Nacional Serie F 2010/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.125 % Agrokor dd 2012/2020. . . . . . . . . . . . . . . . . . . . . . . . 0.00 % America Movil SAB de CV 2015/2020 . . . . . . . . . . . 1.75 % Anglo American Capital Plc (MTN) 2014/2018 . . . . . 1.75 % Anglo American Capital Plc 2013/2017. . . . . . . . . . . 2.75 % Bankinter SA (MTN) 2013/2016 . . . . . . . . . . . . . . . . 3.00 % Banque Federative du Credit Mutuel SA (MTN) 2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.60 % Deutsche Post AG 2012/2019. . . . . . . . . . . . . . . . . . 0.00 % Fresenius SE & Co. KGaA 2014/2019. . . . . . . . . . . . 3.755 % Gazprom OAO (MTN) -Reg- 2012/2017 . . . . . . . . . . 2.75 % Glencore Finance Europe SA (MTN) 2014/2021. . . . 3.25 % Hera SpA (MTN) 2013/2021 . . . . . . . . . . . . . . . . . . . 0.25 % International Consolidated Airlines Group SA 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.375 % Intesa Sanpaolo SpA 2012/2019. . . . . . . . . . . . . . . . 2.375 % IPIC GMTN Ltd 2012/2018. . . . . . . . . . . . . . . . . . . . 2.75 % JPMorgan Chase & Co. (MTN) 2012/2022 . . . . . . . 1.875 % Orange SA (MTN) 2013/2018. . . . . . . . . . . . . . . . . . 4.25 % Spain Government Bond 2011/2016. . . . . . . . . . . . . 1.25 % Steinhoff Finance Holdings GmbH 2016/2023. . . . . 0.00 % Unibail-Rodamco SE 2014/2021. . . . . . . . . . . . . . . . 2.625 % Wells Fargo & Co. (MTN) 2012/2022 . . . . . . . . . . . . 0.43 % WPP Finance 2013 (MTN) 2015/2018. . . . . . . . . . . . 0.00 % British Land Company Plc 2015/2020. . . . . . . . . . . . 0.00 % Asics Corp. 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . 0.00 % Suzuki Motor Corp. 2016/2023. . . . . . . . . . . . . . . . . 0.00 % Terumo Corp. 2014/2021 . . . . . . . . . . . . . . . . . . . . . 0.00 % Unicharm Corp 2015/2020 . . . . . . . . . . . . . . . . . . . . 1.85 % CapitaLand Ltd 2013/2020 . . . . . . . . . . . . . . . . . . . . 7.375 % AES Corp. 2012/2021. . . . . . . . . . . . . . . . . . . . . . . . 5.87 % Alcoa Inc 2007/2022. . . . . . . . . . . . . . . . . . . . . . . . . 5.75 % Banco Nacional de Desenvolvimento Economico e Social -Reg- 2013/2023 . . . . . . . . . . . . . . . . . . . . . 5.125 % Berry Plastics Corp 2015/2023. . . . . . . . . . . . . . . . . 5.95 % Bolivian Government International Bond 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.875 % Boyd Gaming Corp 2015/2023 . . . . . . . . . . . . . . . . . 5.875 % Brazilian Government International Bond 2009/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.625 % Brazilian Government International Bond 2009/2041. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.625 % Brazilian Government International Bond 2012/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.875 % Case New Holland Industrial Inc 2011/2017. . . . . . . 3.625 % Chile Government International Bond 2012/2042. . . 11.75 % Colombia Government International Bond 2000/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.625 % Colombia Government International Bond 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.20 % ConAgra Foods, Inc.2013/2023. . . . . . . . . . . . . . . . . 7.00 % Concho Resources Inc 2010/2021 . . . . . . . . . . . . . . 5.625 % Corp Nacional del Cobre de Chile -Reg- 2005/2035. 4.25 % Costa Rica Government International Bond 2012/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.75 % Cott Beverages Inc 2015/2020. . . . . . . . . . . . . . . . . 5.50 % Croatia Government International Bond -Reg2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.625 % CSC Holdings LLC 1998/2018. . . . . . . . . . . . . . . . . . 2.50 % DCP Midstream Operating LP 2012/2017. . . . . . . . 4.125 % Development Bank of Kazakhstan JSC 2012/2022. . 5.50 % Dominican Republic International Bond -Reg2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.50 % Dominican Republic International Bond -Reg2010/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.875 % Dominican Republic International Bond -Reg2013/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.75 % DP World Ltd 2014/2024. . . . . . . . . . . . . . . . . . . . . . 7.75 % El Salvador Government International Bond -Reg2002/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.375 % El Salvador Government International Bond -Reg2009/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.875 % El Salvador Government International Bond -Reg2012/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.75 % Eskom Holdings SOC Ltd -Reg- 2011/2021 . . . . . . . 5.875 % Export Credit Bank of Turkey -Reg- 2012/2019 . . . . 4.00 % Export-Import Bank of India (MTN) -Reg2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.375 % Gabon Government International Bond -Reg2013/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.375 % Gabonese Republic -Reg- 2013/2024. . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
BRL EUR EUR EUR EUR EUR
78 100 600 200 200 100
000 000 000 600 000 000 000 000
% % % % % %
930.801 106.598 98.575 99.096 99.571 100.176
203 106 591 198 199 100
402.63 598.00 450.00 192.00 142.00 176.00
0.23 0.12 0.67 0.22 0.22 0.11
EUR EUR EUR EUR EUR EUR
156 300 100 150 600 300
000 000 300 000 000 100 000 000 000 000
% % % % % %
106.731 131.63 137.765 101.81 98.036 114.99
166 394 137 152 588 344
500.36 890.00 765.00 715.00 216.00 970.00
0.19 0.44 0.15 0.17 0.66 0.39
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR GBP JPY JPY JPY JPY SGD USD USD
100 000 100 000 300 000 150 000 100 000 300 000 1 000 000 200 000 200 000 36 600 36 600 250 000 400 000 100 000 100 000 20 000 000 20 000 000 10 000 000 10 000 000 30 000 000 30 000 000 30 000 000 30 000 000 250 000 250 000 100 000 100 000
% % % % % % % % % % % % % % % % % %
88.382 111.677 104.26 112.754 104.213 101.468 96.75 318.04 111.924 100.382 92.336 104.722 104.575 127.102 115.9 95.375 112.75 104.933
88 382.00 335 031.00 156 390.00 112 754.00 312 639.00 1 014 680.00 193 500.00 116 402.64 279 810.00 401 528.00 111 607.12 183 302.41 91 522.99 333 716.50 304 303.55 159 152.48 101 425.84 94 393.95
0.10 0.38 0.18 0.13 0.35 1.14 0.22 0.13 0.32 0.45 0.13 0.21 0.10 0.38 0.34 0.18 0.11 0.11
USD USD
200 000 100 000
% %
101.318 100.002
182 284.05 89 958.65
0.21 0.10
USD USD
214 000 100 000
% %
116.956 107.17
225 148.13 96 406.27
0.25 0.11
USD
100 000
%
109.425
98 434.79
0.11
USD
100 000
%
95.995
86 353.65
0.10
USD USD USD
200 000 100 000 198 000
% % %
90.993 107.062 102.25
163 708.05 96 308.67 182 121.23
0.18 0.11 0.20
USD
152 000
58 000
%
132.248
180 827.62
0.20
USD USD USD USD
200 71 100 100
000 000 000 000 100 000
% % % %
96.78 103.495 103.88 110.274
174 66 93 99
119.61 101.27 446.26 198.52
0.20 0.07 0.11 0.11
USD USD
400 000 100 000
% %
95.8 104.5
344 712.92 94 004.44
0.39 0.11
USD USD USD USD
200 100 100 214
% % % %
106.137 107.866 98.438 95.906
190 97 88 184
954.05 032.82 550.83 625.47
0.21 0.11 0.10 0.21
USD
200 000
200 000
%
102.04
183 583.02
0.21
USD
100 000
%
111.022
99 871.84
0.11
USD USD
100 000 200 000
100 000 200 000
% %
104.606 98.05
94 099.79 176 403.60
0.11 0.20
USD
222 000
%
100.4
200 502.02
0.23
USD
280 000
%
101.595
255 895.37
0.29
USD USD USD
130 000 461 000 200 000 200 000
% % %
87.688 98.702 106.189
102 545.26 409 316.21 191 047.60
0.12 0.46 0.22
USD
200 000
200 000
%
105.379
189 590.31
0.21
USD USD
200 000 200 000 200 000
% %
86.316 86.316
155 293.53 155 293.53
0.17 0.17
000 000 000 000
247
Deutsche Invest I Multi Asset Income Description
8.125 % G hana Government International Bond -Reg2014/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.75 % Hewlett-Packard Co. 2010/2020. . . . . . . . . . . . . . . . 5.375 % Hungary Government International Bond 2 014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.875 % Huntsman International LLC 2013/2020. . . . . . . . . . 11.625 % Indonesia Government International Bond -Reg2009/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.75 % Indonesia Government International Bond -Reg2012/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.25 % Indonesia Government International Bond -Reg2012/2042. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.80 % Ingredion, Inc. 2012/2017. . . . . . . . . . . . . . . . . . . . . 6.95 % Instituto Costarricense de Electricidad -Reg2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.75 % Ivory Coast Government International Bond -Reg2010/2032 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.00 % Jamaica Government International Bond 2008/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.625 % KazAgro National Management Holding JSC 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.125 % KazMunayGas National Co. JSC (MTN) 2008/2018. 7.00 % KazMunayGas National Co. JSC -Reg- 2010/2020 . . 4.40 % KazMunayGas National Co., JSC -Reg- 2013/2023. . 6.875 % Kenya Government International Bond -Reg2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00 % LVMH Moet Hennessy Louis Vuitton SE Zero Coupon 2016/2021. . . . . . . . . . . . . . . . . . . . . . 6.75 % Mexico Government International Bond (MTN) 2004/2034. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.75 % Mexico Government International Bond (MTN) 2012/2044. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.25 % MFB Magyar Fejlesztesi Bank Zrt 2013/2020. . . . . . 5.25 % Namibia International Bonds 2015/2025. . . . . . . . . . 7.625 % NRG Energy Inc 2011/2018. . . . . . . . . . . . . . . . . . . . 4.75 % Oman Government International Bond -Reg2016/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.25 % Pakistan Government International Bond -Reg2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.125 % Panama Government International Bond 2005/2026. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.70 % Panama Government International Bond 2006/2036. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.875 % Pelabuhan Indonesia III PT -Reg- 2014/2024 . . . . . . 5.25 % Pertamina Persero PT -Reg- 2011/2021. . . . . . . . . . 8.75 % Peruvian Government International Bond 2003/2033. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.35 % Peruvian Government International Bond 2005/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.50 % Petroleos Mexicanos 2013/2023. . . . . . . . . . . . . . . . 10.625 % Philippine Government International Bond 2000/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.25 % PolyOne Corp. 2013/2023. . . . . . . . . . . . . . . . . . . . . 7.375 % Post Holdings Inc 2013/2022 . . . . . . . . . . . . . . . . . . 6.00 % Republic of Armenia -Reg- 2013/2020 . . . . . . . . . . . 4.75 % Republic of Azerbaijan International Bond -Reg2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.75 % Republic of Honduras -Reg- 2013/2020 . . . . . . . . . . 3.25 % Reynolds American, Inc. 2012/2022. . . . . . . . . . . . . 6.75 % Romanian Government International Bond (MTN) -Reg- 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.125 % Romanian Government International Bond (MTN) -Reg- 2014/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.875 % Russian Foreign Bond - Eurobond -Reg2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.50 % Select Income Reit 2015/2025. . . . . . . . . . . . . . . . . 8.75 % Senegal Government International Bond -Reg2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.25 % Senegal Government International Bond -Reg2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00 % Shizuoka Bank Ltd 2013/2018. . . . . . . . . . . . . . . . . . 1.65 % Siemens Financieringsmaatschappij NV 2015/2019. 6.875 % Southern Gas Corridor CJSC 2016/2026. . . . . . . . . . 8.375 % Sprint Communications Inc 2009/2017. . . . . . . . . . . 7.625 % Sprint Corp 2015/2025 . . . . . . . . . . . . . . . . . . . . . . . 6.25 % Sri Lanka Government International Bond -Reg2010/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
248
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
USD USD
250 000 250 000 67 000
% %
85.987 106.145
193 377.02 63 974.43
0.22 0.07
USD USD
228 000 100 000
% %
111.91 100.75
229 528.07 90 631.07
0.26 0.10
USD
107 000
%
123.788
119 150.09
0.13
USD
200 000
200 000
%
103.61
186 407.65
0.21
USD USD
348 000 71 000
% %
106.706 100.519
334 041.29 64 200.52
0.38 0.07
USD
200 000
%
103.892
186 915.01
0.21
USD
198 000
2 000
%
93.285
166 153.34
0.19
USD
100 000
%
108.5
97 602.69
0.11
USD USD USD USD
200 100 300 210
000 000 000 100 000 000
% % % %
91.688 110.952 110.266 98.181
USD
214 000
%
100 000
958.45 808.42 573.97 472.20
0.19 0.11 0.34 0.21
178 960.00
0.20
46 600
%
249.85
104 736.33
0.12
USD
135 000
%
134.415
163 235.11
0.18
USD USD USD USD
142 200 200 100
% % % %
107.158 110.738 102.03 106.89
136 199 183 96
881.58 230.94 565.03 153.95
0.15 0.22 0.21 0.11
USD
200 000
200 000
%
99.1
178 293.58
0.20
USD
200 000
200 000
%
105.413
189 651.48
0.21
USD
100 000
113 000
%
131.49
118 283.67
0.13
USD USD USD
183 000 250 000 202 000
% % %
132.775 105.499 107.395
218 574.49 237 257.76 195 149.53
0.25 0.27 0.22
USD
46 600
000 000 200 000 000 200 000 000
92.963
164 99 297 185
USD
161 000
61 000
%
156.678
226 916.44
0.26
USD USD
154 000 87 000 33 000
% %
136.028 94.09
188 443.47 73 636.78
0.21 0.08
USD USD USD USD
117 100 100 200
000 50 000 000 000 000
% % % %
164.875 100.989 105.248 101.268
173 90 94 182
529.27 846.07 677.31 194.09
0.20 0.10 0.11 0.21
USD USD USD
200 000 200 000 71 000
% % %
101.729 113.56 103.972
183 023.49 204 309.88 66 406.25
0.21 0.23 0.07
USD
294 000
%
118.55
313 531.34
0.35
USD
84 000
%
125.169
94 581.92
0.11
USD USD
200 000 200 000 72 000
% %
109.225 97.875
196 509.76 63 392.28
0.22 0.07
USD
200 000
%
109.426
196 871.38
0.22
USD USD USD USD USD USD
200 100 500 200 131 120
000 000 100 000 000 500 000 000 200 000 000 000
% % % % % %
95.461 96.625 109.062 108.125 102.924 78.625
171 86 490 194 121 84
746.56 920.37 541.24 530.71 289.20 873.86
0.19 0.10 0.55 0.22 0.14 0.10
USD
150 000
%
102.296
138 032.70
0.16
Deutsche Invest I Multi Asset Income Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
6.25 % S ri Lanka Government International Bond -Reg2011/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 209 000 % 100.844 189 595.67 0.21 4.125 % State Grid Overseas Investment 2014 Ltd -Reg2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 110.499 198 801.84 0.22 5.45 % State Oil Co. of the Azerbaijan Republic 2012/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 101.723 183 012.70 0.21 4.75 % State Oil Co., of the Azerbaijan Republic (MTN) 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 95.954 172 633.53 0.19 0.00 % STMicroelectronics NV 2014/2019. . . . . . . . . . . . . . USD 200 000 200 000 % 92.982 167 286.52 0.19 1.00 % Subsea 7 SA 2012/2017. . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 96.774 174 108.81 0.20 5.50 % Suburban Propane Partners LP/Suburban Energy Finance Corp 2014/2024. . . . . . . . . . . . . . . . USD 50 000 % 98.5 44 303.53 0.05 6.00 % Terex Corp 2012/2021. . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 99.476 89 485.03 0.10 0.50 % TOTAL SA 2015/2022. . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 100.599 361 980.96 0.41 7.00 % Turkey Government International Bond 2005/2020. USD 196 000 % 113.653 200 386.77 0.23 5.625 % Turkey Government International Bond 2010/2021. USD 100 000 % 109.231 98 260.28 0.11 5.75 % Turkey Government International Bond 2014/2024. USD 200 000 % 111.529 200 654.95 0.23 4.50 % Uruguay Government International Bond 2013/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 196 133 % 108.768 191 903.93 0.22 6.00 % Venezuela Government International Bond -Reg2005/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 334 000 % 41.375 124 313.00 0.14 3.50 % Verizon Communications, Inc. 2014/2024. . . . . . . . . USD 69 000 % 106.493 66 100.12 0.07 4.80 % Vietnam Government International Bond -Reg2014/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 207 000 % 103.39 192 522.26 0.22 5.45 % Vnesheconombank -Reg- 2010/2017 . . . . . . . . . . . . USD 200 000 100 000 % 103.256 185 770.76 0.21 6.902 % Vnesheconombank -Reg- 2010/2020 . . . . . . . . . . . . USD 162 000 % 108.749 158 479.23 0.18 6.00 % Zayo Group LLC / Zayo Capital Inc 2015/2023. . . . . USD 100 000 % 101.123 90 966.61 0.10 Securities admitted to or included in organized markets 4 412 207.81 4.97 Interest-bearing securities 6.00 % Audatex North America Inc 2013/2021. . . . . . . . . . . USD 50 000 % 100.062 45 006.31 0.05 3.25 % Beam Suntory, Inc. 2013/2023. . . . . . . . . . . . . . . . . USD 71 000 % 102.853 65 691.23 0.07 5.50 % Belden Inc 2012/2022. . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 100.375 90 293.74 0.10 7.875 % Calpine Corp 2011/2023. . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 106.375 95 691.12 0.11 5.375 % CCO Holdings LLC / CCO Holdings Capital Corp 2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 101.438 91 249.52 0.10 0.50 % Citrix Systems, Inc. 2015/2019. . . . . . . . . . . . . . . . . USD 350 000 350 000 % 111.832 352 098.57 0.40 6.50 % Clear Channel Worldwide Holdings Inc 2013/2022. . USD 100 000 % 100.5 90 406.18 0.10 5.00 % CommScope Inc 2014/2021. . . . . . . . . . . . . . . . . . . USD 100 000 % 101.812 91 586.86 0.10 4.75 % Corp Financiera de Desarrollo SA 2012/2022. . . . . . USD 200 000 % 106.941 192 400.55 0.22 6.50 % Dean Foods Co. 144A 2015/2023. . . . . . . . . . . . . . . USD 100 000 % 103.438 93 048.65 0.11 5.875 % Dell Inc 2009/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 106.317 95 638.95 0.11 4.25 % DISH DBS Corp. 2013/2018 . . . . . . . . . . . . . . . . . . . USD 100 000 % 102.298 92 023.60 0.10 6.75 % Florida East Coast Holdings Corp 2014/2019. . . . . . USD 100 000 % 100.562 90 462.40 0.10 8.25 % Frontier Communications Corp. 2010/2017 . . . . . . . USD 100 000 % 104.762 94 240.57 0.11 3.15 % Hasbro, Inc. 2014/2021. . . . . . . . . . . . . . . . . . . . . . . USD 71 000 % 102.915 65 730.83 0.07 7.50 % HD Supply Inc 2013/2020. . . . . . . . . . . . . . . . . . . . . USD 100 000 % 104.5 94 004.44 0.11 2.00 % Hologic Inc 2012/2042 . . . . . . . . . . . . . . . . . . . . . . . USD 158 000 158 000 % 127.155 180 726.82 0.20 7.625 % Hughes Satellite Systems Corp 2012/2021 . . . . . . . USD 100 000 % 107.375 96 590.68 0.11 5.75 % Infor US Inc 2015/2020. . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 105 94 454.22 0.11 3.50 % Kraft Foods Group, Inc. 2013/2022. . . . . . . . . . . . . . USD 68 000 % 106.553 65 178.85 0.07 5.875 % Micron Technology Inc 2014/2022. . . . . . . . . . . . . . USD 341 000 241 000 % 94.765 290 692.89 0.33 3.00 % Micron Technology, Inc. 2013/2043. . . . . . . . . . . . . USD 175 000 175 000 % 74.92 117 941.84 0.13 4.625 % NCR Corp 2013/2021 . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 98.358 88 478.87 0.10 8.50 % Nortek Inc 2012/2021. . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 104.125 93 667.10 0.11 5.375 % Nuance Communications Inc 2012/2020 . . . . . . . . . USD 100 000 % 101.125 90 968.41 0.10 5.625 % Open Text Corp. 144A 2015/2023 . . . . . . . . . . . . . . USD 100 000 % 103 92 655.09 0.11 4.875 % Petroleos Mexicanos (MTN) 2012/2022. . . . . . . . . . USD 107 000 % 102.298 98 465.25 0.11 4.25 % Petroleos Mexicanos 2016/2025. . . . . . . . . . . . . . . . USD 287 000 287 000 % 95.902 247 594.86 0.28 3.50 % Petronas Capital Ltd 2015/2025 . . . . . . . . . . . . . . . . USD 200 000 200 000 % 105.365 189 565.12 0.21 5.75 % Quebecor Media Inc 2013/2023. . . . . . . . . . . . . . . . USD 100 000 % 101.011 90 865.86 0.10 5.625 % Sabine Pass Liquefaction LLC 2014/2021. . . . . . . . . USD 100 000 % 100.296 90 222.22 0.10 5.375 % Sinclair Television Group Inc 2013/2021. . . . . . . . . . USD 100 000 % 102.976 92 633.50 0.10 5.50 % Sunoco LP / Sunoco Finance Corp 2015/2020. . . . . USD 100 000 % 98.75 88 831.94 0.10 0.25 % Tesla Motors, Inc. 2014/2019. . . . . . . . . . . . . . . . . . USD 138 000 138 000 % 89.084 110 588.73 0.13 0.25 % Twitter Inc 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . USD 112 000 112 000 % 91.657 92 345.50 0.10 8.50 % Viking Cruises Ltd 2012/2022. . . . . . . . . . . . . . . . . . USD 100 000 % 85.875 77 250.06 0.09 7.875 % Windstream Services LLC 2010/2017. . . . . . . . . . . . USD 100 000 % 106.004 95 357.38 0.11 7.875 % XPO Logistics Inc 2014/2019 . . . . . . . . . . . . . . . . . . USD 100 000 % 102.188 91 924.20 0.10 7.25 % Zebra Technologies Corp 2014/2022 . . . . . . . . . . . . USD 100 000 % 106.312 95 634.90 0.11 Unlisted securities 194 740.04 0.22 Interest-bearing securities 0.125 % Marine Harvest ASA 2015/2020. . . . . . . . . . . . . . . . EUR 100 000 100 000 % 111.05 111 050.00 0.13 0.00 % LIXIL Group Corp 2015/2022. . . . . . . . . . . . . . . . . . . JPY 10 000 000 10 000 000 % 95.625 83 690.04 0.09
249
Deutsche Invest I Multi Asset Income Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Investment fund units 4 736 364.02 5.34 In-group fund units db x-trackers - MSCI Emerging Markets Index UCITS ETF -1C- EUR - (0.450%) . . . . . . . . . . . . . . . . . . . . . . . Units 97 120 97 120 EUR 30.26 2 938 851.20 3.31 Deutsche Global Liquidity Series Plc Managed Euro Fund -Z- EUR - (0.000%). . . . . . . . . . . . . . . . . . Units 180 EUR 9 985.794 1 797 512.82 2.03 Total securities portfolio 76 420 816.65 Derivatives (Minus signs denote short positions) Equity index derivatives -82 601.46 Receivables/payables Equity index futures DJ EURO STOXX 50 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . Count -179 -179 -138 179.89 FTSE MIB Index Futures 09/2016 (IFLL). . . . . . . . . . . . . . . . . . Count -9 -9 -48 245.26 S&P MINI 500 Futures 09/2016 (CME). . . . . . . . . . . . . . . . . . . Count -110 -110 39 333.44 S&P TSX60 Index Futures 09/2016 (MOD). . . . . . . . . . . . . . . . Count -4 -4 33.26 Topix Index 09/2016 (OSE). . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 4 -36 267.87 Option contracts Options on equity indices Call DJ EURO STOXX 50 12/2016 3 300 EUR (DB). . . . . . . . . Count 990 19 998.00 Call S & P 500 Futures 12/2017 1 950 EUR (DB). . . . . . . . . . . Count 400 80 726.87 Currency derivatives -461 613.25 Receivables/payables Currency futures Currency futures (short) Open positions EUR/AUD 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -9 306.44 EUR/CAD 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -440.96 EUR/GBP 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40 555.78 EUR/JPY 62.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -36 219.32 EUR/USD 25.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -433 390.20 Currency futures (long) Open positions USD/EUR 3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -22 812.11 -0.03 Swaps 385 054.11 Receivables/payables Credit default swaps Protection seller MARKIT ITRX EUR XOVER 06/21 - Serie 25 / 5% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 000 000 220 030.92 MARKIT ITRX EUR XOVER 06/21 - Serie 25 / 5% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 55 007.73 MARKIT ITRX EUR XOVER 06/21 - Serie 25 / 5% 20/06/2021 (OTC) (ML). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 110 015.46 Cash at bank 11 752 967.28 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 167 158.29 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 387 883 468 834.40 Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 1 681 545 226 019.43 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 1 710 940 183 744.65 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 931 566 98 756.49
250
86.11
-0.09
-0.15 -0.05 0.04 0.00 -0.04
0.02 0.09 -0.52
-0.01 0.00 0.04 -0.04 -0.48
0.43
0.25 0.06 0.12 13.24 3.58
0.53 0.25 0.21 0.11
Deutsche Invest I Multi Asset Income Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 43 646 29 197.14 0.03 Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 152 284 42 663.69 0.05 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 3 482 509 403 760.80 0.45 Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 57 294 932 3 900.89 0.00 Israeli shekel. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ILS 1 758 357 410 584.02 0.46 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 36 289 142 317 598.93 0.36 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 747 548 517 919.97 0.58 New Zealand dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 0 0.24 0.00 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 72 668 67 063.00 0.08 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 70 595 47 120.49 0.05 South African rand. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 2 732 167.00 0.00 Turkish lira. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 776 241.95 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 409 834 1 268 235.90 1.43 Time deposits USD deposits (Norddeutsche Landesbank 0.01% 07/07/2016). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 500 000 3 500 000.00 3.94 USD deposits (Dekabank S.A. 0.01% 04/07/2016). . . . . . . . . . EUR 1 000 000 1 000 000.00 1.13 Other assets 829 071.32 0.94 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84 775.35 0.10 Prepaid placement fee **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 344 895.98 0.39 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 384 531.40 0.43 Receivables from exceeding the expense cap. . . . . . . . . . . . . 14 379.13 0.02 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 489.46 0.00 Receivables from share certificate transactions 35 161.92 0.04 Total assets *** 89 603 718.62 100.95 Other liabilities -117 686.40 -0.14 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -68 196.08 -0.08 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -49 490.32 -0.06 Liabilities from share certificate transactions -15 939.07 -0.02 Total liabilities -858 487.52 -0.95 Net assets 88 745 231.10 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 93.31 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92.53 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 96.46 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92.15 Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 95.80 Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103.02 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 636 559 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 911 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 172 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 632 Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 027 Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 136 415 Composition of the reference portfolio (according to CSSF circular 11/512) 55% MSCI AC WORLD INDEX Constituents in EUR, 20% JP Morgan EMBIG Diversified hedged in EUR Constituents, 15% Barclays Capital U.S. High Yield - 2% Issuer Cap Hedged in EUR, 10% JP Morgan EMBIG in EUR Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 60.088 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 82.993 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 66.563
251
Deutsche Invest I Multi Asset Income The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.5, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 56 783 431.48 as of the reporting date. Market abbreviations
Futures exchanges CME = Chicago Mercantile Exchange DB = Deutsche Bank AG EUR = Eurex IFLL = ICE Futures Europe - Financial Products Division MOD = The Montreal Exchange OSE = Osaka Exchange Contracting party for derivatives (with the exception of currency futures) ML = Merrill Lynch International Contracting parties for currency futures Barclays Bank PLC Wholesale, Crédit Suisse London Branch (GFX), Goldman Sachs International, Merrill Lynch International, Morgan Stanley and CO. International PLC, Nomura International PLC and UBS AG London Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3.569396 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 Danish krone. . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687.670916 = EUR 1 Israeli shekel. . . . . . . . . . . . . . . . . . . . ILS 4.282575 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1 New Zealand dollar. . . . . . . . . . . . . . . NZD 1.564381 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 Turkish lira. . . . . . . . . . . . . . . . . . . . . . TRY 3.206442 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 South African rand. . . . . . . . . . . . . . . . ZAR 16.360704 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Floating interest rate. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). *** Does not include positions with a negative balance, if such exist.
252
Deutsche Invest I Multi Asset Income 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
Securities traded on an exchange Equities Adecco SA -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . Airbus Group NV. . . . . . . . . . . . . . . . . . . . . . . . . . Baxalta Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BT Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Celanese Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . Coca-Cola Enterprises, Inc.. . . . . . . . . . . . . . . . . . CVS Health Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . Delphi Automotive Plc. . . . . . . . . . . . . . . . . . . . . . Investment AB Kinnevik . . . . . . . . . . . . . . . . . . . . Investment AB Kinnevik . . . . . . . . . . . . . . . . . . . . Investment AB Kinnevik . . . . . . . . . . . . . . . . . . . . Investor AB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ITV Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Merck & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Next Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Nokian Renkaat Oyj. . . . . . . . . . . . . . . . . . . . . . . . Power Assets Holdings Ltd. . . . . . . . . . . . . . . . . . Reynolds American, Inc.. . . . . . . . . . . . . . . . . . . . Sekisui House Ltd. . . . . . . . . . . . . . . . . . . . . . . . . Shire Plc -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . Skyworks Solutions Inc. . . . . . . . . . . . . . . . . . . . . TELUS Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Teva Pharmaceutical Industries Ltd . . . . . . . . . . . TUI AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Valeo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Verizon Communications, Inc.. . . . . . . . . . . . . . . . Westrock Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Xilinx, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Interest-bearing securities 5.75 % Development Bank of Mongolia LLC -Reg- 2012/2017. . . . . . . . . . . . . . . . . 10.875 % Mongolia Government International Bond (MTN) -Reg- 2016/2021. . . . . . . Certificates DekaBank Deutsche Girozentrale Multi Express-Zertifikat Memory 12/2017 . . . . . . Societe Generale Effekten GmbH Trio Memory Express Zertifikat . . . . . . . . . . . . . .
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
1 535 820 2 222 11 478 212 310 808 404 2 328 2 328 321 640 26 149 1 897 203 1 422 8 000 2 316 2 100 2 386 186 2 574 1 210 100 11 553 188 363
11 5 16 83 1 2 5 2 2 2 2 4 189 13 1 10 60 16 15 2 1 18 8 4
121 942 102 137 535 249 860 932 328 328 328 642 402 748 471 303 412 782 100 386 348 655 768 375 728 11 553 1 362 2 629
USD
210 000
USD
200 000
200 000
Count
1 500
Count
1 000
Securities admitted to or included in organized markets Interest-bearing securities 4.375 % Ares Capital Corp. 2013/2019. . . . . . . USD 162 000 162 000 6.75 % MDC Partners, Inc. 144A 2013/2020. . . . . . . . . . . . . . . . . . . . . . USD 100 000 4.25 % Petroleos Mexicanos -Reg2014/2025. . . . . . . . . . . . . . . . . . . . . . USD 287 000 Investment fund units In-group fund units db x-trackers - MSCI AC Asia ex Japan Index UCITS ETF -1C- USD - (0.450%). . . . . . . . . . . . . . Units 52 448 52 448 Non-group fund units iShares V plc - iShares Emerging Markets Dividend UCITS ETF USD - (0.650%). . . . . . . . . . Units 94 654
options
Value (’000) Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), FTSE 100, FTSE 100 Index Futures, S & P MINI 500 Futures 06/2016 (CME), S&P 500, S&P TSX60 Index Futures, Topix) EUR 26 876 Contracts sold (Underlying: Topix) EUR 3 798 Interest rate futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), FTSE 100, FTSE 100 Index Futures, S & P MINI 500 Futures 06/2016 (CME), S&P 500, S&P TSX60 Index Futures, Topix) EUR 15 634 Currency futures (short) Futures contracts to sell currencies EUR/AUD EUR 716 EUR/CAD EUR 501 EUR/GBP EUR 1 542 EUR/JPY EUR 714 EUR/USD EUR 29 283 Currency futures (long) Futures contracts to purchase currencies AUD/EUR EUR 796 CAD/EUR EUR 566 GBP/EUR EUR 1 662 JPY/EUR EUR 995 USD/EUR EUR 43 468 Swaps Credit default swaps Protection seller (Underlying: MARKIT ITRX EUROPE) EUR 15 000
253
Deutsche Invest I Multi Asset Total Return Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 7 606 687.88 Equities Bank of Montreal. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 762 1 762 CAD 82.3 100 468.36 CGI Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 250 2 250 CAD 55.31 86 220.34 Metro, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 376 3 376 CAD 45.04 105 347.54 Toronto-Dominion Bank. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 017 2 017 CAD 55.39 77 403.54 Roche Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 180 180 CHF 253.5 42 110.39 Swiss Life Holding AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 324 324 CHF 222.4 66 499.54 Danske Bank A/S. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 243 3 243 DKK 175.1 76 325.61 Allianz SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 523 5 EUR 126.15 65 976.45 ASML Holding NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 922 922 EUR 87.58 80 748.76 AtoS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 297 1 297 EUR 74.58 96 730.26 AXA SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 530 3 530 EUR 17.55 61 951.50 Banco Comercial Portugues SA . . . . . . . . . . . . . . . . . . . . . . . . Count 360 000 EUR 0.019 6 732.00 Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 505 505 EUR 168.5 85 092.50 CytoTools AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 EUR 11.38 4 552.00 Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 538 1 538 EUR 53.03 81 560.14 Delhaize Group SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 966 46 EUR 93.31 90 137.46 Deutsche Telekom AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 769 961 EUR 15.13 87 284.97 HeidelbergCement AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 524 524 EUR 67.06 35 139.44 Koninklijke Ahold NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 345 143 EUR 19.785 85 965.83 Red Electrica Corp. SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 942 942 EUR 79.29 74 691.18 Renault SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 115 1 115 EUR 68.03 75 853.45 Terna Rete Elettrica Nazionale SpA. . . . . . . . . . . . . . . . . . . . . . Count 14 558 14 558 EUR 4.898 71 305.08 Total SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 338 1 338 EUR 43.05 57 600.90 UPM-Kymmene Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 650 2 155 EUR 16.33 43 274.50 Veolia Environnement SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 653 3 653 EUR 19.45 71 050.85 Vinci SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 119 292 EUR 63.33 70 866.27 Direct Line Insurance Group PLC. . . . . . . . . . . . . . . . . . . . . . . Count 16 879 16 879 GBP 3.428 69 936.84 GlaxoSmithKline Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 604 2 604 GBP 15.64 49 225.56 Persimmon Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 715 1 131 GBP 14.11 29 248.91 Royal Dutch Shell Plc -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 793 1 435 GBP 20.055 43 463.18 WPP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 740 3 740 GBP 15.45 69 842.30 Central Japan Railway Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 491 JPY 18 125 77 886.44 Fuji Heavy Industries Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 600 2 600 JPY 3 478 79 141.68 FUJIFILM Holdings Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 300 100 JPY 3 944 79 390.23 ITOCHU Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 100 200 JPY 1 239.5 77 020.65 Japan Tobacco, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 200 100 JPY 4 103 78 999.90 KDDI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 400 100 JPY 3 113 92 631.86 Mitsubishi Electric Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 000 7 000 JPY 1 208 74 006.06 Nordea Bank AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 144 9 144 SEK 70.45 68 291.91 Skanska AB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 098 4 098 SEK 174.2 75 678.44 AbbVie, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 477 1 477 USD 61.42 81 606.05 Activision Blizzard Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 313 55 USD 38.62 115 097.47 Aetna, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 588 588 USD 121.04 64 023.34 Amgen, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 502 8 USD 149.98 67 728.14 Apple, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 480 196 425 USD 94.48 40 795.59 Archer-Daniels-Midland Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 023 1 213 USD 41.8 113 670.17 AT&T, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 159 2 159 USD 42.62 82 774.80 Berkshire Hathaway, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 609 609 USD 142.25 77 929.45 Centene Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 479 215 USD 70.69 94 049.87 CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 808 1 808 USD 23.72 38 578.49 Chubb Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 728 728 USD 128.07 83 870.81 Darden Restaurants Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 706 510 USD 63.2 96 990.27 Delta Air Lines, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 243 2 243 USD 35.94 72 516.93 Discover Financial Services. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 674 1 674 USD 52.35 78 832.30 Dow Chemical Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 880 996 USD 49.32 39 042.52 Eastman Chemical Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 622 622 USD 66.77 37 359.74 Eaton Corp., Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 738 1 738 USD 58.195 90 984.52 Exxon Mobil Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 486 567 USD 92.53 40 453.02 Gilead Sciences, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 845 845 USD 81.75 62 140.76 Johnson & Johnson. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 797 797 USD 119.24 85 489.42 JPMorgan Chase & Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 872 603 USD 61.29 103 211.37 Juniper Networks, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 302 1 117 USD 22.05 85 331.83 LyondellBasell Industries NV. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 521 521 USD 73.37 34 386.53 Marathon Petroleum Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 222 654 USD 36.18 72 317.71 Microsoft Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 859 71 USD 50.52 84 484.06 Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 539 1 539 USD 25.3 35 026.05 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 406 70 USD 34.95 75 644.07 PNC Financial Services Group, Inc.. . . . . . . . . . . . . . . . . . . . . . Count 873 15 USD 80.7 63 375.27 Quest Diagnostics, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 496 283 USD 80.01 107 673.28 Schlumberger Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 135 1 135 USD 78.25 79 893.65 Travelers Cos, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 959 959 USD 117.4 101 278.85 Valero Energy Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 304 21 USD 50.32 59 026.94 Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 608 1 608 USD 72.61 105 030.29 Wyndham Worldwide Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 303 1 303 USD 69.96 82 002.35
254
% of net assets
71.37 0.94 0.81 0.99 0.73 0.39 0.62 0.72 0.62 0.76 0.91 0.58 0.06 0.80 0.04 0.76 0.85 0.82 0.33 0.81 0.70 0.71 0.67 0.54 0.41 0.67 0.66 0.66 0.46 0.27 0.41 0.66 0.73 0.74 0.74 0.72 0.74 0.87 0.69 0.64 0.71 0.77 1.08 0.60 0.64 0.38 1.07 0.78 0.73 0.88 0.36 0.79 0.91 0.68 0.74 0.37 0.35 0.85 0.38 0.58 0.80 0.97 0.80 0.32 0.68 0.79 0.33 0.71 0.59 1.01 0.75 0.95 0.55 0.99 0.77
Deutsche Invest I Multi Asset Total Return Description
Certificates Barclays Bank - SX5E Index . . . . . . . . . . . . . . . . . . . . . . . . . . . DekaBank Deutsche Girozentrale - Euro Stoxx 50 Index. . . . . DekaBank Deutsche Girozentrale - Euro Stoxx 50 Index. . . . . Societe Generale Effekten GmbH. . . . . . . . . . . . . . . . . . . . . . . Societe Generale Effekten GmbH - Basket ExpressMulti 2019/08 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Count Count Count Count
2 250 600 600 500 500 2 400
EUR EUR EUR EUR
89.44 94.42 96.965 93.8
Count
250
EUR
79.83
Total market value in EUR
% of net assets
201 56 48 225
240.00 652.00 482.50 120.00
1.89 0.53 0.45 2.11
19 957.50
0.19
Interest-bearing securities 1.00 % ABN AMRO Bank NV (MTN) 2015/2025. . . . . . . . . . EUR 20 000 20 000 % 102.204 20 440.80 5.125 % Assicurazioni Generali SpA (MTN) 2009/2024. . . . . EUR 50 000 50 000 % 128.812 64 406.00 3.625 % BG Energy Capital Plc (MTN) 2010/2019 . . . . . . . . . EUR 50 000 50 000 % 110.727 55 363.50 1.00 % BMW US Capital LLC (MTN) 2015/2027. . . . . . . . . . EUR 36 000 36 000 % 102.747 36 988.92 2.00 % BNP Paribas SA (MTN) 2013/2019. . . . . . . . . . . . . . EUR 28 000 28 000 % 104.987 29 396.36 2.25 % BNP Paribas SA (MTN) 2014/2021. . . . . . . . . . . . . . EUR 38 000 38 000 % 109.018 41 426.84 1.00 % Bundesrepublik Deutschland 2014/2024 . . . . . . . . . EUR 100 000 600 000 % 110.813 110 813.00 0.625 % Commerzbank AG (MTN) 2015/2019 . . . . . . . . . . . . EUR 38 000 38 000 % 101.026 38 389.88 1.50 % Commerzbank AG (MTN) 2015/2022 . . . . . . . . . . . . EUR 38 000 38 000 % 105.087 39 933.06 0.875 % Daimler AG (MTN) 2016/2021. . . . . . . . . . . . . . . . . . EUR 33 000 33 000 % 103.238 34 068.54 0.625 % Daimler AG 2015/2020. . . . . . . . . . . . . . . . . . . . . . . EUR 33 000 33 000 % 102.084 33 687.72 5.125 % Deutsche Bank AG (MTN) 2007/2017. . . . . . . . . . . . EUR 50 000 50 000 % 105.559 52 779.50 1.50 % Deutsche Pfandbriefbank AG (MTN) 2014/2019. . . . EUR 44 000 44 000 % 103.058 45 345.52 4.50 % Deutsche Telekom International Finance BV (MTN) 2010/2030. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 26 000 26 000 % 143.443 37 295.18 6.25 % ESB Finance Ltd 2012/2017 . . . . . . . . . . . . . . . . . . . EUR 100 000 % 107.563 107 563.00 4.125 % Intesa Sanpaolo SpA (MTN) 2010/2020 . . . . . . . . . . EUR 50 000 50 000 % 112.035 56 017.50 5.625 % Koninklijke KPN NV (MTN) 2009/2034 . . . . . . . . . . . EUR 50 000 50 000 % 135.594 67 797.00 4.375 % OMV AG (MTN) 2010/2020. . . . . . . . . . . . . . . . . . . . EUR 17 000 17 000 % 115.098 19 566.66 1.375 % RCI Banque SA (MTN) 2015/2020 . . . . . . . . . . . . . . EUR 32 000 32 000 % 104.088 33 308.16 1.25 % RCI Banque SA (MTN) 2015/2022 . . . . . . . . . . . . . . EUR 33 000 33 000 % 103.163 34 043.79 5.375 % Royal Bank of Scotland Plc (MTN) 2009/2019 . . . . . EUR 50 000 50 000 % 114.404 57 202.00 3.00 % RWE Finance BV 2013/2024. . . . . . . . . . . . . . . . . . . EUR 18 000 18 000 % 113.648 20 456.64 3.875 % TeliaSonera AB (MTN) 2010/2025. . . . . . . . . . . . . . . EUR 50 000 50 000 % 124.772 62 386.00 5.50 % The Royal Bank of Scotland Plc (MTN) 2010/2020. . EUR 50 000 50 000 % 116.794 58 397.00 4.375 % UniCredit SpA (MTN) 2004/2020. . . . . . . . . . . . . . . . EUR 30 000 30 000 % 113.13 33 939.00 2.125 % Vonovia Finance BV (MTN) 2014/2022. . . . . . . . . . . EUR 43 000 43 000 % 108.966 46 855.38 1.50 % Vonovia Finance BV (MTN) 2015/2025. . . . . . . . . . . EUR 46 000 46 000 % 105.022 48 310.12 1.75 % United States Treasury Note/Bond 2013/2020. . . . . USD 485 200 164 800 % 103.281 450 790.08 Securities admitted to or included in organized markets 343 805.60 Certificates Notenstein Financial Indexzertifikat. . . . . . . . . . . . . . . . . . . . . . Count 115 EUR 971.89 111 767.35 Societe Generale Effekten GmbH Indexzertifikat. . . . . . . . . . . Count 460 EUR 95.07 43 732.20 Societe Generale Effekten GmbH Indexzertifikat. . . . . . . . . . . Count 455 EUR 94.01 42 774.55 Vontobel Financial Indexzertifikat . . . . . . . . . . . . . . . . . . . . . . . Count 145 EUR 825 119 625.00 Interest-bearing securities 0.875 % BMW Finance NV 2015/2020. . . . . . . . . . . . . . . . . . EUR 25 000 25 000 % 103.626 25 906.50 Investment fund units 815 579.16 In-group fund units Concept Fund Solutions - db x-trackers Equity Value Factor UCITS ETF (DR) -1C- EUR - (0.150%). . . . . . . . . . . . . . . . . . . . Units 5 428 5 428 EUR 22.06 119 741.68 Non-group fund units iShares PLC - iShares Euro High Yield Corporate Bond UCITS ETF EUR - (0.500%). . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 2 230 EUR 103.91 231 719.30 UBS ETC on UBS Bloomberg CMCI Gold TR Index EUR. . . . . Units 128 128 EUR 1 770.5 226 624.00 Neuberger Berman Investment Funds plc - Neuberger Berman High Yield Bond Fund -I- USD - (0.600%). . . . . . . . . . Units 12 866 USD 20.52 237 494.18 Total securities portfolio 8 766 072.64 Derivatives (Minus signs denote short positions) Derivatives on individual securities 973 772.60 Warrants on securities Equity warrants Deutsche Bank AG 28/08/2019. . . . . . . . . . . . . . . . . . . . . . . . . Count 300 300 EUR 979.48 293 844.00 DZ Bank AG Deutsche Zentral-Genossenschaftsbank 23/12/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 500 4 500 EUR 25.28 113 760.00 Societe Generale Effekten GmbH - Euro Stoxx 50 Index 20/01/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 800 800 EUR 98.6 78 880.00 Societe Generale Effekten GmbH - Euro Stoxx 50 Index 23/12/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 100 5 100 EUR 21.66 110 466.00 Societe Generale Effekten GmbH 02/10/2016. . . . . . . . . . . . . Count 1 750 1 750 EUR 101.02 176 785.00 Societe Generale Effekten GmbH 20/01/2021. . . . . . . . . . . . . Count 900 900 EUR 99.41 89 469.00 Unicredit Bank AG 04/06/2020. . . . . . . . . . . . . . . . . . . . . . . . . Count 1 140 1 140 EUR 96.99 110 568.60
0.19 0.60 0.52 0.35 0.28 0.39 1.04 0.36 0.37 0.32 0.32 0.49 0.43 0.35 1.01 0.53 0.64 0.18 0.31 0.32 0.54 0.19 0.59 0.55 0.32 0.44 0.45 4.23 3.22 1.05 0.41 0.40 1.12 0.24 7.65
1.12
2.17 2.13 2.23 82.24
9.14
2.76 1.07 0.74 1.03 1.66 0.84 1.04
255
Deutsche Invest I Multi Asset Total Return Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Equity index derivatives 482 554.23 Receivables/payables Equity index futures DJ EURO STOXX 50 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . Count -57 -57 -5 240.00 FTSE MIB Index Futures 09/2016 (IFLL). . . . . . . . . . . . . . . . . . Count -3 -3 -14 740.07 S & P MINI 500 Futures 09/2016 (CME). . . . . . . . . . . . . . . . . . Count -18 -18 3 605.89 Topix Index 09/2016 (OSE). . . . . . . . . . . . . . . . . . . . . . . . . . . . Count -2 -2 12 830.28
% of net assets
4.53
-0.05 -0.14 0.03 0.13
Option contracts Options on equity indices Call DJ EURO STOXX 50 06/2018 2 500 EUR (DB). . . . . . . . . Count 600 242 910.00 2.28 Call S & P 500 Futures 12/2017 2 000 EUR (DB). . . . . . . . . . . Count 1 400 243 188.13 2.28 Currency derivatives -18 292.84 -0.17 Receivables/payables Currency futures Currency futures (short) Open positions EUR/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 110.62 -0.01 EUR/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 084.03 -0.01 EUR/DKK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.80 0.00 EUR/GBP 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 458.12 0.15 EUR/JPY 69 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -23 825.75 -0.22 EUR/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2.09 0.00 EUR/USD 0.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 288.53 -0.04 USD/AUD 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -396.14 0.00 USD/CAD 0.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 040.05 0.04 USD/JPY 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -61.44 0.00 Closed positions EUR/AUD 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 544.57 -0.01 EUR/JPY 22.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -7 552.19 -0.07 EUR/NOK 3.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -171.37 0.00 EUR/SEK 3.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 613.74 0.02 EUR/USD 1.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 469.87 0.03 USD/AUD 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 952.96 0.01 USD/CAD 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -579.71 -0.01 USD/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 382.79 0.00 USD/JPY 21.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 740.70 -0.04 USD/NZD 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 930.72 -0.02 Currency futures (long) Open positions ILS/EUR 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 434.29 0.00 NOK/EUR 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 578.95 0.01 SEK/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -82.90 0.00 USD/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143.35 0.00 Cash at bank 413 552.71 3.88 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 114 191.29 1.07 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 23 781 28 744.45 0.27 Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 11 076 1 488.72 0.01 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 1 663 178.55 0.00 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 41 727 4 423.50 0.04 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 430 287.53 0.00 Israeli shekel. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ILS 8 833 2 062.65 0.02 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 2 542 657 22 253.08 0.21 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 1 397 967.58 0.01 Russian rouble. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . RUB 955 13.37 0.00 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 7 610 7 023.06 0.07 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 5 072 3 385.40 0.03 Turkish lira. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 3 311 1 032.45 0.01 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 252 901 227 501.08 2.14 Other assets 64 980.64 0.61 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 178.68 0.09 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 217.24 0.24 Receivables from exceeding the expense cap. . . . . . . . . . . . . 30 584.72 0.28 Total assets ** 10 748 990.81 100.85
256
Deutsche Invest I Multi Asset Total Return Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Other liabilities -23 773.28 -0.22 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -23 773.28 -0.22 Total liabilities -90 124.11 -0.85 Net assets 10 658 866.70 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92.80 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.01 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 91.41 Class RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92.27 Class USD RDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 92.76 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 101 814 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 015 Class RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class USD RDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 114 Presentation of the maximum limit (according to CSSF circular 11/512) 10% of portfolio value Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % -16.286 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 6.765 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 3.667 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 1.1, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 21 674 401.72 as of the reporting date. Market abbreviations
Futures exchanges CME = Chicago Mercantile Exchange DB = Deutsche Bank AG EUR = Eurex IFLL = ICE Futures Europe - Financial Products Division OSE = Osaka Exchange Contracting parties for currency futures Barclays Bank PLC Wholesale, Commonwealth Bank of Australia, Crédit Suisse London Branch (GFX), Deutsche Bank AG Frankfurt, Goldman Sachs International, JP Morgan Securities PLC, Morgan Stanley and Co. International PLC, Royal Bank of Canada (UK), Royal Bank of Scotland PLC, Skandinaviska Enskilda Banken AG, State Street Bank and Trust Company and UBS AG London Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 Danish krone. . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Israeli shekel. . . . . . . . . . . . . . . . . . . . ILS 4.282575 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1 New Zealand dollar. . . . . . . . . . . . . . . NZD 1.564381 = EUR 1 Russian rouble. . . . . . . . . . . . . . . . . . . RUB 71.427658 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 Turkish lira. . . . . . . . . . . . . . . . . . . . . . TRY 3.206442 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1
257
Deutsche Invest I Multi Asset Total Return Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Floating interest rate. ** Does not include positions with a negative balance, if such exist.
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Equities Adecco SA -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . Anthem, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . AP Moeller - Maersk A/S. . . . . . . . . . . . . . . . . . . . Avago Technologies Ltd . . . . . . . . . . . . . . . . . . . . Barclays Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BNP Paribas SA. . . . . . . . . . . . . . . . . . . . . . . . . . . Broadcom Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Celgene Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . CVS Health Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . Daiwa Securities Group, Inc.. . . . . . . . . . . . . . . . . Dentsu, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DNB ASA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Dr Pepper Snapple Group, Inc.. . . . . . . . . . . . . . . Express Scripts Holding Co.. . . . . . . . . . . . . . . . . Four Corners Property Trust . . . . . . . . . . . . . . . . . Fresenius SE & Co. KGaA. . . . . . . . . . . . . . . . . . . Gas Natural SDG SA. . . . . . . . . . . . . . . . . . . . . . . Goldman Sachs Group, Inc.. . . . . . . . . . . . . . . . . . Harris Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ING Groep NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . JX Holdings, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . KBC Groep NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . L-3 Communications Holdings, Inc. . . . . . . . . . . . Lam Research Corp. . . . . . . . . . . . . . . . . . . . . . . . Lear Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Marks & Spencer Group Plc. . . . . . . . . . . . . . . . . Mitsubishi Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . Northrop Grumman Corp.. . . . . . . . . . . . . . . . . . . Old Mutual Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Peugeot SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Public Service Enterprise Group, Inc.. . . . . . . . . . Publicis Groupe SA. . . . . . . . . . . . . . . . . . . . . . . . Sanofi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Societe Generale SA. . . . . . . . . . . . . . . . . . . . . . . Sumitomo Chemical Co., Ltd . . . . . . . . . . . . . . . . Sumitomo Electric Industries Ltd. . . . . . . . . . . . . Sun Life Financial, Inc. . . . . . . . . . . . . . . . . . . . . . Suncor Energy, Inc.. . . . . . . . . . . . . . . . . . . . . . . . Svenska Cellulosa AB SCA. . . . . . . . . . . . . . . . . . TDK Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Teva Pharmaceutical Industries Ltd . . . . . . . . . . . Tokyo Electric Power Co., Inc. . . . . . . . . . . . . . . . Unilever NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Valeo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Verizon Communications, Inc.. . . . . . . . . . . . . . . . Volvo AB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Voya Financial, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Wolters Kluwer NV. . . . . . . . . . . . . . . . . . . . . . . . Yara International ASA. . . . . . . . . . . . . . . . . . . . . .
258
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
681 146
1 052 568 52 681 19 738 1 410 681 662 784 12 000 1 600 5 321 1 101 959 544 1 270 3 861 423 1 070 5 167 21 600 1 276 706 1 127 843 10 579 4 100 536 26 749 4 204 2 151 1 168 809 1 797 16 000 5 900 2 751 3 425 3 105 1 300 1 220 13 600 1 957 660 1 907 7 450 1 861 2 833 1 735
Interest-bearing securities 4.375 % A tlantia SpA (MTN) 2010/2025. . . . . . 3.157 % C asino Guichard Perrachon SA (MTN) 2012/2019. . . . . . . . . . . . . . . . . . . . . . 0.117 % Coca-Cola Co. 2015/2019 *. . . . . . . . . 1.375 % C redit Suisse AG/London 2014/2022. 1.875 % FADE - Fondo de Amortizacion del Deficit Electrico (MTN) 2014/2017 4.50 % Imperial Tobacco Finance Plc (MTN) 2011/2018. . . . . . . . . . . . . . . . . . . . . . 2.75 % JPMorgan Chase & Co. (MTN) 2012/2022 . . . . . . . . . . . . . . . . . . . . . 3.125 % K ering (MTN) 2012/2019. . . . . . . . . . . 0.234 % Pohjola Bank Plc (MTN) 2014/2017 * 1.375 % Teliasonera AB 2014/2019 . . . . . . . . . 2.625 % Wells Fargo & Co. (MTN) 2012/2022. Certificates DekaBank Deutsche Girozentrale Multi Express-Zertifikat Memory 12/2017 . . . . . . Deutsche Bank A.G. Indexzertifikat . . . . . . . . . . . Skandinaviska Enskilda Banken AB Multi Express Rohstoffminen Basket 08/2019. . . Societe Generale Effekten GmbH Trio Memory Express Zertifikat . . . . . . . . . . . . . .
EUR
50 000
50 000
EUR EUR EUR
100 000 100 000 100 000
EUR
200 000
EUR
100 000
EUR EUR EUR EUR EUR
100 100 150 100 100
000 000 000 000 000
Count Count
220 900
Count
1
Count
320
1 000
Securities admitted to or included in organized markets Interest-bearing securities 3.875 % Intesa Sanpaolo SpA 2013/2018. . . . . USD 200 000 Investment fund units In-group fund units db Physical Gold Euro Hedged ETC . . . . . . . . . . . Units 1 198 1 198 db x-trackers II - iTRAXX Crossover 5-year Total Return Index ETF -1C- EUR - (0.140%). . . . . . . . . Units 1 320 Non-group fund units iShares (DE) I - iShares STOXX Europe 600 Basic Resources UCITS ETF (DE) EUR (0.460%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 5 147 5 147
Deutsche Invest I Multi Asset Total Return Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown)
Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown)
Value (’000) Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), FTSE 100, FTSE 100 Index Futures, S & P MINI 500 Futures, S & P MINI 500 Futures 06/2016 (CME), S&P 500, Topix) EUR 11 299 Contracts sold (Underlying: DJ EURO STOXX Bank Futures) EUR 442 Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Notes 10 year) EUR 3 419 Currency futures (short) Futures contracts to sell currencies EUR/CAD EUR 499 EUR/CHF EUR 54 EUR/DKK EUR 12 EUR/GBP EUR 1 014 EUR/ILS EUR 60 EUR/JPY EUR 3 318 EUR/NOK EUR 2 061 EUR/SEK EUR 1 130 EUR/USD EUR 7 196 USD/AUD EUR 1 522 USD/CAD EUR 2 040 USD/GBP EUR 1 914 USD/JPY EUR 1 899 USD/NZD EUR 797 Currency futures (long) Futures contracts to purchase currencies CAD/EUR EUR 438 CHF/EUR EUR 53 DKK/EUR EUR 12 GBP/EUR EUR 1 013 ILS/EUR EUR 61 JPY/EUR EUR 2 859 NOK/EUR EUR 2 583 SEK/EUR EUR 1 131 USD/AUD EUR 1 933 USD/CAD EUR 2 052 USD/EUR EUR 7 689 USD/GBP EUR 1 907 USD/JPY EUR 2 467 USD/NZD EUR 798
Option contracts Options on equity index derivatives Options on equity indices Call options purchased (Underlying: DJ Euro Stoxx 50) EUR Put options purchased (Underlying: DJ Euro Stoxx 50) EUR Call options sold (Underlyings: DJ Euro Stoxx 50, S&P 500) EUR Put options sold (Underlyings: DJ Euro Stoxx 50, S&P 500) EUR Options on interest rate derivatives Options on bond index futures Call options purchased (Underlying: OGBL) EUR Put options purchased (Underlying: OGBL) EUR Call options sold (Underlying: OGBL) EUR
Value (’000)
133 67 324 54
7 3 2
259
Deutsche Invest I Multi Credit Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
Securities traded on an exchange 18 567 805.89 Interest-bearing securities 1.125 % 2i Rete Gas SpA (MTN) 2014/2020. . . . . . . . . . . . . . EUR 200 000 % 102.988 228 973.15 0.625 % ABN AMRO Bank NV (MTN) 2016/2022. . . . . . . . . . EUR 70 000 70 000 % 101.224 78 767.94 4.125 % Allied Irish Banks PLC 2015/2025*. . . . . . . . . . . . . . EUR 140 000 % 93.326 145 244.14 1.50 % Anheuser-Busch InBev SA/NV (MTN) 2016/2025. . . EUR 130 000 130 000 % 105.444 152 381.82 4.125 % Ardagh Packaging Finance Plc Via Ardagh Holdings USA, Inc. -Reg- 2016/2023. . . . . . . . . . . . . . . . . . . . EUR 110 000 110 000 % 101.855 124 549.78 3.50 % BALL Corp 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . EUR 140 000 % 107.936 167 981.82 1.625 % Banque Federative du Credit Mutuel SA (MTN) 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 102.58 228 066.04 2.625 % Barclays PLC 2015/2025*. . . . . . . . . . . . . . . . . . . . . EUR 100 000 % 94.172 104 686.27 0.50 % Berkshire Hathaway, Inc. 2016/2020 . . . . . . . . . . . . EUR 100 000 100 000 % 101.012 112 289.95 4.00 % Bharti Airtel International Netherlands BV 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 107.306 238 573.35 2.875 % BPCE SA (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 100.735 111 982.03 4.625 % Cemex Finance LLC -Reg- 2016/2024 . . . . . . . . . . . EUR 160 000 160 000 % 98.38 174 982.55 4.25 % Delta Lloyd NV (MTN) 2010/2017. . . . . . . . . . . . . . . EUR 200 000 % 105.179 233 844.40 4.375 % Demeter Investments BV 2015/2049 * . . . . . . . . . . EUR 150 000 % 95.963 160 015.85 0.625 % Deutsche Telekom International Finance BV (MTN) 2016/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 300 000 100 000 % 102.209 227 241.20 2.625 % EDP Finance BV 2014/2022 . . . . . . . . . . . . . . . . . . . EUR 200 000 % 105.345 234 213.46 7.375 % EnBW Energie Baden-Wuerttemberg AG (MTN) 2011/2072 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 104.148 231 552.17 0.75 % Eni SpA (MTN) 2016/2022. . . . . . . . . . . . . . . . . . . . . EUR 130 000 130 000 % 101.831 147 160.51 2.625 % Eutelsat SA 2013/2020. . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 106.383 118 260.62 2.625 % Glencore Finance Dubai Ltd (MTN) 2012/2018. . . . . EUR 100 000 100 000 % 102.126 113 528.33 0.75 % Goldman Sachs Group, Inc./The (MTN) 2016/2019. EUR 195 000 195 000 % 101.28 219 546.36 2.25 % HeidelbergCement AG (MTN) 2016/2024. . . . . . . . . EUR 170 000 170 000 % 100.446 189 823.29 1.375 % Holcim Finance Luxembourg SA (MTN) 2016/2023. EUR 120 000 120 000 % 103.241 137 721.39 5.75 % Iberdrola International BV (MTN) 2013/2049 *. . . . . EUR 100 000 % 106.921 118 858.69 4.375 % Intesa Sanpaolo SpA 2012/2019. . . . . . . . . . . . . . . . EUR 200 000 % 111.677 248 291.39 1.75 % JAB Holdings BV 2016/2023. . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 103.346 114 884.54 2.375 % KBC Groep NV (MTN) 2014/2024 * . . . . . . . . . . . . . EUR 100 000 % 101.733 113 091.45 2.75 % La Banque Postale SA 2015/2027. . . . . . . . . . . . . . . EUR 100 000 % 101.53 112 865.79 5.05 % La Mondiale SAM 2014/49/1*. . . . . . . . . . . . . . . . . . EUR 100 000 % 97.482 108 365.83 2.625 % MOL Hungarian Oil & Gas Plc 2016/2023. . . . . . . . EUR 100 000 230 000 130 000 % 99.991 111 154.96 1.25 % Molson Coors Brewing Co. 2016/2024. . . . . . . . . . . EUR 100 000 100 000 % 100.604 111 836.40 1.75 % Nasdaq, Inc. 2016/2023 . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 102.971 114 467.68 0.75 % National Grid North America, Inc. (MTN) 2015/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 100.433 223 292.62 6.307 % Natixis 2007/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . EUR 150 000 % 105.535 175 976.92 1.125 % Nomura Europe Finance NV 2015/2020. . . . . . . . . . EUR 200 000 % 101.302 225 224.66 7.75 % Onorato Armatori SpA -Reg- 2016/2023. . . . . . . . . . EUR 100 000 500 000 400 000 % 96.066 106 791.73 3.75 % Petroleos Mexicanos (MTN) 2016/2019. . . . . . . . . . EUR 150 000 150 000 % 104.615 174 442.84 3.50 % Rexel SA 2016/2023. . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 300 000 100 000 % 101.194 224 984.55 2.00 % Rio Tinto Finance Ltd 2012/2020 . . . . . . . . . . . . . . . EUR 100 000 100 000 % 105.67 117 468.02 1.375 % Santander International Debt SAU (MTN) 2016/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 102.809 114 287.59 1.00 % Southern Power Co. 2016/2022. . . . . . . . . . . . . . . . EUR 100 000 100 000 % 101.022 112 301.07 5.625 % SSE Plc 2012/2049 *. . . . . . . . . . . . . . . . . . . . . . . . . EUR 150 000 % 104.152 173 670.80 1.375 % Swiss Re Admin Re Ltd 2016/2023 . . . . . . . . . . . . . EUR 130 000 130 000 % 102.006 147 413.41 1.25 % Sysco Corp. 2016/2023. . . . . . . . . . . . . . . . . . . . . . . EUR 150 000 150 000 % 100.982 168 384.91 0.75 % Telefonica Emisiones SAU (MTN) 2016/2022. . . . . . EUR 200 000 200 000 % 100.365 223 141.43 4.125 % Tereos Finance Groupe I SA 2016/2023. . . . . . . . . . EUR 200 000 300 000 100 000 % 99.221 220 597.98 3.875 % TOTAL SA (MTN) 2016/2049 *. . . . . . . . . . . . . . . . . EUR 130 000 130 000 % 103.907 150 160.63 1.50 % Transmission Finance DAC (MTN) 2016/2023 . . . . . EUR 100 000 100 000 % 102.697 114 163.08 2.375 % Turkiye Vakiflar Bankasi TAO 2016/2021 . . . . . . . . . EUR 130 000 130 000 % 100.511 145 252.92 4.25 % Unione di Banche Italiane SpA (MTN) 2016/2026 *. EUR 100 000 200 000 100 000 % 97.822 108 743.79 1.875 % Abbey National Treasury Services Plc (MTN) 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 100 000 % 100.533 135 081.24 6.25 % Atlantia SpA (MTN) 2004/2022. . . . . . . . . . . . . . . . . GBP 100 000 % 123.334 165 717.83 5.75 % Barclays Bank Plc (MTN) 2001/2026. . . . . . . . . . . . . GBP 50 000 50 000 % 108.729 73 046.90 10.00 % Barclays Bank Plc (MTN) 2009/2021. . . . . . . . . . . . . GBP 100 000 100 000 % 124.086 166 728.25 5.25 % Centrica Plc 2015/2075 * . . . . . . . . . . . . . . . . . . . . . GBP 100 000 100 000 % 94.586 127 090.55 2.50 % Lloyds Bank Plc (MTN) 2015/2022. . . . . . . . . . . . . . GBP 100 000 % 102.856 138 202.54 3.60 % AbbVie, Inc. 2015/2025. . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 105.022 210 044.00 3.20 % AbbVie, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . . USD 70 000 70 000 % 101.474 71 031.80 4.80 % ABN AMRO Bank NV (MTN) -Reg- 2016/2026. . . . . USD 200 000 200 000 % 104.437 208 874.00 2.50 % Abu Dhabi National Energy Co. 2012/2018. . . . . . . . USD 200 000 % 100.8 201 600.00 3.45 % Actavis Funding SCS 2015/2022. . . . . . . . . . . . . . . . USD 200 000 % 103.816 207 632.00 3.95 % AerCap Ireland Capital Ltd Via AerCap Global Aviation Trust 2016/2022 . . . . . . . . . . . . . . . . . . . . . USD 280 000 450 000 170 000 % 99.875 279 650.00 2.25 % Agricultural Bank China HK 2014/2017. . . . . . . . . . . USD 200 000 % 100.871 201 742.00 3.00 % AT&T, Inc. 2015/2022. . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 102.226 102 226.00 8.25 % Aviva Plc 2012/2049. . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 105.961 211 922.00 2.875 % Axis Bank Ltd Via Dubai (MTN) -Reg- 2016/2021. . . USD 250 000 250 000 % 100.445 251 112.50 2.125 % Bank of China 2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 100.926 201 852.00 2.675 % Becton Dickinson and Co. 2014/2019. . . . . . . . . . . . USD 200 000 % 102.906 205 812.00 3.119 % BP Capital Markets Plc 2016/2026. . . . . . . . . . . . . . USD 90 000 90 000 % 102.101 91 890.90 3.375 % CBS Corp. 2012/2022. . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 104.446 208 892.00 7.50 % CenturyLink, Inc. 2016/2024. . . . . . . . . . . . . . . . . . . USD 190 000 190 000 % 99.965 189 933.50
260
% of net assets
74.02 0.91 0.31 0.58 0.61 0.50 0.67 0.91 0.42 0.45 0.95 0.45 0.70 0.93 0.64 0.91 0.93 0.92 0.59 0.47 0.45 0.88 0.76 0.55 0.47 0.99 0.46 0.45 0.45 0.43 0.44 0.45 0.46 0.89 0.70 0.90 0.43 0.70 0.90 0.47 0.46 0.45 0.69 0.59 0.67 0.89 0.88 0.60 0.46 0.58 0.43 0.54 0.66 0.29 0.66 0.51 0.55 0.83 0.28 0.83 0.80 0.83 1.11 0.80 0.41 0.84 1.00 0.80 0.82 0.37 0.83 0.76
Deutsche Invest I Multi Credit Description
2.125 % 3.30 % 2.50 % 3.50 % 2.85 % 2.021 % 2.40 % 3.90 % 5.75 %
China Development Bank Corp. (MTN) 2016/2021. . Columbia Pipeline Group, Inc. 2016/2020. . . . . . . . . Deutsche Bank AG/London 2014/2019. . . . . . . . . . . Emirates Telecommunications Corp. 2014/2024 . . . Enterprise Products Operating LLC 2016/2021 . . . . Ford Motor Credit Co. LLC 2016/2019. . . . . . . . . . . General Motors Financial Co, Inc. 2016/2019. . . . . . HSBC Holdings Plc 2016/2026. . . . . . . . . . . . . . . . . Hutchison Whampoa International 09/19 Ltd 2009/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.875 % Jefferies Group LLC 2010/2021 . . . . . . . . . . . . . . . . 3.90 % JPMorgan Chase & Co 2015/2025. . . . . . . . . . . . . . 3.40 % KeyBank NA/Cleveland OH (MTN) 2016/2026 . . . . . 2.30 % KeyCorp (MTN) 2013/2018. . . . . . . . . . . . . . . . . . . . 2.90 % KeyCorp 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . 3.05 % Kinder Morgan, Inc. 2014/2019. . . . . . . . . . . . . . . . . 3.875 % Korea Gas Corp. 2014/2024 . . . . . . . . . . . . . . . . . . . 2.50 % Lowe‘s Cos, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . 4.375 % Macy‘s Retail Holdings, Inc. 2013/2023. . . . . . . . . . 2.632 % Mizuho Financial Group, Inc. -Reg- 2016/2021. . . . . 2.10 % Molson Coors Brewing Co. 2016/2021. . . . . . . . . . . 3.00 % Molson Coors Brewing Co. 2016/2026. . . . . . . . . . . 7.30 % Morgan Stanley 2009/2019. . . . . . . . . . . . . . . . . . . . 5.50 % Penske Automotive Group, Inc. 2016/2026 . . . . . . . 2.60 % Plains All American Pipeline LP / PAA Finance Corp. 2014/2019 . . . . . . . . . . . . . . . . . 3.85 % Plains All American Pipeline LP 2013/2023. . . . . . . . 3.45 % Quest Diagnostics, Inc. 2016/2026. . . . . . . . . . . . . . 2.70 % Santander Holdings USA, Inc. 2016/2019. . . . . . . . . 2.75 % Sinopec Group Overseas Development 2016 Ltd -Reg- 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.30 % Spectra Energy Capital LLC 2013/2023 . . . . . . . . . . 3.00 % Synchrony Financial 2014/2019. . . . . . . . . . . . . . . . . 2.50 % Sysco Corp. 2016/2021. . . . . . . . . . . . . . . . . . . . . . . 5.00 % Tenneco, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . 3.85 % The Kroger Co. 2013/2023 . . . . . . . . . . . . . . . . . . . . 3.60 % Time Warner, Inc. 2015/2025. . . . . . . . . . . . . . . . . . 1.40 % Toyota Motor Credit Corp. (MTN) 2016/2019. . . . . . 4.875 % TRI Pointe Group, Inc. 2016/2021. . . . . . . . . . . . . . . 5.875 % United Rentals North America, Inc. 2016/2026 . . . . 3.10 % UnitedHealth Group, Inc. 2016/2026. . . . . . . . . . . . . 5.50 % Unitymedia Hessen GmbH & Co. KG 144A 2012/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.875 % VEREIT Operating Partnership LP 2016/2026. . . . . . 1.75 % Wells Fargo Bank NA 2016/2019 . . . . . . . . . . . . . . . 7.25 % Williams Partners LP / Williams Partners Finance Corp. 2007/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.55 % Zimmer Holdings, Inc. 2015/2025. . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
% of net assets
USD USD USD USD USD USD USD USD
250 200 200 200 50 200 200 110
000 250 000 000 200 000 000 000 000 50 000 000 200 000 000 200 000 000 110 000
% % % % % % % %
100.785 103.321 100.166 105.041 103.3 100.839 100.444 102.855
251 206 200 210 51 201 200 113
962.50 642.00 332.00 082.00 650.00 678.00 888.00 140.50
1.00 0.82 0.80 0.84 0.21 0.80 0.80 0.45
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
100 000 200 000 100 000 100 000 250 000 250 000 200 000 111 000 200 000 200 000 180 000 180 000 200 000 200 000 200 000 35 000 35 000 24 000 24 000 200 000 160 000 380 000 220 000
% % % % % % % % % % % % % % %
112.221 113.632 108.194 100.672 101.69 103.248 101.595 110.858 102.135 103.855 102 100.39 100.152 114.87 96.25
112 221.00 227 265.00 108 194.00 251 678.75 203 381.00 114 605.84 203 190.00 221 716.00 183 843.00 207 710.00 204 000.00 35 136.50 24 036.48 229 740.00 154 000.00
0.45 0.91 0.43 1.00 0.81 0.46 0.81 0.88 0.73 0.83 0.81 0.14 0.10 0.92 0.61
USD USD USD USD
200 150 50 150
000 200 000 000 000 50 000 000 150 000
% % % %
97.908 97.287 103.545 100.337
195 145 51 150
817.00 930.50 772.50 505.50
0.78 0.58 0.21 0.60
USD USD USD USD USD USD USD USD USD USD USD
200 150 150 115 70 200 100 100 230 83 170
000 200 000 000 000 000 115 000 000 70 000 000 000 100 000 000 100 000 000 230 000 000 83 000 000 170 000
% % % % % % % % % % %
101.915 97.304 102.03 102.372 101.688 110.062 106.37 100.626 100 98.812 104.503
203 145 153 117 71 220 106 100 230 82 177
830.00 955.25 045.00 727.23 181.25 124.00 370.00 626.00 000.00 014.38 655.10
0.81 0.58 0.61 0.47 0.28 0.87 0.42 0.40 0.92 0.33 0.71
USD USD USD
200 000 70 000 70 000 250 000 250 000
% % %
100.998 102 101.168
201 996.00 71 400.00 252 920.00
0.81 0.28 1.01
USD USD
150 000 150 000 200 000
% %
102.883 102.968
154 324.50 205 935.00
0.62 0.82
Securities admitted to or included in organized markets 5 869 486.05 Interest-bearing securities 5.50 % Altice US Finance I Corp. 144A 2016/2026. . . . . . . . USD 100 000 200 000 100 000 % 100 100 000.00 7.875 % APX Group, Inc. 144A 2016/2022. . . . . . . . . . . . . . . USD 160 000 160 000 % 100.875 161 400.00 4.375 % Ball Corp 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 105.033 105 033.00 2.75 % Banco de Credito del Peru -Reg- 2014/2018. . . . . . . USD 200 000 % 101.113 202 226.00 2.00 % Banque Federative du Credit Mutuel SA (MTN) -Reg- 2016/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 101.058 202 116.00 2.45 % BNP Paribas SA (MTN) 2014/2019. . . . . . . . . . . . . . USD 100 000 % 102.06 102 060.00 2.35 % BNZ International Funding Ltd/London 2014/2019. . USD 250 000 % 101.752 254 380.00 7.00 % Cheniere Corpus Christi Holdings LLC 144A 2016/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 102.75 102 750.00 3.375 % Comcast Corp. 2014/2025 . . . . . . . . . . . . . . . . . . . . USD 200 000 % 108.185 216 370.00 4.42 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . USD 240 000 240 000 % 103.001 247 202.40 6.02 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2026 . . . . . . . . . . . . . . . . . . . . . . . USD 190 000 190 000 % 103.796 197 212.40 2.962 % Dominion Resources Inc/VA 2016/2019. . . . . . . . . . USD 90 000 90 000 % 101.325 91 192.50 5.125 % Enel Finance International NV -Reg- 2009/2019. . . . USD 200 000 % 110.326 220 652.00 3.00 % Express Scripts Holding Co. 2016/2023. . . . . . . . . . USD 200 000 200 000 % 100.32 200 640.00 3.40 % Express Scripts Holding Co. 2016/2027. . . . . . . . . . USD 90 000 90 000 % 100.21 90 189.00 2.25 % Fifth Third Bank Via Cincinnati OH 2016/2021. . . . . USD 200 000 200 000 % 100.442 200 883.00 3.85 % Fifth Third Bank/Cincinnati OH 2016/2026. . . . . . . . USD 240 000 240 000 % 105.447 253 072.80 1.80 % Fortive Corp. 144A 2016/2019 . . . . . . . . . . . . . . . . . USD 80 000 80 000 % 100.584 80 467.20 4.50 % Fresenius US Finance II Inc 2015/2023 . . . . . . . . . . USD 200 000 200 000 % 102.5 205 000.00 3.70 % Gilead Sciences, Inc. 2014/2024. . . . . . . . . . . . . . . . USD 100 000 % 108.708 108 708.00 2.80 % H.J. Heinz Co. 2015/2020 . . . . . . . . . . . . . . . . . . . . USD 200 000 % 103.066 206 133.00 2.85 % Hewlett Packard Enterprise Co 2015/2018. . . . . . . . USD 250 000 % 102.041 255 102.50 5.80 % ING Bank NV -Reg- 2013/2023. . . . . . . . . . . . . . . . . USD 200 000 % 110.253 220 506.00 2.375 % Intesa Sanpaolo SpA 2014/2017. . . . . . . . . . . . . . . . USD 200 000 % 100.445 200 890.00 3.15 % Mylan NV 144A 2016/2021. . . . . . . . . . . . . . . . . . . . USD 250 000 250 000 % 101.494 253 735.00 2.25 % Nordea Bank AB -Reg- 2016/2021 . . . . . . . . . . . . . . USD 200 000 200 000 % 101.321 202 642.00 4.25 % Quest Diagnostics, Inc. 2014/2024. . . . . . . . . . . . . . USD 150 000 % 107.725 161 587.50
23.39 0.40 0.64 0.42 0.81 0.81 0.41 1.00 0.41 0.85 0.99 0.79 0.36 0.88 0.80 0.36 0.80 1.01 0.32 0.82 0.43 0.82 1.02 0.88 0.80 1.01 0.81 0.64
261
Deutsche Invest I Multi Credit Description
7.75 6.125 2.625 3.15 5.75 4.75
% % % % % %
Count/ units/ currency
appi Papier Holding GmbH 144A 2012/2017 . . . . . S Siemens Financieringsmaatschappij NV 2006/2026. Societe Generale SA 2015/2020. . . . . . . . . . . . . . . . Southern California Gas Co 2014/2024. . . . . . . . . . . Stanley Black & Decker, Inc. 2013/2053 *. . . . . . . . West Corp. 144A 2016/2021. . . . . . . . . . . . . . . . . . .
USD USD USD USD USD USD
Quantity/ principal amount
200 150 100 150 150 200
Purchases/ Sales/ Market price additions disposals in the reporting period
000 200 000 000 000 000 000 000 390 000 190 000
% % % % % %
103.812 131.744 103.285 107.04 106.166 99.5
Total market value in USD
207 197 103 160 159 199
625.00 615.25 285.00 560.75 249.75 000.00
% of net assets
0.83 0.79 0.41 0.64 0.63 0.79
Total securities portfolio 24 437 291.94 97.41 Derivatives (Minus signs denote short positions) Interest rate derivatives -8 120.73 -0.03 Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . . Count -1 -1 -9 166.86 -0.04 Germany Federal Republic Bonds 5 year 09/2016 (EUR). . . . . Count -4 -4 -5 913.98 -0.02 UK Treasury Notes 09/2016 (IFLL) . . . . . . . . . . . . . . . . . . . . . . Count 1 1 6 960.11 0.03 Currency derivatives -365 295.83 -1.46 Receivables/payables Currency futures Currency futures (short) Open positions USD/EUR 7.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -60 448.99 -0.24 USD/GBP 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -9 923.21 -0.04 Closed positions USD/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -10.77 0.00 USD/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -258.12 0.00 Currency futures (long) Open positions EUR/USD 18.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -294 654.74 -1.18 Cash at bank 1 255 112.86 5.00 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 236 246 262 622.82 1.05 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 12 467 16 750.70 0.07 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 975 739.34 3.88 Other assets 240 122.84 0.96 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209 822.48 0.84 Receivables from exceeding the expense cap. . . . . . . . . . . . . 30 300.36 0.12 Receivables from share certificate transactions 15 233.20 0.06 Total assets ** 25 954 720.95 103.46 Other liabilities -487 354.12 -1.94 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -487 354.12 -1.94 Total liabilities -867 730.79 -3.46 Net assets 25 086 990.16 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
262
Deutsche Invest I Multi Credit Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104.15 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103.10 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 105.08 Class USD LD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 104.00 Number of shares outstanding Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 150 000 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 893 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 000 Class USD LD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 232 Composition of the reference portfolio (according to CSSF circular 11/512) 50% Barclays Global Aggregate Corporate 1-10 Years in USD, 50% Merrill - Global High Yield BB-B Constrained Index Constituents in USD Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 20.359 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 26.609 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 22.404 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.5, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 9 906 290.65 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations Futures exchanges EUR = Eurex IFLL = ICE Futures Europe - Financial Products Division Contracting parties for currency futures Deutsche Bank AG Frankfurt, Merrill Lynch International, State Street Bank and Trust Company and State Street Bank London Exchange rates (indirect quotes) As of: June 30, 2016 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0.899564 = USD 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.744241 = USD 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Floating interest rate. ** Does not include positions with a negative balance, if such exist.
263
Deutsche Invest I Multi Credit 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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Interest-bearing securities 1.125 % A kzo Nobel NV (MTN) 2016/2026. . . . 6.50 % Altice Financing SA -Reg- 2013/2022. 6.375 % America Movil SAB de CV 2013/2073 * . . . . . . . . . . . . . . . . . . . . 1.50 % A merica Movil SAB de CV 2016/2024. . . . . . . . . . . . . . . . . . . . . . 1.25 % Amgen, Inc. 2016/2022. . . . . . . . . . . . 0.875 % A nheuser-Busch InBev SA/NV (MTN) 2016/2022 . . . . . . . . . . . . . . . . 2.00 % Anheuser-Busch InBev SA/NV (MTN) 2016/2028 . . . . . . . . . . . . . . . . 3.375 % A SML Holding NV 2013/2023. . . . . . . 1.00 % B anco Bilbao Vizcaya Argentaria SA 2016/2021. . . . . . . . . . . . . . . . . . . . . . 3.00 % Banque Federative du Credit Mutuel SA (MTN) 2014/2024 . . . . . . . 3.125 % Belfius Bank SA/NV 2016/2026. . . . . . 5.875 % B iSoho SAS -Reg- 2016/2023. . . . . . . 2.875 % BNP Paribas SA (MTN) 2016/2026. . . 1.109 % B P Capital Markets Plc (MTN) 2015/2023. . . . . . . . . . . . . . . . . . . . . . 2.00 % B risa Concessao Rodoviaria SA (MTN) 2016/2023 . . . . . . . . . . . . . . . . 1.125 % Carnival Corp 2015/2019. . . . . . . . . . . 1.875 % Carnival Corp. 2015/2022. . . . . . . . . . 5.75 % Cirsa Funding Luxembourg SA -Reg- 2016/2021. . . . . . . . . . . . . . . . . 1.25 % C K Hutchison Finance 16 Ltd 2016/2023. . . . . . . . . . . . . . . . . . . . . . 1.75 % Covestro AG 2016/2024. . . . . . . . . . . 5.875 % C redit Agricole SA (MTN) 2009/2019. . . . . . . . . . . . . . . . . . . . . . 0.625 % D aimler AG 2015/2020. . . . . . . . . . . . 1.00 % Deutsche Bank AG (MTN) 2016/2019. . . . . . . . . . . . . . . . . . . . . . 1.50 % D eutsche Telekom International Finance BV (MTN) 2016/2028. . . . . . . 3.00 % D NB Bank ASA (MTN) 2013/2023 *. . 2.375 % E DP Finance BV (MTN) 2016/2023. . . 4.50 % eircom Finance DAC -Reg2016/2022. . . . . . . . . . . . . . . . . . . . . . 4.75 % E nel SpA 2003/2018. . . . . . . . . . . . . . 6.25 % E phios BondCo 2015/2022. . . . . . . . . 1.625 % F edEx Corp. 2016/2027 . . . . . . . . . . . 1.75 % Fomento Economico Mexicano SAB de CV 2016/2023 . . . . . . . . . . . . 5.317 % G enerali Finance BV 2006/2049 *. . . . 3.50 % G estamp Funding Luxembourg SA -Reg- 2016/2023. . . . . . . . . . . . . . . . . 3.75 % GOODYEAR DUNLOP Tires 2015/2023. . . . . . . . . . . . . . . . . . . . . . 6.75 % Goodyear Dunlop Tires Europe BV -Reg- 2011/2019. . . . . . . . . . . . . . . . . 3.50 % Hanesbrands Finance Luxembourg SCA -Reg- 2016/2024. . . . . . . . . . . . . 2.25 % H eidelbergCement AG (MTN) 2016/2023. . . . . . . . . . . . . . . . . . . . . . 6.875 % HomeVi SAS -Reg- 2014/2021 . . . . . . 0.65 % Honeywell International, Inc. 2016/2020. . . . . . . . . . . . . . . . . . . . . . 1.30 % H oneywell International, Inc. 2016/2023. . . . . . . . . . . . . . . . . . . . . . 1.625 % JAB Holdings BV 2015/2025. . . . . . . . 6.875 % Lincoln Finance Ltd 2016/2021. . . . . . 3.875 % L KQ Italia Bondco SpA -Reg2016/2024. . . . . . . . . . . . . . . . . . . . . . 1.90 % Magna International Inc 2015/2023 . . 1.875 % ManpowerGroup Inc 2015/2022. . . . . 1.625 % Mediobanca SpA (MTN) 2016/2021. . 0.75 % M erck Financial Services GmbH 2015/2019. . . . . . . . . . . . . . . . . . . . . .
264
EUR 100 000 EUR
100 000 200 000
EUR
100 000
100 000
EUR EUR
140 000 100 000
140 000 100 000
EUR
155 000
155 000
EUR 120 000 EUR
120 000 150 000
EUR
100 000
100 000
EUR EUR 100 000 EUR 170 000 EUR 100 000
150 100 170 100
000 000 000 000
EUR
150 000
EUR 100 000 EUR EUR
100 000 100 000 130 000
EUR
220 000
EUR EUR
220 000 210 000 60 000
210 000 60 000
EUR EUR
100 000 80 000
EUR
200 000
200 000
EUR 80 000 EUR EUR 285 000
80 000 150 000 285 000
EUR 190 000 EUR EUR EUR 120 000
190 100 100 120
EUR 100 000 EUR
100 000 150 000
EUR
295 000
295 000
EUR
140 000
EUR
100 000
EUR
200 000
200 000
EUR 290 000 EUR
290 000 100 000
EUR
100 000
100 000
EUR 100 000 EUR EUR 240 000
100 000 100 000 240 000
EUR 100 000 EUR EUR EUR 160 000
100 100 100 160
EUR
000 000 000 000
000 000 000 000
83 000
1.375 % M erck Financial Services GmbH 2015/2022. . . . . . . . . . . . . . . . . . . . . . 1.50 % Mondi Finance Plc (MTN) 2016/2024. . . . . . . . . . . . . . . . . . . . . . 1.75 % M organ Stanley (MTN) 2016/2024. . . 5.375 % Numericable Group SA -Reg2014/2022. . . . . . . . . . . . . . . . . . . . . . 1.00 % O MV AG 2015/2049. . . . . . . . . . . . . . 1.00 % Orange SA (MTN) 2016/2025. . . . . . . 1.375 % P rologis LP 2014/2020 . . . . . . . . . . . . 1.00 % RTE Reseau de Transport d‘Electricite SA (MTN) 2016/2026. . . . 3.25 % S antander Issuances SAU (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . 3.625 % Telecom Italia SpA/Milano (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . 1.375 % T esco Corporate Treasury Services Plc 2014/2019. . . . . . . . . . . . . . . . . . . . . . 5.00 % Trionista HoldCo GmbH 2013/2020 . . 1.25 % U BS AG/London (MTN) 2014/2021. . . 2.20 % Vodafone Group Plc (MTN) 2016/2026. . . . . . . . . . . . . . . . . . . . . . 1.625 % V onovia Finance BV 2015/2020 . . . . . 6.375 % Wolters Kluwer NV 2008/2018. . . . . . 0.75 % W PP Finance 2013 2015/2019. . . . . . 3.75 % Ziggo Secured Finance BV 2015/2025. . . . . . . . . . . . . . . . . . . . . . 4.00 % S appi Papier Holding GmbH 2016/2023. . . . . . . . . . . . . . . . . . . . . . 6.00 % Electricite de France SA (MTN) 2013/2049 * . . . . . . . . . . . . . . . . . . . . 2.50 % W estpac Securities NZ Ltd/London (MTN) 2016/2021 . . . . . . . . . . . . . . . . 3.90 % American International Group, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . 3.30 % A nheuser-Busch InBev Finance, Inc. 2016/2023. . . . . . . . . . . . . . . . . . . . . . 4.90 % Anheuser-Busch InBev Finance, Inc. 2016/2046. . . . . . . . . . . . . . . . . . . . . . 4.40 % A ppalachian Power Co. 2014/2044. . . 1.75 % AT&T, Inc. 2016/2018. . . . . . . . . . . . . 3.875 % B ank of America Corp 2015/2025. . . . 2.05 % B ank of America NA 2015/2018. . . . . 4.375 % B arclays Plc 2016/2026. . . . . . . . . . . . 2.35 % British Telecommunications Plc 2014/2019. . . . . . . . . . . . . . . . . . . . . . 7.75 % C emex SAB de CV 2016/2026. . . . . . 3.70 % Citigroup, Inc. 2016/2026. . . . . . . . . . 7.00 % C onAgra Foods Inc 2009/2019. . . . . . 1.65 % Danaher Corp 2015/2018 . . . . . . . . . . 1.75 % DIRECTV Holdings LLC 2013/2018. . . 3.25 % Duke Energy Progress LLC 2015/2025. . . . . . . . . . . . . . . . . . . . . . 2.45 % E xelon Corp. 2016/2021. . . . . . . . . . . 4.75 % F edEx Corp. 2015/2045 . . . . . . . . . . . 3.25 % FedEx Corp. 2016/2026 . . . . . . . . . . . 1.724 % F ord Motor Credit Co. LLC 2014/2017. . . . . . . . . . . . . . . . . . . . . . 3.10 % General Motors Financial Co Inc 2015/2019. . . . . . . . . . . . . . . . . . . . . . 5.00 % HSBC USA, Inc. 2010/2020 . . . . . . . . 4.875 % McDonalds Corp 2015/2045. . . . . . . . 4.60 % MetLife Inc 2015/2046. . . . . . . . . . . . 3.85 % Mitsubishi UFJ Financial Group, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . 4.20 % N ewell Rubbermaid, Inc. 2016/2026. . 5.50 % N ewell Rubbermaid, Inc. 2016/2046. . 2.00 % Nomura Holdings, Inc. (MTN) 2013/2016. . . . . . . . . . . . . . . . . . . . . . 6.75 % Qwest Corp. 2011/2021. . . . . . . . . . . 2.625 % S ABIC Capital II BV 2013/2018. . . . . . 3.375 % Simon Property Group LP 2014/2024. . . . . . . . . . . . . . . . . . . . . .
EUR EUR EUR
100 000 110 000
82 000 100 000 110 000
EUR 200 000 EUR EUR 100 000 EUR
200 150 100 200
000 000 000 000
EUR
100 000
100 000
EUR
100 000
100 000
EUR
190 000
190 000
EUR EUR EUR
100 000 100 000 200 000
EUR 100 000 EUR EUR EUR
100 100 200 100
EUR
100 000
EUR
000 000 000 000
500 000
500 000
GBP
100 000
GBP
200 000
200 000
USD
200 000
200 000
USD
80 000
80 000
USD 80 000 USD USD 200 000 USD USD USD 200 000
80 200 200 60 250 200
000 000 000 000 000 000
USD USD 200 000 USD 200 000 USD USD USD
200 200 200 200 70 200
000 000 000 000 000 000
USD USD 50 000 USD USD 60 000
145 50 100 60
000 000 000 000
USD
200 000
USD USD USD USD
120 200 60 140
USD USD USD
200 000 20 000 55 000
200 000 20 000 55 000
USD USD USD
200 000 150 000 200 000
USD
150 000
000 000 000 000
Deutsche Invest I Multi Credit 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
options
Value (’000) 2.125 % S tate Grid Overseas Investment Futures contracts 2016 Ltd -Reg- 2016/2021 . . . . . . . . . USD 290 000 290 000 3.784 % S umitomo Mitsui Financial Group, Interest rate futures Inc. 2016/2026 . . . . . . . . . . . . . . . . . . USD 90 000 90 000 Contracts purchased 3.30 % S ysco Corp. 2016/2026. . . . . . . . . . . . USD 42 000 42 000 (Underlyings: Euro Bobl, Euro Bund, Germany 3.192 % T elefonica Emisiones SAU Federal Republic Bonds 5 year, Germany 2013/2018. . . . . . . . . . . . . . . . . . . . . . USD 150 000 Federal Republic Notes 10 year, US Treasury 3.75 % U nitedHealth Group Inc 2015/2025 . . USD 200 000 Note 10-Year, US Treasury Note 30-Year, 3.70 % US Bancorp (MTN) 2014/2024 . . . . . . USD 200 000 US Treasury Note 5-Year, 3.65 % V erizon Communications, Inc. US Treasury Ultra Bond) USD 8 840 2013/2018. . . . . . . . . . . . . . . . . . . . . . USD 100 000 4.30 % V ISA Inc 2015/2045 . . . . . . . . . . . . . . USD 120 000 Contracts sold (Underlyings: UK Treasury Notes, Securities admitted to or included in organized markets US Treasury Note 10-Year, US Treasury Note 5-Year) USD 4 643 Interest-bearing securities 1.125 % A utostrade per l‘Italia 2015/2021 . . . . EUR 100 000 Currency futures (short) 1.00 % C NP Assurances 2015/2047. . . . . . . . EUR 100 000 1.125 % ISS Global A/S 2015/2021. . . . . . . . . . EUR 100 000 Futures contracts to sell currencies 1.00 % O MV AG 2015/2049. . . . . . . . . . . . . . EUR 60 000 60 000 USD/EUR USD 161 521 4.875 % T elenet Finance VI 2015/2027 . . . . . . EUR 100 000 USD/GBP USD 3 357 1.50 % W ells Fargo + Company 2015/2022. . EUR 100 000 5.00 % AMC Networks, Inc. 2016/2024. . . . . USD 80 000 80 000 Currency futures (long) 2.70 % A mgen, Inc. 2015/2022. . . . . . . . . . . . USD 200 000 2.30 % A ustralia & New Zealand Banking Futures contracts to purchase currencies Group Ltd/New York NY 2016/2021. . USD 250 000 250 000 EUR/USD USD 150 751 2.90 % Biogen Inc 2015/2020. . . . . . . . . . . . . USD 55 000 GBP/USD USD 4 270 2.80 % B MW US Capital LLC -Reg 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 30 000 30 000 Swaps 2.60 % C isco Systems, Inc. 2016/2023 . . . . . USD 70 000 70 000 4.95 % C itigroup, Inc. 2013/2043. . . . . . . . . . USD 112 000 Interest rate swaps 3.30 % C olumbia Pipeline Group, Inc. 144A (Underlying: MARKIT ITRX EUROPE) EUR 4 900 2015/2020. . . . . . . . . . . . . . . . . . . . . . USD 200 000 3.80 % e Bay, Inc. 2016/2022 . . . . . . . . . . . . . USD 40 000 40 000 10.50 % F rontier Communications Corp. 2015/2022. . . . . . . . . . . . . . . . . . . . . . USD 80 000 4.375 % GLP Capital LP / GLP Financing II, Inc. 2016/2021 . . . . . . . . . . . . . . . . . . USD 30 000 30 000 5.00 % G oodyear Tire & Rubber Co./The 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 40 000 40 000 4.625 % H anesbrands, Inc. 144A 2016/2024. . USD 130 000 130 000 1.625 % H utchison Whampoa International 14 Ltd -Reg- 2014/2017 . . . . . . . . . . . USD 250 000 5.875 % K aiser Aluminum Corp. 144A 2016/2024. . . . . . . . . . . . . . . . . . . . . . USD 35 000 35 000 5.25 % KFC Holding Co. Via Pizza Hut Holdings LLC Via Taco Bell of America LLC 144A 2016/2026. . . . . . . . . . . . . . . . . USD 20 000 20 000 2.50 % K orea East-West Power Co., Ltd Reg- 2014/2020. . . . . . . . . . . . . . . . . . USD 200 000 5.625 % M GP Escrow Issuer LLC / MGP Escrow Co-Issuer, Inc. 144A 2016/2024. . . . . . . . . . . . . . . . . . . . . . USD 110 000 110 000 7.50 % M icron Technology, Inc. 144A 2016/2023. . . . . . . . . . . . . . . . . . . . . . USD 150 000 150 000 3.30 % P enske Truck Leasing Co Lp / PTL Finance Corp 2015/2021. . . . . . . USD 53 000 5.50 % P erformance Food Group, Inc. 144A 2016/2024. . . . . . . . . . . . . . . . . USD 100 000 100 000 9.25 % P rime Security Services Borrower LLC / Prime Finance, Inc. 144A 2016/2023 . . . . . . . . . . . . . . . . . . . . . USD 90 000 90 000 5.375 % Sirius XM Radio, Inc. 144A 2 016/2026. . . . . . . . . . . . . . . . . . . . . . . USD 160 000 160 000 2.10 % S tarbucks Corp. 2016/2021. . . . . . . . . USD 200 000 200 000 3.125 % T elstra Corp., Ltd 2015/2025 . . . . . . . USD 200 000 10.50 % W estern Digital, Corp. 144A 2016/2024. . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 Investment fund units In-group fund units Deutsche Invest I - Financial Hybrid Bonds -FCEUR - (0.600%). . . . . . . . . . . . . . . . . . . . . . . . . . . Units 5 886 5 886 Deutsche Invest I - Senior Secured High Yield Corporates -FC- EUR - (0.600%). . . . . . . . . . . . . . Units 4 800
265
Deutsche Invest I Multi Opportunities Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 902 712 588.50 Equities Dufry AG **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 926 3 332 104 786 CHF 116.1 6 313 613.68 Nestle SA -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 395 204 293 233 579 CHF 75 2 519 079.13 Novartis AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 188 079 305 947 202 829 CHF 79.3 13 764 242.56 Roche Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 127 146 108 816 CHF 253.5 29 745 377.75 Allianz SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 111 332 111 332 EUR 126.15 14 044 531.80 Applus Services SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 919 583 86 008 EUR 8.744 8 040 833.75 Axel Springer SE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 71 047 8 191 EUR 46.97 3 337 077.59 Banco Santander SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 881 640 186 672 4 851 508 EUR 3.395 9 783 167.80 Bayer AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 368 222 579 268 211 046 EUR 88.9 32 734 935.80 CTS Eventim AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 208 339 208 339 EUR 27.505 5 730 364.20 Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 228 239 438 345 210 106 EUR 53.03 12 103 514.17 Deutsche Annington Immobilien SE . . . . . . . . . . . . . . . . . . . . Count 263 465 210 965 788 932 EUR 32.765 8 632 430.73 Deutsche Telekom AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 753 351 2 099 987 754 155 EUR 15.13 26 528 200.63 Kering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 76 259 76 259 EUR 144.6 11 027 051.40 Merck KGaA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106 275 353 718 295 054 EUR 90.16 9 581 754.00 Repsol SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 852 984 781 107 2 003 354 EUR 11.375 9 702 693.00 Royal Dutch Shell Plc -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 764 165 893 896 1 280 046 EUR 24.445 18 680 013.43 Sanofi. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 554 255 349 231 70 909 EUR 73.99 41 009 327.45 UniCredit SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 914 642 1 062 893 5 847 813 EUR 1.915 3 666 539.43 Unipol Gruppo Finanziario SpA . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 130 099 81 647 477 470 EUR 2.044 2 309 922.36 AstraZeneca Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 190 557 337 871 147 314 GBP 43.53 10 026 100.41 Burberry Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 602 059 602 059 GBP 11.53 8 390 480.57 Shire Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 308 592 308 592 GBP 45.28 16 889 218.60 Standard Chartered Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 606 785 136 394 327 267 GBP 5.565 10 807 902.38 Tullow Oil Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 038 797 82 634 327 933 GBP 2.607 3 273 333.04 Vodafone Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 544 822 5 749 093 4 272 187 GBP 2.215 14 844 986.78 WPP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 230 992 230 992 GBP 15.45 4 313 640.01 Prada SpA **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 355 693 800 000 400 000 HKD 23.95 12 094 688.63 Mitsubishi Electric Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 515 JPY 1 208 5 444.73 AbbVie, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 121 006 11 323 USD 61.42 6 685 729.23 Allergan Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 40 492 40 492 USD 228.08 8 307 847.18 American Express Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 83 812 6 200 37 698 USD 58.99 4 447 507.28 Amgen, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91 949 138 237 46 288 USD 149.98 12 405 447.25 Anadarko Petroleum Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 218 210 683 314 006 USD 52.16 2 731 661.81 Biogen Idec, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 347 51 347 USD 237.08 10 950 704.50 Capital One Financial Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 360 922 397 854 374 294 USD 61.63 20 009 562.35 Celgene Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 178 678 178 678 USD 97.61 15 689 079.45 Cisco Systems, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 379 081 236 846 130 544 USD 28.21 9 619 824.98 Citigroup, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 366 670 515 665 419 991 USD 42.155 13 904 537.22 Devon Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 407 122 584 71 177 USD 35.84 1 657 380.89 Discover Financial Services. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 122 306 9 049 185 246 USD 52.35 5 759 655.60 eBay, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 165 158 165 158 USD 23.31 3 463 171.15 EMC Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 778 332 42 990 73 062 USD 27.14 19 002 327.39 Gilead Sciences, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 145 210 145 210 USD 81.75 10 678 650.03 Goldcorp, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 109 193 1 538 416 870 656 USD 18.86 35 784 098.16 JPMorgan Chase & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 435 180 35 000 229 820 USD 26.82 10 499 286.05 LyondellBasell Industries NV. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 138 323 138 323 USD 73.37 9 129 457.80 Merck & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 599 70 372 433 772 USD 56.98 2 439 789.40 MetLife, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 209 298 381 824 317 976 USD 39.09 7 359 745.82 Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 295 230 26 611 294 310 USD 25.3 6 719 130.47 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 78 413 300 984 426 439 USD 34.95 2 465 286.04 Potash Corp. of Saskatchewan, Inc.. . . . . . . . . . . . . . . . . . . . . Count 537 413 213 566 342 340 USD 15.73 7 604 470.11 Prudential Financial, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 104 050 91 173 330 462 USD 69.76 6 529 510.48 Samsung Electronics Co., Ltd -GDR- . . . . . . . . . . . . . . . . . . . . Count 44 157 2 802 54 133 USD 507 20 139 078.10 SK Telecom Co., Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 183 142 16 102 331 198 USD 20.7 3 410 282.57 Union Pacific Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 587 202 434 108 847 USD 85.81 7 224 129.04 Yamana Gold, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 912 267 101 150 4 688 883 USD 5.205 8 953 675.10 Interest-bearing securities 1.00 % Aabar Investments PJSC 2015/2022 . . . . . . . . . . . . 7.125 % Aareal Bank Capital Funding Trust 31/12/2099. . . . . 3.50 % Anglo American Capital Plc (MTN) 2012/2022 . . . . . 1.50 % Anglo American Capital Plc (MTN) 2015/2018 . . . . . 2.875 % Anglo American Capital PLC 2013/2020. . . . . . . . . . 7.00 % Eurofins Scientific SE (MTN) 2013/2049 *. . . . . . . . 4.875 % Eurofins Scientific SE 2015/2049 *. . . . . . . . . . . . . . 7.50 % Hapag Lloyd AG 2014/2019 **. . . . . . . . . . . . . . . . . 7.75 % Hapag-Lloyd AG (MTN) -Reg- 2013/2018 **. . . . . . . 7.125 % LGE HoldCo VI BV -Reg- 2014/2024. . . . . . . . . . . . . 3.25 % Petrobras Global Finance BV 2012/2019. . . . . . . . . . 6.75 % Thomas Cook Finance Plc -Reg- 2015/2021 ** . . . . 14.00 % Barclays Bank Plc 2008/2049 *. . . . . . . . . . . . . . . . . 5.125 % Alcoa, Inc. 2014/2024 **. . . . . . . . . . . . . . . . . . . . . . 7.75 % Cemex SAB de CV 2016/2026 . . . . . . . . . . . . . . . . .
266
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR GBP USD USD
23 800 56 9 000 16 886 10 500 11 100 27 725 2 673 9 276 17 450 5 550 2 800 21 000 48 900 1 900
000 23 800 000 000 000 9 000 000 000 3 500 000 000 6 000 000 000 1 100 000 000 9 850 000 000 1 200 000 2 400 000 000 1 060 000 1 500 000 000 17 450 000 000 5 550 000 000 100 000 000 11 800 000 7 700 000 000 16 180 000 000 1 900 000
% % % % % % % % % % % % % % %
71.875 25.49 94.571 91.062 93.877 108.493 99.273 103.839 102.417 110.753 93.515 92.995 121.649 100.696 105.23
17 1 8 15 9 12 27 2 9 19 5 2 30 44 1
106 427 511 376 857 042 523 775 500 326 190 603 877 294 798
250.00 440.00 390.00 729.32 085.00 723.00 439.25 616.47 200.92 398.50 082.50 860.00 797.42 840.79 561.27
% of net assets
36.96 0.26 0.10 0.56 1.22 0.58 0.33 0.14 0.40 1.34 0.24 0.50 0.35 1.09 0.45 0.39 0.40 0.77 1.68 0.15 0.10 0.41 0.34 0.69 0.44 0.13 0.61 0.18 0.50 0.00 0.27 0.34 0.18 0.51 0.11 0.45 0.82 0.64 0.39 0.57 0.07 0.24 0.14 0.78 0.44 1.46 0.43 0.37 0.10 0.30 0.28 0.10 0.31 0.27 0.82 0.14 0.30 0.37 0.70 0.06 0.35 0.63 0.40 0.49 1.13 0.12 0.39 0.79 0.21 0.11 1.26 1.81 0.07
Deutsche Invest I Multi Opportunities Description
5.75 % DaVita HealthCare Partners, Inc. 2012/2022. . . . . . . 5.125 % DaVita HealthCare Partners, Inc. 2014/2024. . . . . . . 5.375 % Indonesia Government International Bond (MTN) -Reg- 2013/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.464 % T-Mobile USA, Inc. 2013/2019 . . . . . . . . . . . . . . . . . 6.00 % T-Mobile USA, Inc. 2014/2023 . . . . . . . . . . . . . . . . . 3.70 % Williams Cos, Inc./The 2012/2023. . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
% of net assets
USD USD
7 585 000 12 200 000
450 000 6 600 000
6 640 000 6 000 000
% %
104.571 101.058
7 135 081.09 11 090 792.92
0.29 0.45
USD USD USD USD
7 12 29 8
700 000 1 150 000 2 700 000 8 600 000
% % % %
112.65 102.249 103.66 89.276
7 11 27 6
511.92 272.69 447.96 576.22
0.29 0.46 1.12 0.28
196 383 833.67
8.02
000 340 440 600
000 000 000 000
Securities admitted to or included in organized markets Interest-bearing securities 5.00 % Expedia Inc 2015/2026. . . . . . . . . . . . . . . . . . . . . . . 4.50 % Fresenius US Finance II Inc 2015/2023 . . . . . . . . . . 5.25 % KFC Holding Co. Via Pizza Hut Holdings LLC Via Taco Bell of America LLC 144A 2016/2026 . . . . 0.50 % LinkedIn Corp 2014/2019 . . . . . . . . . . . . . . . . . . . . . 5.875 % Micron Technology Inc 2014/2022. . . . . . . . . . . . . . 7.50 % Micron Technology, Inc. 144A 2016/2023 . . . . . . . . 5.75 % MSCI Inc 2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . 5.25 % MSCI, Inc. 144A 2014/2024 . . . . . . . . . . . . . . . . . . . 5.50 % Netflix, Inc. 2015/2022 . . . . . . . . . . . . . . . . . . . . . . . 5.875 % Netflix, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . . . . . 5.00 % Nielsen Finance LLC / Nielsen Finance Co 2014/2022. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.25 % Prime Security Services Borrower LLC / Prime Finance, Inc. 144A 2016/2023 . . . . . . . . . . . . 1.25 % Tesla Motors Inc 2014/2021. . . . . . . . . . . . . . . . . . . 0.25 % Tesla Motors, Inc. 2014/2019. . . . . . . . . . . . . . . . . . 6.50 % T-Mobile USA Inc 2013/2024 . . . . . . . . . . . . . . . . . . 6.625 % T-Mobile USA Inc 2014/2023 . . . . . . . . . . . . . . . . . . 5.25 % VeriSign Inc 2015/2025. . . . . . . . . . . . . . . . . . . . . . . 10.50 % Western Digital Corp. -Reg- 2016/2024 . . . . . . . . . .
Total market value in EUR
093 350 452 906
USD USD
41 120 000 12 550 000
18 120 000 12 550 000 2 740 000
% %
103.917 102.5
38 438 972.77 11 571 766.40
1.57 0.47
USD USD USD USD USD USD USD USD
6 21 9 17 9 4 10 7
6 21 9 17 9 4 10 7
000 000 000 000 000 10 700 000 000 000 000
% % % % % % % %
101.938 98.78 94.765 106.494 103.688 101.875 104.274 104.5
6 18 7 17 8 4 9 6
757.93 048.30 740.78 994.35 331.80 403.33 212.31 315.10
0.26 0.77 0.32 0.70 0.36 0.17 0.40 0.27
USD
800 000 18 000 000
%
101.688
7 958 274.04
0.33
USD USD USD USD USD USD USD
% % % % % % %
105.875 82.848 89.084 105.475 105.739 102.562 106.973
918 300 200 780 480 650 530 100
000 000 000 000 000 000 000 000
8 700 000 1 11 20 7 8 15 2
510 000 900 550 150 740 900
000 000 000 000 000 000 000
1 11 20 1
918 300 200 780 480 650 530 100
510 000 900 050 850 1 100 2 900
000 000 000 000 000 000 7 000 000 000
1 8 16 7 7 14 2
343 927 842 032 842 261 877 674
438 197 748 163 752 521 790
144.21 929.13 582.70 554.22 198.32 965.25 642.73
Investment fund units 1 255 880 400.14 In-group fund units db x-trackers - MSCI Emerging Markets Index UCITS ETF -1C- EUR - (0.450%) . . . . . . . . . . . . . . . . . . . . . . . Units 647 617 1 627 159 1 999 781 EUR 30.26 19 596 890.42 db x-trackers - STOXX Global Select Dividend 100 UCITS ETF -1D- EUR - (0.400%). . . . . . . . . . . . . . . . . . . . . . . . Units 2 715 224 1 030 736 EUR 26.6 72 224 958.40 db x-trackers II - EONIA UCITS ETF -1C- EUR -1C- EUR (0.050%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 28 539 EUR 139.122 3 970 402.76 db x-trackers II - EONIA UCITS ETF -1C- EUR -1C- EUR (0.050%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 615 765 876 434 969 199 EUR 139.12 85 665 226.80 db x-trackers II - IBOXX EUR HIGH YIELD BOND UCITS-1C- EUR - (0.250%) . . . . . . . . . . . . . . . . . . . . . . Units 2 371 771 2 371 771 EUR 17.29 41 007 920.59 Deutsche Invest I - Euro Corporate Bonds -IC- EUR (0.400%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 322 306 322 306 EUR 106.54 34 338 481.24 Deutsche Invest I - Global Bonds -IC- EUR - (0.350%). . . . . . . Units 1 041 075 1 041 075 EUR 99.39 103 472 444.25 Deutsche Invest I SICAV - Deutsche Invest I Convertibles -FC- EUR - (0.650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 158 073 158 073 EUR 174.09 27 518 928.57 Deutsche Invest II - Global Growth -FC- EUR - (0.750%). . . . . Units 163 957 163 957 EUR 139.74 22 911 351.18 DWS Biotech Typ O EUR - (1.300%) . . . . . . . . . . . . . . . . . . . . Units 263 159 263 159 EUR 152.65 40 171 221.35 DWS Convertibles -FC- EUR - (0.600%). . . . . . . . . . . . . . . . . . Units 74 839 EUR 128.54 9 619 805.06 DWS Dynamic Opportunities -FC- EUR - (0.850%). . . . . . . . . . Units 85 000 85 000 EUR 36.75 3 123 750.00 DWS Floating Rate Notes EUR - (0.300%). . . . . . . . . . . . . . . . Units 2 763 860 183 749 135 059 EUR 83.87 231 804 938.20 DWS Institutional - DWS Institutional Money Plus -I- EUR (0.160%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 3 966 3 966 EUR 14 050.11 55 722 736.26 DWS Invest - DWS Invest Euro High Yield Corporates -FCEUR - (0.650%). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 105 293 105 293 EUR 136.76 14 399 870.68 DWS Rendite Optima Four Seasons EUR - (1.500%). . . . . . . Units 1 977 021 22 224 737 602 EUR 102.5 202 644 652.50 DWS Top Europa EUR - (1.400%). . . . . . . . . . . . . . . . . . . . . . . Units 919 940 316 856 EUR 121.26 111 551 924.40 DWS Vermoegensbildungfonds I -ID- EUR - (0.600%). . . . . . . Units 353 739 77 744 EUR 128.06 45 299 816.34 DWS (US Dollar) Reserve USD - (0.300%). . . . . . . . . . . . . . . . Units 325 585 150 530 USD 184.88 54 148 494.65 Non-group fund units iShares PLC - iShares Euro High Yield Corporate Bond UCITS ETF EUR - (0.500%). . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 255 078 622 231 367 153 EUR 103.91 26 505 154.98 iShares II PLC - iShares $ High Yield Corporate Bond UCITS ETF USD - (0.500%). . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 202 315 182 305 543 959 USD 100.58 18 305 086.33 iShares II PLC - iShares J,P, Morgan $ Emerging Markets Bond UCITS ETF USD - (0.500%). . . . . . . Units 160 844 672 751 562 582 USD 113.25 16 386 082.70 iShares II PLC - iShares J.P. Morgan $ Emerging Markets Bond UCITS ETF GBP - (0.450%). . . . . . . . Units 35 470 35 470 USD 113.33 3 616 080.95 iShares III PLC - iShares Emerging Markets Local Government Bond UCITS ETF USD - (0.500%). . . . . . . . Units 199 131 199 131 EUR 59.63 11 874 181.53 Total securities portfolio 2 354 976 822.31
0.06 0.34 0.69 0.29 0.32 0.59 0.11 51.38
0.80 2.96 0.16 3.51 1.68 1.40 4.23 1.13 0.94 1.64 0.39 0.13 9.48 2.28 0.59 8.29 4.56 1.85 2.22
1.08 0.75 0.67 0.15 0.49 96.36
267
Deutsche Invest I Multi Opportunities Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Derivatives (Minus signs denote short positions) Equity index derivatives -2 888 410.04 -0.12 Receivables/payables Equity index futures Dax Index 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count -25 -25 -244 862.17 -0.01 DJ EURO STOXX 50 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . Count 200 200 -4 800.00 0.00 H-Shares Index Futures 07/2016 (HKF). . . . . . . . . . . . . . . . . . Count 120 120 66 989.92 0.00 S & P MINI 500 Futures 09/2016 (CME). . . . . . . . . . . . . . . . . . Count -1 670 -1 670 -2 705 737.78 -0.11 Interest rate derivatives -3 502 345.16 -0.14 Receivables/payables Interest rate futures Euro SCHATZ Futures 09/2016 (EUR). . . . . . . . . . . . . . . . . . . Count -315 -315 -78 750.00 0.00 Germany Federal Republic Bonds 5 year 09/2016 (EUR). . . . . Count -470 -470 -612 200.00 -0.03 Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . . Count -210 -210 -995 300.00 -0.04 US Treasury Notes 10 year Futures 09/2016 (CBT). . . . . . . . . Count -360 -360 -1 816 095.16 -0.07 Currency derivatives 11 435 488.62 0.47 Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 143.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 681 091.68 0.33 EUR/USD 117.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 526 891.03 -0.06 Closed positions EUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14.86 0.00 EUR/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.07 0.00 EUR/CNH 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.85 0.00 EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.47 0.00 EUR/HKD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90.07 0.00 EUR/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.75 0.00 EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92.47 0.00 EUR/USD 149.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 317 706.31 -0.06 Currency futures (long) Open positions AUD/EUR 1.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 415.48 0.00 CHF/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47.39 0.00 CNH/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43.31 0.00 GBP/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -392.37 0.00 HKD/EUR 35.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59 588.43 0.00 SEK/EUR 0.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -722.47 0.00 SGD/EUR 6.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82 983.39 0.00 USD/EUR 518.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 435 834.02 0.26 Cash at bank 75 508 512.51 3.09 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 69 551 327.14 2.85 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 82 327 99 508.04 0.00 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 17 679 1 898.61 0.00 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 14 438 1 530.63 0.00 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 1 744 1 166.41 0.00 Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 523 760 146 736.23 0.01 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 1 523 344 176 615.89 0.01 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 3 231 083 28 278.11 0.00 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 109 273 100 844.80 0.00 South African rand. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 10 883 665.19 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 6 002 843 5 399 941.46 0.22 Other assets 25 614 257.93 1.05 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 328 871.28 0.05 Prepaid placement fee ***. . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 466 470.72 0.52 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 575 562.93 0.27 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 243 353.00 0.21 Receivables from share certificate transactions 3 627 748.94 0.14
268
Deutsche Invest I Multi Opportunities Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Total assets **** 2 474 075 534.63 101.23 Other liabilities -18 610 972.58 -0.76 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -18 610 972.58 -0.76 Liabilities from share certificate transactions -2 132 759.40 -0.09 Total liabilities -30 047 191.50 -1.23 Net assets 2 444 028 343.13 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class AUD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 95.22 Class AUD LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 94.31 Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 97.69 Class RMB LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNY 100.11 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103.79 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97.88 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 108.21 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97.64 Class LDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.64 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 107.09 Class NDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.63 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106.42 Class PFDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98.81 Class GBP CH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 94.45 Class HKD LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 86.76 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 006.57 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 002.71 Class SGD LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 8.89 Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 94.04 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 93.78 Class USD LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 93.51 Class USD RDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100.00 Number of shares outstanding Class AUD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 345 Class AUD LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 963 Class CHF FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106 Class RMB LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 725 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 546 931 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 218 586 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106 Class LDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 041 959 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 690 295 Class NDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 564 897 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 565 545 Class PFDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 461 710 Class GBP CH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 Class HKD LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 406 355 Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 431 Class SGD LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 761 485 Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 099 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 374 439 Class USD LDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 126 522 Class USD RDMH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 Composition of the reference portfolio (according to CSSF circular 11/512) 50% MSCI Europe ex UK in EUR Constituents, 50% MSCI THE WORLD INDEX in EUR Constituents (January 1, 2016 - March 30, 2016) Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 32.324 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 48.483 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 40.757 The values-at-risk were calculated for the period from January 1, 2016, through March 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. Presentation of the maximum limit (according to CSSF circular 11/512) 12.0% of portfolio value (March 31, 2016 - June 30, 2016)
269
Deutsche Invest I Multi Opportunities Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . %
3.181 4.753 4.014
The values-at-risk were calculated for the period from March 16, 2015, through December 31, 2015, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.5, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 1 129 113 349.62 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations
Futures exchanges CBT = Chicago Board of Trade CME = Chicago Mercantile Exchange EUR = Eurex HKF = Hong Kong Futures Exchange Contracting parties for derivatives (with the exception of currency futures) CS = Crédit Suisse International GS = Goldman Sachs International Contracting parties for currency futures Citigroup Global Markets Limited, Crédit Suisse London Branch (GFX), Deutsche Bank AG Frankfurt, Morgan Stanley and Co. International PLC, Nomura International PLC, State Street Bank and Trust Company and UBS AG London
Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
ufry AG D Prada SpA 7.50 % Hapag Lloyd AG 2014/2019 7.75 % Hapag-Lloyd AG (MTN) -Reg- 2013/2018 6.75 % Thomas Cook Finance Plc -Reg- 2015/2021 5.125 % Alcoa, Inc. 2014/2024
Count 50 000 Count 100 000 EUR 2 300 000 EUR 9 200 000 EUR 2 700 000 USD 26 700 000
Securities loans Total market value in EUR Perpetual
5 357 277 2 388 9 422 2 510 24 185
Total
239.30 675.40 297.00 364.00 865.00 526.70
Total receivables from securities loans 44 141 967.40 44 141 967.40 Contracting parties for securities loans BNP Paribas Arbitrage SNC, Barclays Capital Securities Limited, Commerzbank Frankfurt, Crédit Suisse Securities (Europe) Ltd. FI, J.P. Morgan Sec Ltd., Merrill Lynch International Total collateral pledged by third parties for securities loans EUR 26 573 211.85 thereof: Bonds EUR 12 902 320.94 Equities EUR 33 855 332.67 Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3.569396 = EUR 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 South African rand. . . . . . . . . . . . . . . . ZAR 16.360704 = EUR 1
270
Deutsche Invest I Multi Opportunities Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Floating interest rate. ** Some or all of these securities are lent. *** T he prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). **** Does not include positions with a negative balance, if such exist.
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Equities Apache Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . AT&T, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Barclays Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BG Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . BM&FBovespa SA. . . . . . . . . . . . . . . . . . . . . . . . . BNP Paribas SA. . . . . . . . . . . . . . . . . . . . . . . . . . . Boston Beer Co. . . . . . . . . . . . . . . . . . . . . . . . . . . Covestro AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Deutsche Post AG -Reg-. . . . . . . . . . . . . . . . . . . . Diageo Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Eaton Corp., Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . GlaxoSmithKline Plc . . . . . . . . . . . . . . . . . . . . . . . HSBC Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . ING Groep NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . KT Corp. -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . Lloyds Banking Group Plc. . . . . . . . . . . . . . . . . . . Newmont Mining Corp.. . . . . . . . . . . . . . . . . . . . . Orange SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Repsol S.A. 14/01/2016. . . . . . . . . . . . . . . . . . . . . Repsol SA -Rights Exp 01Jul16. . . . . . . . . . . . . . . Societe Generale SA. . . . . . . . . . . . . . . . . . . . . . . Swatch Group AG -B- . . . . . . . . . . . . . . . . . . . . . . Verizon Communications, Inc.. . . . . . . . . . . . . . . . Interest-bearing securities 1.75 % Anglo American Capital Plc (MTN) 2014/2018. . . . . . . . . . . . . . . . . . . . . . 2.50 % Anglo American Capital Plc 2012/2018. . . . . . . . . . . . . . . . . . . . . . 2.75 % Anglo American Capital PLC 2012/2019. . . . . . . . . . . . . . . . . . . . . . 9.875 % CEMEX Espana SA/Luxembourg -Reg- 2012/2019. . . . . . . . . . . . . . . . .
2.75
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
EUR
27 314 113 537 495 501 370 334 637 316 1 430 898
2 1 1
1 1 4 1 1
108 145 894 075 371 100 27 113 720 370 119 123 582 429 738 511 637 650 368 430 204 9 158
200 134 453 837 185 738 314 537 290 334 875 164 136 850 330 691 316 032 972 898 614 616 090
4 510 000
13 003 000
EUR
6 930 000
17 085 000
EUR
11 000 000
11 000 000
EUR
1 600 000
%P etrobras Global Finance BV 2014/2018. . . . . . . . . . . . . . . . . . . . . . 4.875 % P etrobras International Finance Co. (MTN) 2011/2018 . . . . . . . . . . . . . . . . 6.214 % Generali Finance BV 2006/2049 *. . . . 6.30 % Devon Energy Corp. 2009/2019. . . . . 8.125 % Hess Corp. 2009/2019 . . . . . . . . . . . . 8.50 % Manitowoc Co., Inc. 2010/2020. . . . . 6.00 % Numericable SFR 144A 2014/2022. . . 4.55 % Williams Cos, Inc./The 2014/2024 . . .
EUR
EUR 5 400 000 GBP 100 000 USD 15 800 000 USD 6 090 000 USD USD USD 520 000
5 635 000
5 635 000 5 10 15 6 11 2
400 650 800 090 100 545 520
000 000 000 000 000 000 000
Securities admitted to or included in organized markets Interest-bearing securities 4.875 % HJ Heinz Co.144A 2015/2025. . . . . . . 7.75 %R epsol Oil & Gas Canada, Inc. 2009/2019. . . . . . . . . . . . . . . . . . . . . .
USD
11 270 000
USD
20 895 000
20 895 000
Units
539 171
3 296 249
Units
113 131
200 944
Units
113 131
Units Units Units
4 786 12 805 56 787
953 308 230 324 243 918
Non-group fund units iShares III PLC - iShares Emerging Markets Local Government Bond UCITS ETF EUR (0.500%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Units
277 220
418 969
Investment fund units In-group fund units db x-trackers - FTSE 100 UCITS ETF (DR) -1D- GBP - (0.200%). . . . . . . . . . . . . . . . . . . . . . . db x-trackers - MSCI Korea Index UCITS ETF (DR) -1C- EUR - (0.450%) . . . . . . . . . . . . . . . . . . . db x-trackers - MSCI Korea Index UCITS ETF (DR) -1C- USD - (0.450%). . . . . . . . . . . . . . . . . . . db x-trackers II - IBOXX Sovereigns Eurozone Yield Plus 1-3 UCITS ETF -1C- EUR - (0.050%). . . DWS Global Growth EUR - (1.450%). . . . . . . . . . DWS Global Value FCP -FD- EUR - (0.900%). . . .
271
Deutsche Invest I Multi Opportunities Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, S & P MINI 500 Futures, S & P MINI 500 Futures 06/2016 (CME), S&P 500) EUR Contracts sold (Underlyings: Dax Index, DJ Euro Stoxx 50, DJ Euro Stoxx Auto Futures 06/2016 (EUR), DJ Euro Stoxx Bank Futures, H-Shares Index Futures, Nikkei 225 Futures) EUR Interest rate futures Contracts purchased (Underlyings: Euro Bobl, Euro Bund, Euro SCHATZ Futures , Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, US Treasury Note 10-Year) EUR Currency futures (short) Futures contracts to sell currencies EUR/AUD EUR EUR/CAD EUR EUR/CHF EUR EUR/CNH EUR EUR/GBP EUR EUR/HKD EUR EUR/KRW EUR EUR/SEK EUR EUR/SGD EUR EUR/USD EUR Currency futures (long) Futures contracts to purchase currencies AUD/EUR EUR CAD/EUR EUR CHF/EUR EUR CNH/EUR EUR GBP/EUR EUR HKD/EUR EUR KRW/EUR EUR SEK/EUR EUR SGD/EUR EUR USD/EUR EUR
272
Value (’000)
1 214 234
1 319 105
796 805
3 282 21 895 57 61 61 940 22 382 227 551 265 21 447 1 397 483
2 995 45 465 47 51 177 010 19 272 303 197 245 18 206 1 589 007
Deutsche Invest I New Resources Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 61 785 897.56 Equities Agrium, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 773 514 5 231 CAD 115.25 141 570.65 Potash Corp. of Saskatchewan, Inc.. . . . . . . . . . . . . . . . . . . . . Count 6 686 8 785 10 658 CAD 20.48 94 868.03 Geberit AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 675 2 965 3 872 CHF 367.2 2 939 753.93 Syngenta AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 110 5 874 764 CHF 372 1 754 295.15 DONG Energy A/S 144A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 609 6 609 DKK 243.4 216 218.84 Novozymes A/S. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 679 5 030 DKK 319.9 158 190.80 Vestas Wind Systems A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 862 5 435 7 204 DKK 452.3 1 329 087.81 Andritz AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 003 3 198 20 518 EUR 42.525 127 702.58 Bayer AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 920 3 567 2 119 EUR 88.9 792 988.00 Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 549 1 258 857 EUR 168.5 261 006.50 Gamesa Corp Tecnologica SA. . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 099 34 671 EUR 17.52 720 054.48 Glanbia Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 950 5 357 2 940 EUR 16.88 218 596.00 Hera SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 247 524 85 137 EUR 2.44 603 958.56 Kingspan Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 062 13 067 19 513 EUR 19.79 436 606.98 Nordex SE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 428 9 272 20 934 EUR 25.415 824 157.62 OSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 814 6 230 2 430 EUR 45.89 450 364.46 Red Electrica Corp. SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 526 254 4 984 EUR 79.29 358 866.54 Schneider Electric SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 184 8 411 1 227 EUR 52.38 376 297.92 Senvion SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 488 24 070 9 582 EUR 12.005 173 928.44 Suez Environnement SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 471 126 817 EUR 14.105 387 478.46 Veolia Environnement SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 406 86 409 EUR 19.45 1 583 346.70 Vinci SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 490 3 005 4 706 EUR 63.33 601 001.70 Pennon Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 848 34 804 GBP 9.39 474 961.90 Severn Trent Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 888 20 977 GBP 23.89 487 655.18 United Utilities Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 151 3 819 45 587 GBP 10.21 655 940.07 China Everbright International Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 391 060 391 060 240 263 HKD 8.6 389 918.43 China Water Affairs Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 396 000 148 000 84 000 HKD 4.48 205 686.18 Huaneng Renewables Corp. Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 1 099 625 1 099 625 545 021 HKD 2.56 326 374.70 Xinjiang Goldwind Science & Technology Co., Ltd. . . . . . . . . . Count 196 400 196 400 HKD 10.54 240 001.53 Xinyi Solar Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 625 254 166 000 1 096 000 HKD 3.05 221 099.74 Asahi Kasei Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 002 3 000 JPY 708 179 706.40 Ebara Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 000 47 000 JPY 561 230 761.34 FANUC Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 000 3 000 JPY 16 535 434 137.98 Kubota Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95 400 113 600 18 200 JPY 1 367.5 1 141 768.45 Kurita Water Industries Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 500 9 000 1 600 JPY 2 278 368 831.30 Kyudenko Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 200 11 200 JPY 3 030 297 004.46 Murata Manufacturing Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . Count 5 900 5 900 1 300 JPY 11 380 587 620.04 Nidec Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 900 2 000 3 300 JPY 7 722 263 570.46 Panasonic Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 31 100 10 700 31 100 JPY 881 239 794.17 Sekisui House Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 100 4 600 JPY 1 779.5 219 593.48 Sumitomo Chemical Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 782 13 000 99 000 JPY 418 299 182.60 Toyota Motor Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 200 22 200 JPY 5 052 981 564.05 Coway Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 701 7 701 KRW 104 500 628 491.71 Marine Harvest ASA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 773 25 592 12 646 NOK 139.5 505 968.75 Manila Water Co., Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 545 954 217 800 73 800 PHP 27.1 282 892.13 Nibe Industrier AB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 184 40 800 8 616 SEK 69.15 235 930.60 Svenska Cellulosa AB SCA. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 064 7 998 10 931 SEK 267.5 597 333.27 Hota Industrial Manufacturing Co Ltd. . . . . . . . . . . . . . . . . . . . Count 70 000 33 000 4 000 TWD 150 292 799.59 Voltronic Power Technology Corp.. . . . . . . . . . . . . . . . . . . . . . Count 44 650 12 000 2 000 TWD 449 559 047.84 Yeong Guan Energy Technology Group Co Ltd . . . . . . . . . . . . Count 75 848 14 000 TWD 204 431 474.83 Acuity Brands, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 337 3 231 444 USD 246.47 2 513 589.07 Albemarle Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 837 4 837 USD 78.37 341 002.84 American Water Works Co., Inc.. . . . . . . . . . . . . . . . . . . . . . . . Count 23 118 13 972 14 848 USD 82.61 1 717 967.52 AO Smith Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 732 2 449 9 484 USD 86.17 3 544 935.64 Aqua America, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 346 27 308 26 378 USD 34.89 638 575.24 Archer-Daniels-Midland Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 221 29 449 22 948 USD 41.8 797 947.27 CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 907 27 696 36 140 USD 23.72 232 729.84 Cia de Saneamento Basico do Estado de Sao Paulo -ADR-. . . Count 167 650 167 650 USD 8.925 1 345 996.25 Covanta Holding Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 289 25 341 27 850 USD 16.22 193 898.84 Danaher Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 099 2 746 3 969 USD 100.24 3 705 991.17 Darling International, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 479 32 479 USD 14.71 429 781.17 Delphi Automotive Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 775 4 657 2 514 USD 62.44 492 881.01 Ecolab, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 299 736 2 203 USD 117.06 1 926 938.90 Fox Factory Holding Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 146 34 222 10 076 USD 17.22 374 033.42 Hain Celestial Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 486 5 944 USD 47.99 193 660.96 IDEX Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 123 5 123 USD 80.55 371 211.97 Maxim Integrated Products, Inc.. . . . . . . . . . . . . . . . . . . . . . . . Count 15 977 9 116 2 969 USD 35.26 506 768.50 Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 277 5 666 24 822 USD 25.3 97 340.11 Mueller Water Products, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 252 767 66 688 78 491 USD 11.13 2 530 740.44 NextEra Energy, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 764 31 236 5 472 USD 127.75 2 960 780.87 Pentair Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 381 23 849 468 USD 57.39 1 207 066.99 Roper Industries, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 211 710 2 785 USD 167.77 1 088 283.05
% of net assets
97.11 0.22 0.15 4.62 2.76 0.34 0.25 2.09 0.20 1.25 0.41 1.13 0.34 0.95 0.69 1.30 0.71 0.56 0.59 0.27 0.61 2.49 0.94 0.75 0.77 1.03 0.61 0.32 0.51 0.38 0.35 0.28 0.36 0.68 1.79 0.58 0.47 0.92 0.41 0.38 0.35 0.47 1.54 0.99 0.80 0.44 0.37 0.94 0.46 0.88 0.68 3.95 0.54 2.70 5.57 1.00 1.25 0.37 2.12 0.31 5.82 0.68 0.77 3.03 0.59 0.30 0.58 0.80 0.15 3.98 4.65 1.90 1.71
273
Deutsche Invest I New Resources Description
Sealed Air Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Starbucks Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Taiwan Semiconductor Manufacturing Co., Ltd -ADR-. . . . . . . Trimble Navigation Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Tyson Foods, Inc. -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Union Pacific Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Wabtec Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Watts Water Technologies, Inc.. . . . . . . . . . . . . . . . . . . . . . . . WhiteWave Foods Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Xylem, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Count Count Count Count Count Count Count Count Count Count
9 17 28 30 4 5 32 6 9 55
132 285 623 646 804 694 079 713 334 564
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
5 7 11 35 6 3 6 6 1 20
474 5 585 986 219 367 4 721 081 1 277 151 3 634 665 1 426 713 379 5 603 013 19 130
USD USD USD USD USD USD USD USD USD USD
44.99 56.74 25.905 24.17 65.1 85.81 70.21 56.39 45.37 43.83
Total market value in EUR
369 882 667 666 281 439 2 026 340 380 2 190
584.68 248.20 007.65 319.49 330.01 528.90 057.94 526.42 950.58 771.29
% of net assets
0.58 1.39 1.05 1.05 0.44 0.69 3.18 0.54 0.60 3.44
Investment fund units 408 139.37 0.64 In-group fund units Deutsche Global Liquidity Series Plc Managed Euro Fund -Z- EUR - (0.000%) Units 41 911 875 EUR 9 985.794 408 139.37 0.64 Total securities portfolio 62 194 036.93 97.75 Cash at bank 2 011 189.73 3.16 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 353 780.50 0.56 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 92 494 111 797.33 0.18 Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 74 354 9 994.09 0.02 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 980 071 105 253.71 0.17 Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 210 47.52 0.00 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 335 711 141 600.44 0.22 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 294 196.83 0.00 Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 8 375 2 346.37 0.00 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 136 122 15 781.89 0.02 Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 498 353 33.93 0.00 Israeli shekel. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ILS 447 104.41 0.00 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 1 135 671 9 939.28 0.02 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 7 315 5 068.33 0.01 New Taiwan dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 21 956 624 612 275.29 0.96 New Zealand dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 21 449 13 710.57 0.02 Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 3 890 698 74 391.45 0.12 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 111 763 103 142.65 0.16 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 360 240.13 0.00 South Korean won. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 166 799 705 130 266.10 0.20 Thai baht. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 109 324 2 798.63 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 353 972 318 420.28 0.50 Other assets 172 778.19 0.27 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133 984.85 0.21 Receivables from exceeding the expense cap. . . . . . . . . . . . . 5 055.12 0.01 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 738.22 0.05 Receivables from share certificate transactions 254 829.35 0.40 Total assets 64 632 834.70 101.58 Other liabilities -958 238.36 -1.51 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -958 238.36 -1.51 Liabilities from share certificate transactions -49 438.70 -0.07 Total liabilities -1 007 676.56 -1.58 Net assets 63 625 158.14 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
274
Deutsche Invest I New Resources Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 136.49 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 125.52 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 123.38 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 116.54 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 109.84 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 104.14 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 376 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 251 949 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 62 290 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 129 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 372 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 500 Composition of the reference portfolio (according to CSSF circular 11/512) 34% FTSE Environmental Opportunities All-Share Index_TR, 33% DAXglobal Agribusiness Index (in EUR), 33% S&P Global Water Index Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 116.752 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 135.942 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 125.087 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Exchange rates (indirect quotes) As of: June 30, 2016 Brazilian real . . . . . . . . . . . . . . . . . . . . Canadian dollar . . . . . . . . . . . . . . . . . . Swiss franc. . . . . . . . . . . . . . . . . . . . . Danish krone. . . . . . . . . . . . . . . . . . . . British pound . . . . . . . . . . . . . . . . . . . Hong Kong dollar . . . . . . . . . . . . . . . . Indonesian rupiah . . . . . . . . . . . . . . . . Israeli shekel. . . . . . . . . . . . . . . . . . . . Japanese yen . . . . . . . . . . . . . . . . . . . South Korean won. . . . . . . . . . . . . . . . Norwegian krone. . . . . . . . . . . . . . . . . New Zealand dollar. . . . . . . . . . . . . . . Philippine peso . . . . . . . . . . . . . . . . . . Polish zloty . . . . . . . . . . . . . . . . . . . . . Swedish krona. . . . . . . . . . . . . . . . . . . Singapore dollar . . . . . . . . . . . . . . . . . Thai baht. . . . . . . . . . . . . . . . . . . . . . . New Taiwan dollar. . . . . . . . . . . . . . . . U.S. dollar . . . . . . . . . . . . . . . . . . . . . .
BRL CAD CHF DKK GBP HKD IDR ILS JPY KRW NOK NZD PHP PLN SEK SGD THB TWD USD
3.569396 = EUR 1.443366 = EUR 1.083580 = EUR 7.439826 = EUR 0.827335 = EUR 8.625178 = EUR 14 687.670916 = EUR 4.282575 = EUR 114.260909 = EUR 1 280.453642 = EUR 9.311511 = EUR 1.564381 = EUR 52.300337 = EUR 4.417251 = EUR 9.432959 = EUR 1.498170 = EUR 39.063368 = EUR 35.860706 = EUR 1.111650 = EUR
1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1
Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period.
275
Deutsche Invest I New Resources 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
Securities traded on an exchange Equities Alps Electric Co., Ltd . . . . . . . . . . . . . . . . . . . . . . Count 6 400 14 900 ams AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 370 6 458 Arcadis NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 920 Boer Power Holdings Ltd . . . . . . . . . . . . . . . . . . . Count 33 000 136 894 Canadian Solar, Inc.. . . . . . . . . . . . . . . . . . . . . . . . Count 60 679 97 011 China Longyuan Power Group Corp.. . . . . . . . . . . Count 203 922 CT Environmental Group Ltd. . . . . . . . . . . . . . . . . Count 887 712 Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 065 6 211 Dialog Semiconductor Plc. . . . . . . . . . . . . . . . . . . Count 2 649 10 638 First Solar, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 292 12 839 International Flavors & Fragrances, Inc. . . . . . . . . Count 18 512 JinkoSolar Holding Co., Ltd -ADR-. . . . . . . . . . . . . Count 27 254 52 888 Kroger Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 033 Mobileye NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 336 Nibe Industrier AB -B-. . . . . . . . . . . . . . . . . . . . . . Count 3 261 19 181 Omron Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 300 Renault SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 176 9 464 Scatec Solar ASA. . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 070 Sensata Technologies Holding NV . . . . . . . . . . . . Count 7 689 SolarCity Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 665 Sprouts Farmers Market Inc. . . . . . . . . . . . . . . . . Count 6 866 31 720 SunPower Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 197 48 305 Sunrun Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 82 673 151 390 Syngenta AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 471 5 874 Talgo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 267 TDK Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 100 Thermo Fisher Scientific, Inc.. . . . . . . . . . . . . . . . Count 10 299 Valmont Industries, Inc.. . . . . . . . . . . . . . . . . . . . . Count 1 432 Wacker Chemie AG. . . . . . . . . . . . . . . . . . . . . . . . Count 4 535 Zumtobel AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 206 51 794
276
Futures contracts Equity index futures Contracts sold (Underlyings: E-Mini Nasdaq 100 Futures, Nikkei 225 Futures, S & P MINI 500 Futures, S&P 500 Futures) EUR
options Value (’000)
13 542
Deutsche Invest I Nomura Japan Growth Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in JPY
% of net assets
Securities traded on an exchange 9 294 030 130.00 102.09 Equities Asics Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 900 24 600 JPY 1 716 51 308 400.00 0.56 Bridgestone Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 400 32 700 JPY 3 269 50 342 600.00 0.55 Chugai Pharmaceutical Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 32 100 2 900 8 400 JPY 3 635 116 683 500.00 1.28 Daikin Industries Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 100 3 400 JPY 8 514 290 327 400.00 3.19 Daiwa House Industry Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . Count 85 000 89 400 4 400 JPY 2 982 253 470 000.00 2.78 FANUC Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 200 1 600 JPY 16 535 85 982 000.00 0.94 Fast Retailing Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 4 700 800 JPY 27 300 163 800 000.00 1.80 Fuji Heavy Industries Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 75 300 11 200 12 600 JPY 3 478 261 893 400.00 2.88 Hamamatsu Photonics KK. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 31 900 9 000 2 500 JPY 2 855 91 074 500.00 1.00 Haseko Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 121 900 24 500 75 600 JPY 1 021 124 459 900.00 1.37 Hitachi Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 321 000 6 000 64 000 JPY 423.9 136 071 900.00 1.49 Idemitsu Kosan Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 700 61 100 10 400 JPY 2 212 112 148 400.00 1.23 Isuzu Motors Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 144 500 97 800 12 600 JPY 1 248.5 180 408 250.00 1.98 Japan Airlines Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 300 53 300 3 000 JPY 3 292 165 587 600.00 1.82 Japan Tobacco, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 200 4 200 JPY 4 103 177 249 600.00 1.95 Kajima Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 260 000 255 000 JPY 708 184 080 000.00 2.02 Kao Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 600 5 100 JPY 5 929 305 936 400.00 3.36 KDDI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 86 700 8 900 JPY 3 113 269 897 100.00 2.96 Keyence Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 900 500 JPY 69 140 338 786 000.00 3.72 Komatsu Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 74 200 25 800 5 300 JPY 1 769.5 131 296 900.00 1.44 Kubota Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 90 900 10 400 26 500 JPY 1 367.5 124 305 750.00 1.37 Lion Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 90 000 27 000 13 000 JPY 1 685 151 650 000.00 1.67 Makita Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 500 5 300 2 100 JPY 6 760 172 380 000.00 1.89 Mazda Motor Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 74 900 44 200 56 700 JPY 1 359 101 789 100.00 1.12 MEIJI Holdings Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 000 1 300 5 800 JPY 10 430 239 890 000.00 2.64 Mitsubishi Electric Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 246 000 107 000 16 000 JPY 1 208 297 168 000.00 3.26 Mitsubishi Heavy Industries Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 472 000 70 000 45 000 JPY 407.4 192 292 800.00 2.11 Mitsubishi UFJ Financial Group, Inc.. . . . . . . . . . . . . . . . . . . . . Count 493 200 106 100 44 400 JPY 455.9 224 849 880.00 2.47 Mitsui Chemicals, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 547 000 226 000 129 000 JPY 372 203 484 000.00 2.24 Mitsui Fudosan Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 54 000 25 000 33 000 JPY 2 331.5 125 901 000.00 1.38 MS&AD Insurance Group Holdings Inc. . . . . . . . . . . . . . . . . . . Count 53 100 8 800 5 600 JPY 2 621.5 139 201 650.00 1.53 Murata Manufacturing Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . Count 8 500 3 100 JPY 11 380 96 730 000.00 1.06 NGK Insulators Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 40 000 40 000 JPY 2 047 81 880 000.00 0.90 NGK Spark Plug Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 300 8 500 11 000 JPY 1 529 58 560 700.00 0.64 Nidec Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 900 1 400 JPY 7 722 107 335 800.00 1.18 Nippon Suisan Kaisha Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 213 800 223 200 9 400 JPY 524 112 031 200.00 1.23 Nippon Telegraph & Telephone Corp.. . . . . . . . . . . . . . . . . . . . Count 67 900 6 500 24 700 JPY 4 800 325 920 000.00 3.58 Nitto Denko Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 800 24 300 2 100 JPY 6 436 230 408 800.00 2.53 Ono Pharmaceutical Co Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 71 600 63 400 6 300 JPY 4 432 317 331 200.00 3.49 Oriental Land Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 100 14 700 JPY 6 624 113 270 400.00 1.24 PeptiDream Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 400 30 600 1 700 JPY 6 080 196 992 000.00 2.16 Rakuten, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 800 14 900 JPY 1 102.5 48 289 500.00 0.53 Santen Pharmaceutical Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 43 300 34 000 JPY 1 600 69 280 000.00 0.76 Shimano, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 300 1 700 JPY 15 530 51 249 000.00 0.56 Shionogi & Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 700 4 700 JPY 5 568 287 865 600.00 3.16 SMC Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 500 1 100 JPY 24 905 136 977 500.00 1.50 Softbank Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 600 2 200 JPY 5 789 55 574 400.00 0.61 Sony Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 143 800 15 200 7 600 JPY 2 988 429 674 400.00 4.72 Start Today Co Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 300 4 400 3 700 JPY 5 380 157 634 000.00 1.73 Sumitomo Realty & Development Co., Ltd. . . . . . . . . . . . . . . . Count 84 000 10 000 4 000 JPY 2 754.5 231 378 000.00 2.54 Sysmex Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 400 1 100 JPY 6 990 86 676 000.00 0.95 Temp Holdings Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 79 100 15 400 17 600 JPY 1 762 139 374 200.00 1.53 Toho Co., Ltd/Tokyo . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 900 35 800 1 900 JPY 2 824 95 733 600.00 1.05 Toyota Motor Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 400 1 900 4 400 JPY 5 052 128 320 800.00 1.41 Tsuruha Holdings Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 800 4 700 1 400 JPY 12 370 220 186 000.00 2.42 Unicharm Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 600 7 800 JPY 2 285 51 641 000.00 0.57 Total securities portfolio 9 294 030 130.00 102.09 Derivatives (Minus signs denote short positions) Currency derivatives -399 019 022.00 -4.38 Receivables/payables Currency futures Currency futures (short) Closed positions JPY/EUR 13.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -29 987 623.00 -0.33 Currency futures (long) Open positions EUR/JPY 76.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -369 031 399.00 -4.05
277
Deutsche Invest I Nomura Japan Growth Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in JPY
% of net assets
Cash at bank 202 526 008.00 2.22 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 202 526 008.00 2.22 Other assets 88 764 308.00 0.98 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 009 762.00 0.10 Receivables from exceeding the expense cap. . . . . . . . . . . . . 97 677.00 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79 656 869.00 0.88 Total assets * 9 585 320 446.00 105.29 Other liabilities -82 533 786.00 -0.91 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -82 533 786.00 -0.91 Total liabilities -481 552 808.00 -5.29 Net assets 9 103 767 638.00 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 89.92 Class MFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 80.06 Class JPY FC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 9 396.86 Number of shares outstanding Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 421 Class MFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 975 000 Class JPY FC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 128 Composition of the reference portfolio (according to CSSF circular 11/512) TOPIX INDEX (TOKYO) in JPY Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 97.850 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 104.468 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 102.225 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled JPY 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations Contracting party for currency futures State Street Bank and Trust Company Exchange rates (indirect quotes) As of: June 30, 2016 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0.008738 = JPY 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnote * Does not include positions with a negative balance, if such exist.
278
Deutsche Invest I Nomura Japan Growth 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
Securities traded on an exchange Equities Dai-ichi Life Insurance Co., Ltd. . . . . . . . . . . . . . . Count Dentsu, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count East Japan Railway Co.. . . . . . . . . . . . . . . . . . . . . Count Kansai Paint Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . Count Mitsubishi Chemical Holdings Corp.. . . . . . . . . . . Count 52 700 Mitsui & Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Count NEC Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 125 000 Seven & I Holdings Co., Ltd. . . . . . . . . . . . . . . . . Count Sumitomo Metal Mining Co., Ltd. . . . . . . . . . . . . Count Sumitomo Mitsui Financial Group, Inc.. . . . . . . . . Count Tokyo Gas Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count
113 32 30 31 253 99 930 30 67 5 168
800 300 500 000 300 300 000 200 000 300 000
options
Value (’000) Futures contracts Currency futures (short) Futures contracts to sell currencies JPY/EUR JPY 67 626 085 Currency futures (long) Futures contracts to purchase currencies EUR/JPY JPY 56 970 270
279
Deutsche Invest I Quant Equity Low Volatility World Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Securities traded on an exchange Equities AGL Energy Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Alimentation Couche-Tard, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . BCE, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Fairfax Financial Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Rogers Communications, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . Royal Bank of Canada. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Silver Wheaton Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Chocoladefabriken Lindt & Spruengli AG . . . . . . . . . . . . . . . . . Kuehne + Nagel International AG. . . . . . . . . . . . . . . . . . . . . . . Lonza Group AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Nestle SA -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Partners Group Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . Roche Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Schindler Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Sonova Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Swiss Prime Site AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SwissCom AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Novo Nordisk A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . William Demant Holding A/S. . . . . . . . . . . . . . . . . . . . . . . . . . . Aena SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Amadeus IT Holding SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Andritz AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Bankinter SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Belgacom SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Christian Dior SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Colruyt SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Deutsche Telekom AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . Enagas SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Endesa SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Essilor International SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Henkel AG & Co KGaA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Iberdrola SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Kerry Group Plc -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Koninklijke Ahold NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Red Electrica Corp. SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . RTL Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Sanofi. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Scor SE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SES SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Snam SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Telefonica SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Telenet Group Holding NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Terna Rete Elettrica Nazionale SpA. . . . . . . . . . . . . . . . . . . . . . UCB SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Voestalpine AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Zardoya Otis SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Admiral Group PLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Aviva Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BT Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GlaxoSmithKline Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HSBC Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Legal & General Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Next Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Prudential Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Randgold Resources Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Tate & Lyle Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Hang Seng Bank Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Link REIT. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PCCW Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Techtronic Industries Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Aeon Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Canon, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Lawson, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NH Foods Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Nikon Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Nippon Prologis REIT, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Nippon Telegraph & Telephone Corp.. . . . . . . . . . . . . . . . . . . . NTT DOCOMO, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Osaka Gas Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Suntory Beverage & Food Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Terumo Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TonenGeneral Sekiyu KK. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Trend Micro, Inc./Japan. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Oversea-Chinese Banking Corp., Ltd . . . . . . . . . . . . . . . . . . . . Aetna, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Aflac, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . American Electric Power Co., Inc.. . . . . . . . . . . . . . . . . . . . . . . American Water Works Co., Inc.. . . . . . . . . . . . . . . . . . . . . . . . Annaly Capital Management, Inc.. . . . . . . . . . . . . . . . . . . . . . . AT&T, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
280
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
5 186 5 186 3 762 3 762 1 837 1 178 320 205 7 994 7 994 9 868 6 329 7 899 7 899 8 5 3 418 2 192 1 085 1 085 6 486 6 486 2 690 1 506 966 2 138 1 627 3 276 2 101 2 002 1 284 5 047 3 237 985 632 9 132 5 857 28 501 28 501 1 355 1 355 4 236 2 717 2 447 1 569 14 122 14 122 7 487 4 802 948 948 8 941 5 734 10 951 10 951 5 576 5 576 27 952 17 929 1 592 1 592 2 099 1 346 80 188 51 435 4 001 2 566 16 344 16 344 2 236 2 236 2 220 2 091 2 091 1 971 1 971 6 037 3 872 6 213 6 213 5 096 81 280 52 135 37 204 23 864 4 390 2 816 30 406 30 406 3 823 2 452 6 951 4 458 46 615 29 900 6 135 3 935 1 857 20 916 20 916 22 311 22 311 21 959 21 959 21 150 13 566 7 629 63 811 40 930 2 517 1 071 687 6 971 6 971 4 738 3 039 710 12 844 8 238 5 800 5 800 16 500 16 500 122 686 10 500 10 500 14 300 14 300 17 200 17 200 3 200 2 100 6 000 4 000 7 500 7 500 69 45 3 700 2 400 12 300 8 000 40 000 40 000 3 700 2 400 6 900 6 900 37 000 24 000 9 200 9 200 4 12 600 1 767 1 767 3 708 2 378 847 2 149 1 378 6 659 4 271 1 577 58 455 37 495 16 425 10 535
AUD CAD CAD CAD CAD CAD CAD CHF CHF CHF CHF CHF CHF CHF CHF CHF CHF DKK DKK EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR GBP GBP GBP GBP GBP GBP GBP GBP GBP GBP HKD HKD HKD HKD JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY SGD USD USD USD USD USD USD
19.29 54.6 60.9 675.09 52.03 76.52 29.85 69 000 135.2 161.4 75 415.25 253.5 175.3 129.7 88.05 477.5 355.3 129.9 117.05 39.215 42.525 5.751 28.29 144.5 49.3 15.13 26.975 17.76 118.75 96.22 5.987 79.01 19.785 79.29 73.42 73.99 26.585 19.39 5.29 8.301 41.075 4.898 66.66 29.5 8.4 19.81 3.844 4.046 15.64 4.571 1.867 48.503 12.315 82.8 6.6 132.4 52.8 5.21 32.25 1 586 2 912.5 8 170 2 493 1 386 251 000 4 800 2 766.5 392.4 4 620 4 345 930 3 645 8.69 121.04 70.34 68.77 82.61 10.88 42.62
Total market value in EUR
% of net assets
33 086 313.69
92.28
66 921.44 142 309.86 77 508.62 149 670.16 288 165.20 523 151.73 163 357.85 509 422.24 426 469.10 161 611.44 448 928.35 577 129.72 500 177.89 529 986.29 239 630.93 410 111.07 434 058.66 436 112.27 497 629.88 158 602.75 166 114.74 104 058.68 81 215.62 211 807.23 136 986.00 440 791.30 165 688.63 150 412.60 496 427.52 189 050.00 201 965.78 480 085.56 316 119.01 323 366.04 177 292.44 153 521.22 145 834.29 160 493.65 120 470.07 429 971.20 308 830.40 180 319.25 148 928.59 254 841.18 205 054.50 391 566.00 146 898.55 97 180.80 109 109.71 415 109.08 116 853.05 144 032.56 62 788.09 103 764.31 474 180.69 102 461.97 89 032.36 101 006.61 74 107.92 39 260.06 198 491.33 438 426.41 228 809.66 130 910.91 90 976.00 151 574.15 155 433.74 297 809.20 137 369.82 149 604.97 262 386.33 301 152.87 293 486.20 23.20 192 396.66 234 624.93 132 943.62 494 850.15 572 114.07 629 724.94
0.19 0.40 0.22 0.42 0.80 1.46 0.46 1.42 1.19 0.45 1.25 1.61 1.39 1.48 0.67 1.14 1.21 1.22 1.39 0.44 0.46 0.29 0.23 0.59 0.38 1.23 0.46 0.42 1.38 0.53 0.56 1.34 0.88 0.90 0.49 0.43 0.41 0.45 0.34 1.20 0.86 0.50 0.42 0.71 0.57 1.09 0.41 0.27 0.30 1.16 0.33 0.40 0.17 0.29 1.32 0.29 0.25 0.28 0.21 0.11 0.55 1.22 0.64 0.37 0.25 0.42 0.43 0.83 0.38 0.42 0.73 0.84 0.82 0.00 0.54 0.65 0.37 1.38 1.60 1.76
Deutsche Invest I Quant Equity Low Volatility World Description
AutoZone, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Bristol-Myers Squibb Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Cadence Design Systems, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . Camden Property Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Campbell Soup Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CenterPoint Energy, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Church & Dwight Co Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Clorox Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CMS Energy Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Consolidated Edison, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CR Bard, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DTE Energy Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Eversource Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Exxon Mobil Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Facebook Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Federal Realty Investment Trust. . . . . . . . . . . . . . . . . . . . . . . . Gartner Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . General Mills, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Hershey Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Home Depot, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Hormel Foods Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Kellogg Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Level 3 Communications, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . McCormick & Co., Inc/MD . . . . . . . . . . . . . . . . . . . . . . . . . . . . McKesson Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Mettler-Toledo International, Inc. . . . . . . . . . . . . . . . . . . . . . . . Newmont Mining Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Public Storage. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Red Hat, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . RenaissanceRe Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . Sempra Energy. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SYSCO Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . The Southern Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Tyson Foods, Inc. -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . UDR, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Varian Medical Systems Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . VeriSign, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Verizon Communications, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . Visa, Inc. -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . WEC Energy Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
334 4 183 7 249 3 047 5 749 8 610 6 670 4 807 5 773 8 691 1 021 3 856 2 744 3 868 2 585 1 600 1 492 9 895 3 254 3 518 6 647 5 956 6 441 4 046 2 485 641 15 404 1 539 2 510 1 820 918 11 236 12 635 2 641 11 190 2 049 1 876 11 230 4 348 7 266 2 392
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
214 4 183 7 249 1 954 3 687 8 610 4 278 3 083 5 773 5 574 200 655 3 856 1 760 2 481 1 658 1 026 957 6 346 2 087 3 518 5 455 3 820 6 441 2 595 1 594 641 9 880 3 347 987 2 510 1 167 589 7 207 8 104 1 694 7 177 1 314 1 876 7 203 4 348 4 660 1 534
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
786.46 72.78 24.165 86.84 63.9 23.88 100.45 134.93 44.96 79.01 232.79 97.56 58.71 92.53 114.33 163.01 94.92 69.43 98.15 126.2 35.59 78.68 50.49 102.46 183 360.4 38.27 252.57 72.99 115.65 111.89 50.27 52.29 65.1 36.25 80.75 84.67 55.03 76.55 72.61 64.21
Total market value in EUR
236 295.35 273 862.13 157 578.51 238 025.97 330 464.82 184 956.48 602 709.23 583 464.87 233 485.51 617 708.93 213 807.10 338 408.20 144 919.98 321 959.39 265 859.89 234 620.68 127 396.83 618 009.33 287 302.84 399 380.87 212 806.91 421 551.95 292 543.69 372 917.10 409 081.23 207 814.04 530 302.94 349 665.23 164 804.53 189 342.93 92 398.73 508 104.08 594 327.68 154 661.23 364 896.89 148 838.94 142 887.57 555 918.77 299 410.34 474 595.81 138 164.32
% of net assets
0.66 0.76 0.44 0.66 0.92 0.52 1.68 1.63 0.65 1.72 0.60 0.94 0.40 0.90 0.74 0.65 0.36 1.72 0.80 1.11 0.59 1.18 0.82 1.04 1.14 0.58 1.48 0.98 0.46 0.53 0.26 1.42 1.66 0.43 1.02 0.42 0.40 1.55 0.83 1.32 0.39
Total securities portfolio 33 086 313.69 92.28 Derivatives (Minus signs denote short positions) Equity index derivatives 14 135.00 0.04 Receivables/payables Equity index futures S & P MINI 500 Futures 09/2016 (CME). . . . . . . . . . . . . . . . . . Count 3 3 5 895.00 0.02 DJ EURO STOXX 50 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . Count 8 8 8 240.00 0.02 Currency derivatives -93.32 Receivables/payables Currency futures Currency futures (short) Open positions EUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.36 EUR/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.03 EUR/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5.34 EUR/DKK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.16 EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25.02 EUR/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3.76 EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -39.16 EUR/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.01 EUR/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.06 EUR/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.01 EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.06 EUR/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -65.73
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Closed positions EUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.01 1.22 -0.48 0.62 -3.83 0.11 -0.65
0.00
281
Deutsche Invest I Quant Equity Low Volatility World Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Cash at bank 1 595 069.98 4.45 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 507 319.43 4.20 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 4 031 4 872.56 0.01 Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 20 235 2 719.80 0.01 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 22 928 2 462.34 0.01 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 8 148 863.77 0.00 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 18 526 12 393.04 0.03 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 47 048 5 454.76 0.02 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 1 113 056 9 741.35 0.03 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 16 447 11 394.56 0.03 New Zealand dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 5 647 3 609.93 0.01 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 4 879 4 502.92 0.01 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 6 980 4 659.32 0.01 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 27 876 25 076.20 0.08 Other assets 98 178.07 0.28 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 438.02 0.14 Receivables from exceeding the expense cap. . . . . . . . . . . . . 46 653.64 0.13 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 086.41 0.01 Receivables from share certificate transactions 22 035 897.40 61.46 Total assets * 56 829 621.29 158.51 Other liabilities -20 974 007.18 -58.50 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -20 974 007.18 -58.50 Liabilities from share certificate transactions -2 682.68 -0.01 Total liabilities -20 976 810.33 -58.51 Net assets 35 852 810.96 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class FC EB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class FCH (P) EB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ currency
EUR EUR EUR EUR EUR EUR EUR USD
Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class FC EB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class FCH (P) EB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Composition of the reference portfolio (according to CSSF circular 11/512) MSCI THE WORLD INDEX in EUR Constituents
Net asset value per share in the respective currency
105.71 105.88 103.93 108.19 104.62 104.50 103.80 105.88 100 42 524 100 229 498 23 792 37 113 887 435
Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure % 68.758 Highest market risk exposure % 76.935 Average market risk exposure % 71.670
282
Deutsche Invest I Quant Equity Low Volatility World The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 8 078.02 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations Futures exchanges CME = Chicago Mercantile Exchange EUR = Eurex Contracting party for currency futures State Street Bank and Trust Company Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 Danish krone. . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1 New Zealand dollar. . . . . . . . . . . . . . . NZD 1.564381 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnote * Does not include positions with a negative balance, if such exist.
283
Deutsche Invest I Quant Equity Low Volatility World 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
Futures contracts
Securities traded on an exchange Equities American International Group, Inc.. . . . . . . . . . . . Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . Aozora Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Auckland International Airport Ltd. . . . . . . . . . . . . Australia & New Zealand Banking Group Ltd. . . . British Land Co., Plc . . . . . . . . . . . . . . . . . . . . . . . Bunge Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Cabot Oil & Gas Corp.. . . . . . . . . . . . . . . . . . . . . . Cerner Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Costco Wholesale Corp. . . . . . . . . . . . . . . . . . . . . Daiichi Sankyo Co., Ltd. . . . . . . . . . . . . . . . . . . . . Exelon Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Ferrovial SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Franco-Nevada Corp.. . . . . . . . . . . . . . . . . . . . . . . Goldcorp, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Golden Agri-Resources Ltd. . . . . . . . . . . . . . . . . . HKT Trust & HKT Ltd. . . . . . . . . . . . . . . . . . . . . . . Iberdrola SA -Rights Exp 01Feb16 . . . . . . . . . . . . Intesa Sanpaolo SpA. . . . . . . . . . . . . . . . . . . . . . . Liberty Media Group. . . . . . . . . . . . . . . . . . . . . . . Marks & Spencer Group Plc. . . . . . . . . . . . . . . . . Mead Johnson Nutrition Co.. . . . . . . . . . . . . . . . . MTR Corp. Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Oracle Corp Japan. . . . . . . . . . . . . . . . . . . . . . . . . Paddy Power Betfair Plc. . . . . . . . . . . . . . . . . . . . Patterson Cos, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Repsol S.A. 14/01/2016. . . . . . . . . . . . . . . . . . . . . Repsol SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . StarHub Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Sumitomo Metal Mining Co., Ltd. . . . . . . . . . . . . TDC A/S. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . William Demant Holding A/S. . . . . . . . . . . . . . . . . Wilmar International Ltd . . . . . . . . . . . . . . . . . . . . XL Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
284
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
1 246 5 100 829 28 753 1 816 9 512 624 2 367
1 1 30 34 1 7 1 2 1 5 1 1 9 222 28 24 1 9 36 1 2 4 4 59 7 14 2 76 2
478 613 000 385 841 524 143 982 246 372 100 366 419 829 106 486 995 753 312 816 512 953 942 300 624 241 255 255 995 000 092 044 668 367
Equity index futures Contracts sold (Underlyings: DJ EURO STOXX Auto Futures 06/2016 (EUR), S & P MINI 500 Futures 06/2016 (CME)) EUR
options Value (’000)
632
Currency futures (short) Futures contracts to sell currencies EUR/CAD EUR 2 EUR/CHF EUR 6 EUR/DKK EUR 2 EUR/GBP EUR 3 EUR/HKD EUR 1 EUR/JPY EUR 5 EUR/NZD EUR 1 EUR/SGD EUR 1 EUR/USD EUR 21 Currency futures (long) Futures contracts to purchase currencies EUR/CAD EUR 2 EUR/CHF EUR 6 EUR/DKK EUR 2 EUR/GBP EUR 3 EUR/HKD EUR 1 EUR/JPY EUR 5 EUR/NZD EUR 1 EUR/SGD EUR 1 EUR/USD EUR 21
Deutsche Invest I Real Assets Income Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Securities traded on an exchange Equities Dexus Property Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 575 304 AUD 9.02 Mirvac Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 767 1 055 AUD 2.02 Scentre Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 113 8 415 AUD 4.92 Transurban Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 758 3 609 AUD 11.99 Vicinity Centres. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 083 922 14 816 AUD 3.32 Chartwell Retirement Residences . . . . . . . . . . . . . . . . . . . . . . Count 5 331 5 331 CAD 15.71 First Capital Realty, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 082 5 082 CAD 22.29 Inter Pipeline Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 598 276 1 760 CAD 27.18 Pembina Pipeline Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 470 100 3 274 CAD 38.79 Smart Real Estate Investment . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 121 2 121 CAD 37.71 TransCanada Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 953 2 953 1 019 CAD 57.91 Aena SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 588 588 EUR 117.05 Deutsche Annington Immobilien SE . . . . . . . . . . . . . . . . . . . . Count 2 937 1 358 EUR 32.765 Eutelsat Communications SA. . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 959 3 254 1 295 EUR 16.985 Ferrovial SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 111 151 1 659 EUR 17.31 ICADE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 701 701 EUR 63.64 Klepierre . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 246 886 EUR 39.92 SES SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 256 669 1 979 EUR 19.39 Snam SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 711 24 333 5 622 EUR 5.29 Vinci SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 493 37 167 EUR 63.33 Assura Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 452 1 340 GBP 0.544 Hammerson Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 878 153 GBP 5.17 Land Securities Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 690 5 690 GBP 10.25 National Grid Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 830 7 830 GBP 10.765 Severn Trent Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 076 1 430 GBP 23.89 United Utilities Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 997 2 454 GBP 10.21 China Merchants Holdings International Co., Ltd. . . . . . . . . . . Count 23 611 23 611 HKD 20.6 Link REIT. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 171 HKD 52.8 Sino Land Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 479 HKD 12.66 Frontier Real Estate Investment Corp.. . . . . . . . . . . . . . . . . . . Count 11 11 JPY 534 000 Global One Real Estate Investment Corp. . . . . . . . . . . . . . . . . Count 10 5 JPY 378 500 Invesco Office J-Reit, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 75 75 JPY 94 400 Japan Logistics Fund, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 8 JPY 239 700 Mori Hills REIT Investment Corp.. . . . . . . . . . . . . . . . . . . . . . . Count 22 20 28 JPY 161 200 Nippon Accommodations Fund, Inc.. . . . . . . . . . . . . . . . . . . . . Count 13 JPY 468 000 Top REIT, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 13 8 JPY 415 500 Auckland International Airport Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 29 707 29 707 NZD 6.5 Fabege AB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 964 44 SEK 142.7 CapitaCommercial Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 069 81 069 SGD 1.475 Suntec Real Estate Investment Trust. . . . . . . . . . . . . . . . . . . . Count 45 100 45 100 SGD 1.77 American Campus Communities, Inc.. . . . . . . . . . . . . . . . . . . . Count 1 205 614 699 USD 51.93 American Tower Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 242 28 USD 112.01 Avangrid INC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 538 2 512 974 USD 45.82 Camden Property Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 099 30 227 USD 86.84 Crown Castle International Corp. . . . . . . . . . . . . . . . . . . . . . . . Count 3 210 1 252 USD 99.98 DDR Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 192 6 192 USD 17.99 Digital Realty Trust, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 768 768 USD 107.98 Edison International. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 531 1 531 USD 76.01 Education Realty Trust Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 252 722 861 USD 45.24 Enbridge Energy Management LLC . . . . . . . . . . . . . . . . . . . . . Count 8 823 3 016 5 098 USD 22.43 Equity Residential. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 727 1 438 1 029 USD 67.87 Eversource Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 072 2 072 USD 58.71 Four Corners Property Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 016 1 687 1 USD 19.93 Hudson Pacific Properties, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . Count 2 392 2 392 USD 28.66 Kinder Morgan, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 193 3 709 6 574 USD 18.34 LaSalle Hotel Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 918 2 918 3 029 USD 23.07 Liberty Property Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 900 1 900 USD 38.92 NiSource, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 050 1 397 USD 26.04 NorthWestern Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 867 593 USD 62.295 Pattern Energy Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 811 1 482 1 552 USD 22.37 PG&E Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 888 982 USD 62.83 Republic Services, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 733 733 USD 50.32 Retail Properties of Americ A Aktie . . . . . . . . . . . . . . . . . . . . . Count 5 854 2 498 USD 16.69 RMR Group Inc/The. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 2 1 USD 31.45 Sempra Energy. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 546 622 USD 111.89 Senior Housing Properties Trust. . . . . . . . . . . . . . . . . . . . . . . . Count 10 526 16 662 6 136 USD 21.04 Simon Property Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 475 553 78 USD 214.49 Spirit Realty Capital, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 716 173 USD 12.57 STORE Capital Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 438 1 250 USD 28.72 Ventas, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 844 1 844 USD 71.94 Vornado Realty Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 931 931 382 USD 98.82 Washington Real Estate Investment Trust. . . . . . . . . . . . . . . . Count 6 058 2 937 USD 30.9 Waste Management, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 708 1 708 USD 65.195 WP Glimcher, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 857 1 857 USD 10.91
Total market value in EUR
6 485 993.88 81 911.88 63 196.26 95 819.21 166 496.54 57 929.02 58 024.10 78 481.68 199 570.77 120 129.83 55 414.16 118 478.78 68 825.40 96 230.81 33 273.62 88 471.41 44 611.64 89 660.32 24 353.84 98 981.19 94 551.69 39 116.07 42 980.47 70 494.40 101 881.25 117 697.92 86 350.45 56 391.48 50 019.70 47 672.54 51 408.66 33 125.94 61 963.45 50 347.93 31 037.74 53 246.56 47 273.39 123 432.51 29 711.02 79 815.22 53 283.00 56 290.80 125 144.12 63 393.32 85 851.83 288 702.29 100 206.10 74 599.62 104 683.44 50 951.74 178 023.62 105 439.24 109 429.37 107 856.72 61 669.36 118 670.14 60 557.08 66 520.96 71 445.17 160 661.92 137 059.43 163 228.62 33 180.02 87 890.34 1 442.86 155 608.33 199 223.78 91 650.05 87 248.82 88 822.37 119 333.79 82 761.17 168 391.36 100 169.20 18 225.05
Total securities portfolio 6 485 993.88
% of net assets
98.32 1.24 0.96 1.45 2.52 0.88 0.88 1.19 3.03 1.82 0.84 1.80 1.04 1.46 0.50 1.34 0.68 1.36 0.37 1.50 1.43 0.59 0.65 1.07 1.54 1.78 1.31 0.85 0.76 0.72 0.78 0.50 0.94 0.76 0.47 0.81 0.72 1.87 0.45 1.21 0.81 0.85 1.90 0.96 1.30 4.38 1.52 1.13 1.59 0.77 2.70 1.60 1.66 1.64 0.94 1.80 0.92 1.01 1.08 2.44 2.08 2.47 0.50 1.33 0.02 2.36 3.02 1.39 1.32 1.35 1.81 1.25 2.55 1.52 0.28 98.32
285
Deutsche Invest I Real Assets Income Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Derivatives (Minus signs denote short positions) Currency derivatives -93.16 Receivables/payables Currency futures Currency futures (short) Open positions EUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -15.15 EUR/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.29 EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34.96 EUR/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3.61 EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -24.33 EUR/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4.45 EUR/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.60 EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4.15 EUR/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -77.94
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Closed positions EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
0.00 0.00 0.00 0.00
1.58 -0.60 -0.38 0.02
0.00
Cash at bank 69 919.20 1.06 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 38 915.34 0.59 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 8 590 10 382.32 0.15 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 3 758 398.36 0.01 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 1 527 1 021.41 0.02 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 3 461 401.26 0.01 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 97 545 853.70 0.01 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 581 402.55 0.01 New Zealand dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 639 408.40 0.01 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 2 522 1 683.46 0.03 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 17 178 15 452.40 0.22 Other assets 47 684.74 0.72 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 752.40 0.51 Receivables from exceeding the expense cap. . . . . . . . . . . . . 11 971.63 0.18 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 960.71 0.03 Total assets * 6 603 635.27 100.10 Other liabilities -6 745.64 -0.10 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -6 745.64 -0.10 Total liabilities -6 876.25 -0.10 Net assets 6 596 759.02 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
286
Deutsche Invest I Real Assets Income Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Class LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Class LDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Class XD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR Class USD LD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD Class USD XD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD Number of shares outstanding Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class LDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class XD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class USD LD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Class USD XD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count
Net asset value per share in the respective currency
104.69 105.51 102.31 105.59 106.53 107.29 47 500 100 100 100 159 16 344
Composition of the reference portfolio (according to CSSF circular 11/512) 50% Dow Jones Brookfield Global Infrastructure Index in EUR, 50% FTSE EPRA/NAREIT Developed Index in EUR Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 94.236 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 101.162 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 97.439 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations Contracting party for currency futures State Street Bank and Trust Company Exchange rates (indirect quotes) Australian dollar. . . . . . . . . . . . . . . . . . Canadian dollar . . . . . . . . . . . . . . . . . . British pound . . . . . . . . . . . . . . . . . . . Hong Kong dollar . . . . . . . . . . . . . . . . Japanese yen . . . . . . . . . . . . . . . . . . . New Zealand dollar. . . . . . . . . . . . . . . Swedish krona. . . . . . . . . . . . . . . . . . . Singapore dollar . . . . . . . . . . . . . . . . . U.S. dollar . . . . . . . . . . . . . . . . . . . . . .
AUD CAD GBP HKD JPY NZD SEK SGD USD
As of: June 30, 2016
1.494856 = EUR 1.443366 = EUR 0.827335 = EUR 8.625178 = EUR 114.260909 = EUR 1.564381 = EUR 9.432959 = EUR 1.498170 = EUR 1.111650 = EUR
1 1 1 1 1 1 1 1 1
Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnote * Does not include positions with a negative balance, if such exist.
287
Deutsche Invest I Real Assets Income 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
Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown)
Count/ Purchases/ Sales/ Description units/ Futures contracts additions disposals currency
Currency futures (short)
Securities traded on an exchange Equities Alexander‘s, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . Alexandria Real Estate Equities, Inc.. . . . . . . . . . . American Water Works Co., Inc.. . . . . . . . . . . . . . Atlantia SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Beijing Enterprises Holdings Ltd. . . . . . . . . . . . . . British Land Co., Plc . . . . . . . . . . . . . . . . . . . . . . . Brixmor Property Group, Inc. . . . . . . . . . . . . . . . . Canadian Apartment Properties Reit. . . . . . . . . . . Cofinimmo SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . Columbia Pipeline Group Inc. . . . . . . . . . . . . . . . . CyrusOne, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Enbridge, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Equinix, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Essex Property Trust, Inc.. . . . . . . . . . . . . . . . . . . Ferrovial SA -Rights Exp 17Jun16. . . . . . . . . . . . . Gecina SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GPT Group. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HCP, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Hong Kong & China Gas Co., Ltd. . . . . . . . . . . . . Hospitality Properties Trust. . . . . . . . . . . . . . . . . . Host Hotels & Resorts, Inc. . . . . . . . . . . . . . . . . . ITC Holdings Corp. . . . . . . . . . . . . . . . . . . . . . . . . Japan Real Estate Investment Corp.. . . . . . . . . . . Japan Retail Fund Investment Corp.. . . . . . . . . . . Kilroy Realty Corp.. . . . . . . . . . . . . . . . . . . . . . . . . Koninklijke Vopak NV. . . . . . . . . . . . . . . . . . . . . . . LEG Immobilien AG . . . . . . . . . . . . . . . . . . . . . . . Mapletree Logistics Trust. . . . . . . . . . . . . . . . . . . National Retail Properties, Inc. . . . . . . . . . . . . . . . Paramount Group, Inc. . . . . . . . . . . . . . . . . . . . . . Pebblebrook Hotel Trust. . . . . . . . . . . . . . . . . . . . Post Properties, Inc. . . . . . . . . . . . . . . . . . . . . . . . Prologis, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . RioCan Real Estate Investment Trust. . . . . . . . . . Segro Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . St Modwen Properties Plc . . . . . . . . . . . . . . . . . . Sydney Airport. . . . . . . . . . . . . . . . . . . . . . . . . . . . Taubman Centers, Inc. . . . . . . . . . . . . . . . . . . . . . The Macerich Co. . . . . . . . . . . . . . . . . . . . . . . . . . Tokyo Tatemono Co., Ltd. . . . . . . . . . . . . . . . . . . Union Pacific Corp. . . . . . . . . . . . . . . . . . . . . . . . . Veresen Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Weingarten Realty Investors. . . . . . . . . . . . . . . . . Welltower Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Wereldhave NV. . . . . . . . . . . . . . . . . . . . . . . . . . . Westar Energy, Inc. . . . . . . . . . . . . . . . . . . . . . . .
288
Value (’000)
Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count Count
98 184 80 2 808 1 800 24 5 524 2 6 770 8 421 1 090 97 241 4 1 10 1 469 5 466 432 24 395 464 3 900 1 299 45 31 338 302
1 4 17 3 2 3 2 1 9 6 18 2 48 3 5 2
1 69 1 5 2 1 1 1 5 6 24 7 1 8 2 1 1 1
258 828 046 764 162 605 808 404 410 532 059 411 109 319 770 357 727 413 362 064 537 357 12 31 957 949 468 056 469 466 666 065 612 357 602 853 395 507 464 584 299 230 043 388 639 050
Futures contracts to sell currencies EUR/AUD EUR EUR/CAD EUR EUR/GBP EUR EUR/HKD EUR EUR/JPY EUR EUR/SGD EUR EUR/USD EUR Currency futures (long) Futures contracts to purchase currencies AUD/EUR EUR CAD/EUR EUR GBP/EUR EUR HKD/EUR EUR JPY/EUR EUR SGD/EUR EUR USD/EUR EUR
4 5 4 1 3 1 26
5 6 4 2 3 1 31
Deutsche Invest I Senior Secured High Yield Corporates Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 58 820 263.78 Interest-bearing securities 5.625 % 3AB Optique Developpement SAS -Reg2014/2019 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 750 000 150 000 % 99.388 745 410.00 7.875 % Adria Bidco BV 2013/2020 . . . . . . . . . . . . . . . . . . . . EUR 400 000 % 105.53 422 120.00 6.50 % Altice Financing SA -Reg- 2013/2022. . . . . . . . . . . . EUR 200 000 % 105.584 211 168.00 4.125 % Ardagh Packaging Finance Plc Via Ardagh Holdings USA, Inc. -Reg- 2016/2023. . . . . . . . . . . . . EUR 320 000 320 000 % 101.855 325 936.00 6.50 % Autodis SA (MTN) 2014/2019 ** . . . . . . . . . . . . . . . EUR 630 000 40 000 % 102.829 647 822.70 5.875 % BiSoho SAS -Reg- 2016/2023. . . . . . . . . . . . . . . . . . EUR 160 000 160 000 % 103.28 165 248.00 4.375 % Boparan Finance Plc (MTN) -Reg- 2014/2021. . . . . . EUR 450 000 % 92.477 416 146.50 10.00 % Bormioli Rocco Holdings SA -Reg- 2011/2018. . . . . EUR 350 000 150 000 % 102.062 357 217.00 7.375 % BUT SAS -Reg- 2014/2019 . . . . . . . . . . . . . . . . . . . . EUR 630 000 % 104.106 655 867.80 7.50 % Cable Communications Systems NV -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 900 000 % 105.199 946 791.00 4.625 % Cemex Finance LLC -Reg- 2016/2024 . . . . . . . . . . . EUR 620 000 620 000 % 98.38 609 956.00 7.00 % Cerba European Lab SAS -Reg- 2013/2020 . . . . . . . EUR 150 000 % 104.146 156 219.00 4.122 % Dry Mix Solutions Investissements SAS -Reg2014/2021 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 600 000 600 000 % 99.019 594 114.00 5.125 % EC Finance PLC 2014/2021. . . . . . . . . . . . . . . . . . . . EUR 550 000 150 000 % 104.437 574 403.50 4.50 % eircom Finance DAC -Reg- 2016/2022. . . . . . . . . . . EUR 1 000 000 1 000 000 % 99.411 994 110.00 5.372 % Empark Funding SA -Reg- 2013/2019 * . . . . . . . . . . EUR 400 000 % 100.559 402 236.00 6.25 % Ephios BondCo 2015/2022. . . . . . . . . . . . . . . . . . . . EUR 685 000 % 105.843 725 024.55 9.00 % FTE Verwaltungs GmbH 2013/2020. . . . . . . . . . . . . EUR 500 000 % 105.703 528 515.00 4.622 % Galapagos SA -Reg- 2014/2021 *. . . . . . . . . . . . . . . EUR 450 000 % 93.361 420 124.50 7.25 % Gamenet SpA -Reg- 2013/2018 . . . . . . . . . . . . . . . . EUR 500 000 125 000 % 101.552 507 760.00 7.50 % Garfunkelux Holdco 3 SA 2015/2022 . . . . . . . . . . . . EUR 700 000 200 000 % 98.275 687 925.00 3.50 % Gestamp Funding Luxembourg SA -Reg2016/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 340 000 340 000 % 102.215 347 531.00 3.75 % GOODYEAR DUNLOP Tires 2015/2023. . . . . . . . . . EUR 410 000 300 000 % 103.848 425 776.80 5.125 % Grupo Antolin Dutch BV 2015/2022. . . . . . . . . . . . . EUR 850 000 % 104.593 889 040.50 5.294 % Guala Closures SpA 2012/2019 * ** . . . . . . . . . . . . EUR 200 000 % 100.252 200 504.00 3.50 % Hanesbrands Finance Luxembourg SCA -Reg2016/2024. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 690 000 690 000 % 101.259 698 687.10 6.75 % Holdikks SAS -Reg- 2014/2021. . . . . . . . . . . . . . . . . EUR 250 000 250 000 % 95.865 239 662.50 7.00 % Holding Medi-Partenaires SAS -Reg- 2013/2020. . . EUR 580 000 % 104.723 607 393.40 6.875 % HomeVi SAS -Reg- 2014/2021 . . . . . . . . . . . . . . . . . EUR 920 000 % 106.251 977 509.20 7.50 % HP Pelzer Holding GmbH (MTN) -Reg- 2014/2021. . EUR 840 000 % 105.511 886 292.40 5.451 % Hydra Dutch Holdings 2BV -Reg- 2014/2019 *. . . . . EUR 129 000 % 100 129 000.00 8.00 % Hydra Dutch Holdings 2BV -Reg- 2015/2019 . . . . . . EUR 602 826 117 281 % 108.091 651 600.27 4.00 % Ineos Finance PLC 2015/2023 **. . . . . . . . . . . . . . . EUR 650 000 650 000 % 96.176 625 144.00 6.00 % InterXion Holding NV 2013/2020. . . . . . . . . . . . . . . . EUR 620 000 100 000 % 105.126 651 781.20 5.419 % Lecta SA 2012/2018 **. . . . . . . . . . . . . . . . . . . . . . . EUR 180 000 % 98.861 177 949.80 8.875 % Lecta SA -Reg- (MTN) 2012/2019. . . . . . . . . . . . . . . EUR 400 000 400 000 % 103.685 414 740.00 6.875 % Lincoln Finance Ltd 2016/2021. . . . . . . . . . . . . . . . . EUR 840 000 840 000 % 107.315 901 446.00 7.00 % Lock AS -Reg- 2014/2021. . . . . . . . . . . . . . . . . . . . . EUR 500 000 100 000 % 102.007 510 035.00 4.875 % Loxam SAS -Reg- 2014/2021 . . . . . . . . . . . . . . . . . . EUR 695 000 % 104.216 724 301.20 3.50 % Loxam SAS -Reg- 2016/2023 . . . . . . . . . . . . . . . . . . EUR 290 000 290 000 % 101.297 293 761.30 7.75 % LSF9 Balta Issuer SA 2015/2022 . . . . . . . . . . . . . . . EUR 530 000 % 105.94 561 482.00 8.50 % Manutencoop Facility Management SpA 2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 82.992 165 984.00 3.875 % Matterhorn Telecom SA -Reg- 2015/2022 . . . . . . . . EUR 1 250 000 250 000 135 000 % 96.766 1 209 575.00 6.875 % NH Hoteles SA -Reg- 2013/2019 . . . . . . . . . . . . . . . EUR 700 000 700 000 % 108.864 762 048.00 4.50 % Novafives SAS -Reg- 2014/2021. . . . . . . . . . . . . . . . EUR 270 000 % 89.886 242 692.20 5.625 % Numericable Group SA -Reg- 2014/2024 . . . . . . . . . EUR 400 000 400 000 % 101.04 404 160.00 7.75 % Onorato Armatori SpA -Reg- 2016/2023 ** . . . . . . . EUR 590 000 590 000 % 96.066 566 789.40 5.25 % Paprec Holding 2015/2022 **. . . . . . . . . . . . . . . . . . EUR 796 000 150 000 % 101.304 806 379.84 5.25 % Play Finance 2 SA -Reg- 2014/2019 **. . . . . . . . . . . EUR 695 000 % 102.672 713 570.40 4.432 % ProGroup AG 2015/2022. . . . . . . . . . . . . . . . . . . . . . EUR 500 000 % 100.381 501 905.00 5.125 % ProGroup AG -Reg- 2015/2022. . . . . . . . . . . . . . . . . EUR 450 000 % 105.637 475 366.50 8.50 % Rain CII Carbon LLC 2012/2021. . . . . . . . . . . . . . . . EUR 150 000 % 76.75 115 125.00 6.625 % Rapid Holding GmbH -Reg- 2015/2022. . . . . . . . . . . EUR 830 000 450 000 % 103.5 859 050.00 6.75 % RPG Byty Sro -Reg- 2013/2020. . . . . . . . . . . . . . . . . EUR 400 000 % 103.357 413 428.00 8.25 % Safari Holding Verwaltungs GmbH -Reg2014/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 540 000 200 000 % 105.664 570 585.60 4.125 % Samvardhana Motherson Automotive Systems Group BV -Reg- 2014/2021. . . . . . . . . . . . . . . . . . . . EUR 750 000 % 100.747 755 602.50 3.375 % Sappi Papier Holding GmbH 2015/2022 **. . . . . . . . EUR 950 000 450 000 % 101.123 960 668.50 3.25 % Schaeffler Finance BV 2015/2025. . . . . . . . . . . . . . . EUR 825 000 % 102.667 847 002.75 9.875 % Schmolz + Bickenbach Luxembourg SA -Reg2012/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 424 144 % 100.669 426 982.03 5.625 % SGD Group SAS -Reg- 2014/2019. . . . . . . . . . . . . . . EUR 400 000 200 000 % 102.461 409 844.00 7.50 % Silk Bidco AS -Reg- 2015/2022. . . . . . . . . . . . . . . . . EUR 855 000 300 000 % 101.868 870 971.40 2.875 % SPCM SA -Reg- 2015/2023. . . . . . . . . . . . . . . . . . . . EUR 750 000 750 000 % 96.37 722 775.00 6.125 % Techem GmbH 2012/2019. . . . . . . . . . . . . . . . . . . . EUR 200 000 % 104.251 208 502.00 3.625 % Telecom Italia SpA/Milano (MTN) 2016/2026. . . . . . EUR 440 000 440 000 % 103.367 454 814.80 7.375 % THOM Europe SAS -Reg- 2014/2019. . . . . . . . . . . . EUR 480 000 % 104.828 503 174.40 5.262 % TMF Group Holding BV 2012/2018 * . . . . . . . . . . . . EUR 180 000 % 100.385 180 693.00 5.00 % Trionista HoldCo GmbH 2013/2020 . . . . . . . . . . . . . EUR 500 000 % 102.806 514 030.00 4.625 % Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH 2015/2026. . . . . . . . . . . . . EUR 1 150 000 1 150 000 % 103.642 1 191 883.00 6.00 % Verisure Holding AB 2015/2022 . . . . . . . . . . . . . . . . EUR 500 000 % 106.819 534 095.00
% of net assets
72.06
0.91 0.52 0.26 0.40 0.79 0.20 0.51 0.44 0.80 1.16 0.75 0.19 0.73 0.70 1.22 0.49 0.89 0.65 0.51 0.62 0.84 0.43 0.52 1.09 0.25 0.86 0.29 0.74 1.20 1.09 0.16 0.80 0.77 0.80 0.22 0.51 1.10 0.62 0.89 0.36 0.69 0.20 1.48 0.93 0.30 0.49 0.69 0.99 0.87 0.61 0.58 0.14 1.05 0.51 0.70 0.93 1.18 1.04 0.52 0.50 1.07 0.89 0.25 0.56 0.62 0.22 0.63 1.46 0.65
289
Deutsche Invest I Senior Secured High Yield Corporates Description
.50 7 6.625 4.00 3.75 8.875 7.875 5.50 7.00 7.00 9.50 6.75 7.00 6.50 6.625 5.125 .50 7 7.50 6.625 7.00 6.375 6.00 5.125 5.125 6.75 6.50 .75 3 4.25 5.625 6.875 6.375 .25 6 4.875 6.25 .625 4 5.50
% % % % % % % % % % % % % % %
Viridian Group FundCo II Ltd -Reg- 2015/2020. . . . . Vivacom 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . Wind Acquisition Finance SA -Reg- 2014/2020. . . . . Ziggo Secured Finance BV 2015/2025 . . . . . . . . . . . Zinc Capital SA (MTN) 2011/2018. . . . . . . . . . . . . . . Zobele Holding SpA -Reg- 2013/2018. . . . . . . . . . . . Boparan Finance Plc -Reg- 2014/2021 . . . . . . . . . . . GHD Bondco Plc -Reg- 2014/2020. . . . . . . . . . . . . . Infinis Plc -Reg- 2013/2019. . . . . . . . . . . . . . . . . . . . Keystone Financing 2014/2019. . . . . . . . . . . . . . . . . MEIF Renewable Energy UK Plc -Reg- 2015/2020. . Mizzen Bondco 2014/2021. . . . . . . . . . . . . . . . . . . . New Look Secured Issuer 2015/2022. . . . . . . . . . . . Twinkle Pizza Plc -Reg- 2014/2021. . . . . . . . . . . . . . Virgin Media Secured Finance Plc (MTN) -Reg2015/2025. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . % AK Steel Corp. 2016/2023. . . . . . . . . . . . . . . . . . . . . % Altice Financing SA 144A 2016/2026. . . . . . . . . . . . % Altice Financing SA 2015/2023. . . . . . . . . . . . . . . . . % AmeriGas Finance LLC 2012/2022. . . . . . . . . . . . . . % APX Group, Inc. 2013/2019. . . . . . . . . . . . . . . . . . . . % Berry Plastics Corp. 2016/2022. . . . . . . . . . . . . . . . . % CHS/Community Health Systems, Inc. 2014/2021. . % Community Health Systems, Inc. 2012/2018 . . . . . % CSC Holdings LLC 2011/2021. . . . . . . . . . . . . . . . . . % Fresenius Medical Care US Finance, Inc. 144A 2011/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . % HCA, Inc. 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . % HCA, Inc. 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . % International Game Technology PLC 2015/2020. . . . % MPT Operating Partnership LP 2011/2021. . . . . . . . % MPT Operating Partnership LP Via MPT Finance Corp. 2016/2024 . . . . . . . . . . . . . . . . . . . . . % Numericable Group SA 2014/2024. . . . . . . . . . . . . . % Samvardhana Motherson Automotive Systems Group BV 2016/2021. . . . . . . . . . . . . . . . . % Tenet Healthcare Corp. 2011/2018. . . . . . . . . . . . . . % United Rentals North America, Inc. 2015/2023 . . . . % Unitymedia Hessen GmbH & Co. KG 144A 2012/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
EUR EUR EUR EUR EUR EUR GBP GBP GBP GBP GBP GBP GBP GBP
560 850 1 200 950 650 200 250 500 500 690 351 378 600 500
000 100 000 000 000 1 200 000 000 000 150 000 000 000 000 200 000 000 200 000 000 000 90 000 800 000 100 000 000 250 000
% % % % % % % % % % % % % %
103.969 101.989 99.084 97.979 100.101 101.605 88.087 94.782 100.5 101.728 100.606 95.819 92.274 94.238
582 866 1 189 930 650 203 266 572 607 848 426 438 669 569
226.40 906.50 008.00 800.50 656.50 210.00 176.86 814.96 371.69 414.48 824.63 712.57 189.43 527.29
0.71 1.06 1.46 1.14 0.80 0.25 0.33 0.70 0.74 1.04 0.52 0.54 0.82 0.70
GBP USD USD USD USD USD USD USD USD USD
1 500 300 510 350 7 990 610 755 71 412
000 700 000 000 300 000 000 510 000 000 350 000 000 000 000 610 000 000 000 279 000 000 400 000
% % % % % % % % % %
98.042 102.125 97.375 97.875 105.875 98.081 103.125 98.875 101.513 101.625
1 777 275 446 308 6 873 565 671 64 376
550.29 603.92 734.73 156.89 666.89 478.35 881.98 530.15 835.38 642.95
2.18 0.34 0.55 0.38 0.01 1.07 0.69 0.82 0.08 0.46
USD USD USD USD USD
7 900 550 800 330
000 000 000 000 000 200 000
% % % % %
108 103.688 104.224 105.5 103.562
6 839 515 759 307
800.70 461.88 661.34 232.02 431.62
0.01 1.03 0.63 0.93 0.38
USD USD
400 000 400 000 650 000
% %
106.511 93.875
383 253.84 548 902.71
0.47 0.67
USD USD USD
200 000 200 000 1 250 000 250 000 655 000 250 000
% % %
100.65 105.964 100.812
181 082.23 1 191 523.12 594 001.79
0.22 1.46 0.73
USD
1 000 000
%
100.998
908 541.65
1.11
250 000
400 000
Securities admitted to or included in organized markets 16 526 529.75 20.24 Interest-bearing securities 7.375 % Interoute Finco 2015/2020 . . . . . . . . . . . . . . . . . . . . EUR 580 000 200 000 % 106.451 617 415.80 0.76 4.875 % Telenet Finance VI 2015/2027. . . . . . . . . . . . . . . . . . EUR 2 000 000 1 000 000 250 000 % 102.058 2 041 160.00 2.50 7.75 % Cognita Financing Plc 2015/2021 . . . . . . . . . . . . . . . GBP 650 000 360 000 % 102.003 801 391.58 0.98 5.50 % Altice US Finance I Corp. 144A 2016/2026. . . . . . . . USD 200 000 200 000 % 100 179 912.80 0.22 7.875 % APX Group, Inc. 144A 2016/2022. . . . . . . . . . . . . . . USD 500 000 500 000 % 100.875 453 717.59 0.55 6.00 % Calpine Corp 2013/2022. . . . . . . . . . . . . . . . . . . . . . USD 850 000 % 105 802 860.87 0.98 6.875 % Carlson Wagonlit BV 144A 2012/2019. . . . . . . . . . . USD 750 000 400 000 % 102.75 693 226.51 0.85 4.375 % CommScope, Inc. 2015/2020. . . . . . . . . . . . . . . . . . USD 50 000 % 103.25 46 439.99 0.06 7.875 % Constellium NV 144A 2016/2021 **. . . . . . . . . . . . . USD 850 000 850 000 % 103.125 788 524.07 0.97 5.625 % Denali Borrower LLC 144A 2013/2020. . . . . . . . . . . USD 80 000 % 104.75 75 383.46 0.09 3.48 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2019 . . . . . . . . . . . . . . . . . . . . . . . USD 490 000 490 000 % 102.192 450 448.40 0.55 5.00 % First Data Corp. 2015/2024. . . . . . . . . . . . . . . . . . . . USD 750 000 250 000 % 99.75 672 986.32 0.82 4.50 % Fresenius US Finance II Inc 2015/2023 . . . . . . . . . . USD 780 000 700 000 % 102.5 719 201.42 0.88 6.50 % Hughes Satellite Systems Corp. 2012/2019. . . . . . . USD 770 000 % 107.5 744 614.10 0.91 7.50 % Micron Technology, Inc. 144A 2016/2023 . . . . . . . . USD 430 000 430 000 % 106.494 411 934.06 0.50 6.00 % National CineMedia LLC 2012/2022. . . . . . . . . . . . . USD 50 000 % 103.875 46 721.11 0.06 3.125 % QVC, Inc. 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . USD 750 000 500 000 % 102.5 691 539.82 0.85 6.875 % Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu 2012/2021. . . . . . . USD 700 000 200 000 % 103.288 650 399.16 0.80 5.125 % Reynolds Group Issuer, Inc. Via Reynolds Group Issuer LLC Via Reynolds Group Issuer Luxemburg 144A 2016/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 80 000 80 000 % 100.625 72 414.90 0.09 5.875 % Sabine Pass Liquefaction LLC 144A 2016/2026. . . . USD 630 000 630 000 % 100 566 725.32 0.69 5.25 % Sabre GLBL Inc 2015/2023. . . . . . . . . . . . . . . . . . . . USD 700 000 600 000 % 101.875 641 501.58 0.79 4.875 % Smurfit Kappa Acquisitions 144A 2012/2018. . . . . . USD 800 000 % 104.188 749 786.59 0.92 9.00 % Sprint Communications, Inc. 2011/2018. . . . . . . . . . USD 650 000 250 000 % 106.562 623 088.63 0.76 6.875 % Titan International, Inc. 2014/2020. . . . . . . . . . . . . . USD 70 000 % 85.812 54 035.69 0.07 8.375 % United States Steel Corp. 144A 2016/2021 . . . . . . . USD 300 000 300 000 % 104.875 283 025.32 0.35 5.125 % Univision Communications, Inc. 2013/2023. . . . . . . USD 1 100 000 % 99.5 984 572.80 1.21 5.375 % UPCB Finance IV Ltd 144A 2015/2025. . . . . . . . . . . USD 1 000 000 250 000 % 99 890 568.36 1.09 4.75 % West Corp. 144A 2016/2021. . . . . . . . . . . . . . . . . . . USD 340 000 340 000 % 99.5 304 322.50 0.37 7.375 % Western Digital, Corp. 144A 2016/2023. . . . . . . . . . USD 490 000 490 000 % 106.312 468 611.00 0.57 Unlisted securities 527 973.64
290
0.65
Deutsche Invest I Senior Secured High Yield Corporates Description
Interest-bearing securities 6.875 % Entertainment One Ltd 2015/2022. . . . . . . . . . . . . .
Count/ units/ currency
GBP
Quantity/ principal amount
430 000
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
150 000
%
101.584
Total market value in EUR
% of net assets
527 973.64
Total securities portfolio 75 874 767.17 Derivatives (Minus signs denote short positions) Currency derivatives -340 731.87 Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 6.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 195 972.90 EUR/USD 26.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -536 959.62 Closed positions EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161.21 EUR/USD 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93.64 Cash at bank 5 999 077.09 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 254 996.03 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 7 716 9 326.92 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 150 284 1 034 754.14 Time deposits EUR deposits (Norddeutsche Landesbank 0.01% 01/07/2016). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 700 000 3 700 000.00
0.65 92.95
-0.42
0.24 -0.66 0.00 0.00 7.35 1.54
0.01
1.27
4.53
Other assets 1 263 184.98 1.55 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 253 061.56 1.54 Receivables from exceeding the expense cap. . . . . . . . . . . . . 10 123.42 0.01 Receivables from share certificate transactions 103.70 0.00 Total assets *** 83 333 360.69 102.09 Other liabilities -1 166 870.16 -1.43 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 166 870.16 -1.43 Total liabilities -1 703 829.78 -2.09 Net assets 81 629 530.91 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105.35 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104.16 Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.31 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103.99 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 48 600 Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 741 995 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 333 Composition of the reference portfolio (according to CSSF circular 11/512) Merrill - BB-B Global Non-Financial High Yield Constrained Index Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 31.713 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 48.643 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 39.373
291
Deutsche Invest I Senior Secured High Yield Corporates The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.4, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 31 526 860.84 as of the reporting date. Market abbreviations
Contracting parties for currency futures BNP Paribas SA, Crédit Suisse London Branch (GFX), Deutsche Bank AG Frankfurt, Merrill Lynch International, Morgan Stanley and Co. International PLC, Nomura International PLC and Westpac Banking Corporation
Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
5.625 6.50 5.294 4.00 5.419 7.75 5.25 5.25 3.375 7.875
EUR EUR EUR EUR EUR EUR EUR EUR EUR USD
% % % % % % % % % %
3AB Optique Developpement SAS -Reg- 2014/2019 Autodis SA (MTN) 2014/2019 Guala Closures SpA 2012/2019 * Ineos Finance PLC 2015/2023 Lecta SA 2012/2018 Onorato Armatori SpA -Reg- 2016/2023 Paprec Holding 2015/2022 Play Finance 2 SA -Reg- 2014/2019 Sappi Papier Holding GmbH 2015/2022 Constellium NV 144A 2016/2021
500 700 100 600 100 500 700 500 500 800
000 000 000 000 000 000 000 000 000 000
Securities loans Total market value in USD Perpetual
496 719 100 577 98 480 709 513 505 742
Total
940.00 803.00 252.00 056.00 861.00 330.00 128.00 360.00 615.00 140.30
Total receivables from securities loans 4 943 485.30 4 943 485.30 Contracting parties for securities loans Barclays Capital Securities Limited, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, Unicredit Bank AG Total collateral pledged by third parties for securities loans EUR 6 640 425.59 thereof: Bonds EUR 6 034 639.21 Equities EUR 605 786.38 Exchange rates (indirect quotes) British pound . . . . . . . . . . . . . . . . . . . GBP U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD
As of: June 30, 2016
0.827335 = EUR 1.111650 = EUR
1 1
Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Floating interest rate. ** Some or all of these securities are lent. *** Does not include positions with a negative balance, if such exist.
292
Deutsche Invest I Senior Secured High Yield Corporates 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
Securities traded on an exchange Interest-bearing securities 6.375 % Cerved Group SpA (MTN) -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . . 7.00 % Financiere Gaillon 8 SAS -Reg(MTN) 2014/2019 . . . . . . . . . . . . . . . . 5.875 % Gestamp Funding Luxembourg SA -Reg- 2013/2020. . . . . . . . . . . . . . . . . 6.75 % Goodyear Dunlop Tires Europe BV -Reg- 2011/2019. . . . . . . . . . . . . . . . . 6.00 % InterXion Holding NV 2016/2020. . . . . 9.00 % Magnolia BC SA (MTN) -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . . 6.50 % WEPA Hygieneprodukte GmbH -Reg- 2013/2020. . . . . . . . . . . . . . . . . 7.00 % Priory Group No 3 Plc -Reg2011/2018. . . . . . . . . . . . . . . . . . . . . . 7.875 % Altice Financing SA 2012/2019. . . . . . 5.625 % Gestamp Funding Luxembourg SA 144A 2013/2020. . . . . . . . . . . . . . . . . 4.875 % Numericable Group SA 2014/2019. . .
options
Value (’000) Futures contracts Currency futures (short)
EUR
100 000
EUR
500 000
EUR
100 000
EUR EUR 100 000
300 000 100 000
EUR
115 000
EUR
400 000
400 000
GBP USD
122 441 800 000
USD USD 350 000
720 000 700 000
Futures contracts to sell currencies EUR/GBP EUR EUR/USD EUR Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR USD/EUR EUR
8 082 21 528
1 083 3 232
Securities admitted to or included in organized markets Interest-bearing securities 7.875 % Aguila 3 SA 144A 2011/2018 . . . . . . . 6.00 % Berry Plastics Corp. 2015/2022. . . . . . 5.00 % Freescale Semiconductor Inc 2013/2021. . . . . . . . . . . . . . . . . . . . . . 4.875 % HJ Heinz Co.144A 2015/2025. . . . . . .
USD USD 200 000
700 000 610 000
USD USD
1 350 000 108 000
293
Deutsche Invest I Short Duration Credit Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 321 543 244.59 Interest-bearing securities 1.75 % 2i Rete Gas SpA (MTN) 2014/2019. . . . . . . . . . . . . . EUR 2 069 000 170 000 530 000 % 105.054 2 173 567.26 3.75 % ACEA SpA 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . EUR 2 098 000 140 000 560 000 % 108.102 2 267 979.96 0.125 % Air Liquide Finance SA (MTN) 2016/2020. . . . . . . . . EUR 1 200 000 1 200 000 % 100.515 1 206 180.00 0.425 % Alfa Laval Treasury International AB (MTN) 2014/2019 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 570 000 230 000 380 000 % 99.489 1 561 977.30 3.25 % Alliander NV 2013/2049 *. . . . . . . . . . . . . . . . . . . . . EUR 1 630 000 240 000 390 000 % 105 1 711 500.00 0.00 % Allianz Finance II BV (MTN) 2016/2020. . . . . . . . . . . EUR 1 600 000 1 600 000 % 99.892 1 598 272.00 4.125 % Allied Irish Banks PLC 2015/2025*. . . . . . . . . . . . . . EUR 1 290 000 210 000 330 000 % 93.326 1 203 905.40 5.125 % America Movil SAB de CV 2013/2073 *. . . . . . . . . . EUR 2 063 000 300 000 260 000 % 105.319 2 172 730.97 1.75 % Anglo American Capital Plc (MTN) 2014/2018 . . . . . EUR 1 679 000 250 000 210 000 % 99.096 1 663 821.84 0.249 % Anheuser-Busch InBev NV (MTN) 2014/2018 *. . . . EUR 1 450 000 420 000 % 100.177 1 452 566.50 0.625 % Anheuser-Busch InBev SA/NV (MTN) 2016/2020. . . EUR 5 360 000 5 360 000 % 101.888 5 461 196.80 1.75 % AP Moeller - Maersk A/S (MTN) 2016/2021. . . . . . . EUR 1 640 000 1 640 000 % 104.546 1 714 554.40 0.25 % AstraZeneca Plc (MTN) 2016/2021. . . . . . . . . . . . . . EUR 1 910 000 1 910 000 % 100.356 1 916 799.60 6.50 % Autodis SA (MTN) 2014/2019 ** . . . . . . . . . . . . . . . EUR 450 000 250 000 % 102.829 462 730.50 4.50 % Banco Bilbao Vizcaya Argentaria SA 2007/2022 * . . EUR 1 350 000 200 000 250 000 % 100.645 1 358 707.50 3.75 % Banco do Brasil SA (MTN) -Reg- 2013/2018. . . . . . . EUR 1 160 000 500 000 200 000 % 100.45 1 165 220.00 1.625 % Banque Federative du Credit Mutuel SA (MTN) 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 100 000 100 000 300 000 % 102.58 1 128 380.00 6.00 % Barry Callebaut Services NV 2007/2017. . . . . . . . . . EUR 770 000 50 000 200 000 % 105.761 814 359.70 0.375 % BAT International Finance Plc (MTN) 2015/2019 . . . EUR 3 350 000 500 000 810 000 % 100.752 3 375 192.00 2.375 % BBVA Senior Finance SAU (MTN) 2014/2019. . . . . . EUR 1 500 000 200 000 400 000 % 105.219 1 578 285.00 3.50 % BBVA Sub Capital Unipers -Reg- 2014/2024 *. . . . . EUR 900 000 200 000 200 000 % 101.976 917 784.00 1.125 % Belfius Bank SA/NV (MTN) 2014/2017. . . . . . . . . . . EUR 1 300 000 400 000 % 101.042 1 313 546.00 0.50 % Berkshire Hathaway, Inc. 2016/2020 . . . . . . . . . . . . EUR 100 000 100 000 % 101.012 101 012.00 0.50 % Berkshire Hathaway, Inc. 2016/2020 . . . . . . . . . . . . EUR 1 140 000 1 140 000 % 101.012 1 151 536.80 6.50 % BG Energy Capital Plc 2012/2072 * . . . . . . . . . . . . . EUR 1 103 000 200 000 310 000 % 107.549 1 186 265.47 4.00 % Bharti Airtel International Netherlands BV 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 916 000 590 000 490 000 % 107.306 4 202 102.96 5.019 % BNP Paribas SA 2008/2049 *. . . . . . . . . . . . . . . . . . EUR 1 000 000 150 000 200 000 % 102.611 1 026 110.00 3.625 % Bord Gais Eireann 2012/2017. . . . . . . . . . . . . . . . . . EUR 2 510 000 720 000 % 105.15 2 639 265.00 4.625 % Brambles Finance Plc 2011/2018. . . . . . . . . . . . . . . EUR 2 021 000 170 000 510 000 % 108.034 2 183 367.14 1.125 % British Telecommunications Plc 2014/2019 . . . . . . . EUR 1 894 000 130 000 500 000 % 102.847 1 947 922.18 2.625 % Carlsberg Breweries A/S (MTN) 2012/2019. . . . . . . EUR 1 521 000 230 000 380 000 % 107.35 1 632 793.50 1.125 % Carnival Corp 2015/2019. . . . . . . . . . . . . . . . . . . . . . EUR 1 500 000 230 000 370 000 % 102.251 1 533 765.00 1.875 % Carrefour SA 2012/2017. . . . . . . . . . . . . . . . . . . . . . EUR 1 650 000 460 000 % 102.825 1 696 612.50 4.379 % Casino Guichard Perrachon SA (MTN) 2010/2017 . . EUR 2 050 000 750 000 350 000 % 102.348 2 098 134.00 4.481 % Casino Guichard Perrachon SA (MTN) 2010/2018 . . EUR 1 850 000 700 000 350 000 % 110.232 2 039 292.00 4.625 % Cemex Finance LLC -Reg- 2016/2024 . . . . . . . . . . . EUR 450 000 450 000 % 98.38 442 710.00 3.00 % Centrica Plc 2015/2076 * . . . . . . . . . . . . . . . . . . . . . EUR 940 000 940 000 % 93.191 875 995.40 4.75 % Cie de St-Gobain (MTN) 2007/2017 . . . . . . . . . . . . . EUR 1 658 000 460 000 % 103.699 1 719 329.42 5.75 % Cirsa Funding Luxembourg SA -Reg- 2016/2021 . . . EUR 1 360 000 1 360 000 % 102.867 1 398 991.20 1.161 % Citigroup, Inc. (MTN) 2005/2017 *. . . . . . . . . . . . . . EUR 858 000 240 000 % 100.018 858 154.44 3.125 % Coca-Cola Enterprises, Inc. 2010/2017. . . . . . . . . . . EUR 1 682 000 480 000 % 103.923 1 747 984.86 0.00 % Coca-Cola European Partners Plc 2016/2017 *. . . . . EUR 3 500 000 3 500 000 % 100.108 3 503 780.00 3.625 % Commerzbank AG (MTN) 2012/2017 . . . . . . . . . . . . EUR 2 401 000 670 000 % 103.728 2 490 509.28 0.50 % Commerzbank AG (MTN) 2015/2018 . . . . . . . . . . . . EUR 1 397 000 400 000 % 100.81 1 408 315.70 0.50 % Daimler AG (MTN) 2016/2019. . . . . . . . . . . . . . . . . . EUR 2 580 000 2 840 000 260 000 % 101.587 2 620 944.60 0.25 % Daimler AG (MTN) 2016/2020. . . . . . . . . . . . . . . . . . EUR 3 565 000 3 565 000 % 100.667 3 588 778.55 0.50 % Danske Bank A/S (MTN) 2016/2021. . . . . . . . . . . . . EUR 1 105 000 1 105 000 % 101.05 1 116 602.50 0.75 % Danske Bank AS (MTN) 2015/2020 . . . . . . . . . . . . . EUR 2 140 000 310 000 510 000 % 102.303 2 189 284.20 4.25 % Delta Lloyd NV (MTN) 2010/2017. . . . . . . . . . . . . . . EUR 1 900 000 280 000 460 000 % 105.179 1 998 401.00 3.625 % Deutsche Bahn Finance BV (MTN) 2009/2017. . . . . EUR 434 000 434 000 % 105.019 455 782.46 1.125 % Deutsche Pfandbriefbank AG (MTN) 2016/2020. . . . EUR 2 935 000 2 935 000 % 101.99 2 993 406.50 0.375 % Deutsche Post AG (MTN) 2016/2021. . . . . . . . . . . . EUR 960 000 960 000 % 101.606 975 417.60 1.00 % DH Europe Finance SA 2015/2019. . . . . . . . . . . . . . EUR 1 735 000 490 000 % 102.779 1 783 215.65 3.00 % DNB Bank ASA (MTN) 2013/2023 *. . . . . . . . . . . . . EUR 1 641 000 240 000 400 000 % 103.573 1 699 632.93 4.875 % DONG Energy A/S (MTN) 2013/3013 *. . . . . . . . . . . EUR 2 784 000 410 000 670 000 % 105.323 2 932 192.32 5.75 % EDP Finance BV 2012/2017 . . . . . . . . . . . . . . . . . . . EUR 1 152 000 340 000 % 106.822 1 230 589.44 7.375 % EnBW Energie Baden-Wuerttemberg AG (MTN) 2011/2072 *. . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 573 000 230 000 200 000 % 104.148 1 638 248.04 3.625 % Enel Finance International NV 2012/2018. . . . . . . . . EUR 1 605 000 240 000 % 106.58 1 710 609.00 6.50 % Enel SpA 2013/2074 *. . . . . . . . . . . . . . . . . . . . . . . . EUR 1 101 000 200 000 200 000 % 108.273 1 192 085.73 3.25 % Energa Finance AB (MTN) 2013/2020. . . . . . . . . . . . EUR 1 360 000 110 000 200 000 % 108.322 1 473 179.20 4.375 % EP Energy AS-Reg- 2013/2018. . . . . . . . . . . . . . . . . EUR 1 670 000 600 000 230 000 % 104.971 1 753 015.70 4.125 % Eutelsat SA 2010/2017. . . . . . . . . . . . . . . . . . . . . . . EUR 850 000 250 000 % 102.969 875 236.50 1.125 % Eutelsat SA 2016/2021 **. . . . . . . . . . . . . . . . . . . . . EUR 2 700 000 2 700 000 % 100.816 2 722 032.00 4.875 % EWE AG 2004/2019 . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 812 000 550 000 350 000 % 115.37 2 090 504.40 0.50 % FedEx Corp. 2016/2020. . . . . . . . . . . . . . . . . . . . . . . EUR 1 160 000 1 160 000 % 100.78 1 169 048.00 7.75 % Fiat Finance & Trade SA (MTN) 2012/2016 . . . . . . . EUR 1 214 000 360 000 % 102.044 1 238 814.16 6.50 % FMC Finance VIII SA 2011/2018. . . . . . . . . . . . . . . . EUR 1 950 000 130 000 500 000 % 113.021 2 203 909.50 2.875 % G4S International Finance Plc 2012/2017. . . . . . . . . EUR 1 491 000 420 000 % 102.071 1 521 878.61 4.125 % Gas Natural Capital Markets SA (MTN) 2012/2017. . EUR 2 000 000 700 000 % 103.349 2 066 980.00 5.44 % Gazprom OAO Via Gaz Capital SA (MTN) -Reg- 2007/2017 **. . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 301 000 370 000 260 000 % 105.426 1 371 592.26 3.875 % GDF Suez 2013/2049 *. . . . . . . . . . . . . . . . . . . . . . . EUR 1 500 000 100 000 400 000 % 104.66 1 569 900.00 1.875 % General Motors Financial International BV (MTN) 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 604 000 110 000 420 000 % 104.027 1 668 593.08 5.625 % GlaxoSmithKline Capital Plc (MTN) 2007/2017. . . . . EUR 3 460 000 3 460 000 % 108.393 3 750 397.80 5.25 % Glencore Finance Europe SA (MTN) 2010/2017 **. EUR 2 950 000 200 000 400 000 % 103.304 3 047 468.00
294
% of net assets
84.82 0.57 0.60 0.32 0.41 0.45 0.42 0.32 0.57 0.44 0.38 1.44 0.45 0.51 0.12 0.36 0.31 0.30 0.21 0.89 0.42 0.24 0.35 0.03 0.30 0.31 1.11 0.27 0.70 0.58 0.51 0.43 0.40 0.45 0.55 0.54 0.12 0.23 0.45 0.37 0.23 0.46 0.92 0.66 0.37 0.69 0.95 0.29 0.58 0.53 0.12 0.79 0.26 0.47 0.45 0.77 0.32 0.43 0.45 0.31 0.39 0.46 0.23 0.72 0.55 0.31 0.33 0.58 0.40 0.55 0.36 0.41 0.44 0.99 0.80
Deutsche Invest I Short Duration Credit Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
.625 % Glencore Finance Europe SA (MTN) 2012/2018. . . . 4 0.75 % G oldman Sachs Group, Inc./The (MTN) 2016/2019 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.50 % HeidelbergCement Finance Luxembourg SA (MTN) 2011/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.00 % HeidelbergCement Finance Luxembourg SA 2009/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.65 % Honeywell International, Inc. 2016/2020. . . . . . . . . . 2.50 % Hutchison Whampoa Europe Finance 12 Ltd 2012/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.75 % Hutchison Whampoa Europe Finance 13 Ltd 2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.25 % Iberdrola International BV (MTN) 2012/2018. . . . . . . 5.75 % Iberdrola International BV (MTN) 2013/2049 *. . . . . 4.50 % Imperial Tobacco Finance Plc (MTN) 2011/2018. . . . 3.50 % ING Bank NV 2013/2023 * . . . . . . . . . . . . . . . . . . . . 4.00 % Intesa Sanpaolo SpA (MTN) 2012/2017 . . . . . . . . . . 0.998 % Intesa Sanpaolo SpA -Reg- 2014/2019 *. . . . . . . . . . 2.375 % IPIC GMTN Ltd 2012/2018. . . . . . . . . . . . . . . . . . . . 1.125 % ISS Global A/S (MTN) 2014/2020 . . . . . . . . . . . . . . . 4.375 % JPMorgan Chase Bank NA 2006/2021 *. . . . . . . . . . 2.375 % KBC Groep NV (MTN) 2014/2024 * . . . . . . . . . . . . . 1.00 % KBC Groep NV (MTN) 2016/2021. . . . . . . . . . . . . . . 5.625 % KBC Groep NV 2014/2049 *. . . . . . . . . . . . . . . . . . . 7.50 % Koninklijke KPN NV (MTN) 2009/2019 . . . . . . . . . . . 6.125 % Koninklijke KPN NV 2013/2049 * . . . . . . . . . . . . . . . 1.00 % LeasePlan Corp NV (MTN) 2016/2020 . . . . . . . . . . . 6.50 % Lloyds Bank Plc (MTN) 2010/2020. . . . . . . . . . . . . . 3.779 % Madrilena Red de Gas Finance BV (MTN) 2013/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.50 % McDonald‘s Corp. 2016/2021. . . . . . . . . . . . . . . . . . 0.75 % Merck Financial Services GmbH 2015/2019. . . . . . . 5.75 % Mondi Finance Plc (MTN) 2010/2017. . . . . . . . . . . . 2.25 % Morgan Stanley (MTN) 2013/2018 . . . . . . . . . . . . . . 6.307 % Natixis 2007/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . 1.125 % Nomura Europe Finance NV 2015/2020. . . . . . . . . . 6.75 % OMV AG (MTN) 2011/2049 *. . . . . . . . . . . . . . . . . . 0.60 % OMV AG (MTN) 2014/2018. . . . . . . . . . . . . . . . . . . . 1.875 % Orange SA (MTN) 2013/2018. . . . . . . . . . . . . . . . . . 7.875 % Origin Energy Finance Ltd (MTN) 2011/2071 * . . . . 2.875 % Origin Energy Finance Ltd 2012/2019. . . . . . . . . . . . 5.00 % Pernod Ricard SA 2011/2017 . . . . . . . . . . . . . . . . . . 5.50 % Petroleos Mexicanos (MTN) 2009/2017. . . . . . . . . . 3.75 % Petroleos Mexicanos (MTN) 2016/2019. . . . . . . . . . 1.625 % PGE Sweden AB 2014/2019. . . . . . . . . . . . . . . . . . . 5.125 % Procter & Gamble Co./The 2007/2017 . . . . . . . . . . . 4.25 % RCI Banque SA (MTN) 2012/2017 . . . . . . . . . . . . . . 5.625 % Renault SA 2010/2017 . . . . . . . . . . . . . . . . . . . . . . . 4.375 % Repsol International Finance BV (MTN) 2012/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.625 % Royal Bank of Scotland Group Plc (MTN) 2014/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.625 % Royal Bank of Scotland Plc (MTN) 2004/2021 *. . . . 5.125 % RTE Reseau de Transport d‘Electricite SA (MTN) 2008/2018. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.10 % Santander Consumer Finance SA 2015/2018. . . . . . 1.375 % Santander International Debt SAU (MTN) 2014/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.375 % Santander International Debt SAU (MTN) 2016/2021 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.25 % Santos Finance Ltd (MTN) 2010/2070 *. . . . . . . . . . 0.50 % Sinopec Group Overseas Development 2015 Ltd -Reg- 2015/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.125 % Smurfit Kappa Acquisitions -Reg- 2012/2018. . . . . . 2.375 % Snam SpA (MTN) 2013/2017 . . . . . . . . . . . . . . . . . . 1.50 % Snam SpA -Reg- 2014/2019 . . . . . . . . . . . . . . . . . . . 0.573 % Societe Des Autoroutes Paris-Rhin-Rhone 2015/2020*. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.75 % Societe Generale SA 2015/2020. . . . . . . . . . . . . . . . 5.625 % SSE Plc 2012/2049 *. . . . . . . . . . . . . . . . . . . . . . . . . 1.75 % Standard Chartered Plc (MTN) 2012/2017 . . . . . . . . 0.50 % Svenska Cellulosa AB SCA (MTN) 2015/2020 . . . . . 5.849 % Swiss Life Insurance & Pension Group (MTN) 2007/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.375 % TDC A/S (MTN) 2011/2018. . . . . . . . . . . . . . . . . . . . 6.50 % Telefonica Europe BV 2013/2049 *. . . . . . . . . . . . . . 5.625 % Telekom Austria AG 2013/2049* . . . . . . . . . . . . . . . 6.655 % TenneT Holding BV 2010/2049 * . . . . . . . . . . . . . . . 4.625 % Teollisuuden Voima Oyj (MTN) 2012/2019. . . . . . . . 4.375 % The Goldman Sachs Group, Inc. (MTN) 2010/2017. 2.375 % Turkiye Vakiflar Bankasi TAO 2016/2021 . . . . . . . . . 1.125 % UBS AG 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . 2.625 % UniCredit Bank Austria AG (MTN) 2013/2018. . . . . .
EUR
1 874 000
280 000
240 000
%
105.761
1 981 961.14
0.52
EUR
2 350 000
2 760 000
410 000
%
101.28
2 380 080.00
0.63
EUR
1 050 000
200 000
250 000
%
121.33
1 273 965.00
0.34
EUR EUR
1 748 000 1 390 000 1 650 000
490 000 260 000
% %
104.334 101.508
1 823 758.32 1 410 961.20
0.48 0.37
EUR
876 000
310 000
%
102.302
896 165.52
0.24
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
2 130 000 310 000 500 000 200 000 1 700 000 200 000 400 000 1 117 000 340 000 1 688 000 250 000 420 000 500 000 200 000 1 435 000 410 000 1 717 000 120 000 440 000 3 000 000 3 000 000 800 000 100 000 200 000 2 000 000 300 000 500 000 400 000 400 000 400 000 1 513 000 440 000 1 907 000 130 000 500 000 800 000 800 000 1 250 000 1 250 000
% % % % % % % % % % % % % % % % %
102.545 109.596 106.921 108.78 105.064 105.037 100.583 104.26 102.194 100.578 101.733 101.88 94.929 119.176 106.715 101.239 115.381
2 184 208.50 219 192.00 1 817 657.00 1 215 072.60 1 773 480.32 525 185.00 1 443 366.05 1 790 144.20 3 065 820.00 804 624.00 2 034 660.00 407 520.00 379 716.00 1 803 132.88 2 035 055.05 809 912.00 1 442 262.50
0.58 0.06 0.48 0.32 0.47 0.14 0.38 0.47 0.81 0.21 0.54 0.11 0.10 0.48 0.54 0.21 0.38
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
2 1 1 1 1
740 000 230 000 710 000 300 000 1 300 000 080 000 310 000 760 000 490 000 703 000 480 000 400 000 50 000 150 000 1 190 000 600 000 1 530 000 2 139 000 310 000 500 000 1 890 000 530 000 1 100 000 1 900 000 880 000 100 000 200 000 1 410 000 500 000 200 000 1 300 000 400 000 3 296 000 2 060 000 770 000 1 980 000 1 980 000 2 560 000 380 000 600 000 940 000 940 000 1 019 000 290 000 1 200 000 350 000
% % % % % % % % % % % % % % % % % % %
108.065 101.222 102.321 104.254 103.663 105.535 101.302 108.076 101.416 104.213 98.39 104.275 103.534 102.485 104.615 101.977 106.987 103.499 104.023
2 1 1 1 1
960 981.00 315 886.00 105 066.80 834 870.40 765 380.89 422 140.00 1 205 493.80 2 311 745.64 1 916 762.40 1 146 343.00 865 832.00 1 470 277.50 1 345 942.00 3 377 905.60 2 071 377.00 2 610 611.20 1 005 677.80 1 054 654.81 1 248 276.00
0.78 0.35 0.29 0.48 0.47 0.11 0.32 0.61 0.51 0.30 0.23 0.39 0.35 0.89 0.55 0.69 0.27 0.28 0.33
EUR
1 300 000
200 000
%
106.796
1 388 348.00
0.37
EUR EUR
398 000 1 202 000 350 000
% %
97.511 98.864
388 093.78 1 188 345.28
0.10 0.31
EUR EUR
1 300 000 1 300 000 1 700 000 500 000
% %
111.644 101.56
1 451 372.00 1 726 520.00
0.38 0.46
EUR
2 000 000
700 000
%
100.973
2 019 460.00
0.53
EUR EUR
1 900 000 1 410 000
300 000 260 000
% %
102.809 101.751
1 953 371.00 1 434 689.10
0.52 0.38
EUR EUR EUR EUR
1 510 000 1 310 000 814 000 632 000
390 000 360 000 300 000 200 000
% % % %
100.53 108.036 102.402 103.983
1 518 003.00 1 415 271.60 833 552.28 657 172.56
0.40 0.37 0.22 0.17
EUR EUR EUR EUR EUR
1 700 000 200 000 1 000 000 200 000 815 000 200 000 110 000 1 270 000 110 000
000 000 000 000 000
% % % % %
100.606 102.272 104.152 102.107 101.026
1 710 302.00 1 022 720.00 848 838.80 112 317.70 1 283 030.20
0.45 0.27 0.22 0.03 0.34
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
2 300 000 350 000 550 000 2 040 000 570 000 1 200 000 200 000 300 000 1 143 000 170 000 280 000 1 380 000 210 000 340 000 1 156 000 350 000 1 350 000 350 000 1 280 000 1 280 000 1 165 000 340 000 1 700 000 600 000 300 000
% % % % % % % % % %
103.04 106.945 105.016 105.035 104.827 108.654 103.07 100.511 103.724 103.48
2 369 920.00 2 181 678.00 1 260 192.00 1 200 550.05 1 446 612.60 1 256 040.24 1 391 445.00 1 286 540.80 1 208 384.60 1 759 160.00
0.63 0.58 0.33 0.32 0.38 0.33 0.37 0.34 0.32 0.46
1 500 000
2 200 000 520 000 130 110 100 100
000 000 000 000
400 300 300 1 000 350
Total market value in EUR
% of net assets
295
Deutsche Invest I Short Duration Credit Description
Count/ units/ currency
.902 0 2.75 4.375 4.45 0.75 3.875 0.75 1.625 0.397 6.75 0.75 2.25 6.625 7.625 6.125 5.375 2.625
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR GBP GBP GBP GBP
1 600 000 440 000 1 590 000 440 000 1 820 000 260 000 450 000 1 500 000 200 000 400 000 2 100 000 2 100 000 1 650 000 140 000 420 000 1 330 000 110 000 350 000 1 400 000 200 000 2 000 000 1 330 000 380 000 2 100 000 700 000 1 060 000 200 000 300 000 2 000 000 300 000 500 000 1 190 000 1 540 000 350 000 737 000 220 000 610 000 160 000 1 170 000 1 510 000 340 000
% % % % % % % % % % % % % % % %
100.397 102.117 102.619 105.162 101.157 102.792 101.012 105.121 100.205 111.67 101.565 102.885 104.805 102.84 100.584 106.19
1 606 352.00 1 623 660.30 1 867 665.80 1 577 430.00 2 124 297.00 1 696 068.00 1 343 459.60 1 471 694.00 1 332 726.50 2 345 070.00 1 076 589.00 2 057 700.00 1 507 465.70 916 110.86 741 612.79 1 501 716.52
0.42 0.43 0.49 0.42 0.56 0.45 0.35 0.39 0.35 0.62 0.28 0.54 0.40 0.24 0.20 0.40
GBP USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1 420 000 1 800 000 380 000 1 385 000 200 000 600 000 2 640 000 190 000 690 000 1 150 000 540 000 160 000 1 264 000 200 000 400 000 1 690 000 2 110 000 420 000 863 000 600 000 1 340 000 190 000 3 730 000 1 800 000 500 000 1 210 000 250 000 960 000 200 000 1 180 000 100 000 160 000 1 546 000 330 000 350 000 1 830 000 610 000 1 224 000 250 000 1 607 000 450 000 1 796 000 120 000 460 000 2 180 000 840 000 380 000 1 430 000 1 430 000
% % % % % % % % % % % % % % % % % % % %
102.333 104.372 101.417 103.018 100.871 103.586 105.961 87.893 100.601 105.847 101.49 99.657 101.358 108.596 100.443 100.012 100.938 100.7 88.236 100.32
1 756 396.35 1 300 366.72 2 408 500.57 1 065 719.77 1 146 952.59 1 574 779.80 822 600.39 474 392.27 1 212 660.31 1 713 890.71 1 104 696.12 860 619.36 1 075 895.19 1 510 279.70 1 653 494.79 1 101 192.96 1 459 159.07 1 626 918.18 1 730 351.65 1 290 492.92
0.46 0.34 0.64 0.28 0.30 0.42 0.22 0.13 0.32 0.45 0.29 0.23 0.28 0.40 0.44 0.29 0.38 0.43 0.46 0.34
USD USD
565 000 1 248 000 700 000
300 000 300 000
% %
100.517 106.146
510 881.33 1 191 654.30
0.13 0.31
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1 1 2 1
260 000 1 260 000 864 000 130 000 490 000 520 000 2 520 000 620 000 240 000 270 000 770 000 1 950 000 630 000 636 000 50 000 110 000 535 000 535 000 500 000 1 870 000 130 000 480 000 1 650 000 1 650 000 1 848 000 510 000 482 000 40 000 80 000 1 172 000 80 000 1 348 000 816 000 430 000 1 010 000 1 690 000 500 000
% % % % % % % % % % % % % % % %
101.084 103.023 101 101.69 100.394 100.279 102.275 100.39 95.422 103.391 103.065 102.248 101.895 105.774 101.898 99.727
1 1 2 1
145 737.24 727 476.58 289 570.29 481 929.23 695 393.38 1 759 043.88 585 138.50 483 143.68 429 190.98 1 739 227.56 1 529 773.80 1 699 764.89 441 806.38 1 115 163.65 747 976.38 1 516 112.84
0.30 0.46 0.60 0.39 0.18 0.46 0.15 0.13 0.11 0.46 0.40 0.45 0.12 0.29 0.20 0.40
USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1 300 000 200 000 400 000 500 000 1 690 000 310 000 1 200 000 350 000 1 080 000 500 000 1 310 000 600 000 800 000 2 200 000 2 200 000 800 000 150 000 1 200 000 400 000 1 400 000 700 000 770 000 400 000 1 920 000 280 000 460 000
% % % % % % % % % % % % % %
101.179 99.287 100.782 102.924 102.254 101.048 98.226 101.201 102.789 100.746 102.581 102.546 101.073 104.174
1 183 220.82 446 575.05 1 532 151.62 1 111 046.10 993 427.39 1 190 784.67 706 884.59 2 002 809.08 739 722.27 1 087 535.09 1 291 894.45 710 299.51 363 686.53 1 799 246.02
0.31 0.12 0.40 0.29 0.26 0.31 0.19 0.53 0.20 0.29 0.34 0.19 0.10 0.47
.25 6 2.35 3.00 2.25 2.65 8.25 6.375 2.25 5.75 2.05 2.75 2.05 4.75 1.625 1.65 1.875 1.85 5.375 2.45 8.375 .90 4 3.85 .50 3 2.95 2.30 2.35 2.00 2.50 2.10 5.50 2.75 8.375 2.70 2.50 3.25 7.00 2.00 2.75 .25 8 1.85 8.375 2.45 2.125 5.50 1.90 3.192 1.75 3.375 4.75 6.375 2.70
% UniCredit SpA -Reg- 2014/2017 *. . . . . . . . . . . . . . . % Unione di Banche Italiane SCpA (MTN) 2013/2017. % Vale SA (MTN) 2010/2018 **. . . . . . . . . . . . . . . . . . % Veolia Environnement SA 2013/2049 * . . . . . . . . . . % Vivendi SA 2016/2021. . . . . . . . . . . . . . . . . . . . . . . . % Volkswagen International Finance NV 2013/2049 *. % Volkswagen Leasing GmbH 2015/2020 . . . . . . . . . . % Vonovia Finance BV 2015/2020. . . . . . . . . . . . . . . . . % Wells Fargo & Co. -Reg- 2014/2019 * . . . . . . . . . . . % Wendel SA 2011/2018 . . . . . . . . . . . . . . . . . . . . . . . % WPP Finance 2013 2015/2019. . . . . . . . . . . . . . . . . % ZF North America Capital, Inc. 2015/2019 . . . . . . . . % EDP Finance BV (MTN) 2002/2017. . . . . . . . . . . . . . % Ladbrokes Group Finance Plc 2010/2017. . . . . . . . . % Siemens Financieringsmaatschappij NV 2006/2066. % Telefonica Emisiones SAU (MTN) 2006/2018. . . . . . % Volkswagen Financial Services NV (MTN) 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . % ABN Amro Bank NV (MTN) 2012/2022 *. . . . . . . . . % Actavis Funding SCS 2015/2018. . . . . . . . . . . . . . . . % Actavis Funding SCS 2015/2020. . . . . . . . . . . . . . . . % Agricultural Bank China HK 2014/2017. . . . . . . . . . . % Anheuser-Busch InBev Finance, Inc. 2016/2021 . . . % Aviva Plc 2012/2049. . . . . . . . . . . . . . . . . . . . . . . . . % Banco Santander SA -Reg- 2014/2049 *. . . . . . . . . . % Bank of America Corp. (MTN) 2015/2020. . . . . . . . . % Bank of America Corp. 2007/2017 . . . . . . . . . . . . . . % Bank of America NA 2015/2018. . . . . . . . . . . . . . . . % Barclays Plc 2014/2019. . . . . . . . . . . . . . . . . . . . . . . % BHP Billiton Finance USA Ltd 2013/2018. . . . . . . . . % BP Capital Markets Plc 2009/2019. . . . . . . . . . . . . . % BP Capital Markets Plc 2012/2017 . . . . . . . . . . . . . . % Capital One NA/Mclean VA 2015/2018. . . . . . . . . . . % Carnival Corp. 2012/2017 . . . . . . . . . . . . . . . . . . . . . % Citigroup, Inc. 2014/2017 . . . . . . . . . . . . . . . . . . . . . % Colombia Telecomunicacio 2015/2049. . . . . . . . . . . % Columbia Pipeline Group, Inc. 2016/2018. . . . . . . . . % Cooperatieve Centrale RaiffeisenBoerenleenbank BA 2011/2049 *. . . . . . . . . . . . . . . % EDP Finance BV -Reg- 2009/2019. . . . . . . . . . . . . . . % Gazprom OAO Via Gaz Capital SA -Reg2013/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . % General Motors Co. 2014/2018. . . . . . . . . . . . . . . . . % HSBC Holdings Plc 2016/2021. . . . . . . . . . . . . . . . . % KeyCorp (MTN) 2013/2018. . . . . . . . . . . . . . . . . . . . % Lloyds Bank Plc 2014/2019. . . . . . . . . . . . . . . . . . . . % Lloyds Bank PLC 2015/2018. . . . . . . . . . . . . . . . . . . % McGraw-Hill Financial IN 2015/2018. . . . . . . . . . . . . % Molson Coors Brewing Co. 2016/2021. . . . . . . . . . . % Nordea Bank AB -Reg- 2014/2049 *. . . . . . . . . . . . . % Orange SA 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . % Petrobras Global Finance BV 2016/2021. . . . . . . . . . % Quest Diagnostics, Inc. 2014/2019. . . . . . . . . . . . . . % Quest Diagnostics, Inc. 2015/2020. . . . . . . . . . . . . . % Reynolds American, Inc. 2015/2020. . . . . . . . . . . . . % RWE AG 2012/2072 *. . . . . . . . . . . . . . . . . . . . . . . . % Santander Bank NA 2015/2018. . . . . . . . . . . . . . . . . % Sinopec Group Overseas Development 2012 Ltd -Reg- 2012/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . % Societe Generale SA (MTN) 2013/2049 *. . . . . . . . . % Southern Power Co 2015/2017. . . . . . . . . . . . . . . . . % Sprint Communications Inc 2009/2017. . . . . . . . . . . % Sumitomo Mitsui Banking Corp. 2015/2020. . . . . . . % Swedbank AB 2012/2017. . . . . . . . . . . . . . . . . . . . . % Swedbank AB 2015/2049 * **. . . . . . . . . . . . . . . . . % Sysco Corp. 2016/2019. . . . . . . . . . . . . . . . . . . . . . . % Telefonica Emisiones SAU 2013/2018 . . . . . . . . . . . % Telenor ASA 2013/2018 . . . . . . . . . . . . . . . . . . . . . . % Tencent Holdings Ltd -Reg- 2012/2018 . . . . . . . . . . % UBS AG 2013/2023 * . . . . . . . . . . . . . . . . . . . . . . . . % UniCredit SpA (MTN) -Reg- 2013/2023 * **. . . . . . . % UnitedHealth Group Inc 2015/2020. . . . . . . . . . . . . .
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
Securities admitted to or included in organized markets 42 019 027.33 Interest-bearing securities 0.875 % BMW Finance NV 2015/2020. . . . . . . . . . . . . . . . . . EUR 1 635 000 240 000 1 500 000 % 103.626 1 694 285.10 2.50 % ABN AMRO Bank NV -Reg- 2013/2018 . . . . . . . . . . USD 921 000 200 000 % 102.311 847 645.04 2.625 % Anglo American Capital Plc 2012/2017. . . . . . . . . . . USD 1 900 000 400 000 400 000 % 99.975 1 708 744.31 6.463 % AXA SA -Reg- 2006/2049 *. . . . . . . . . . . . . . . . . . . . USD 800 000 100 000 300 000 % 104.372 751 114.35 2.75 % Banco de Credito del Peru -Reg- 2014/2018. . . . . . . USD 850 000 240 000 % 101.113 773 139.72 6.25 % BHP Billiton Finance USA Ltd 2015/2075. . . . . . . . . USD 570 000 % 106.063 543 839.60 2.00 % BMW US Capital LLC -Reg- 2016/2021 . . . . . . . . . . USD 3 150 000 3 150 000 % 100.531 2 848 673.16
296
% of net assets
11.09 0.45 0.22 0.45 0.20 0.20 0.14 0.75
Deutsche Invest I Short Duration Credit Description
2.70 2.375 2.75 2.625 3.48 5.125 6.25 2.70 1.625 2.05 1.144 3.875 2.375 2.15 3.125 3.50 6.875 7.75 4.875 3.40 2.20 4.00 6.25 1.60
% % % % %
BNP Paribas SA (MTN) 2013/2018. . . . . . . . . . . . . . BNP Paribas SA 2012/2017. . . . . . . . . . . . . . . . . . . . CNPC General Capital Ltd -Reg- 2012/2017. . . . . . . Credit Agricole SA -Reg- 2013/2018. . . . . . . . . . . . . Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2019. . . . . . . . . . . . . . . . . % Enel Finance International NV 2009/2019. . . . . . . . . % Enel Finance International SA -Reg- 2007/2017. . . . % Glencore Finance Canada Ltd -Reg- 2012/2017. . . . % Hutchison Whampoa International 14 Ltd -Reg2014/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . % Imperial Tobacco Finance PLC 2015/2018. . . . . . . . % ING Bank NV 2015/2018. . . . . . . . . . . . . . . . . . . . . . % Intesa Sanpaolo SpA 2013/2018. . . . . . . . . . . . . . . . % Intesa Sanpaolo SpA 2014/2017. . . . . . . . . . . . . . . . % Mizuho Bank Ltd 2015/2018. . . . . . . . . . . . . . . . . . . % Petroleos Mexicanos 2014/2019. . . . . . . . . . . . . . . . % RCI Banque SA -Reg- 2013/2018 . . . . . . . . . . . . . . . % Sable International Finance Ltd 2015/2022. . . . . . . . % Sappi Papier Holding GmbH 144A 2012/2017 . . . . . % Smurfit Kappa Acquisitions 144A 2012/2018. . . . . . % Solvay Finance (America) 2015/2020 **. . . . . . . . . . % Swedbank AB 144A 2015/2020 . . . . . . . . . . . . . . . . % Turkiye Garanti Bankasi AS 2012/2017. . . . . . . . . . . % Vale Overseas Ltd 2006/2017. . . . . . . . . . . . . . . . . . % Volkswagen Group of America Finance LLC -Reg2014/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
% of net assets
USD USD USD USD
1 1 1 1
862 038 911 400
000 460 000 000 90 000 000 400 000 000
000 000 000 000
% % % %
102.442 101.318 101.124 102.465
1 715 946 1 738 1 290
891.38 054.22 389.11 433.55
0.45 0.25 0.46 0.34
USD USD USD USD
1 2 1 1
830 390 605 450
000 1 830 000 000 200 000 140 000 000 240 000 000 100 000 200 000
% % % %
102.192 110.31 105.66 99.975
1 2 1 1
286.87 629.37 519.31 041.71
0.44 0.63 0.40 0.35
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1 1 1 2
265 000 600 000 575 000 400 000 400 000 960 000 200 000 600 000 799 000 790 000 900 000 200 000 460 000 850 000 240 000 1 208 000 200 000 290 000 950 000 200 000 2 060 000 2 500 000 440 000 500 000 1 980 000 200 000 410 000 1 810 000 500 000 200 000 1 100 000 400 000 1 030 000 150 000 260 000
% % % % % % % % % % % % % % %
100.44 100.932 99.71 102.386 100.445 101.175 100.344 103.117 102.457 103.812 104.188 104.47 101.452 102.059 102.074
1 1 1 2
142 955.43 430 018.00 758 023.50 577 956.24 813 210.35 418 661.58 767 259.72 1 120 544.92 875 582.97 1 923 751.35 468 616.62 1 860 753.53 1 651 852.46 1 009 894.62 945 767.59
0.30 0.38 0.46 0.68 0.22 0.11 0.20 0.30 0.23 0.51 0.12 0.49 0.44 0.27 0.25
USD
1 680 000
%
100.081
1 512 491.65
0.40
200 000
390 270 400 250
Total market value in EUR
600 000
682 371 525 304
Total securities portfolio 363 562 271.92 95.91 Derivatives (Minus signs denote short positions) Interest rate derivatives -202 765.42 -0.05 Receivables/payables Interest rate futures US Treasury Notes 5 year Futures 09/2016 (CBT). . . . . . . . . . Count -100 -100 -167 965.42 -0.04 Germany Federal Republic Bonds 5 year 09/2016 (EUR). . . . . Count -30 -30 -34 800.00 -0.01 Currency derivatives 576 759.82 0.15 Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 5.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -14 612.27 0.00 EUR/USD 112.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 583 683.76 0.15 Closed positions EUR/GBP 1.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 688.33 0.00 Cash at bank 6 065 696.65 1.60 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 862 097.26 1.55 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 7 939 9 595.41 0.00 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 215 664 194 003.98 0.05 Other assets 6 296 826.36 1.66 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 491 637.84 1.18 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 805 188.52 0.48 Receivables from share certificate transactions 4 866 290.88 1.29 Total assets *** 381 382 457.90 100.61 Other liabilities -740 519.05 -0.20 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -259 435.19 -0.07 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -481 083.86 -0.13
297
Deutsche Invest I Short Duration Credit Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Liabilities from share certificate transactions -1 347 972.14 -0.36 Total liabilities -2 305 868.88 -0.61 Net assets 379 076 589.02 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 134.87 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 130.44 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.14 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 123.04 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 104 215 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 260 299 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91 507 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 460 648 Presentation of the maximum limit (according to CSSF circular 11/512) 5% of portfolio value Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 0.413 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 0.809 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 0.649 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.4, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 120 945 154.92 as of the reporting date. Market abbreviations
Futures exchanges CBT = Chicago Board of Trade EUR = Eurex Contracting parties for currency futures Deutsche Bank AG Frankfurt and Morgan Stanley and Co. International PLC
Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
Securities loans Total market value in EUR Perpetual
Total
6.50 % Autodis SA (MTN) 2014/2019 EUR 500 000 514 145.00 1.125 % Eutelsat SA 2016/2021 EUR 2 700 000 2 722 032.00 5.44 % Gazprom OAO Via Gaz Capital SA (MTN) -Reg- 2007/2017 EUR 1 300 000 1 370 538.00 5.25 % Glencore Finance Europe SA (MTN) 2010/2017 EUR 2 950 000 3 047 468.00 0.75 % Goldman Sachs Group, Inc./The (MTN) 2016/2019 EUR 2 300 000 2 329 440.00 1.375 % Santander International Debt SAU (MTN) 2016/2021 EUR 1 700 000 1 747 753.00 4.375 % Vale SA (MTN) 2010/2018 EUR 1 300 000 1 334 047.00 2.05 % Imperial Tobacco Finance PLC 2015/2018 USD 700 000 635 563.56 3.40 % Solvay Finance (America) 2015/2020 USD 1 800 000 1 691 594.12 5.50 % Swedbank AB 2015/2049 * USD 800 000 706 884.58 6.375 % UniCredit SpA (MTN) -Reg- 2013/2023 * USD 400 000 363 686.53 Total receivables from securities loans 16 463 151.79 16 463 151.79
298
Deutsche Invest I Short Duration Credit Contracting parties for securities loans Barclays Capital Securities Limited, Citigroup Global Markets, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, HSBC Bank PLC FI, Morgan Stanley Intl. FI, UBS AG London Branch Total collateral pledged by third parties for securities loans EUR 18 052 342.39 thereof: Bonds EUR 12 110 285.74 Equities EUR 5 942 056.65 Exchange rates (indirect quotes) As of: June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Floating interest rate. ** Some or all of these securities are lent. *** Does not include positions with a negative balance, if such exist.
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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange Interest-bearing securities 1.75 % Abbey National Treasury Services Plc 2013/2018. . . . . . . . . . . . . . . . . . . . . . 2.00 % A bbey National Treasury Services Plc/ London (MTN) 2014/2019. . . . . . . . . . 2.50 % Anglo American Capital Plc 2012/2018. . . . . . . . . . . . . . . . . . . . . . 5.875 % ArcelorMittal (MTN) 2010/2017 . . . . . 10.24 % Baggot Securities Ltd -Reg2013/2049. . . . . . . . . . . . . . . . . . . . . . 1.00 % Banco Bilbao Vizcaya Argentaria SA 2016/2021. . . . . . . . . . . . . . . . . . . . . . 2.75 % Bank of Ireland 2013/2016 . . . . . . . . . 6.00 % Barclays Bank Plc (MTN) 2008/2018. . 2.625 % Barclays PLC 2015/2025*. . . . . . . . . . 1.125 % Bayer AG (MTN) 2014/2018. . . . . . . . 3.75 % BPCE SA (MTN) 2010/2017 . . . . . . . . 4.75 % BPCE SA 2006/2049 * . . . . . . . . . . . . 8.75 % Cirsa Funding Luxembourg SA -Reg2010/2018. . . . . . . . . . . . . . . . . . . . . . 3.875 % Credit Suisse AG/London (MTN) 2010/2017. . . . . . . . . . . . . . . . . . . . . . 0.625 % D aimler AG 2015/2020. . . . . . . . . . . . 4.75 % EDP Finance BV (MTN) 2009/2016. . . 11.75 % E ileme 2 AB -Reg- 2012/2020. . . . . . . 4.25 % Electricite de France SA (MTN) 2013/2049 * . . . . . . . . . . . . . . . . . . . . 4.00 % Enel Finance International NV (MTN) 2009/2016. . . . . . . . . . . . . . . . . . . . . . 6.25 % ESB Finance Ltd 2012/2017 . . . . . . . 1.875 % F CE Bank Plc (MTN) 2013/2016. . . . . 3.625 % GE Capital European Funding (MTN) 2011/2017. . . . . . . . . . . . . . . . . . . . . . 5.317 % G enerali Finance BV 2006/2049 *. . . . 5.50 % G lobal Switch Holdings Ltd (MTN) 2011/2018. . . . . . . . . . . . . . . . . . . . . . 5.75 % Hit Finance BV 2011/2018 . . . . . . . . . 0.625 % HSBC France SA 2015/2020. . . . . . . . 5.451 % H ydra Dutch Holdings 2BV -Reg2014/2019 * . . . . . . . . . . . . . . . . . . . .
EUR
1 675 000
EUR
1 664 000
EUR EUR
100 000 90 000
1 410 000 1 660 000
EUR
1 402 000
EUR 1 100 000 EUR EUR EUR 100 000 EUR EUR EUR
1 100 900 1 490 1 060 1 330 1 450 1 100
EUR EUR EUR EUR EUR EUR
000 000 000 000 000 000 000
504 174 1 1 1 1
200 400 558 083
000 000 000 000
900 000
2 000 000
EUR EUR EUR
770 000 523 000 1 092 000
EUR EUR 200 000
1 807 000 1 600 000
EUR EUR EUR
2 116 000 200 000 2 100 000
EUR
400 000
4.125 % International Game Technology Plc -Reg- 2015/2020. . . . . . . . . . . . . . . . . 1.875 % K ering SA 2013/2018 . . . . . . . . . . . . . 11.875 % L loyds Bank Plc (MTN) 2011/2021 *. . 1.875 % L loyds Bank Plc 2013/2018. . . . . . . . . 1.625 % M ediobanca SpA (MTN) 2016/2021. . 4.125 % N ationwide Building Society (MTN) 2013/2023 * . . . . . . . . . . . . . . . . . . . . 1.625 % N ationwide Building Society (MTN) 2014/2019. . . . . . . . . . . . . . . . . . . . . . 1.875 % N ordea Bank AB 2015/2025*. . . . . . . 2.75 % Petrobras Global Finance BV 2014/2018. . . . . . . . . . . . . . . . . . . . . . 4.875 % P etrobras International Finance Co. (MTN) 2011/2018 . . . . . . . . . . . . . . . . 7.375 % Peugeot SA (MTN) 2013/2018 . . . . . . 4.875 % R epsol International Finance BV (MTN) 2012/2019 . . . . . . . . . . . . . . . . 1.50 % R oyal Bank of Scotland Group Plc 2013/2016. . . . . . . . . . . . . . . . . . . . . . 6.625 % R WE Finance BV (MTN) 2008/2019. . 2.50 % Schaeffler Finance BV -Reg2015/2020. . . . . . . . . . . . . . . . . . . . . . 4.375 % Snam SpA (MTN) 2012/2016 . . . . . . . 3.75 % S ociete Generale SA (MTN) 2012/2017. . . . . . . . . . . . . . . . . . . . . . 0.702 % T elefonica Emisiones SAU 2014/2017 * . . . . . . . . . . . . . . . . . . . . 1.25 % T esco Corporate Treasury Services Plc 2013/2017. . . . . . . . . . . . . . . . . . . . . . 1.375 % T esco Corporate Treasury Services Plc 2014/2019. . . . . . . . . . . . . . . . . . . . . . 1.625 % T hales SA (MTN) 2013/2018. . . . . . . . 5.875 % W endel SA 2012/2019 . . . . . . . . . . . . 2.625 % FCE Bank Plc (MTN) 2014/2018. . . . . 7.75 % Thomas Cook Group Plc (MTN) 2010/2017. . . . . . . . . . . . . . . . . . . . . . 1.625 % ABB Finance USA, Inc. 2012/2017. . . 2.00 % Abbey National Treasury Services PLC/United Kingdom 2015/2018. . . . . 2.125 % American Express Credit Corp. 2013/2018. . . . . . . . . . . . . . . . . . . . . .
EUR 100 000 EUR EUR EUR EUR 1 810 000
1 1 1 1 1
EUR
1 127 000
EUR EUR
1 827 000 796 000
EUR
1 080 000
1 901 000
EUR EUR
100 000 150 000
1 433 000 2 188 000
EUR
1 100 000
EUR EUR 100 000
2 370 000 1 400 000
EUR EUR
1 660 000 461 000
EUR
1 100 000
EUR
1 100 000
EUR
1 570 000
EUR EUR EUR 700 000 GBP 1 660 000
1 550 000 1 900 000 700 000 1 660 000
GBP USD
1 120 000 1 265 000
USD
2 220 000
USD
2 228 000
120 000
740 900 863 641 810
000 000 000 000 000
299
Deutsche Invest I Short Duration Credit Count/ Purchases/ Sales/ Description units/ additions disposals currency
1.90 % Anheuser-Busch InBev Finance, Inc. 2016/2019. . . . . . . . . . . . . . . . . . . . . . 10.85 % ArcelorMittal 2009/2019. . . . . . . . . . . 7.25 % Chesapeake Energy Corp. 2008/2018. . . . . . . . . . . . . . . . . . . . . . 4.20 % C onocoPhillips Co. 2016/2021 . . . . . . 2.95 % D eutsche Bank AG 2015/2020. . . . . . 3.20 % DNB Bank ASA -Reg- 2012/2017. . . . 3.00 % Express BVI 2015 Ltd 2015/2018. . . . 1.724 % Ford Motor Credit Co. LLC 2014/2017. . . . . . . . . . . . . . . . . . . . . . 6.25 % G TH Finance BV -Reg- 2016/2020 . . . 5.625 % H SBC Holdings Plc 2014/2049 * . . . . 3.50 % J aguar Land Rover Automotive Plc 144A 2015/2020. . . . . . . . . . . . . . . . . 2.00 % JPMorgan Chase & Co. 2012/2017 . . 2.10 % McDonald‘s Corp 2015/2018 . . . . . . . 1.50 % Medtronic Inc 2015/2018. . . . . . . . . . 3.15 % Newell Brands, Inc. 2016/2021. . . . . . 2.00 % Nomura Holdings, Inc. (MTN) 2013/2016. . . . . . . . . . . . . . . . . . . . . . 2.75 % Orange SA 2011/2016. . . . . . . . . . . . . 1.99 % Petrobras Global Finance BV 2013/2016 * . . . . . . . . . . . . . . . . . . . . 5.875 % P etrobras International Finance Co., SA 2007/2018. . . . . . . . . . . . . . . . . . . 6.40 % R oyal Bank of Scotland Group Plc 2009/2019. . . . . . . . . . . . . . . . . . . . . . 4.375 % R oyal Bank of Scotland Plc 2011/2016. . . . . . . . . . . . . . . . . . . . . . 1.25 % S tatoil ASA 2014/2017 . . . . . . . . . . . . 3.65 % Verizon Communications, Inc. 2013/2018. . . . . . . . . . . . . . . . . . . . . .
USD USD
2 140 000 1 380 000
USD USD 2 420 000 USD USD USD
1 2 2 1
USD USD 1 035 000 USD
3 399 000 1 035 000 840 000
USD USD 100 000 USD 80 000 USD USD 1 000 000
1 1 1 2 1
USD USD
430 000 970 000
USD
668 000
USD
450 000
USD
411 000
USD USD
578 000 1 720 000
USD
2 760 000
150 000
2 140 000 1 380 000 130 420 620 788 430
100 788 410 930 000
000 000 000 000 000
000 000 000 000 000
Securities admitted to or included in organized markets Interest-bearing securities 1.50 % Thermo Fisher Scientific 2015/2020. . 2.60 % Amazon.com, Inc. 2014/2019. . . . . . . 3.579 % CCO Safari II LLC 2015/2020. . . . . . . 2.45 % Columbia Pipeline Group 2015/2018. . 2.00 % Daimler Finance North America LLC 2015/2018. . . . . . . . . . . . . . . . . . . . . . 2.35 % Electricite de France SA 2015/2020. . 1.80 % ING Bank NV 2015/2018. . . . . . . . . . . 3.75 % ING Bank NV -Reg- 2012/2017. . . . . . 7.50 % M icron Technology, Inc. 144A 2016/2023. . . . . . . . . . . . . . . . . . . . . .
EUR USD 190 000 USD USD
670 3 280 690 1 470
USD 200 000 USD USD USD
3 490 000 3 330 000 2 670 000 600 000
USD
430 000
000 000 000 000
430 000
Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000) Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro Bobl, Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, US Treasury Note 5-Year) EUR 73 689 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 46 825 EUR/USD EUR 518 681 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 50 525 USD/EUR EUR 659 641 Swaps Credit default swaps Protection seller (Underlying: RWE) EUR 5 000
300
Deutsche Invest I Top Asia Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Securities traded on an exchange 203 739 144.25 Equities AIA Group Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 583 575 676 701 963 126 HKD 46.25 8 491 458.40 China Communications Construction Co., Ltd -H- . . . . . . . . . . Count 2 020 000 2 020 000 HKD 8.3 1 943 843.85 China Construction Bank Corp. -H-. . . . . . . . . . . . . . . . . . . . . . Count 7 734 000 836 000 HKD 5.13 4 599 953.54 China Life Insurance Co., Ltd -H- . . . . . . . . . . . . . . . . . . . . . . . Count 832 075 HKD 16.62 1 603 339.18 China Mobile Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 000 HKD 88.75 5 144 821.11 China Overseas Land & Investment Ltd. . . . . . . . . . . . . . . . . . Count 1 561 018 668 176 421 263 HKD 24.5 4 434 104.33 CK Hutchison Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 151 081 261 500 110 419 HKD 84.55 1 481 001.08 Industrial & Commercial Bank of China Ltd -H-. . . . . . . . . . . . Count 10 100 000 HKD 4.29 5 023 548.25 PetroChina Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 648 414 1 201 213 1 923 586 HKD 5.29 2 237 647.63 Ping An Insurance Group Co. of China Ltd. . . . . . . . . . . . . . . . Count 625 500 625 500 824 871 HKD 34.15 2 476 566.16 Power Assets Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 263 500 263 500 HKD 71.05 2 170 584.08 Shenzhou International Group Holdings Ltd. . . . . . . . . . . . . . . Count 485 944 485 944 HKD 37.45 2 109 939.29 Sun Hung Kai Properties Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 501 000 501 000 HKD 93 5 401 975.21 Techtronic Industries Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 957 999 112 001 HKD 32.25 3 582 009.12 Tencent Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 588 966 131 916 77 950 HKD 176.3 12 038 557.44 Astra International Tbk PT. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 400 000 IDR 7 400 3 224 473.12 Bank Rakyat Indonesia Persero Tbk PT . . . . . . . . . . . . . . . . . . Count 2 938 251 2 761 749 IDR 10 800 2 160 527.08 Unilever Indonesia Tbk PT. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 230 600 230 600 IDR 45 075 707 688.45 ITC Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 403 370 296 630 INR 369 1 983 765.93 Larsen & Toubro Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 145 836 INR 1 498 2 911 635.61 Asahi Kasei Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 386 000 386 000 JPY 708 2 391 789.14 Bridgestone Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 134 700 68 300 JPY 3 269 3 853 761.58 FANUC Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 400 5 400 JPY 16 535 6 714 667.42 Hoya Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 700 35 700 JPY 3 634 1 135 417.19 Japan Tobacco, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 145 000 JPY 4 103 5 206 811.39 Keyence Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 400 11 400 JPY 69 140 6 898 212.25 Komatsu Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 210 000 JPY 1 769.5 3 252 162.13 Mitsubishi Estate Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 220 000 64 000 134 000 JPY 1 873 3 606 307.75 Mitsubishi UFJ Financial Group, Inc.. . . . . . . . . . . . . . . . . . . . . Count 535 100 1 322 400 JPY 455.9 2 135 044.20 Nippon Telegraph & Telephone Corp.. . . . . . . . . . . . . . . . . . . . Count 84 100 84 100 JPY 4 800 3 532 966.83 ORIX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 242 200 255 700 JPY 1 308 2 772 580.79 Seven & I Holdings Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 191 600 19 000 57 300 JPY 4 281 7 178 654.62 Toyota Motor Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 65 200 134 800 JPY 5 052 2 882 791.71 Cheil Industries, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 680 9 680 KRW 123 000 929 857.95 Hyundai Motor Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 874 12 126 KRW 135 500 2 314 747.60 KB Financial Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 386 54 614 KRW 32 600 748 159.53 Korea Electric Power Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 710 16 710 KRW 60 400 3 429 787.58 KT Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 94 000 KRW 29 650 2 176 650.45 KT&G Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 200 28 000 6 800 KRW 136 500 2 259 980.30 LG Chem Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 300 5 300 KRW 260 000 1 076 181.09 LG Household & Health Care Ltd. . . . . . . . . . . . . . . . . . . . . . . Count 3 234 3 234 KRW 1117 000 2 821 170.47 NAVER Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 KRW 710 000 3 326 945.90 Samsung Electronics Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 270 1 538 700 KRW 1425 000 12 542 234.62 Samsung Life Insurance Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 25 240 4 760 KRW 100 500 1 981 032.28 Shinhan Financial Group Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 116 120 16 120 KRW 38 000 3 446 091.18 GT Capital Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 78 550 PHP 1 440 2 162 739.43 Metropolitan Bank & Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 656 822 PHP 90.35 2 862 197.02 DBS Group Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 283 500 283 500 SGD 15.76 2 982 277.93 Bangkok Bank PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 575 000 THB 158.5 2 333 068.13 Siam Cement PCL. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 92 400 92 400 THB 476 1 125 924.41 Fubon Financial Holding Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . Count 1 237 000 1 237 000 TWD 37.65 1 298 720.95 Alibaba Group Holding *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 78 481 30 791 USD 78.8 5 563 176.16 Baidu, Inc. -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 652 1 348 USD 162.49 2 141 685.10 Ctrip.com International Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . Count 64 186 64 186 USD 40.81 2 356 345.52 HDFC Bank Ltd -ADR-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 006 USD 65.39 882 690.28 New Oriental Education & Technology Group, Inc. -ADR-. . . . Count 65 500 65 500 USD 41.79 2 462 327.06 Taiwan Semiconductor Manufacturing Co., Ltd -ADR-. . . . . . . Count 653 410 112 670 USD 25.905 15 226 547.45
88.92
Investment fund units 5 195 540.69 In-group fund units db x-trackers - FTSE VIETNAM UCITS ETF -1C- EUR (0.650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 55 458 EUR 21.29 1 180 700.82 db x-trackers - MSCI Japan Index UCITS ETF (DR) -1CEUR - (0.400%). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 94 538 94 538 EUR 41.54 3 927 108.52 db x-trackers - FTSE VIETNAM UCITS ETF -1C- USD (0.650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 4 122 USD 23.66 87 731.35 Total securities portfolio 208 934 684.94
2.27
3.71 0.85 2.01 0.70 2.25 1.93 0.65 2.19 0.98 1.08 0.95 0.92 2.36 1.56 5.25 1.41 0.94 0.31 0.87 1.27 1.04 1.68 2.93 0.50 2.27 3.01 1.42 1.57 0.93 1.54 1.21 3.13 1.26 0.41 1.01 0.33 1.50 0.95 0.99 0.47 1.23 1.45 5.47 0.86 1.50 0.94 1.25 1.30 1.02 0.49 0.57 2.43 0.93 1.03 0.39 1.07 6.65
0.52 1.71 0.04 91.19
301
Deutsche Invest I Top Asia Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Derivatives (Minus signs denote short positions) Derivatives on individual securities 6 686 797.36 2.92 Warrants on securities Equity warrants Cathay Financial Holding Co., Ltd 17/07/2017 . . . . . . . . . . . . . Count 1 900 000 USD 1.0856 1 855 476.69 0.81 Fubon Financial Holding Co., Ltd 25/03/2021. . . . . . . . . . . . . . Count 2 800 000 USD 1.1678 2 941 430.35 1.28 Largan Precision Co., Ltd 05/10/2020. . . . . . . . . . . . . . . . . . . . Count 23 000 17 000 USD 91.3433 1 889 890.32 0.83 Cash at bank 9 843 048.09 4.30 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 327 361.01 0.58 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 0.83 0.00 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 3 017 2 018.50 0.00 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 38 306 387 4 441 228.36 1.93 Indian rupee. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . INR 32 036 232 426 974.45 0.19 Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 1 299 851 876 88 499.52 0.04 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 48 089 980 420 878.68 0.18 New Taiwan dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 6 539 051 182 345.85 0.08 Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 2 027 467 38 765.86 0.02 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 199 810 133 369.04 0.06 South Korean won. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 2 377 090 484 1 856 444.00 0.81 Thai baht. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 5 125 325 131 205.39 0.06 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 882 602 793 956.60 0.35 Other assets 3 105 566.28 1.36 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 350 972.28 0.59 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 754 594.00 0.77 Receivables from share certificate transactions 2 268 445.13 0.98 Total assets 230 838 612.98 100.75 Other liabilities -342 672.00 -0.15 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -342 672.00 -0.15 Liabilities from share certificate transactions -1 363 688.07 -0.60 Total liabilities -1 706 431.25 -0.75 Net assets 229 132 181.73 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 243.15 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 216.37 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 203.99 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 196.03 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 167.74 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 125.26 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 118.97 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 134 550 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 464 047 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 238 202 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 211 795 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 595 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 657 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 300
302
Deutsche Invest I Top Asia Composition of the reference portfolio (according to CSSF circular 11/512) 50% MSCI AC FAR EAST ex JAPAN Constituents, 50% MSCI AC FAR EAST in EUR Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 91.671 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 104.543 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 96.772 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.1, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 6 687 150.24 as of the reporting date.
Securities lending The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
Securities loans Total market value in EUR Perpetual
Total
Alibaba Group Holding Count 450 000 3 189 853.94 Total receivables from securities loans 3 189 853.94 3 189 853.94 Contracting party for securities loans HSBC Bank PLC Total collateral pledged by third parties for securities loans EUR 3 314 593.68 thereof: Equities EUR 3 314 593.68 Exchange rates (indirect quotes) As of: June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687.670916 = EUR 1 Indian rupee. . . . . . . . . . . . . . . . . . . . . INR 75.030793 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 South Korean won. . . . . . . . . . . . . . . . KRW 1 280.453642 = EUR 1 Philippine peso . . . . . . . . . . . . . . . . . . PHP 52.300337 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 Thai baht. . . . . . . . . . . . . . . . . . . . . . . THB 39.063368 = EUR 1 New Taiwan dollar. . . . . . . . . . . . . . . . TWD 35.860706 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnote * Some or all of these securities are lent.
303
Deutsche Invest I Top Asia 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
Securities traded on an exchange Equities Anhui Conch Cement Co., Ltd -H-. . . . . . . . . . . . . Count Bank of China Ltd -H- . . . . . . . . . . . . . . . . . . . . . . Count China Merchants Bank Co., Ltd -H-. . . . . . . . . . . . Count China Overseas Property Holdings Ltd. . . . . . . . . Count China Unicom Hong Kong Ltd. . . . . . . . . . . . . . . . Count Hanjaya Mandala Sampoerna Tbk PT. . . . . . . . . . Count Hitachi Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Hon Hai Precision Industry Co., Ltd -GDR Reg -. . Count ICICI Bank Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count JD.com, Inc. -ADR-. . . . . . . . . . . . . . . . . . . . . . . . Count Mega Financial Holding Co., Ltd. . . . . . . . . . . . . . Count 689 000 Nomura Holdings, Inc.. . . . . . . . . . . . . . . . . . . . . . Count Pegatron Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 548 000 Samsung SDS Co., Ltd. . . . . . . . . . . . . . . . . . . . . Count SK Hynix, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Softbank Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count
304
Warrants 740 000 7 705 137 1 118 655 438 035 1 454 544 632 800 1 160 000 6 224 1 098 743 104 466 689 000 471 000 548 000 3 640 119 000 90 000
options
Additions
Disposals
Warrants on securities Equity warrants Advanced Semiconductor Engineering, Inc. 21/01/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Delta Electronics, Inc. 24/01/2017 . . . . . . . . . . . . MediaTek, Inc. 30/01/2017. . . . . . . . . . . . . . . . . . Uni-President Enterprises Corp. 24/04/2017. . . . . Uni-President Enterprises Corp. 27/04/2017. . . . .
Count Count Count Count Count
2 400 530 200 18 222
000 000 000 901 960
Deutsche Invest I Top Dividend Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 4 166 817 021.05 Equities BCE, Inc. *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 430 000 173 197 CAD 60.9 60 336 052.13 Enbridge, Inc. *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 092 000 241 710 129 327 CAD 54.31 78 716 367.23 TransCanada Corp. *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 165 000 185 100 182 495 CAD 57.91 86 863 040.25 Nestle SA -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 565 000 50 000 177 858 CHF 75 108 321 440.89 Novartis AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 355 000 48 200 145 650 CHF 79.3 99 163 376.41 Roche Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 545 000 77 500 53 492 CHF 253.5 127 500 911.35 Allianz SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 935 000 185 800 93 397 EUR 126.15 117 950 250.00 AXA SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 086 000 834 700 196 400 EUR 17.55 36 609 300.00 Fuchs Petrolub AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 622 000 32 608 EUR 32.085 19 956 870.00 Fuchs Petrolub AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 900 000 24 064 EUR 35.155 31 639 500.00 Hannover Rueck SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 599 000 46 600 65 494 EUR 93.06 55 742 940.00 Sampo -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 557 000 156 582 EUR 36.11 56 223 270.00 Sanofi. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 544 000 588 100 44 100 EUR 73.99 40 250 560.00 Unibail-Rodamco SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 182 500 2 800 26 217 EUR 233.9 42 686 750.00 Unilever NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 627 000 871 034 94 800 EUR 41.55 109 151 850.00 Wincor Nixdorf AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 293 120 293 120 EUR 47.93 14 049 241.60 BAE Systems Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 125 000 1 018 032 GBP 5.14 56 691 045.68 British American Tobacco Plc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 453 000 158 900 134 826 GBP 47.34 83 140 444.78 British Sky Broadcasting Group Plc. . . . . . . . . . . . . . . . . . . . . . Count 800 000 313 900 2 176 505 GBP 8.435 8 156 306.73 Imperial Tobacco Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 353 000 17 100 132 434 GBP 39.835 65 145 000.80 Reckitt Benckiser Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 882 000 172 800 114 161 GBP 73.36 78 207 136.26 Japan Tobacco, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 093 986 255 100 JPY 4 103 75 193 035.50 KDDI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 578 000 1 578 000 JPY 3 113 42 992 078.91 Nippon Telegraph & Telephone Corp.. . . . . . . . . . . . . . . . . . . . Count 3 907 000 97 000 410 200 JPY 4 800 164 129 624.27 KT&G Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 691 000 67 123 KRW 136 500 73 662 565.29 Gjensidige Forsikring BA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 370 000 53 700 378 462 NOK 138.8 50 234 167.64 Telenor ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 895 000 806 968 239 315 NOK 137.2 57 390 686.13 Chunghwa Telecom Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 241 500 TWD 116.5 20 276 643.55 Taiwan Semiconductor Manufacturing Co., Ltd. . . . . . . . . . . . Count 1 310 000 1 310 000 TWD 162.5 5 936 163.13 AbbVie, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 790 500 147 400 84 500 USD 61.42 43 676 090.09 Altria Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 666 000 205 573 USD 67.9 101 759 939.03 AT&T, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 332 000 34 100 299 946 USD 42.62 89 407 522.00 Automatic Data Processing, Inc.. . . . . . . . . . . . . . . . . . . . . . . . Count 337 000 44 728 USD 89.71 27 195 861.72 CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 082 000 321 700 116 615 USD 23.72 23 087 346.03 Chunghwa Telecom Co., Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . Count 207 963 99 334 USD 36.1 6 753 444.61 Cisco Systems, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 452 000 1 129 700 630 684 USD 28.21 138 353 770.75 Coca-Cola Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 685 000 242 900 169 180 USD 44.67 67 709 237.71 Dominion Resources, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 837 000 41 700 73 575 USD 76.5 57 599 532.68 Dow Chemical Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 445 000 62 100 50 300 USD 49.32 19 743 090.93 Duke Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 939 000 112 872 USD 84.2 71 122 948.16 Genuine Parts Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 185 000 21 585 USD 99.42 16 545 410.78 HCP, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 750 000 605 226 USD 34.89 23 539 340.96 Merck & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 942 000 40 300 227 542 USD 56.98 99 541 398.31 NextEra Energy, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 986 500 239 700 94 000 USD 127.75 113 367 890.40 PepsiCo, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 037 000 44 800 111 299 USD 104.36 97 352 003.47 Pfizer, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 894 000 968 300 565 793 USD 34.95 122 426 432.41 PG&E Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 648 000 74 605 USD 62.83 36 624 704.75 Philip Morris International, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . Count 1 037 000 133 141 USD 99.18 92 519 851.52 Procter & Gamble Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 004 000 116 166 USD 83.91 75 784 344.87 Raytheon Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 676 000 76 884 USD 135.25 82 246 236.93 Taiwan Semiconductor Manufacturing Co., Ltd -ADR-. . . . . . . Count 5 070 000 1 596 400 723 997 USD 25.905 118 147 251.44 Target Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 815 000 429 016 20 416 USD 69.91 51 254 143.16 UGI Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 302 000 162 647 USD 44.48 52 096 413.93 Verizon Communications, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 990 000 119 900 326 676 USD 55.03 148 013 990.64 Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 794 900 285 600 60 000 USD 72.61 51 920 755.17 WEC Energy Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 426 000 182 763 USD 64.21 82 367 192.30 Interest-bearing securities 3.00 % United States Treasury Note/Bond 2010/2017 * . . . USD 57 596 000 32 596 000 % 101.693 52 688 639.24 0.75 % United States Treasury Note/Bond 2012/2017 * . . . USD 80 000 000 21 912 000 % 100.24 72 138 004.66 2.125 % United States Treasury Note/Bond 2014/2021 * . . . USD 70 000 000 70 000 000 % 105.078 66 167 148.88 1.00 % United States Treasury Note/Bond 2015/2018 * . . . USD 70 000 000 70 000 000 % 100.656 63 382 717.19 0.75 % United States Treasury Note/Bond 2015/2018 * . . . USD 75 000 000 75 000 000 % 100.24 67 629 379.37 2.125 % United States Treasury Note/Bond 2015/2025 * . . . USD 71 901 400 13 683 700 % 105.656 68 338 368.43 Total securities portfolio 4 166 817 021.05 Derivatives (Minus signs denote short positions) Currency derivatives 679 128.45 Receivables/payables
% of net assets
96.60 1.40 1.82 2.01 2.51 2.30 2.95 2.73 0.85 0.46 0.73 1.29 1.30 0.93 0.99 2.53 0.33 1.31 1.93 0.19 1.51 1.81 1.74 1.00 3.81 1.71 1.16 1.33 0.47 0.14 1.01 2.36 2.07 0.63 0.54 0.16 3.21 1.57 1.34 0.46 1.65 0.38 0.55 2.31 2.63 2.26 2.84 0.85 2.15 1.76 1.91 2.74 1.19 1.21 3.43 1.20 1.91 1.22 1.67 1.53 1.47 1.57 1.58 96.60
0.02
305
Deutsche Invest I Top Dividend Description
306
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Currency futures Currency futures (short) Open positions CHF/CAD 11.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40 625.93 CHF/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -20.32 CHF/NOK 32.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 321.30 CHF/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158.80 CHF/SGD 2.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -28 259.03 EUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.54 EUR/CAD 0.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49.45 EUR/GBP 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 045.67 EUR/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2.44 EUR/JPY 93 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -34 608.05 EUR/NOK 2.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 234.75 GBP/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -23.96 GBP/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -59.65 GBP/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -12.67 SEK/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.02 USD/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2.40 USD/CAD 15.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140 792.57 USD/GBP 10.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 732 684.27 USD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.73 USD/JPY 1530.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -395 180.61 USD/NOK 41.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 094.46 USD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49.99
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.03 0.00 -0.01 0.00 0.00
Closed positions AUD/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/CAD 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/NOK 4.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/SGD 3.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/CHF 5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/JPY 10.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/NOK 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/SGD 1.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR/USD 16.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/CHF 1.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/SGD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY/CHF 1.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY/SGD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/CAD 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/CHF 16.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/GBP 1.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/JPY 213.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/NOK 7.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/SGD 8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.18 -0.10 469.73 2 834.27 0.36 6 700.88 6.30 367.94 0.01 -32.49 13 216.70 4 624.27 -0.05 52.16 210.18 -0.14 1 127.55 50 319.12 -0.28 57 919.90 -0.39 -0.08 7.17 8 910.33 -0.01 700.14 -0.04 -362.79 -0.10 822.47 0.54 0.20 4 987.08 4 739.50 110 716.09 -0.04 -7 783.97 12 741.08 14.20 740.17
Deutsche Invest I Top Dividend Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Currency futures (long) Open positions CHF/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/EUR 17.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/GBP 11 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/JPY 10.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF/USD 64.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/CAD 1.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/EUR 2.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/GBP 1.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/JPY 1.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/NOK 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD/USD 6.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD/EUR 17.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
-5.09 398.69 853.85 494.59 977.04 -15.17 -23.38 51.34 -88.71 -9.57 15 885.91 29 819.55 68 348.07 1.18 -27 865.35 5 782.67 21.40 19 665.62 193 313.76
72 469 -399 -577
0.00 0.00 0.02 -0.01 -0.01 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Cash at bank 136 666 724.86 3.17 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 296 575.10 0.08 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 9 065 188 10 957 091.14 0.25 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 75 120 276 8 067 463.71 0.19 Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 0 0.02 0.00 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 3 225 371 341 925.69 0.01 Hungarian forint. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HUF 27 623 87.22 0.00 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 16 685 11 161.30 0.00 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 585 040 67 829.32 0.00 Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 4 787 356 364 41 898 462.23 0.97 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 44 268 290 30 670 178.51 0.71 New Taiwan dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 396 614 041 11 059 850.37 0.26 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 3 904 866 3 603 669.76 0.08 Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 2 455 355 1 638 902.81 0.04 South Korean won. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 3 191 208 582 2 492 248.43 0.06 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 25 080 238 22 561 279.25 0.52 Time deposits Other assets 14 026 673.99 0.33 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 167 863.16 0.24 Prepaid placement fee **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 219 090.27 0.05 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 636 019.83 0.04 Receivables from exceeding the expense cap. . . . . . . . . . . . . 218.59 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 482.14 0.00 Receivables from share certificate transactions 7 845 877.95 0.18 Total assets *** 4 327 508 490.85 100.33 Other liabilities -5 743 363.36 -0.13 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5 743 363.36 -0.13 Liabilities from share certificate transactions -6 805 064.93 -0.17 Total liabilities -14 021 492.84 -0.33 Net assets 4 313 486 998.01 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.
307
Deutsche Invest I Top Dividend Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class CHF FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 156.11 Class CHF LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 150.43 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 197.48 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 136.18 Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 117.73 Class IDH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 110.96 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 188.74 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 162.57 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 181.00 Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 148.32 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 125.49 Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 120.09 Class GBP C RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 126.14 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 124.26 Class GBP LD DS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 162.67 Class GBP LDMH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 106.47 Class SEK FCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 103.68 Class SEK LCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 096.74 Class SGD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 14.61 Class SGD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 14.93 Class SGD LDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 13.91 Class SGD LDQH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 11.82 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 125.83 Class USD FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100.00 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 151.00 Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 152.60 Class USD LDH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 123.71 Class USD LDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 94.70 Class USD LDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 110.03 Number of shares outstanding Class CHF FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 305 944 Class CHF LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 671 582 Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 415 241 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 835 Class ID. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 544 Class IDH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 96 500 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 398 123 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 055 062 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 105 205 Class ND. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 943 794 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 599 748 Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 445 211 Class GBP C RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 74 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 851 Class GBP LD DS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91 740 Class GBP LDMH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 Class SEK FCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95 Class SEK LCH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91 Class SGD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 87 293 Class SGD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 861 074 Class SGD LDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 128 926 Class SGD LDQH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 873 145 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 226 917 Class USD FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 268 833 Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 802 165 Class USD LDH (P). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 617 119 Class USD LDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 459 Class USD LDQ. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 712 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI World High Dividend Yield in EUR Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 84.996 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 91.277 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 86.132 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes.
308
Deutsche Invest I Top Dividend Market abbreviations
Contracting parties for currency futures State Street Bank London and State Street Bank and Trust Company
Securities lending
The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
Securities loans Total market value in EUR Perpetual
3.00 0.75 2.125 1.00 0.75 2.125
Count Count Count USD USD USD USD USD USD
25 611 177.10 28 220 495.25 82 249 068.85 50 313 826.75 70 785 417.21 47 262 249.00 45 273 369.50 45 086 253.00 62 634 364.38
% % % % % %
BCE, Inc. Enbridge, Inc. TransCanada Corp. United States Treasury Note/Bond 2010/2017 United States Treasury Note/Bond 2012/2017 United States Treasury Note/Bond 2014/2021 United States Treasury Note/Bond 2015/2018 United States Treasury Note/Bond 2015/2018 United States Treasury Note/Bond 2015/2025
607 000 750 000 2 050 000 55 000 000 78 500 000 50 000 000 50 000 000 50 000 000 65 900 000
Total
Total receivables from securities loans 457 436 221.04 457 436 221.04 Contracting parties for securities loans BNP Paribas Arbitrage SNC, Bank of America Merrill Lynch, DekaBank Deutsche Girozentrale, Nomura International PLC, Skandinaviska Enskilda Banken, Société Générale, UBS AG London Branch Total collateral pledged by third parties for securities loans EUR 482 347 622.68 thereof: Bonds EUR 104 733 056.58 Equities EUR 377 614 566.10 Exchange rates (indirect quotes)
As of: June 30, 2016
Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Hungarian forint. . . . . . . . . . . . . . . . . . HUF 316.719933 = EUR 1 Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1 South Korean won. . . . . . . . . . . . . . . . KRW 1 280.453642 = EUR 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1 Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 4.417251 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1 New Taiwan dollar. . . . . . . . . . . . . . . . TWD 35.860706 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Some or all of these securities are lent. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). *** Does not include positions with a negative balance, if such exist.
309
Deutsche Invest I Top Dividend 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
Securities traded on an exchange Equities Baxalta Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count GlaxoSmithKline Plc . . . . . . . . . . . . . . . . . . . . . . . Count Johnson & Johnson. . . . . . . . . . . . . . . . . . . . . . . . Count Pearson Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 162 100 Praxair, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Singapore Post Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count Swedbank AB. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Wincor Nixdorf AG . . . . . . . . . . . . . . . . . . . . . . . . Count Yara International ASA. . . . . . . . . . . . . . . . . . . . . . Count Interest-bearing securities 0.375 % United States Treasury Note 2014/2016 . . . . . . . . . . . . . . . . . . . . . . USD 2.00 % United States Treasury Note/Bond 2011/2016 . . . . . . . . . . . . . . . . . . . . . . USD 0.75 % United States Treasury Note/Bond 2012/2017 . . . . . . . . . . . . . . . . . . . . . . USD 54 934 700 0.75 % United States Treasury Note/Bond 2014/2017 . . . . . . . . . . . . . . . . . . . . . . USD 25 504 700
Currency futures (long) 116 1 021 546 2 729 175 14 294 2 630 293 519
539 304 173 481 497 385 276 120 389
58 098 500 57 956 800 54 934 700 70 466 800
Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Futures contracts Currency futures (short) Futures contracts to sell currencies AUD/CHF EUR CAD/SEK EUR CAD/SGD EUR CHF/CAD EUR CHF/HKD EUR CHF/NOK EUR CHF/SEK EUR CHF/SGD EUR EUR/CAD EUR EUR/CHF EUR EUR/GBP EUR EUR/HKD EUR EUR/JPY EUR EUR/NOK EUR EUR/SEK EUR EUR/SGD EUR EUR/USD EUR GBP/CAD EUR GBP/CHF EUR GBP/JPY EUR GBP/NOK EUR GBP/SEK EUR GBP/SGD EUR HKD/SGD EUR JPY/CHF EUR JPY/SEK EUR JPY/SGD EUR NOK/SEK EUR NOK/SGD EUR SEK/SGD EUR USD/AUD EUR USD/CAD EUR USD/CHF EUR USD/GBP EUR USD/HKD EUR USD/JPY EUR USD/NOK EUR USD/SEK EUR USD/SGD EUR
310
Value (’000)
2 9 3 797 39 740 13 21 967 8 715 27 182 3 085 133 144 5 576 1 4 751 1 631 795 17 024 232 155 3 58 652 4 2 17 6 656 1 50 831 14 5 754 5 2 031 811 3 56 890 449 996 103 713 20 88 223 32 131 12 949 70 608
Futures contracts to purchase currencies AUD/CHF CAD/EUR CAD/SEK CAD/SGD CHF/CAD CHF/EUR CHF/HKD CHF/NOK CHF/SEK CHF/SGD GBP/CAD GBP/CHF GBP/EUR GBP/JPY GBP/NOK GBP/SEK GBP/SGD HKD/EUR HKD/SGD JPY/CHF JPY/EUR JPY/SEK JPY/SGD NOK/EUR NOK/SEK NOK/SGD SEK/EUR SEK/SGD SGD/EUR USD/AUD USD/CAD USD/CHF USD/EUR USD/GBP USD/HKD USD/JPY USD/NOK USD/SEK USD/SGD
options Value (’000)
EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR
2 3 703 10 4 482 33 482 118 079 11 17 738 7 019 25 024 2 71 072 6 750 4 1 19 8 078 1 2 59 664 5 583 15 6 757 2 050 6 2 503 959 1 000 14 979 3 47 848 498 724 216 424 85 889 16 75 204 25 974 10 470 72 781
Deutsche Invest I Top Euroland Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 1 106 528 242.92 Equities Acerinox SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 2 000 000 EUR 9.835 19 670 000.00 Acerinox SA -Rights Exp 13Jul16. . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 2 000 000 EUR 0.445 890 000.00 Allianz SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 298 301 148 200 18 600 EUR 126.15 37 630 671.15 Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 436 168 EUR 116.4 50 769 955.20 Applus Services SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 000 400 000 EUR 8.744 3 497 600.00 ASML Holding NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 189 500 100 000 110 500 EUR 87.58 16 596 410.00 AXA SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 406 201 791 900 EUR 17.55 24 678 827.55 Banco Bilbao Vizcaya Argentaria SA. . . . . . . . . . . . . . . . . . . . . Count 1 360 000 5 360 000 4 000 000 EUR 4.998 6 797 280.00 Banco Santander SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 100 000 12 100 000 3 000 000 EUR 3.395 30 894 500.00 BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 755 500 755 500 EUR 68.1 51 449 550.00 BNP Paribas SA *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 433 636 739 100 EUR 39.39 17 080 922.04 Cap Gemini SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 210 000 210 000 EUR 77.94 16 367 400.00 Deutsche Post AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 829 271 136 800 EUR 25.055 45 832 384.91 Deutsche Telekom AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 568 373 700 000 760 400 EUR 15.13 38 859 483.49 Dialog Semiconductor Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 481 215 300 000 36 000 EUR 26.755 12 874 907.33 Enel SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 884 200 1 349 100 EUR 3.92 38 746 064.00 Essilor International SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 120 000 201 478 EUR 118.75 14 250 000.00 Ferrovial SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 626 172 100 000 964 700 EUR 17.31 10 839 037.32 Flow Traders. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 485 000 150 000 EUR 30.595 14 838 575.00 Fresenius SE & Co. KGaA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 382 919 250 000 28 600 EUR 64.95 24 870 589.05 Gamesa Corp Tecnologica SA. . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 032 059 1 237 300 EUR 17.52 18 081 673.68 HeidelbergCement AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 154 865 40 000 134 800 EUR 67.06 10 385 246.90 Heineken NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 300 000 300 000 EUR 82.74 24 822 000.00 Hera SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 846 822 1 500 000 EUR 2.44 16 706 245.68 Huhtamaki Oyj. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 530 000 530 000 28 600 EUR 36.85 19 530 500.00 Inditex SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 349 100 450 000 100 900 EUR 29.71 40 081 761.00 Indra Sistemas SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 2 000 000 EUR 9.358 18 716 000.00 ING Groep NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 389 260 1 753 500 EUR 9.148 31 004 950.48 Intesa Sanpaolo SpA * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 675 274 4 000 000 14 485 700 EUR 1.644 15 906 150.46 KBC Groep NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 301 500 200 000 372 600 EUR 43.59 13 142 385.00 Koninklijke Ahold NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 688 500 740 000 51 500 EUR 19.785 13 621 972.50 LVMH Moet Hennessy Louis Vuitton SA. . . . . . . . . . . . . . . . . Count 195 400 210 000 14 600 EUR 135.7 26 515 780.00 Moncler SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 986 300 134 600 EUR 14.02 13 827 926.00 NH Hotels SA *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 720 293 328 300 EUR 3.77 21 565 504.61 Nokia Oyj * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 807 400 2 600 000 2 792 600 EUR 5.04 19 189 296.00 Orange SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 127 500 100 000 1 995 100 EUR 14.5 30 848 750.00 OSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 279 100 104 900 EUR 45.89 12 807 899.00 Pernod-Ricard SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 126 600 70 000 271 100 EUR 99.57 12 605 562.00 Renault SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 223 324 40 000 258 700 EUR 68.03 15 192 731.72 Sampo -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 317 383 23 700 EUR 36.11 11 460 700.13 Sanofi. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 300 000 300 000 EUR 73.99 22 197 000.00 SAP AG *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 600 100 615 300 EUR 66.85 40 116 685.00 Schneider Electric SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 880 000 880 000 EUR 52.38 46 094 400.00 Symrise AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 353 600 380 000 26 400 EUR 60.65 21 445 840.00 Technip SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 310 000 310 000 EUR 48.15 14 926 500.00 Teleperformance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 140 000 140 000 EUR 76.35 10 689 000.00 Unilever NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 372 219 317 600 EUR 41.55 57 015 699.45 Vinci SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 483 119 594 600 EUR 63.33 30 595 926.27 Total securities portfolio 1 106 528 242.92 Derivatives (Minus signs denote short positions) Derivatives on individual securities 2 165 905.00 Securities options Receivables/payables Equity options Total SA 09/2016 (EUR). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 000 19 000 2 165 905.00 Currency derivatives 603 938.45 Receivables/payables
% of net assets
95.34 1.70 0.08 3.24 4.37 0.30 1.43 2.13 0.59 2.66 4.43 1.47 1.41 3.95 3.35 1.11 3.34 1.23 0.93 1.28 2.14 1.56 0.90 2.14 1.44 1.68 3.45 1.61 2.67 1.37 1.13 1.17 2.28 1.19 1.86 1.65 2.66 1.10 1.09 1.31 0.99 1.91 3.46 3.97 1.85 1.29 0.92 4.91 2.64 95.34
0.19
0.19 0.05
311
Deutsche Invest I Top Euroland Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Currency futures Currency futures (short) Open positions GBP/EUR 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -9 666.26 0.00 SGD/EUR 0.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 120.50 0.00 SGD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.01 0.00 USD/EUR 40.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 508 582.06 0.04 Closed positions EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -956.14 0.00 EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 659.81 0.00 EUR/USD 8.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99 198.47 0.01 Cash at bank 51 908 099.55 4.47 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 13 104 965.46 1.13 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 17 20.95 0.00 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 16 886 1 813.47 0.00 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 12 260 1 299.67 0.00 Time deposits USD deposits (Norddeutsche Landesbank 0.01% 1/7/2016). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 800 000.00 3.34 Other assets 8 889 411.31 0.77 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 456 973.15 0.30 Prepaid placement fee **. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219 496.75 0.02 Receivables from exceeding the expense cap. . . . . . . . . . . . . 0.01 0.00 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 212 941.40 0.45 Receivables from share certificate transactions 2 333 735.60 0.20 Total assets *** 1 172 439 955.23 101.02 Other liabilities -8 642 591.73 -0.74 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -8 642 591.73 -0.74 Liabilities from share certificate transactions -3 178 127.82 -0.28 Total liabilities -11 831 341.95 -1.02 Net assets 1 160 608 613.28 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 179.45 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.84 Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.41 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 158.94 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 145.14 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 143.88 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 93.84 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 101.49 Class GBP DH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 83.69 Class SGD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 9.56 Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 103.99 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 99.97 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 811 617 Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 831 Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 337 445 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 467 492 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 250 716 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 361 322 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 141 049 Class GBP D RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 666 Class GBP DH RD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 026 Class SGD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 52 476 Class USD FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 022 Class USD LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 397 599
312
Deutsche Invest I Top Euroland Composition of the reference portfolio (according to CSSF circular 11/512) EURO STOXX 50 Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 90.980 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 103.238 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 97.844 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.1, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 81 781 561.31 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes Market abbreviations
Futures exchanges EUR = Eurex Contracting party for currency futures State Street Bank and Trust Company
Securities lending The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
BNP Paribas SA Intesa Sanpaolo SpA NH Hotels SA Nokia Oyj SAP AG
Count Count Count Count Count
Securities loans Total market value in EUR Perpetual
425 000 16 5 435 000 8 1 250 000 4 1 000 000 5 590 000 39
740 935 712 040 441
Total
750.00 140.00 500.00 000.00 500.00
Total receivables from securities loans 74 869 890.00 74 869 890.00 Contracting parties for securities loans Nomura International PLC, Skandinaviska Enskilda Banken and Societe Generale. Total collateral pledged by third parties for securities loans EUR 79 620 045.38 thereof: Bonds EUR 19 545 501.95 Equities EUR 60 074 543.43 Exchange rates (indirect quotes) As of: June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Some or all of these securities are lent. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). *** Does not include positions with a negative balance, if such exist.
313
Deutsche Invest I Top Euroland 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
Securities traded on an exchange Equities Anima Holding SpA. . . . . . . . . . . . . . . . . . . . . . . . Count 1 400 000 Bayer AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Ferrovial SA -Rights Exp 17Jun16. . . . . . . . . . . . . Count 986 172 GEA Group AG . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 339 100 GrandVision NV. . . . . . . . . . . . . . . . . . . . . . . . . . . Count International Consolidated Airlines Group SA. . . . Count Luxottica Group SpA. . . . . . . . . . . . . . . . . . . . . . . Count Mediaset SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Societe Generale SA. . . . . . . . . . . . . . . . . . . . . . . Count Telefonica Deutschland Holding AG. . . . . . . . . . . Count 300 000 Telefonica SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count United Internet AG -Reg-. . . . . . . . . . . . . . . . . . . . Count Wirecard AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Zalando SE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count
314
3 200 590 807 986 339 1 114 4 050 410 3 100 1 226 5 552 4 020 380 777 681
000 000 482 172 100 711 218 107 000 021 000 142 931 517 000
options
Value (’000) Futures contracts Securities futures Equity futures Contracts sold (Underlying: Total) EUR 178 055 Equity index futures Contracts sold (Underlying: DJ Euro Stoxx 50) EUR 30 850 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 1 498 EUR/SGD EUR 2 417 EUR/USD EUR 372 130 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 1 235 SGD/EUR EUR 1 971 USD/EUR EUR 299 646
Deutsche Invest I Top Europe Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
Securities traded on an exchange 130 786 553.05 Equities Actelion Ltd -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 350 2 000 CHF 162.8 1 855 496.68 Dufry AG *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 510 2 400 3 000 CHF 116.1 2 090 394.78 Geberit AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 6 000 CHF 367.2 2 033 259.20 Kuehne + Nagel International AG. . . . . . . . . . . . . . . . . . . . . . . Count 19 000 1 800 CHF 135.2 2 370 659.15 Nestle SA -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 800 8 000 CHF 75 2 408 681.24 Roche Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 400 2 000 1 700 CHF 253.5 5 942 244.31 Straumann Holding AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 200 2 300 CHF 386.25 3 635 862.81 Syngenta AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 200 5 200 CHF 372 1 785 192.72 Chr Hansen Holding A/S. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 000 DKK 436.8 2 054 886.66 Coloplast A/S. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 000 13 000 DKK 496.7 867 910.04 Novo Nordisk A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 900 10 000 DKK 355.3 1 618 945.03 Acerinox SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 000 70 000 EUR 9.835 688 450.00 Acerinox SA -Rights Exp 13Jul16. . . . . . . . . . . . . . . . . . . . . . . Count 70 000 70 000 EUR 0.445 31 150.00 Allianz SE -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 800 14 800 EUR 126.15 1 867 020.00 Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 200 EUR 116.4 2 002 080.00 ASML Holding NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 200 EUR 87.58 2 382 176.00 AXA SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 66 140 16 700 EUR 17.55 1 160 757.00 Banco Santander SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 300 000 390 000 90 000 EUR 3.395 1 018 500.00 Bank Austria -Rights Exp 08Aug08. . . . . . . . . . . . . . . . . . . . . . Count 143 780 EUR 0 14.38 BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 000 32 000 EUR 68.1 2 179 200.00 BNP Paribas SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 200 35 000 EUR 39.39 835 068.00 Cap Gemini SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 000 20 000 EUR 77.94 1 558 800.00 Deutsche Post AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 107 300 EUR 25.055 2 688 401.50 Deutsche Telekom AG -Reg-. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 120 500 35 000 39 800 EUR 15.13 1 823 165.00 Dialog Semiconductor Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 000 27 000 EUR 26.755 722 385.00 Enel SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 700 730 100 000 EUR 3.92 2 746 861.60 Essilor International SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 070 10 000 EUR 118.75 1 552 062.50 Ferrovial SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 90 190 68 600 EUR 17.31 1 561 188.90 Fresenius SE & Co. KGaA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 100 EUR 64.95 2 669 445.00 Gamesa Corp Tecnologica SA. . . . . . . . . . . . . . . . . . . . . . . . . . Count 150 000 86 000 EUR 17.52 2 628 000.00 HeidelbergCement AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 919 3 800 13 000 EUR 67.06 1 402 828.14 Heineken NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 000 32 000 EUR 82.74 2 647 680.00 Immoeast AG *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 900 000 EUR 0 390.00 Inditex SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 94 440 45 000 28 350 EUR 29.71 2 805 812.40 Indra Sistemas SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 812 115 812 EUR 9.358 1 083 768.70 ING Groep NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 354 570 46 900 EUR 9.148 3 243 606.36 Intesa Sanpaolo SpA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 546 400 550 000 EUR 1.644 898 281.60 KBC Groep NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 000 14 000 EUR 43.59 1 482 060.00 Koninklijke Ahold NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 75 200 75 200 EUR 19.785 1 487 832.00 Moncler SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 96 900 35 000 EUR 14.02 1 358 538.00 NH Hotels SA *. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 468 000 EUR 3.77 1 764 360.00 Nokia Oyj. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 310 000 50 000 EUR 5.04 1 562 400.00 Orange SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 190 600 91 400 EUR 14.5 2 763 700.00 Pernod-Ricard SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 000 2 000 26 440 EUR 99.57 1 393 980.00 Renault SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 700 EUR 68.03 1 816 401.00 Sampo -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 190 EUR 36.11 1 667 920.90 SAP AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 500 2 000 31 000 EUR 66.85 1 905 225.00 Schneider Electric SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 63 000 63 000 EUR 52.38 3 299 940.00 Symrise AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 000 30 000 EUR 60.65 1 819 500.00 Teleperformance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 000 9 000 EUR 76.35 687 150.00 Total SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 580 38 580 EUR 43.05 1 660 869.00 Vinci SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 100 7 000 47 000 EUR 63.33 1 272 933.00 Auto Trader Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 320 000 320 000 GBP 3.471 1 342 527.12 BHP Billiton Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 180 000 180 000 GBP 9.261 2 014 878.51 Compass Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 140 000 140 000 GBP 14.01 2 370 743.93 Croda International Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 917 35 918 1 GBP 30.68 1 331 906.95 ICAP Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 160 000 40 000 GBP 4.084 789 812.84 IMI Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 120 000 120 000 GBP 9.48 1 375 016.97 Reckitt Benckiser Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 100 10 000 GBP 73.36 4 087 697.26 Rentokil Initial Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 140 000 1 140 000 GBP 1.908 2 628 378.30 Royal Dutch Shell Plc -A-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 97 870 GBP 20.055 2 372 415.38 Royal Dutch Shell Plc -B-. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 148 835 25 655 GBP 20.155 3 625 820.92 Unilever Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 75 800 40 000 10 000 GBP 34.99 3 205 764.56 WPP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 166 700 101 700 15 000 GBP 15.45 3 113 024.65 DNB ASA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 000 100 000 NOK 99.8 1 071 791.69 Marine Harvest ASA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 170 100 20 000 20 000 NOK 139.5 2 548 345.83 Svenska Cellulosa AB SCA. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 67 300 7 200 SEK 267.5 1 908 494.54 Certificates DWS GO SA - DWS UK Best Picks TR Index Certificate. . . . .
Count
25 000
EUR
87.86
2 196 500.00
Total securities portfolio 130 786 553.05
% of net assets
98.21 1.39 1.57 1.53 1.78 1.81 4.46 2.73 1.34 1.54 0.65 1.22 0.52 0.02 1.40 1.50 1.79 0.87 0.77 0.00 1.64 0.63 1.17 2.02 1.37 0.54 2.06 1.17 1.17 2.00 1.97 1.05 1.99 0.00 2.11 0.81 2.44 0.67 1.11 1.12 1.02 1.33 1.17 2.08 1.05 1.36 1.25 1.43 2.48 1.37 0.52 1.25 0.96 1.01 1.51 1.78 1.00 0.59 1.03 3.07 1.97 1.78 2.72 2.41 2.34 0.81 1.91 1.43 1.65 98.21
315
Deutsche Invest I Top Europe Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Currency Market price additions disposals in the reporting period
Total market value in EUR
% of net assets
Derivatives (Minus signs denote short positions) Derivatives on individual securities 192 754.01 0.14 Warrants on securities Equity warrants BG Group 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 100 192 754.01 0.14 Currency derivatives 62 997.65 0.05 Receivables/payables Currency futures Currency futures (long) Open positions GBP/EUR 5.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62 997.65 0.05 Cash at bank 1 751 697.06 1.32 Demand deposits at Depositary EUR deposits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 710 778.79 1.28 Deposits in other EU/EEA currencies Danish krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 74 358 9 994.58 0.01 Norwegian krone. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 93 564 10 048.18 0.01 Swedish krona. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 92 161 9 770.09 0.01 Deposits in non-EU/EEA currencies Australian dollar. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 872 583.62 0.00 Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 310 35.99 0.00 Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 1 0.38 0.00 Swiss franc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 10 752 9 922.66 0.01 South African rand. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 1 010 61.73 0.00 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 557 501.04 0.00 Other assets 408 351.44 0.31 Dividends receivable. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 408 351.44 0.31 Receivables from share certificate transactions 270 166.59 0.20 Total assets 133 472 634.63 100.23 Short-term liabilities -13 730.31 -0.01 Loans in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP -11 360 -13 730.31 -0.01 Other liabilities -229 421.10 -0.17 Liabilities from cost items. . . . . . . . . . . . . . . . . . . . . . . . . . . . . -229 421.10 -0.17 Liabilities from share certificate transactions -64 249.00 -0.05 Total liabilities -307 515.24 -0.23 Net assets 133 165 119.39 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 172.15 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 152.90 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 150.51 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 138.02 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 88.23 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 109 640 Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 369 760 Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 433 Class NC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 376 491 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 629
316
Deutsche Invest I Top Europe Composition of the reference portfolio (according to CSSF circular 11/512) MSCI EUROPE in EUR Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 97.840 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 107.026 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 102.238 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.2, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 12 158 234.75 as of the reporting date. Market abbreviations
Futures exchanges EUR = Eurex Contracting party for currency futures Deutsche Bank AG Frankfurt
Securities lending The following securities were transferred under securities loans at the reporting date: Security description
Quantity/ Limited maturity principal amount (– / ’000)
Securities loans Total market value in EUR Perpetual
Total
Dufry AG Count 18 794 2 013 679.11 Immoeast AG Count 885 241 88.52 NH Hotels SA Count 341 859 1 288 808.43 Total receivables from securities loans 3 302 576.06 3 302 576.06 Contracting parties for securities loans Crédit Suisse Securities (Europe) Ltd. EQ, Goldman Sachs Int., Merrill Lynch International Total collateral pledged by third parties for securities loans EUR 3 467 569.45 thereof: Bonds EUR 2 939.00 Equities EUR 3 464 630.45 Exchange rates (indirect quotes) As of: June 30, 2016 Australian dollar. . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1 Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1 Swiss franc. . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1 Danish krone. . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1 Norwegian krone. . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1 Swedish krona. . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 South African rand. . . . . . . . . . . . . . . . ZAR 16.360704 = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnote * Some or all of these securities are lent.
317
Deutsche Invest I Top Europe 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
Securities traded on an exchange Equities Anima Holding SpA. . . . . . . . . . . . . . . . . . . . . . . . Count Bayer AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count BG Group Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Croda International Plc . . . . . . . . . . . . . . . . . . . . . Count Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Ferrovial SA -Rights Exp 17Jun16. . . . . . . . . . . . . Count 134 190 International Consolidated Airlines Group SA. . . . Count ITV Plc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Lloyds Banking Group Plc. . . . . . . . . . . . . . . . . . . Count Luxottica Group SpA. . . . . . . . . . . . . . . . . . . . . . . Count Meda AB. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Société Générale SA. . . . . . . . . . . . . . . . . . . . . . . Count Syngenta AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Telefonica Deutschland Holding AG. . . . . . . . . . . Count Telefonica SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Telenor ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count TUI AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 159 800 TUI AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 109 800 UBS Group AG . . . . . . . . . . . . . . . . . . . . . . . . . . . Count Unilever NV. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count United Internet AG -Reg-. . . . . . . . . . . . . . . . . . . . Count Wirecard AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count
318
195 18 57 45 40 134 493 831 2 859 40 125 66 5 499 143 109 159 219 153 77 43 84
100 370 600 500 900 190 500 650 900 100 000 800 200 900 000 830 800 600 400 450 530 350
options
Value (’000) Futures contracts Securities futures Equity futures Contracts sold (Underlying: BG Group) EUR 4 000 Equity index futures Contracts sold (Underlying: DJ Euro Stoxx 50) EUR 3 014 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 44 662 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 29 788
Deutsche Invest I USD Corporate Bonds Investment portfolio – June 30, 2016 Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Securities traded on an exchange Interest-bearing securities 3.60 % AbbVie, Inc. 2015/2025. . . . . . . . . . . . . . . . . . . . . . . USD 70 000 70 000 % 105.022 4.50 % AbbVie, Inc. 2015/2035. . . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 % 104.904 4.70 % AbbVie, Inc. 2015/2045. . . . . . . . . . . . . . . . . . . . . . . USD 85 000 85 000 % 104.637 3.20 % AbbVie, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . . USD 340 000 340 000 % 101.474 3.00 % Actavis Funding SCS 2015/2020. . . . . . . . . . . . . . . . USD 125 000 125 000 % 103.018 4.75 % Actavis Funding SCS 2015/2045. . . . . . . . . . . . . . . . USD 75 000 75 000 % 105.483 3.25 % Actavis, Inc. 2012/2022. . . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 % 102.438 2.80 % Aetna, Inc. 2016/2023. . . . . . . . . . . . . . . . . . . . . . . . USD 115 000 115 000 % 101.98 4.375 % Aetna, Inc. 2016/2046. . . . . . . . . . . . . . . . . . . . . . . . USD 150 000 150 000 % 104.545 3.60 % Alibaba Group Holding Ltd 2015/2024 . . . . . . . . . . . USD 270 000 270 000 % 102.916 9.95 % Altria Group, Inc. 2008/2038. . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 180.425 3.125 % America Movil SAB de CV 2012/2022 . . . . . . . . . . . USD 270 000 270 000 % 102.721 3.30 % American International Group, Inc. 2016/2021. . . . . USD 160 000 160 000 % 104.054 3.30 % American Tower Corp. 2016/2021 . . . . . . . . . . . . . . USD 80 000 80 000 % 104.284 4.85 % Anadarko Petroleum Corp. 2016/2021 . . . . . . . . . . . USD 55 000 55 000 % 105.987 5.55 % Anadarko Petroleum Corp. 2016/2026 . . . . . . . . . . . USD 215 000 215 000 % 111.174 6.60 % Anadarko Petroleum Corp. 2016/2046 . . . . . . . . . . . USD 85 000 85 000 % 119.598 3.65 % Anheuser-Busch InBev Finance, Inc. 2016/2026 . . . USD 510 000 510 000 % 107.293 4.70 % Anheuser-Busch InBev Finance, Inc. 2016/2036 . . . USD 95 000 95 000 % 112.655 4.90 % Anheuser-Busch InBev Finance, Inc. 2016/2046 . . . USD 225 000 225 000 % 117.742 3.30 % Anthem, Inc. 2012/2023. . . . . . . . . . . . . . . . . . . . . . USD 70 000 70 000 % 103.853 3.375 % AstraZeneca Plc 2015/2025 . . . . . . . . . . . . . . . . . . . USD 185 000 185 000 % 105.136 4.375 % AstraZeneca Plc 2015/2045 . . . . . . . . . . . . . . . . . . . USD 125 000 125 000 % 108.97 4.35 % AT&T, Inc. 2013/2045. . . . . . . . . . . . . . . . . . . . . . . . USD 45 000 45 000 % 97.161 2.45 % AT&T, Inc. 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 % 101.917 3.40 % AT&T, Inc. 2015/2025. . . . . . . . . . . . . . . . . . . . . . . . USD 255 000 255 000 % 102.277 4.75 % AT&T, Inc. 2015/2046. . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 102.989 3.80 % AT&T, Inc. 2016/2022. . . . . . . . . . . . . . . . . . . . . . . . USD 65 000 65 000 % 106.505 4.125 % AT&T, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . . . USD 320 000 320 000 % 107.678 3.00 % Banco Bilbao Vizcaya Argentaria SA 2015/2020. . . . USD 320 000 320 000 % 102.056 3.30 % Bank of America Corp. (MTN) 2013/2023. . . . . . . . . USD 145 000 145 000 % 103.196 4.375 % Barclays Plc 2016/2026. . . . . . . . . . . . . . . . . . . . . . . USD 325 000 325 000 % 101.217 4.375 % BBVA Bancomer SA/Texas 144A 2014/2024. . . . . . USD 150 000 150 000 % 104.755 1.45 % Branch Banking & Trust Co. 2016/2019. . . . . . . . . . USD 250 000 250 000 % 100.294 2.95 % Capital One NA/Mclean VA 2014/2021. . . . . . . . . . . USD 340 000 340 000 % 102.45 5.25 % CBL & Associates LP 2013/2023 . . . . . . . . . . . . . . . USD 270 000 270 000 % 98.194 4.60 % CBL & Associates LP 2014/2024 . . . . . . . . . . . . . . . USD 125 000 125 000 % 90.193 2.381 % CC Holdings GS V LLC via Crown Castle GS III Corp. 2013/2017. . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 60 000 60 000 % 101.029 2.55 % Citizens Bank NA/Providence RI (MTN) 2016/2021. USD 250 000 250 000 % 100.974 4.15 % Co.noCo.Phillips Co. 2014/2034. . . . . . . . . . . . . . . . USD 175 000 175 000 % 101.532 4.20 % ConocoPhillips Co. 2016/2021 . . . . . . . . . . . . . . . . . USD 90 000 90 000 % 108.216 3.40 % Crown Castle International Corp. 2016/2021 . . . . . . USD 140 000 140 000 % 104.5 3.70 % Crown Castle International Corp. 2016/2026 . . . . . . USD 250 000 250 000 % 102.782 5.125 % CVS Health Corp. 2015/2045 . . . . . . . . . . . . . . . . . . USD 160 000 160 000 % 124.742 4.25 % Ecopetrol SA 2013/2018. . . . . . . . . . . . . . . . . . . . . . USD 190 000 190 000 % 104.019 4.65 % Energy Transfer Partners LP 2011/2021. . . . . . . . . . USD 90 000 90 000 % 103.37 5.95 % Energy Transfer Partners LP 2013/2043. . . . . . . . . . USD 55 000 55 000 % 99.906 4.868 % Everest Reinsurance Holdings, Inc. 2014/2044 . . . . USD 165 000 165 000 % 102.689 5.10 % Exelon Corp. 2016/2045. . . . . . . . . . . . . . . . . . . . . . USD 80 000 80 000 % 115.767 4.114 % Exxon Mobil Corp. 2016/2046. . . . . . . . . . . . . . . . . . USD 150 000 150 000 % 113.347 4.55 % FedEx Corp. 2016/2046. . . . . . . . . . . . . . . . . . . . . . . USD 90 000 90 000 % 108.826 3.625 % Fidelity National Information Services, Inc. 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 210 000 210 000 % 105.9 4.75 % FS Investment Corp. 2015/2022. . . . . . . . . . . . . . . . USD 120 000 120 000 % 101.606 5.95 % Gap, Inc./The 2011/2021. . . . . . . . . . . . . . . . . . . . . . USD 480 000 480 000 % 105.003 4.418 % GE Capital International Funding Co. 144A 2015/2035. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 270 000 270 000 % 112.638 6.75 % General Motors Co. 2016/2046. . . . . . . . . . . . . . . . . USD 200 000 200 000 % 120.32 3.20 % General Motors Financial Co., Inc. 2015/2020 . . . . . USD 220 000 220 000 % 101.437 3.75 % Government Properties Income Trust 2014/2019. . USD 170 000 170 000 % 102.307 3.80 % Halliburton Co 2015/2025. . . . . . . . . . . . . . . . . . . . . USD 430 000 430 000 % 104.239 3.375 % Healthcare Trust of America Holdings LP 2014/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 185 000 185 000 % 102.083 3.00 % Home Depot, Inc./The 2016/2026. . . . . . . . . . . . . . . USD 160 000 160 000 % 106.507 5.00 % Hospitality Properties Trust 2012/2022. . . . . . . . . . . USD 195 000 195 000 % 106.63 5.625 % HSBC Holdings Plc 2014/2049 *. . . . . . . . . . . . . . . . USD 215 000 215 000 % 96.196 3.90 % HSBC Holdings Plc 2016/2026. . . . . . . . . . . . . . . . . USD 710 000 710 000 % 102.855 3.75 % IPIC GMTN Ltd 144A 2011/2017 . . . . . . . . . . . . . . . USD 200 000 200 000 % 101.702 5.125 % Jefferies Group LLC 2011/2018 . . . . . . . . . . . . . . . . USD 225 000 225 000 % 104.595 6.50 % Jefferies Group LLC 2013/2043 . . . . . . . . . . . . . . . . USD 60 000 60 000 % 99.43 3.70 % Johnson & Johnson 2016/2046 . . . . . . . . . . . . . . . . USD 145 000 145 000 % 112.63 3.20 % JPMorgan Chase & Co. 2013/2023. . . . . . . . . . . . . . USD 270 000 270 000 % 103.801 6.375 % Kinder Morgan Energy Partners LP 2011/2041. . . . . USD 20 000 20 000 % 105.317 3.45 % Kinder Morgan Energy Partners LP 2012/2023. . . . . USD 115 000 115 000 % 97.744 2.125 % Korea National Oil Corp. 144A 2016/2024 . . . . . . . . USD 200 000 200 000 % 100.554 5.625 % Legg Mason, Inc. 2014/2044 . . . . . . . . . . . . . . . . . . USD 155 000 155 000 % 103.878 4.65 % Lloyds Banking Group Plc 2016/2026. . . . . . . . . . . . USD 395 000 395 000 % 101.206 4.125 % Loews Corp. 2013/2043. . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 % 100.953 3.45 % Macy‘s Retail Holdings, Inc. 2015/2021. . . . . . . . . . USD 300 000 300 000 % 102.659
Total market value in USD
% of net assets
24 549 080.59
65.98
73 515.40 110 149.20 88 941.45 345 011.60 128 772.50 79 112.25 107 559.90 117 277.00 156 817.50 277 873.20 360 850.00 277 346.70 166 486.40 83 427.20 58 292.85 239 024.10 101 658.30 547 194.30 107 022.25 264 919.50 72 697.10 194 501.60 136 212.50 43 722.45 107 012.85 260 806.35 102 989.00 69 228.25 344 569.60 326 579.20 149 634.20 328 955.25 157 132.50 250 735.00 348 331.70 265 123.80 112 741.25
0.20 0.30 0.24 0.93 0.35 0.21 0.29 0.32 0.42 0.75 0.97 0.75 0.45 0.22 0.16 0.64 0.27 1.47 0.29 0.71 0.20 0.52 0.37 0.12 0.29 0.70 0.28 0.19 0.93 0.88 0.40 0.88 0.42 0.67 0.94 0.71 0.30
60 617.40 252 435.00 177 681.00 97 393.95 146 300.00 256 953.75 199 587.20 197 636.10 93 033.00 54 948.30 169 436.85 92 613.84 170 020.50 97 943.40
0.16 0.68 0.48 0.26 0.39 0.69 0.54 0.53 0.25 0.15 0.46 0.25 0.46 0.26
222 391.05 121 927.80 504 014.40
0.60 0.33 1.35
304 240 223 173 448
123.95 639.00 161.40 921.90 227.70
0.82 0.65 0.60 0.47 1.20
188 853.55 170 411.20 207 928.50 206 821.40 730 270.50 203 404.00 235 338.75 59 657.70 163 314.23 280 262.70 21 063.40 112 405.03 201 107.00 161 010.13 399 763.70 106 000.65 307 977.00
0.51 0.46 0.56 0.56 1.96 0.55 0.63 0.16 0.44 0.75 0.06 0.30 0.54 0.43 1.07 0.28 0.83
319
Deutsche Invest I USD Corporate Bonds Description
4.90 % Manulife Financial Corp. 2010/2020. . . . . . . . . . . . . 5.375 % Manulife Financial Corp. 2016/2046. . . . . . . . . . . . . 3.00 % Molson Coors Brewing Co. 2016/2026. . . . . . . . . . . 4.20 % Molson Coors Brewing Co. 2016/2046. . . . . . . . . . . 4.95 % Omega Healthcare Investors, Inc. 2014/2024. . . . . 3.375 % ONEOK Partners LP 2012/2022 . . . . . . . . . . . . . . . . 4.45 % PepsiCo, Inc. 2015/2046. . . . . . . . . . . . . . . . . . . . . . 2.707 % Petronas Global Sukuk Ltd 144A 2015/2020 . . . . . . 4.25 % Philip Morris International, Inc. 2014/2044. . . . . . . . 2.85 % Plains All American Pipeline LP Via PAA Finance Corp. 2012/2023. . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.50 % Regency Energy Partners LP via Regency Energy Finance Corp. 2012/2023 . . . . . . . . . . . . . . . . . . . . . 2.25 % Regions Bank/Birmingham AL 2015/2018 . . . . . . . . 2.90 % Republic Services, Inc. 2016/2026 . . . . . . . . . . . . . . 7.25 % Reynolds American, Inc. 2007/2037. . . . . . . . . . . . . 3.75 % Rio Tinto Finance USA Ltd 2015/2025 . . . . . . . . . . . 4.50 % Santander Holdings USA, Inc. 2015/2025. . . . . . . . . 2.70 % Santander Holdings USA, Inc. 2016/2019. . . . . . . . . 2.50 % Santander UK Plc 2016/2019 . . . . . . . . . . . . . . . . . . 4.15 % Select Income Reit 2015/2022. . . . . . . . . . . . . . . . . 4.00 % Shell International Finance BV 2016/2046 . . . . . . . . 1.75 % Sinopec Group Overseas Development 2014 Ltd 144A 2014/2017. . . . . . . . . . . . . . . . . . . . . . . . . 2.125 % Sinopec Group Overseas Development 2016 Ltd 144A 2016/2019. . . . . . . . . . . . . . . . . . . . . . . . . 3.40 % Solvay Finance America LLC 144A 2015/2020. . . . . 3.25 % Southern Co./The 2016/2026 . . . . . . . . . . . . . . . . . . 3.05 % Standard Chartered Plc 144A 2016/2021. . . . . . . . . 4.05 % Standard Chartered Plc 144A 2016/2026. . . . . . . . . 3.50 % Stryker Corp. 2016/2026. . . . . . . . . . . . . . . . . . . . . . 4.625 % Stryker Corp. 2016/2046. . . . . . . . . . . . . . . . . . . . . . 5.30 % Sunoco Logistics Partners Operations LP 2014/2044. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.40 % Sunoco Logistics Partners Operations LP 2015/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.00 % UBS Group Funding Jersey Ltd 144A 2016/2021. . . 4.125 % UBS Group Funding Jersey Ltd 144A 2016/2026. . . 2.50 % United States Treasury Note/Bond 2016/2046. . . . . 4.672 % Verizon Communications Inc 2015/2055. . . . . . . . . . 3.50 % Verizon Communications, Inc. 2014/2024. . . . . . . . . 4.272 % Verizon Communications, Inc. 2015/2036. . . . . . . . . 4.30 % VISA Inc 2015/2045. . . . . . . . . . . . . . . . . . . . . . . . . . 4.80 % Voya Financial, Inc. 2016/2046. . . . . . . . . . . . . . . . . 4.90 % Wells Fargo & Co 2015/2045 . . . . . . . . . . . . . . . . . . 1.75 % Wells Fargo Bank NA 2016/2019 . . . . . . . . . . . . . . . 2.60 % Westpac Banking Corp. 2015/2020. . . . . . . . . . . . . . 4.00 % Williams Partners LP 2011/2021. . . . . . . . . . . . . . . . 3.60 % Williams Partners LP 2015/2022. . . . . . . . . . . . . . . . 5.25 % Yapi ve Kredi Bankasi AS 144A 2013/2018. . . . . . . . 4.50 % Zoetis, Inc. 2015/2025. . . . . . . . . . . . . . . . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
USD USD USD USD USD USD USD USD USD
85 95 150 170 195 80 105 320 95
USD
USD USD USD USD USD USD USD USD USD USD
USD
USD USD USD USD USD USD USD
USD
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
000 000 000 000 000 000 000 000 000
Purchases/ Sales/ Market price additions disposals in the reporting period
000 000 130 000 000 000 000 000 000 000 000
% % % % % % % % %
280 000
280 000
%
150 250 60 190 150 185 360 270 200 125
150 250 60 190 150 185 360 270 200 245
000 000 000 000 000 000 000 000 000 000 120 000
% % % % % % % % % %
200 000
200 000
%
312 200 475 360 325 52 59
312 200 475 360 325 52 59
000 000 000 000 000 000 000
90 000
000 000 000 000 000 000 000 000 000 000
000 000 000 000 000 000 000
90 000 185 270 420 90 240 315 115 270 165 180 450 230 230 85 200 154
000 000 000 000 000 000 000 000 000 000 000 000 000 000 000 000
85 225 150 170 195 80 105 320 95
185 270 420 967 240 315 115 270 165 180 450 230 230 85 200 154
000 000 000 000 877 000 000 000 000 000 000 000 000 000 000 000 000 000
110.716 117.81 100.152 100.665 102.272 98.08 116.815 101.184 111
Total market value in USD
94 111 150 171 199 78 122 323 105
109.03 919.03 228.00 130.50 430.40 463.60 655.75 788.80 450.00
0.25 0.30 0.40 0.46 0.54 0.21 0.33 0.87 0.28
92.258
258 323.80
0.69
100.807 100.698 101.213 137.901 104.967 103.229 100.337 100.846 100.384 103.276
151 210.50 251 743.75 60 727.80 262 011.90 157 450.50 190 973.65 361 213.20 272 284.20 200 769.00 129 095.00
0.41 0.68 0.16 0.70 0.42 0.51 0.97 0.73 0.54 0.35
100.256
200 512.00
0.54
% % % % % % %
100.524 104.307 104.092 101.739 100.715 106.362 112.552
313 208 494 366 327 55 66
634.88 614.00 437.00 260.40 323.75 308.24 405.68
0.84 0.56 1.33 0.98 0.88 0.15 0.18
%
98.544
88 690.05
0.24
% % % % % % % % % % % % % % % %
105.222 101.756 104.046 104.5 100.436 106.493 102.832 116.403 100.56 110.097 101.168 103.274 98.931 94.096 104.17 110.298
194 274 436 94 241 335 118 314 165 198 455 237 227 79 208 169
659.78 741.20 993.20 050.00 046.40 452.95 256.80 288.10 924.00 174.60 256.00 530.20 541.30 981.60 340.00 858.92
Securities admitted to or included in organized markets 10 974 288.53 Interest-bearing securities 4.50 % AIA Group Ltd 144A 2016/2046. . . . . . . . . . . . . . . . USD 270 000 270 000 % 109.053 294 443.10 5.25 % Apollo Investment Corp. 2015/2025. . . . . . . . . . . . . USD 190 000 190 000 % 99.746 189 516.45 3.45 % Apple, Inc. 2015/2045. . . . . . . . . . . . . . . . . . . . . . . . USD 75 000 75 000 % 94.888 71 166.00 3.875 % Ares Capital Corp. 2014/2020. . . . . . . . . . . . . . . . . . USD 160 000 160 000 % 103.459 165 534.40 6.05 % Barclays Bank Plc 144A 2007/2017 . . . . . . . . . . . . . USD 225 000 225 000 % 104.965 236 171.25 4.70 % Burlington Northern Santa Fe LLC 2015/2045 . . . . . USD 65 000 65 000 % 117.888 76 626.88 4.50 % Caixa Economica Federal 144A 2013/2018. . . . . . . . USD 200 000 200 000 % 100.067 200 134.00 3.875 % Celgene Corp. 2015/2025. . . . . . . . . . . . . . . . . . . . . USD 175 000 175 000 % 107.05 187 337.50 5.00 % Celgene Corp. 2015/2045. . . . . . . . . . . . . . . . . . . . . USD 35 000 35 000 % 110.979 38 842.65 3.579 % Charter Communications Operating LLC Via Charter Communications Operating Capital 144A 2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 % 104.416 109 637.33 4.908 % Charter Communications Operating LLC Via Charter Communications Operating Capital 144A 2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 160 000 160 000 % 109.272 174 835.20 6.484 % Charter Communications Operating LLC Via Charter Communications Operating Capital 144A 2015/2045 . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 120.81 120 809.50 1.55 % Citigroup, Inc. 2014/2017 . . . . . . . . . . . . . . . . . . . . . USD 340 000 340 000 % 100.272 340 923.10 2.375 % Credit Agricole SA/London 144A 2016/2021 . . . . . . USD 250 000 250 000 % 101.106 252 765.00 3.80 % Credit Suisse Group Funding Guernsey Ltd 144A 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 99.926 499 630.00 3.48 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2019. . . . . . . . . . . . . . . . . USD 200 000 200 000 % 102.192 204 384.00 4.42 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2021. . . . . . . . . . . . . . . . . USD 165 000 165 000 % 103.001 169 951.65 5.45 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2023. . . . . . . . . . . . . . . . . USD 120 000 120 000 % 103.184 123 820.80
320
% of net assets
0.52 0.74 1.17 0.25 0.65 0.90 0.32 0.84 0.45 0.53 1.22 0.64 0.61 0.21 0.56 0.46 29.45 0.79 0.51 0.19 0.44 0.63 0.21 0.54 0.50 0.10 0.29 0.47 0.32 0.92 0.68 1.34 0.55 0.46 0.33
Deutsche Invest I USD Corporate Bonds Description
8.10 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2036 . . . . . . . . . . . . . . . . . . . . . . . 4.875 % Discovery Communications LLC 2013/2043. . . . . . . 4.875 % Electricite de France SA 144A 2014/2044 . . . . . . . . 4.75 % Electricite de France SA 144A 2015/2035 . . . . . . . . 4.50 % Express Scripts Holding Co. 2016/2026. . . . . . . . . . 4.80 % Express Scripts Holding Co. 2016/2046. . . . . . . . . . 4.875 % Forest Laboratories LLC 144A 2014/2021 . . . . . . . . 3.20 % General Motors Financial Co., Inc. 2016/2021 . . . . . 4.75 % Gilead Sciences Inc 2015/2046. . . . . . . . . . . . . . . . . 4.625 % Glencore Funding LLC 144A 2014/2024. . . . . . . . . . 3.60 % Hewlett Packard Enterprise Co. 144A 2015/2020 . . 4.90 % Hewlett Packard Enterprise Co. 144A 2015/2025 . . 6.375 % HSBC Holdings Plc 2015/2049 *. . . . . . . . . . . . . . . . 3.00 % Hyundai Capital America 144A 2015/2020. . . . . . . . 2.375 % Intesa Sanpaolo SpA 2014/2017. . . . . . . . . . . . . . . . 5.125 % KKR Group Finance Co III LLC 144A 2014/2044. . . . 4.65 % KLA-Tencor Corp. 2014/2024 . . . . . . . . . . . . . . . . . . 4.375 % Kraft Heinz Foods Co. 144A 2016/2046. . . . . . . . . . 2.75 % Lam Research Corp. 2015/2020. . . . . . . . . . . . . . . . 3.90 % Lam Research Corp. 2016/2026. . . . . . . . . . . . . . . . 6.00 % Macquarie Group Ltd 144A 2010/2020. . . . . . . . . . . 4.50 % Massachusetts Mutual Life Insurance Co. 144A 2015/2065. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.878 % Molex Electronic Technologies LLC 144A 2015/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.15 % Mylan NV 144A 2016/2021. . . . . . . . . . . . . . . . . . . . 5.25 % Mylan NV 144A 2016/2046. . . . . . . . . . . . . . . . . . . . 2.65 % Oracle Corp. 2016/2026 . . . . . . . . . . . . . . . . . . . . . . 3.30 % Penske Truck Leasing Co Lp / PTL Finance Corp 2015/2021. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.50 % Petroleos Mexicanos 2012/2044. . . . . . . . . . . . . . . . 6.375 % Petroleos Mexicanos 2014/2045. . . . . . . . . . . . . . . . 2.40 % QBE Insurance Group Ltd 144A 2013/2018. . . . . . . 3.00 % Roche Holdings, Inc. 144A 2015/2025. . . . . . . . . . . 3.50 % Scentre Group Trust 1 via Scentre Group Trust 2 144A 2014/2025. . . . . . . . . . . . . . . . . . . . . . 4.00 % Schlumberger Holdings Corp. 144A 2015/2025. . . . 5.75 % Seagate HDD Cayman 2014/2034 . . . . . . . . . . . . . . 2.625 % Societe Generale SA 144A 2015/2020. . . . . . . . . . . 2.75 % Societe Generale SA 2012/2017. . . . . . . . . . . . . . . . 2.45 % Starbucks Corp. 2016/2026. . . . . . . . . . . . . . . . . . . . 2.10 % SunCorp.-Metway Ltd 144A 2016/2019. . . . . . . . . . 4.25 % Swiss Re Treasury US Corp. 144A 2012/2042. . . . . 2.60 % Synchrony Financial 2015/2019. . . . . . . . . . . . . . . . . 2.125 % Volkswagen Group of America Finance LLC 144A 2014/2019. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.375 % Western Digital, Corp. 144A 2016/2023. . . . . . . . . .
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
% of net assets
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
130 000 45 000 150 000 60 000 155 000 100 000 325 000 265 000 75 000 100 000 110 000 165 000 340 000 200 000 465 000 130 000 55 000 145 000 130 000 95 000 235 000
130 000 45 000 150 000 60 000 155 000 100 000 325 000 265 000 75 000 100 000 110 000 165 000 340 000 200 000 465 000 130 000 55 000 145 000 130 000 95 000 235 000
% % % % % % % % % % % % % % % % % % % % %
107.998 90.494 106.318 107.234 110.205 100.965 111.196 100.205 114.498 93.861 104.141 104.601 95.309 103.454 100.445 101.928 108.941 106.404 102.411 105.336 109.817
140 397.40 40 722.30 159 476.25 64 340.70 170 817.75 100 965.00 361 385.38 265 543.25 85 873.50 93 861.00 114 555.10 172 591.65 324 050.60 206 908.00 467 069.25 132 507.05 59 917.55 154 285.08 133 134.30 100 069.20 258 069.95
0.38 0.11 0.43 0.17 0.46 0.27 0.97 0.71 0.23 0.25 0.31 0.46 0.87 0.56 1.25 0.36 0.16 0.41 0.36 0.27 0.69
USD
45 000
45 000
%
96.237
43 306.74
0.12
USD USD USD USD
100 215 115 295
000 000 000 000
100 215 115 295
000 000 000 000
% % % %
99.828 101.494 105.132 100.065
99 218 120 295
828.50 212.10 901.80 191.75
0.27 0.59 0.32 0.79
USD USD USD USD USD
160 90 60 445 270
000 000 000 000 000
160 90 60 445 270
000 000 000 000 000
% % % % %
102.888 89.828 99.5 101.22 106.973
164 80 59 450 288
620.80 845.20 700.00 431.23 827.10
0.44 0.22 0.16 1.21 0.78
USD USD USD USD USD USD USD USD USD
140 380 145 405 250 130 125 80 145
000 000 000 000 000 000 000 000 000
140 380 145 405 250 130 125 80 145
000 000 000 000 000 000 000 000 000
% % % % % % % % %
103.719 107.661 70.3 101.666 101.689 101.512 100.948 106.69 100.877
145 409 101 411 254 131 126 85 146
206.60 111.80 935.00 745.28 222.50 965.60 185.63 352.00 271.65
0.39 1.10 0.27 1.11 0.68 0.35 0.34 0.23 0.39
USD USD
270 000 5 000
270 000 5 000
% %
100.756 106.312
272 042.55 5 315.63
0.73 0.01
Total securities portfolio 35 523 369.12 Derivatives (Minus signs denote short positions) Currency derivatives -17 591.53 Receivables/payables Currency futures Currency futures (short) Closed positions USD/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.46 Currency futures (long) Open positions EUR/USD 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -17 591.07 Cash at bank 1 452 824.52 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 452 824.52 Other assets 1 552 263.59 Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311 329.52 Receivables from exceeding the expense cap. . . . . . . . . . . . . 24 855.74 Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 216 078.33
95.43
-0.05
0.00
-0.05 3.90
3.90 4.17 0.84 0.07 3.26
321
Deutsche Invest I USD Corporate Bonds Description
Count/ units/ currency
Quantity/ principal amount
Purchases/ Sales/ Market price additions disposals in the reporting period
Total market value in USD
% of net assets
Total assets ** 38 528 457.23 103.50 Other liabilities -1 284 867.70 -3.45 Additional other liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 284 867.70 -3.45 Total liabilities -1 302 459.23 -3.50 Net assets 37 225 998.00 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and number of shares outstanding
Count/ currency
Net asset value per share in the respective currency
Net asset value per share Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106.13 Class LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105.85 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105.85 Class XCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106.37 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 106.71 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 106.44 Class USD LD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 106.44 Class USD XC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 106.94 Number of shares outstanding Class FCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class LCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class LDH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Class XCH. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 000 Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 109 Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 109 Class USD LD. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 209 Class USD XC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 336 304 Composition of the reference portfolio (according to CSSF circular 11/512) Barclays Capital U.S. Credit (Returns Universe) in USD Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 73.872 Highest market risk exposure. . . . . . . . . . . . . . . . . . . . . . . . . . % 105.142 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 96.878 The values-at-risk were calculated for the period from January 15, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Market abbreviations
Contracting party for currency futures State Street Bank and Trust Company Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share 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 Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s 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 SICAV 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. Footnotes * Floating interest rate. ** Does not include positions with a negative balance, if such exist.
322
Deutsche Invest I USD Corporate Bonds 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/ Count/ Purchases/ Sales/ Purchases/ Sales/ Description units/ Description units/ additions disposals additions disposals currency currency
Securities traded on an exchange 4.55 % Credit Suisse Group Funding Guernsey Ltd 144A 2016/2021. . . . . . USD 340 000 340 000 Interest-bearing securities 0.716 % D aimler Finance North America LLC 2.50 % Abbey National Treasury Services Plc/ 144A 2015/2017 *. . . . . . . . . . . . . . . . USD 265 000 265 000 United Kingdom 2016/2019 . . . . . . . . USD 270 000 270 000 6.02 % Diamond 1 Finance Corp. 3.375 % A ir Lease Corp. 2016/2021. . . . . . . . . USD 290 000 290 000 Via Diamond 2 Finance Corp. 144A 5.65 % AT&T, Inc. 2016/2047. . . . . . . . . . . . . USD 180 000 180 000 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 250 000 250 000 2.75 % B erkshire Hathaway, Inc. 2016/2023. USD 235 000 235 000 3.80 % eBay, Inc. 2016/2022 . . . . . . . . . . . . . USD 112 000 112 000 3.119 % BP Capital Markets Plc 2016/2026. . . USD 90 000 90 000 3.70 % Electronic Arts, Inc. 2016/2021. . . . . . USD 45 000 45 000 1.85 % Compass Bank 2014/2017 . . . . . . . . . USD 250 000 250 000 5.10 % Exelon Corp. 144A 2015/2045 . . . . . . USD 80 000 80 000 5.95 % C onocoPhillips Co. 2016/2046 . . . . . . USD 45 000 45 000 5.00 % E xpedia Inc 2015/2026. . . . . . . . . . . . USD 65 000 65 000 3.80 % DIRECTV Holdings LLC / DIRECTV 1.061 % Goldman Sachs Group, Inc./ Financing Co, Inc. 2012/2022. . . . . . . USD 65 000 65 000 The (MTN) 2014/2017 * . . . . . . . . . . . USD 235 000 235 000 2.943 % F ord Motor Credit Co LLC 4.30 % HSBC Holdings Plc 2016/2026. . . . . . USD 270 000 270 000 2016/2019. . . . . . . . . . . . . . . . . . . . . . USD 205 000 205 000 3.375 % National Australia Bank Ltd/New York 3.75 % Goldman Sachs Group, Inc./The 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 250 000 250 000 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 85 000 85 000 3.00 % S chlumberger Holdings Corp. 144A 6.00 % HP, Inc. 2011/2041. . . . . . . . . . . . . . . USD 105 000 105 000 2015/2020. . . . . . . . . . . . . . . . . . . . . . USD 195 000 195 000 3.75 % Imperial Tobacco Finance Plc 144A 5.75 % Seagate HDD Cayman 144A 2015/2022. . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 2014/2034. . . . . . . . . . . . . . . . . . . . . . USD 145 000 145 000 3.25 % Kellogg Co. 2016/2026. . . . . . . . . . . . USD 250 000 250 000 2.45 % Svenska Handelsbanken AB (MTN) 2.40 % L loyds Bank Plc 2015/2020. . . . . . . . . USD 200 000 200 000 2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 340 000 340 000 3.85 % Mitsubishi UFJ Financial Group, Inc. 2.125 % United States Treasury Note/Bond 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 460 000 460 000 2015/2022 . . . . . . . . . . . . . . . . . . . . . USD 2 500 000 2 500 000 5.45 % M organ Stanley 2007/2017. . . . . . . . . USD 100 000 100 000 2.875 % United States Treasury Note/Bond 5.50 % Morgan Stanley 2010/2020. . . . . . . . . USD 130 000 130 000 2015/2045. . . . . . . . . . . . . . . . . . . . . . USD 1 325 000 1 325 000 2.50 % M organ Stanley 2016/2021. . . . . . . . . USD 170 000 170 000 3.00 % United States Treasury Note/Bond 4.20 % Newell Rubbermaid, Inc. 2016/2026. . USD 225 000 225 000 2015/2045. . . . . . . . . . . . . . . . . . . . . . USD 2 096 000 2 096 000 5.50 % N ewell Rubbermaid, Inc. 2016/2046. . USD 55 000 55 000 1.375 % United States Treasury Note/Bond 4.00 % N oble Holding International Ltd 2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 320 000 320 000 2015/2018. . . . . . . . . . . . . . . . . . . . . . USD 35 000 35 000 1.375 % U nited States Treasury Note/Bond 3.80 % O NEOK Partners LP 2015/2020. . . . . USD 60 000 60 000 2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 2.85 % PepsiCo, Inc. 2016/2026. . . . . . . . . . . USD 145 000 145 000 1.625 % United States Treasury Note/Bond 4.90 % P lains All American Pipeline LP 2016/2023. . . . . . . . . . . . . . . . . . . . . . USD 230 000 230 000 Via PAA Finance Corp. 2014/2045 . . . USD 47 000 47 000 1.625 % United States Treasury Note/Bond 2.00 % Realty Income Corp. 2012/2018. . . . . USD 170 000 170 000 2016/2023. . . . . . . . . . . . . . . . . . . . . . USD 295 000 295 000 5.85 % R eynolds American, Inc. 2015/2045. . USD 35 000 35 000 1.625 % United States Treasury Note/Bond 4.375 % R oyal Bank of Scotland Plc 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 3 090 000 3 090 000 2011/2016. . . . . . . . . . . . . . . . . . . . . . USD 150 000 150 000 1.625 % United States Treasury Note/Bond 3.45 % Santander Holdings USA, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 2 965 000 2 965 000 2013/2018. . . . . . . . . . . . . . . . . . . . . . USD 40 000 40 000 4.80 % Walgreens Boots Alliance, Inc. 5.179 % Santander Issuances SAU 2014/2044. . . . . . . . . . . . . . . . . . . . . . USD 155 000 155 000 2015/2025. . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 3.10 % W algreens Boots Alliance, Inc. 2 3.85 % S pirit AeroSystems, Inc. 016/2023. . . . . . . . . . . . . . . . . . . . . . . USD 70 000 70 000 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 40 000 40 000 3.50 % Trinity Acquisition Plc 2016/2021. . . . USD 60 000 60 000 3.784 % S umitomo Mitsui Financial Group, Inc. 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 285 000 285 000 6.125 % Trinity Acquisition Plc 2013/2043. . . . USD 100 000 100 000 Derivatives (option premiums realized in opening transactions, or total options 1.375 % UBS AG 2015/2017. . . . . . . . . . . . . . . USD 250 000 250 000 transactions; in the case of warrants, purchases and sales are shown) 2.25 % United States Treasury Note/Bond 2015/2025. . . . . . . . . . . . . . . . . . . . . . USD 1 735 000 1 735 000 Value (’000) 3.15 % Visa Inc 2015/2025. . . . . . . . . . . . . . . USD 195 000 195 000 Futures contracts 3.00 % W ells Fargo & Co. 2016/2026. . . . . . . USD 270 000 270 000 2.85 % Westpac Banking Corp. 2016/2026 . . USD 200 000 200 000 Currency futures (short) 4.95 % C onocoPhillips Co. 2016/2026 . . . . . . USD 220 000 220 000 Futures contracts to sell currencies Securities admitted to or included in organized markets USD/EUR USD 5 972 Interest-bearing securities Currency futures (long) 4.95 % 21st Century Fox America, Inc. 2016/2045. . . . . . . . . . . . . . . . . . . . . . USD 50 000 50 000 Futures contracts to purchase currencies 3.25 % Apple, Inc. 2016/2026. . . . . . . . . . . . . USD 230 000 230 000 EUR/USD USD 5 932 4.40 % A ustralia & New Zealand Banking Group Ltd 144A 2016/2026. . . . . . . . . USD 410 000 410 000 2.50 % Banque Federative du Credit Mutuel SA 144A 2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 280 000 280 000 2.00 % B MW US Capital LLC 144A 2016/2021. . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 2.80 % BMW US Capital LLC 144A 2016/2026. . . . . . . . . . . . . . . . . . . . . . USD 185 000 185 000 4.908 % C CO Safari II LLC 144A 2015/2025. . . . . . . . . . . . . . . . . . . . . . USD 160 000 160 000 6.484 % CCO Safari II LLC 144A 2015/2045. . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 3.579 % C CO Safari II LLC 2015/2020. . . . . . . USD 105 000 105 000 4.50 % Commonwealth Bank of Australia 144A 2015/2025. . . . . . . . . . . . . . . . . USD 200 000 200 000
323
Deutsche Invest I SICAV – June 30, 2016 Statement of net assets as of June 30, 2016 Deutsche Invest I SICAV EUR* Consolidated
Deutsche Invest I Africa EUR
Deutsche Invest I Asian Bonds USD
% of net assets
Assets Total securities portfolio
22 709 347 871.72
95.98
67 547 208.72
24 981 380.75
15 131 462.08
0.07
0.00
0.00
Equity index derivatives
3 631 257.22
0.02
0.00
0.00
Interest rate derivatives
164 836.35
0.00
0.00
0.00
26 156 748.84
0.11
0.00
0.00
5 482 661.35
0.02
0.00
0.00
801 542 130.16
3.39
12 837 097.24
3 149 821.49 1 268 368.60
Derivatives on individual securities
Currency derivatives Swaps Cash at bank Other assets
377 401 423.74
1.60
285 629.02
Receivables from share certificate transactions
132 784 546.40
0.56
118 750.49
0.00
24 071 642 937.86
101.74
80 788 685.47
29 399 570.84
Total assets Liabilities Derivatives on individual securities
- 61 870.00
0.00
0.00
0.00
Equity index derivatives
- 9 290 229.26
- 0.04
0.00
0.00
Interest rate derivatives
- 11 182 559.03
- 0.05
0.00
0.00
Currency derivatives
- 26 222 046.47
- 0.11
0.00
- 262 464.10
Option contracts Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities Net assets
- 118 332.20
0.00
0.00
0.00
- 5 966 360.13
- 0.03
0.00
0.00
- 880 433.00
0.00
- 370 701.25
0.00
- 275 417 532.72
- 1.16
- 502 666.88
- 1 240 357.14
- 82 662 076.76
- 0.34
- 519 016.46
0.00
- 411 801 439.57
- 1.74
- 1 392 384.59
- 1 502 821.24
23 659 841 498.30
100.00
79 396 300.88
27 896 749.60
* The portfolio compositions, incomes, expenses and statements of changes in net assets of the sub-funds managed in foreign currencies were converted into euro at the stated exchange rate. Fiscal six-month period ended June 30, 2016 . . . . . . . . . . USD 1.111649 = EUR 1 Fiscal six-month period ended June 30, 2016 . . . . . . . . . . JPY 114.260909 = EUR 1 The fund’s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results ** of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results.
324
Deutsche Invest I Asian Equities Unconstrained EUR
Deutsche Invest I Asian Small/Mid Cap EUR
Deutsche Invest I Brazilian Equities EUR
Deutsche Invest I China Bonds USD
Deutsche Invest I Chinese Equities EUR
4 653 744.23
70 078 750.43
38 493 979.19
473 207 042.05
156 456.79
0.00
0.00
0.00
120 007 777.16 0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
515 922.65
2 527 587.30
223 142.88
19 720 556.78
6 705 137.05
52 849.25
218 446.32
1 236 283.63
10 127 209.42
1 490 400.44
0.00
6 252.37
851.16
57 178.54
1 542 085.47
5 378 972.92
72 831 036.42
39 954 256.86
503 111 986.79
129 745 400.12
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
- 712 218.76
0.00
0.00
0.00
0.00
- 6 404 775.48
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
- 253 407.43
0.00
0.00
- 22 366.63
- 122 394.12
- 265 334.42
- 597 564.77
- 865 353.26
- 4 837.17
- 68 725.90
- 200 666.98
- 1 367 686.73
- 228 142.71
- 27 203.80
- 191 120.02
- 719 408.83
- 9 082 245.74
- 1 093 495.97
5 351 769.12
72 639 916.40
39 234 848.03
494 029 741.05
128 651 904.15
325
Deutsche Invest I SICAV – June 30, 2016 Statement of net assets as of June 30, 2016 Deutsche Invest I Convertibles EUR
Deutsche Invest I Corporate Hybrid Bonds EUR
Deutsche Invest I CROCI Flexible Allocation EUR
Assets 2 411 880 477.68
45 786 266.41
508 362.71
Derivatives on individual securities
Total securities portfolio
0.00
0.00
0.00
Equity index derivatives
0.00
0.00
0.00
Interest rate derivatives
0.00
0.00
0.00
9 337 964.79
44 242.23
125.38
Currency derivatives Swaps
0.00
0.00
0.00
200 649 268.14
941 164.20
3 444 731.32
Other assets
42 519 652.92
769 075.52
16 369.65
Receivables from share certificate transactions
31 404 462.52
0.00
0.00
2 695 791 826.05
47 540 748.36
3 969 589.06
Cash at bank
Total assets Liabilities Derivatives on individual securities
0.00
0.00
0.00
Equity index derivatives
- 6 275 768.83
0.00
0.00
Interest rate derivatives
0.00
- 79 013.86
0.00
Currency derivatives
0.00
0.00
0.00
Option contracts
0.00
0.00
0.00
Swaps
0.00
0.00
0.00
Short-term liabilities
0.00
0.00
0.00
Other liabilities
- 29 371 615.80
- 175 682.74
0.00
Liabilities from share certificate transactions
- 13 678 090.64
0.00
0.00
Total liabilities
- 49 325 475.27
- 254 696.60
0.00
2 646 466 350.78
47 286 051.76
3 969 589.06
Net assets
* The portfolio compositions, incomes, expenses and statements of changes in net assets of the sub-funds managed in foreign currencies were converted into euro at the stated exchange rate. Fiscal six-month period ended June 30, 2016 . . . . . . . . . . USD 1.111649 = EUR 1 Fiscal six-month period ended June 30, 2016 . . . . . . . . . . JPY 114.260909 = EUR 1 The fund’s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results ** of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results.
326
Deutsche Invest I Emerging Markets Corporates USD
Deutsche Invest I Emerging Markets IG Sovereign Debt USD
5 535 290.02
379 547 652.65
228 141 622.00
4 374 549.82
0.00
0.00
0.00
250 976.30
0.00
0.00
0.00
0.00
0.00
0.00
0.00
99 414.10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Deutsche Invest I CROCI Sectors EUR
Deutsche Invest I Emerging Markets Satellites EUR
Deutsche Invest I Emerging Markets Sovereign Debt EUR 47 344 403.42
0.00
0.00
0.00
0.00
0.00
5 475.41
14 160 153.92
15 518 483.29
218 020.35
2 384 521.65
24 304.25
33 927 075.84
3 382 497.19
255 225.84
1 699 632.21
0.00
199 090.28
0.00
3 841.60
5 713.63
5 565 069.68
427 933 386.79
247 042 602.48
5 102 613.91
51 434 270.91
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
- 1 997 232.47
- 3 462 757.61
0.00
- 708 787.32
0.00
0.00
0.00
0.00
0.00
0.00
- 6 632 502.12
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
- 6 729.66
- 42 919 561.27
- 139 126.09
- 30 895.95
- 1 065 690.91
0.00
- 270 213.10
0.00
0.00
- 21 409.40
- 6 729.66
- 51 819 508.96
- 3 601 883.70
- 30 895.95
- 1 795 887.63
5 558 340.02
376 113 877.83
243 440 718.78
5 071 717.96
49 638 383.28
327
Deutsche Invest I SICAV – June 30, 2016 Statement of net assets as of June 30, 2016 Deutsche Invest I Emerging Markets Top Dividend EUR
Deutsche Invest I Euro Bonds (Premium) EUR
Deutsche Invest I Euro Bonds (Short) EUR
Assets 161 541 539.61
108 189 732.00
1 902 524 991.70
Derivatives on individual securities
Total securities portfolio
0.00
0.00
0.00
Equity index derivatives
0.00
0.00
0.00
Interest rate derivatives
0.00
70 287.00
0.00
Currency derivatives
0.00
0.00
0.00
Swaps
0.00
0.00
0.00
Cash at bank
20 892 582.99
1 837 074.68
5 042 214.28
Other assets
2 195 208.91
1 374 392.45
30 688 702.04
900 914.10
0.00
19 113 972.51
185 530 245.61
111 471 486.13
1 957 369 880.53
Derivatives on individual securities
0.00
0.00
0.00
Equity index derivatives
0.00
0.00
0.00
Interest rate derivatives
0.00
0.00
0.00
Currency derivatives
0.00
0.00
0.00
Option contracts
0.00
0.00
0.00
Swaps
0.00
0.00
0.00
Short-term liabilities
0.00
0.00
0.00
- 479 198.01
- 118 013.52
- 1 021 518.50
Receivables from share certificate transactions Total assets Liabilities
Other liabilities Liabilities from share certificate transactions
- 8 705 430.00
- 2 281 375.83
- 15 399 010.31
Total liabilities
- 9 184 628.01
- 2 399 389.35
- 16 420 528.81
Net assets
176 345 617.60
109 072 096.78
1 940 949 351.72
* The portfolio compositions, incomes, expenses and statements of changes in net assets of the sub-funds managed in foreign currencies were converted into euro at the stated exchange rate. Fiscal six-month period ended June 30, 2016 . . . . . . . . . . USD 1.111649 = EUR 1 Fiscal six-month period ended June 30, 2016 . . . . . . . . . . JPY 114.260909 = EUR 1 The fund’s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results ** of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results.
328
Deutsche Invest I European Small Cap EUR
Deutsche Invest I Financial Hybrid Bonds EUR
Deutsche Invest I Euro Corporate Bonds EUR
Deutsche Invest I Euro High Yield Corporates EUR
Deutsche Invest I Euro-Gov Bonds EUR
1 391 106 890.95
827 469 743.78
1 720 565 057.30
65 094 531.10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
12 159 753.71
0.00
0.00
0.00
0.00
0.00
0.00
368 612.70
0.00
76 292.74
30 868.60
0.00
0.00
0.00
0.00
0.00
12 589 837.64
25 503 996.48
10 222 255.98
256 920.49
1 324 703.48 347 163.90
19 952 761.17
16 059 691.65
20 571 790.37
1 584 463.73
16 919 382.01
10 677 836.60
482 354.69
69 000.68
0.00
1 440 568 871.77
880 079 881.21
1 751 841 458.34
67 081 208.74
13 862 489.69
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00 - 80 190.74
- 1 953 014.35
0.00
- 1 467 020.00
0.00
- 1 553 452.97
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
- 242 132.36
0.00 - 15 333.42
- 8 623 391.34
- 2 105 535.68
- 847 916.97
- 1 394 569.09
- 1 453 817.88
- 3 618 668.30
- 2 834 845.42
- 457 542.45
0.00
- 13 583 676.54
- 5 724 203.98
- 5 149 782.39
- 2 094 243.90
- 95 524.16
1 426 985 195.23
874 355 677.23
1 746 691 675.95
64 986 964.84
13 766 965.53
329
Deutsche Invest I SICAV – June 30, 2016 Statement of net assets as of June 30, 2016 Deutsche Invest I German Equities EUR
Deutsche Invest I Global Agribusiness USD
Deutsche Invest I Global Bonds EUR
Assets Total securities portfolio
541 357 777.75
640 955 263.16
997 062 390.85
0.00
0.00
0.00
Equity index derivatives
548 911.08
0.00
0.00
Interest rate derivatives
0.00
0.00
0.00
2 407 423.21
0.00
0.00
0.00
0.00
4 752 705.77
Cash at bank
11 990 105.29
2 448 650.68
26 204 914.14
Other assets
2 493 674.80
1 490 917.06
105 117 675.28
Derivatives on individual securities
Currency derivatives Swaps
Receivables from share certificate transactions Total assets
2 347 073.51
636 825.85
237 624.52
561 144 965.64
645 531 656.75
1 133 375 310.56
0.00
Liabilities Derivatives on individual securities
- 61 870.00
0.00
Equity index derivatives
0.00
0.00
0.00
Interest rate derivatives
0.00
0.00
- 3 029 825.08
Currency derivatives
0.00
0.00
- 6 684 021.20
Option contracts
0.00
0.00
- 118 332.20
Swaps
0.00
0.00
0.00
Short-term liabilities
0.00
0.00
0.00
- 3 536 464.04
- 1 813 520.49
- 103 759 739.15
Other liabilities Liabilities from share certificate transactions
- 11 829 728.70
- 1 252 228.26
- 550 878.96
Total liabilities
- 15 428 062.74
- 3 065 748.75
- 114 142 796.59
Net assets
545 716 902.90
642 465 908.00
1 019 232 513.97
* The portfolio compositions, incomes, expenses and statements of changes in net assets of the sub-funds managed in foreign currencies were converted into euro at the stated exchange rate. Fiscal six-month period ended June 30, 2016 . . . . . . . . . . USD 1.111649 = EUR 1 Fiscal six-month period ended June 30, 2016 . . . . . . . . . . JPY 114.260909 = EUR 1 The fund’s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results ** of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results.
330
Deutsche Invest I Global Bonds Dynamic Plus EUR
Deutsche Invest I Global Commodities Blend EUR
Deutsche Invest I Global Corporate Bonds EUR
Deutsche Invest I Global Emerging Markets Equities EUR
Deutsche Invest I Global Infrastructure EUR
728 147 364.13
16 994 936.58
12 185 469.10
56 696 708.96
530 895 548.29
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
54 760.36
0.00
230 043.67
0.00
0.00
155 406.99
189 494.48
0.00
0.00
0.00
2 689 631.65
3 712 322.67
2 822 513.62
9 593 138.98
63 544 153.09
2 703 620.82
31 815.72
909 966.36
4 258 450.71
9 383 396.68
0.00
7 792.08
0.00
58 264.96
1 241 458.76
22 598 356.40
16 126 894.05
60 659 232.61
544 805 402.94
802 316 372.66
0.00
0.00
0.00
0.00
0.00
- 43 448.94
0.00
0.00
0.00
0.00
- 62 237.91
0.00
- 131 685.56
0.00
0.00
0.00
0.00
0.00
0.00
- 131 392.78
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
- 2 600 066.47
- 7 572.04
- 532 602.51
- 837 058.08
- 10 162 250.18
0.00
0.00
0.00
- 366 509.98
- 1 121 683.56
- 2 705 753.32
- 7 572.04
- 664 288.07
- 1 203 568.06
- 11 415 326.52
19 892 603.08
16 119 322.01
59 994 944.54
543 601 834.88
790 901 046.14
331
Deutsche Invest I SICAV – June 30, 2016 Statement of net assets as of June 30, 2016 Deutsche Invest I Global Real Estate Securities USD
Deutsche Invest I Global Short Duration USD
Deutsche Invest I Global Thematic USD
Assets Total securities portfolio
124 452 553.67
57 314 446.09
38 039 444.27
Derivatives on individual securities
0.00
0.00
0.00
Equity index derivatives
0.00
0.00
0.00
Interest rate derivatives
0.00
0.00
0.00
Currency derivatives
0.00
0.00
0.00
Swaps
0.00
0.00
0.00
Cash at bank
2 841 279.57
949 794.56
933 293.16
Other assets
1 446 016.50
519 885.48
415 226.80
Receivables from share certificate transactions
1 093 116.91
38 545.50
0.00
129 832 966.65
58 822 671.63
39 387 964.23
Derivatives on individual securities
0.00
0.00
0.00
Equity index derivatives
0.00
0.00
0.00
Interest rate derivatives
0.00
- 1 858.54
0.00
- 91 574.86
- 1 230 746.68
0.00
Option contracts
0.00
0.00
0.00
Swaps
0.00
0.00
0.00
Short-term liabilities
0.00
- 513.19
0.00
- 852 191.43
- 2 997 004.79
- 296 737.18
Total assets Liabilities
Currency derivatives
Other liabilities Liabilities from share certificate transactions Total liabilities Net assets
- 13 563.48
- 160 799.03
- 3 726.90
- 957 329.77
- 4 390 922.23
- 300 464.08
128 875 636.88
54 431 749.40
39 087 500.15
* The portfolio compositions, incomes, expenses and statements of changes in net assets of the sub-funds managed in foreign currencies were converted into euro at the stated exchange rate. Fiscal six-month period ended June 30, 2016 . . . . . . . . . . USD 1.111649 = EUR 1 Fiscal six-month period ended June 30, 2016 . . . . . . . . . . JPY 114.260909 = EUR 1 The fund’s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results ** of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results.
332
Deutsche Invest I Gold and Precious Metals Equities USD
Deutsche Invest I Latin American Equities EUR
Deutsche Invest I Liquidity Fund EUR
Deutsche Invest I Multi Asset Balance EUR
Deutsche Invest I Multi Asset Defensive EUR
154 818 863.92
23 507 395.94
54 663 875.14
23 769 490.72
0.00
0.00
0.00
983 064.28
22 920 563.60 414 217.02
0.00
0.00
0.00
495 604.82
273 484.87 5 120.00
0.00
0.00
0.00
0.00
0.00
0.00
248 102.17
0.00
0.00
0.00
0.00
0.00
0.00
0.00
4 688 846.07
368 788.40
3 020 771.65
515 647.43
2 232 080.72
18 769.87
163 547.48
54 055.90
148 027.12
342 200.04
1 642 034.06
4 129.90
757 068.69
15 272.60
20 091.96
161 168 513.92
24 043 861.72
58 743 873.55
25 927 106.97
26 207 758.21
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
- 132 538.91
- 184 759.53
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
- 1 339 366.97
- 55 354.84
- 22 057.85
- 30 356.82
- 30 221.23
- 1 328 628.80
- 9 564.80
- 254 943.68
- 123 707.23
0.00
- 2 667 995.77
- 64 919.64
- 277 001.53
- 286 602.96
- 214 980.76
158 500 518.15
23 978 942.08
58 466 872.02
25 640 504.01
25 992 777.45
333
Deutsche Invest I SICAV – June 30, 2016 Statement of net assets as of June 30, 2016 Deutsche Invest I Multi Asset Dynamic EUR
Deutsche Invest I Multi Asset Income EUR
Deutsche Invest I Multi Asset Total Return EUR
Assets Total securities portfolio
62 938 430.18
76 420 816.65
8 766 072.64
Derivatives on individual securities
3 307 518.72
0.00
973 772.60
Equity index derivatives
1 816 567.22
0.00
482 554.23
Interest rate derivatives
0.00
0.00
0.00
Currency derivatives
0.00
0.00
0.00
Swaps
0.00
385 054.11
0.00
Cash at bank
1 230 186.75
11 752 967.28
413 552.71
Other assets
104 027.73
829 071.32
64 980.64
451.44
35 161.92
0.00
69 397 182.04
89 423 071.28
10 700 932.82
Receivables from share certificate transactions Total assets Liabilities Derivatives on individual securities
0.00
0.00
0.00
Equity index derivatives
0.00
- 82 601.46
0.00
Interest rate derivatives
- 24 797.60
0.00
0.00
- 142 118.91
- 461 613.25
- 18 292.84
Option contracts
0.00
0.00
0.00
Swaps
0.00
0.00
0.00
Short-term liabilities
0.00
0.00
0.00
- 90 071.23
- 117 686.40
- 23 773.28
Currency derivatives
Other liabilities Liabilities from share certificate transactions Total liabilities Net assets
- 20 465.22
- 15 939.07
0.00
- 277 452.96
- 677 840.18
- 42 066.12
69 119 729.08
88 745 231.10
10 658 866.70
* The portfolio compositions, incomes, expenses and statements of changes in net assets of the sub-funds managed in foreign currencies were converted into euro at the stated exchange rate. Fiscal six-month period ended June 30, 2016 . . . . . . . . . . USD 1.111649 = EUR 1 Fiscal six-month period ended June 30, 2016 . . . . . . . . . . JPY 114.260909 = EUR 1 The fund’s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results ** of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results.
334
Deutsche Invest I Multi Credit EUR
Deutsche Invest I Multi Opportunities EUR
Deutsche Invest I New Resources EUR
Deutsche Invest I Nomura Japan Growth JPY
Deutsche Invest I Quant Equity Low Volatility World EUR
24 437 291.94
2 354 976 822.31
62 194 036.93
9 294 030 130.00
0.00
0.00
0.00
0.00
33 086 313.69 0.00
0.00
0.00
0.00
0.00
14 135.00
0.00
0.00
0.00
0.00
0.00
0.00
11 435 488.62
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1 255 112.86
75 508 512.51
2 011 189.73
202 526 008.00
1 595 069.98
240 122.84
25 614 257.93
172 778.19
88 764 308.00
98 178.07
15 233.20
3 627 748.94
254 829.35
0.00
22 035 897.40
25 947 760.84
2 471 162 830.31
64 632 834.20
9 585 320 446.00
56 829 594.14
0.00
0.00
0.00
0.00
0.00
0.00
- 2 888 410.04
0.00
0.00
0.00
- 8 120.73
- 3 502 345.16
0.00
0.00
0.00
- 365 295.83
0.00
0.00
- 399 019 022.00
- 93.32
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
- 487 354.12
- 18 610 972.58
- 958 238.36
- 82 533 786.00
- 20 974 007.18
0.00
- 2 132 759.40
- 49 437.70
0.00
- 2 682.68
- 860 770.68
- 27 134 487.18
- 1 007 676.06
- 481 552 808.00
- 20 976 783.18
25 086 990.16
2 444 028 343.13
63 625 158.14
9 103 767 638.00
35 852 810.96
335
Deutsche Invest I SICAV – June 30, 2016 Statement of net assets as of June 30, 2016 Deutsche Invest I Real Assets Income EUR
Deutsche Invest I Senior Secured High Yield Corporates EUR
Deutsche Invest I Short Duration Credit EUR
Assets Total securities portfolio
6 485 993.88
75 874 767.17
363 562 271.92
Derivatives on individual securities
0.00
0.00
0.00
Equity index derivatives
0.00
0.00
0.00
Interest rate derivatives
0.00
0.00
0.00
Currency derivatives
0.00
0.00
576 759.82
Swaps
0.00
0.00
0.00
Cash at bank
69 919.20
5 999 077.09
6 065 696.65
Other assets
47 684.74
1 263 184.98
6 296 826.36
0.00
103.70
4 866 290.88
6 603 597.82
83 137 132.94
381 367 845.63
Derivatives on individual securities
0.00
0.00
0.00
Equity index derivatives
0.00
0.00
0.00
Interest rate derivatives
0.00
0.00
- 202 765.42
Receivables from share certificate transactions Total assets Liabilities
Currency derivatives
- 93.16
- 340 731.87
0.00
Option contracts
0.00
0.00
0.00
Swaps
0.00
0.00
0.00
Short-term liabilities
0.00
0.00
0.00
- 6 745.64
- 1 166 870.16
- 740 519.05
Other liabilities Liabilities from share certificate transactions Total liabilities Net assets
0.00
0.00
- 1 347 972.14
- 6 838.80
- 1 507 602.03
- 2 291 256.61
6 596 759.02
81 629 530.91
379 076 589.02
* The portfolio compositions, incomes, expenses and statements of changes in net assets of the sub-funds managed in foreign currencies were converted into euro at the stated exchange rate. Fiscal six-month period ended June 30, 2016 . . . . . . . . . . USD 1.111649 = EUR 1 Fiscal six-month period ended June 30, 2016 . . . . . . . . . . JPY 114.260909 = EUR 1 The fund’s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results ** of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results.
336
Deutsche Invest I Top Asia EUR
Deutsche Invest I Top Dividend EUR
208 934 684.94
4 166 817 021.05
6 686 797.36
0.00
0.00
0.00
Deutsche Invest I Top Europe EUR
Deutsche Invest I USD Corporate Bonds USD
1 106 528 242.92
130 786 553.05
35 523 369.12
2 165 905.00
192 754.01
0.00
0.00
0.00
0.00
Deutsche Invest I Top Euroland EUR
0.00
0.00
0.00
0.00
0.00
0.00
679 128.45
603 938.45
62 997.65
0.00
0.00
0.00
0.00
0.00
0.00
9 843 048.09
136 666 724.86
51 908 099.55
1 751 697.06
1 452 824.52 1 552 263.59
3 105 566.28
14 026 673.99
8 889 411.31
408 351.44
2 268 445.13
7 845 877.95
2 333 735.60
270 166.59
0.00
230 838 541.80
4 326 035 426.30
1 172 429 332.83
133 472 519.80
38 528 457.23
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
- 17 591.53
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
- 13 730.31
0.00
- 342 672.00
- 5 743 363.36
- 8 642 591.73
- 229 421.10
- 1 284 867.70
- 1 363 688.07
- 6 805 064.93
- 3 178 127.82
- 64 249.00
0.00
- 1 706 360.07
- 12 548 428.29
- 11 820 719.55
- 307 400.41
- 1 302 459.23
229 132 181.73
4 313 486 998.01
1 160 608 613.28
133 165 119.39
37 225 998.00
337
Stefan Kreuzkamp (since February 1, 2016)
For the sub-fund
Deutsche Asset Management
Deutsche Invest I Chinese Equities:
Deutsche Invest I
Investment GmbH,
Harvest Global Investments Limited
2, Boulevard Konrad Adenauer
Frankfurt/Main
Suites 1301–1304, Two Exchange Square
Investment Company
1115 Luxembourg, Luxembourg RC B 86 435
8 Connaught Place Frank Krings (since May 10, 2016)
Hong Kong, China
Deutsche Bank Luxembourg S.A., Board of Directors of the
Luxembourg
Investment Company
For the sub-fund Deutsche Invest I China Bonds:
Dr. Matthias Liermann
Deutsche Asset Management
Doris Marx
Deutsche Asset Management
Investment GmbH
Chairman
Investment GmbH,
Mainzer Landstr. 11-17
Deutsche Asset Management S.A.,
Frankfurt/Main
60329 Frankfurt/Main, Germany
Management Board of the
As sub-fund manager for this sub-fund:
Management Company
Harvest Global Investments Limited
Luxembourg Heinz-Wilhelm Fesser Independent member
Suites 1301–1304, Two Exchange Square
c/o Deutsche Asset Management S.A.,
Dirk Bruckmann (since January 14, 2016)
8 Connaught Place
Luxembourg
Chairman
Hong Kong, China
Deutsche Asset Management Markus Kohlenbach
Investment GmbH,
For the sub-funds Deutsche Invest I Global
Independent member
Frankfurt/Main
Bonds, Deutsche Invest I Global Bonds
c/o Deutsche Asset Management S.A., Luxembourg Stephan Scholl
Dynamic Plus, Deutsche Invest I CROCI Ralf Rauch
Flexible Allocation, Deutsche Invest I CROCI
Deutsche Asset Management S.A.,
Sectors, Deutsche Invest I Emerging Markets
Luxembourg
Satellites and Deutsche Invest I Emerging
Deutsche Asset Management
Markets Corporates:
International GmbH,
Martin Schönefeld
Deutsche Asset Management
Frankfurt/Main
Deutsche Asset Management S.A.,
Investment GmbH
Luxembourg
Mainzer Landstr. 11-17
Niklas Seifert (since April 27, 2016)
60329 Frankfurt/Main, Germany
Deutsche Asset Management S.A.,
Barbara Schots
Luxembourg
Deutsche Asset Management S.A.,
and
Luxembourg Sven Sendmeyer (since April 27, 2016) Deutsche Asset Management
Deutsche Asset Management (UK) Limited Fund Managers
Investment GmbH, Frankfurt/Main
1 Great Winchester Street London EC2N 2DB
For the sub-funds Deutsche Invest I Asian
United Kingdom
Bonds and Deutsche Invest I Asian Small/ Management Company and Central
Mid Cap:
For the sub-funds Deutsche Invest I Asian
Administration Agent, Registrar and
Deutsche Asset Management
Equities Unconstrained, Deutsche Invest I
Transfer Agent, Main Distributor
Investment GmbH
Global Emerging Markets Equities and
Mainzer Landstr. 11-17
Deutsche Invest I Top Asia:
60329 Frankfurt/Main, Germany
Deutsche Asset Management
Deutsche Asset Management S.A. 2, Boulevard Konrad Adenauer
Investment GmbH
1115 Luxembourg, Luxembourg
As sub-fund manager for these sub-funds:
Mainzer Landstr. 11-17
Equity capital as of December 31, 2015:
Deutsche Asset Management (Hong Kong)
60329 Frankfurt/Main, Germany
EUR 251.7 million before profit appropriation
Limited International Commerce Center, Floor 58,
and
Supervisory Board of the
1 Austin Road West, Kowloon,
Management Company
Hong Kong
Holger Naumann
For the sub-funds Deutsche Invest I Brazilian
London EC2N 2DB
Chairman
Equities and Deutsche Invest I Latin
United Kingdom
Deutsche Asset Management
American Equities:
Investment GmbH,
Deutsche Asset Management
Frankfurt/Main
Investment GmbH
Deutsche Asset Management (UK) Limited 1 Great Winchester Street
Nathalie Bausch
and
Mainzer Landstr. 11-17
Deutsche Asset Management (Hong Kong)
60329 Frankfurt/Main, Germany
Limited
Deutsche Bank Luxembourg S.A.,
International Commerce Center, Floor 58,
Luxembourg
and
Reinhard Bellet
Deutsche Bank S.A. – Banco Alemão
Deutsche Bank AG,
Av. Brigadeiro Faria Lima, 3900
Frankfurt/Main
04538-132 São Paulo,
1 Austin Road West, Kowloon, Hong Kong
Brazil Marzio Hug Deutsche Bank AG, London
For the sub-funds Deutsche Invest I Global
For the sub-fund
Sales and Paying Agents,
Infrastructure and Deutsche Invest I Real
Deutsche Invest I Nomura Japan Growth:
Main Distributor
Assets Income:
Deutsche Asset Management
Deutsche Asset Management
Investment GmbH
LUXEMBOURG
Investment GmbH
Mainzer Landstr. 11-17
Deutsche Asset Management S.A.
Mainzer Landstr. 11-17
60329 Frankfurt/Main, Germany
2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg
60329 Frankfurt/Main, Germany As sub-fund manager for this sub-fund: As sub-fund manager for this sub-fund:
Nomura Asset Management Deutschland
Deutsche Bank Luxembourg S.A.
RREEF America LLC
KAG mbH
2, Boulevard Konrad Adenauer
Deutsche Asset Management
Gräfstr. 109
1115 Luxembourg, Luxembourg
222 S. Riverside Plaza, Floor 24
60487 Frankfurt/Main, Germany
Chicago, IL 60606 U.S.
The sub-fund manager in turn has further delegated fund management to
For the sub-funds Deutsche Invest I Global
Nomura Asset Management Co Ltd. Tokyo
Thematic and Deutsche Invest I Global
1-12-1 Nihonbashi, Chuo-ku
Agribusiness:
Tokyo 103-8260,
Global Thematic Partners, LLC
Japan
681 Fifth Avenue 12th Floor
For the sub-fund
New York, NY 10022
Deutsche Invest I USD Corporate Bonds:
U.S.
Deutsche Asset Management Investment GmbH
For the sub-funds Deutsche Invest I Global
Mainzer Landstr. 11-17
Commodities Blend and Deutsche Invest I
60329 Frankfurt/Main, Germany
Gold and Precious Metals Equities: Deutsche Investment Management America Inc.
As sub-fund manager for this sub-fund:
345 Park Avenue
Deutsche Investment Management America Inc.
New York, NY 10154
345 Park Avenue
U.S.
New York, NY 10154 U.S.
For the sub-fund Deutsche Invest I Global Real Estate Securities:
For all other sub-funds:
RREEF America LLC
Deutsche Asset Management
Deutsche Asset Management
Investment GmbH
222 S. Riverside Plaza, Floor 24
Mainzer Landstr. 11-17
Chicago, IL 60606
60329 Frankfurt/Main, Germany
U.S. Investment Advisor As sub-fund manager this sub-fund: For the management of the European part of
For the sub-funds Deutsche Invest I Global
the portfolio:
Corporate Bonds, Deutsche Invest Global
Deutsche Alternative Asset
Short Duration and Deutsche Invest I
Management (UK) Limited
Multi Credit:
1 Appold Street
Deutsche Investment Management America Inc.
London EC2A 2UU
345 Park Avenue
United Kingdom
New York, NY 10154 U.S.
For the management of the Asian, Australian and New Zealand portfolio component:
Depositary and Administrator
Deutsche Australia Limited, Deutsche Bank Place
State Street Bank Luxembourg S.C.A.
Cnr. Hunter and Phillip Streets
49, Avenue J. F. Kennedy
Sydney NSW 2000
1855 Luxembourg, Luxembourg
Australia Auditor For the sub-fund Deutsche Invest I Quant Equity Low Volatility World:
KPMG Luxembourg
Deutsche Asset Management
Société coopérative
Investment GmbH
39, Avenue John F. Kennedy
Mainzer Landstr. 11–17
1855 Luxembourg, Luxembourg
60329 Frankfurt/Main, Germany Acting as sub-manager for this sub-fund: Sal. Oppenheim jr. & Cie. AG Co. KGaA Unter Sachsenhausen 4 50667 Köln, Germany As of: July 31, 2016
Deutsche Invest I SICAV 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg RC B 86 435 Tel.: +352 4 21 01-1 Fax: +352 4 21 01-9 00
