Deutsche Floating Rate Notes Annual Report 2015

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1 Deutsche Asset Management Deutsche Asset & Wealth Management Investment S.A. Deutsche Floating Rate Notes Annual Report 2015 Investment Fund Organized under Luxembourg Law

2 Deutsche Floating Rate Notes

3 Contents Annual report 2015 for the period from January 1, 2015, through December 31, 2015 General information Annual report Deutsche Floating Rate Notes 4 Annual financial statements Investment portfolio and statement of income and expenses 8 Report of the Réviseur d Entreprises agréé 24 1

4 General information The fund described in this report is subject to the laws of Luxembourg. Performance The investment return, or performance, of a mutual fund investment is measured by the change in value of the fund s units. The net asset values per unit (= redemption prices) with the addition of intervening distributions, which are, for example, reinvested free of charge within the scope of investment accounts at Deutsche Asset & Wealth Management Investment S.A., are used as the basis for calculating the value. Past performance is not a guide to future results. The corresponding benchmark if available is also presented in the report. All financial data in this publication is as of December 31, 2015, (unless otherwise stated). Sales prospectuses Fund units are purchased on the basis of the current sales prospectus and management regulations as well as the key investor information document, in combination with the latest audited annual report and any semiannual report that is more recent than the latest annual report. Issue and redemption prices The current issue and redemption prices and all other information for unitholders may be requested at any time at the registered office of the Management Company and from the paying agents. In addition, the issue and redemption prices are published in every country of distribution through appropriate media (such as the Internet, electronic information systems, newspapers, etc.). The names of the following companies will change in March 2016: Deutsche Asset & Wealth Management Investment GmbH will become Deutsche Asset Management Investment GmbH Deutsche Asset & Wealth Management International GmbH will become Deutsche Asset Management International GmbH Deutsche Asset & Wealth Management Investment S.A. will become Deutsche Asset Management S.A. The official date of the entry into force of the renaming of the companies was not yet known at the time of the editorial deadline for this report; the previous company names are therefore used in this report. Renaming The fund DWS Floating Rate Notes was renamed Deutsche Floating Rate Notes effective May 15,

5 Annual report

6 Deutsche Floating Rate Notes Investment objective and performance in the reporting period The objective of the investment policy is to generate a return in euro. In order to achieve this, the fund invests predominantly in floating rate government and corporate bonds that are denominated in euro or hedged against the euro. The duration of the fund is a maximum of 12 months, which can be managed through the use of suitable derivatives, among other methods. In DEUTSCHE FLOATING RATE NOTES Five-year performance /10* 12/11 12/12 12/13 12/14 12/15 Deutsche Floating Rate Notes (LC unit class) * 12/2010 = 100 Data on euro basis BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: December 31, 2015 addition, derivatives may also be used for portfolio management. The investment climate in the reporting period was characterized by historically low interest rates, which were even below the zero percent mark in the money markets of the euro area. Performance of unit classes (in euro) Unit Classes ISIN 1 year 3 years 5 years Class LC LU % 1.1% 3.6% Class LD LU % 1 1 Launched on December 1, 2014 BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: December 31, 2015 In addition, global economic growth weakened. Against this backdrop, the LC unit class of the fund posted a decline of 0.2% per unit in the 2015 fiscal year (BVI method, in euro). Investment policy in the reporting period The investment focus of Deutsche Floating Rate Notes in the 2015 fiscal year continued to be on floating rate bonds, the coupons of which are generally adjusted to current market interest rates every three to six months. As these floating rate instruments are primarily issued by financial institutions, financials were the investment focus. In addition, government and corporate bonds rounded out the portfolio. At the end of December 2015, the interest-bearing instruments held in the portfolio mostly had investment grade 4

7 status, i.e., a rating of BBB and better from the leading rating agencies. The short-term segment, which was characterized by negative yields, significantly curtailed investment opportunities. In addition, particularly in the second half of 2015, the price pressures in the credit markets also adversely affected the performance of financials and corporate bonds held in the portfolio. This also noticeably dampened the performance of the fund. The reasons for this included the drastic drop in prices in the oil and commodity markets, as well as the slowdown in economic growth in China and the associated fears of market participants regarding negative effects on global economic growth. As of the end of December 2015, the DEUTSCHE FLOATING RATE NOTES Rating distribution of the bonds in the portfolio* AAA AA A BBB No Rating AAA AA A BBB In % of the fund s net assets in bonds (incl. pro-rata accrued interest) Extremely strong capacity to pay interest and repay principal Very strong capacity to pay interest and repay principal Strong capacity to pay interest and repay principal Adequate capacity to pay interest and repay principal. Adverse economic or sector-specific conditions are more likely to lead to a weakened capacity to pay interest and repay principal. DEUTSCHE FLOATING RATE NOTES Composition Bonds* Investment funds Cash and other assets BB to B CCC and lower * Average values based primarily on ratings by Standard & Poor's, Moody's and Fitch Credit quality is adequate, with higher business and financial risk. Interest and principal payments are generally made without adverse effect on credit quality. The non-investment-grade rating is consistent with the company s business model. The rating is not consistent with the company s longterm business model. The capacity to pay interest and repay principal is potentially reduced in the long term. As of: December 31, In % of the fund s net assets As of: December 31, 2015 (* incl. pro-rata accrued interest) Negligible rounding errors may have arisen compared with the investment portfolio due to the rounding of calculated percentages. 100 average yield of the fund s investments was 0.4% per year* with an average duration of approximately one month. * Average yield of the fund s investments as of the reporting date. This may differ from the nominal yield of the interest-bearing instruments held in the portfolio. The future performance of the fund cannot be derived from this. 5

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9 The format used for complete dates in securities descriptions in the investment portfolio is day/month/year. Annual financial statements with investment portfolio and statement of income and expenses

10 Annual financial statements Deutsche Floating Rate Notes Investment portfolio December 31, 2015 Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR Securities traded on an exchange Interest-bearing securities % A.N.Z. Banking Group 13/ MTN (XS )... EUR % % A.N.Z. Banking Group 14/ MTN (XS )... EUR % % Abbey National Trea. Serv. 14/ MTN (XS )... EUR % % Abbey National Trea. Serv. 14/ MTN (XS )... EUR % % Abbey National Trea. Serv. 14/ MTN (XS )... EUR % % Abbey National Trea. Serv. 14/ MTN (XS )... EUR % % Abbey National Trea. Serv. 15/ MTN (XS )... EUR % % ABN AMRO Bank 13/ MTN (XS )... EUR % % ABN AMRO Bank 13/ MTN (XS )... EUR % % ABN AMRO Bank 14/ MTN (XS )... EUR % % ABN AMRO Bank 15/ MTN (XS )... EUR % % ABN AMRO Bank 15/ MTN (XS )... EUR % % Achmea Bank 15/ MTN (XS )... EUR % % Adagio III CLO 06/ S.3X Cl.A3 Reg S (XS )... EUR % % Air Liquide Finance 13/ MTN (FR )... EUR % % Air Liquide Finance 15/ MTN (FR )... EUR % % Alfa Laval Treasury International 14/ MTN (XS )... EUR % % American Honda Finance 15/ MTN (XS )... EUR % % Anheuser-Busch InBev 14/ MTN (BE )... EUR % % Anheuser-Busch InBev 15/ MTN (BE )... EUR % % ANZ New Zealand (Intl.) (Ldn. Br.) 13/ MTN (XS )... EUR % % ANZ New Zealand (Intl.) (Ldn. Br.) 14/ MTN (XS )... EUR % % Arena 2012-I 12/ Cl.A1 (XS )... EUR % % Ares European CLO III 07/ Cl.A2 (XS )... EUR % % ASB Finance (London Branch) 14/ MTN (XS )... EUR % % AT & T 14/ (XS )... EUR % % B.A.T. International Finance 14/ MTN (XS )... EUR % % Bank of America 06/ MTN (XS )... EUR % % Bank of America 06/ MTN (XS )... EUR % % Bank of America 07/ MTN (XS )... EUR % % Bank of China15/ MTN (XS )... EUR % % Bank of Ireland 15/ MTN (XS )... EUR % % Bank of Montreal 13/ MTN (XS )... EUR % % Bank of Nova Scotia 13/ MTN (XS )... EUR % % Bank of Nova Scotia 14/ MTN (XS )... EUR % % Bank of Nova Scotia 15/ MTN (XS )... EUR % % Bank of Nova Scotia 15/ MTN (XS )... EUR %

11 Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR % Banque Fédérative Crédit Mu. 13/ MTN (XS )... EUR % % Banque Fédérative Crédit Mu. 14/ MTN (XS )... EUR % % Banque Fédérative Crédit Mu. 15/ MTN (XS )... EUR % % Barclays Bank 14/ MTN (XS )... EUR % % BASF 13/ MTN (XS )... EUR % % Bayer 14/ MTN (XS )... EUR % % Bayer Nordic 13/ MTN (XS )... EUR % % Belfius Bank 14/ MTN (BE )... EUR % % Belfius Bank 14/ MTN (BE )... EUR % % BHP Billiton Finance 15/ MTN (XS )... EUR % % BMW US Capital 15/ MTN (DE000A1Z6M04)... EUR % % BMW US Capital 15/ MTN (DE000A1ZZ002)... EUR % % BNP Paribas 14/ MTN (XS )... EUR % % BNP Paribas 15/ MTN (XS ) 3... EUR % % BNP Paribas 15/ MTN (XS )... EUR % % BNP Paribas 15/ MTN (XS )... EUR % % BNP Paribas Arbitrage Issuance (XS )... EUR % % BNZ Int. Funding (London Br.) 14/ MTN (XS )... EUR % % BPCE 13/ MTN (FR )... EUR % % BPCE 13/ MTN (FR ) 3... EUR % % BPCE 14/ MTN (FR )... EUR % % BPCE 15/ MTN (FR )... EUR % % Brunel Residential Mtg. 07/ S1X A4A (XS )... EUR % % Caisse Ce. Desjardins Québec 15/ MTN (XS ) 3... EUR % % Caixabank 06/ PF (ES ). EUR % % Canadian Imperial Bank Comm. 15/ MTN (XS )... EUR % % Caterpillar International Finance 13/ MTN (XS )... EUR % % Caterpillar International Finance 14/ MTN (XS )... EUR % % Caterpillar International Finance 15/ MTN (XS )... EUR % % CEZ 14/ MTN (XS )... EUR % % Citigroup 04/ (XS )... EUR % % Citigroup 06/ MTN (XS ). EUR % % Citigroup 07/ MTN (XS ). EUR % % Citigroup 14/ MTN (XS ). EUR % % CLASS/BVV 05/ S.173 MTN (XS )... EUR % % Coca-Cola 15/ (XS )... EUR % % Coca-Cola 15/ (XS )... EUR % % Colgate-Palmolive 15/ MTN (XS )... EUR % % Crédit Agricole (London Br.) 10/ MTN (XS )... EUR % % Crédit Agricole (London Br.) 13/ MTN (XS )... EUR % % Crédit Agricole (London Br.) 14/ MTN (XS )... EUR % % Credit Suisse (London Branch) 14/ MTN (XS )... EUR % % Credit Suisse (London Branch) 14/ MTN (XS )... EUR % % Credit Suisse (London Branch) 14/ MTN (XS )... EUR % % Credit Suisse (London Branch) 15/ MTN (XS )... EUR %

12 Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR % Credit Suisse (London Branch) 15/ MTN (XS )... EUR % % CW Bank of Australia 13/ MTN (XS )... EUR % % CW Bank of Australia 15/ MTN (XS ) 3... EUR % % Daimler 13/ MTN (DE000A1TNK78). EUR % % Daimler 15/ MTN (DE000A161515). EUR % % Daimler Canada Finance 14/ MTN (DE000A1ZE7J5)... EUR % % Daimler Canada Finance 14/ MTN (DE000A1ZB177)... EUR % % Danone 15/ MTN (FR ). EUR % % Danske Bank 13/ MTN (XS )... EUR % % Danske Bank 14/ MTN (XS ) 3... EUR % % Danske Bank 14/ MTN (XS )... EUR % % Danske Bank 15/ MTN (XS )... EUR % % DekaBank DGZ 13/ S.6437 IHS (DE000DK9FUA0)... EUR % % DekaBank DGZ 14/ IHS MTN (XS )... EUR % % Deutsche Bahn Finance 14/ MTN (XS )... EUR % % Deutsche Bank 14/ MTN (DE000DB7XHM0)... EUR % % Deutsche Hypothekenbank 15/ IHS MTN (DE000DHY4515)... EUR % % Deutsche Pfandbriefbank 13/ MTN ÖPF (DE000A1R0550)... EUR % % Deutsche Pfandbriefbank 13/ R MTN (DE000A1R06F8)... EUR % % Dexia Crédit Local 14/ MTN (XS )... EUR % % Dexia Crédit Local 14/ MTN (XS )... EUR % % DG Hypothekenbank 12/ R.1111 MTN PF (DE000A1KQW88)... EUR % % DG Hypothekenbank 13/ S.996 IHS MTN (DE000A1REYV8) EUR % % DH Europe Finance 15/ (XS )... EUR % % DNB Bank 15/ MTN (XS )... EUR % % EARLS Eight /BVV 05/ S.190 MTN (XS )... EUR % % ENEL 10/ (IT )... EUR % % Erste Abwicklungsanstalt 12/ MTN (DE000EAA0CH3)... EUR % % France 15/ (FR ) 3... EUR % % France 15/ (FR ) 3... EUR % % GE Capital European Funding 06/ MTN (XS )... EUR % % GE Capital European Funding 11/ MTN (XS ) 3... EUR % % GE Capital European Funding 13/ MTN (XS )... EUR % % GE Capital European Funding 15/ MTN (XS )... EUR % % Goldman Sachs Group 14/ MTN (XS )... EUR % % Goldman Sachs Group 15/ MTN (XS )... EUR % % Goldman Sachs Group 15/ MTN (XS )... EUR % % HBOS 04/ MTN (XS ).. EUR % % HBOS 06/ MTN (XS ).. EUR % % HBOS 07/ MTN (XS ) 3... EUR % % HETA Asset Resolution 07/ MTN (XS ) *)... EUR % % Highlander Euro CDO III 07/ Cl.A Reg S (XS )... EUR %

13 Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR % HSBC France 14/ MTN (FR )... EUR % % ING Bank 13/ MTN (XS )... EUR % % ING Bank 14/ MTN (XS )... EUR % % ING Bank 14/ MTN (XS )... EUR % % ING Bank 15/ MTN (XS )... EUR % % Intesa Sanpaolo 07/ MTN (XS ) 3... EUR % % Intesa Sanpaolo 13/ MTN (XS )... EUR % % Intesa Sanpaolo 14/ MTN (XS )... EUR % % Intesa Sanpaolo 15/ MTN (XS )... EUR % % Intesa Sanpaolo Bank Ireland 15/ MTN (XS )... EUR % % Invest.bk. Schleswig Holstein 14/ S.1 IHS (DE000A13SL42)... EUR % % Italfinance Securitisation V.2 07/ Cl.A (IT )... EUR % % John Deere Bank 14/ MTN (XS )... EUR % % JPMorgan Chase & Co. 13/ MTN (XS )... EUR % % JPMorgan Chase & Co. 14/ MTN (XS )... EUR % % JPMorgan Chase & Co. 14/ MTN (XS )... EUR % % JPMorgan Chase & Co. 14/ MTN (XS )... EUR % % La Banque Postale 14/ MTN (FR )... EUR % % Lloyds Bank 10/ MTN (XS )... EUR % % Lloyds Bank 13/ MTN (XS )... EUR % % Lloyds Bank 14/ MTN (XS )... EUR % % Lloyds Bank 14/ MTN (XS )... EUR % % LVMH Moët Hennessy Louis Vuitton 14/ MTN (FR )... EUR % % Macquarie Bank 14/ MTN (XS )... EUR % % Macquarie Bank 14/ MTN (XS )... EUR % % Macquarie Bank 15/ MTN Reg S (XS )... EUR % % McDonald s 15/ MTN (XS )... EUR % % Mercedes-Benz Japan 14/ MTN (XS )... EUR % % Morgan Stanley 06/ MTN (XS )... EUR % % Morgan Stanley 07/ MTN (XS )... EUR % % Morgan Stanley 14/ MTN (XS )... EUR % % National Australia Bank 13/ MTN (XS )... EUR % % National Australia Bank 13/ MTN (XS )... EUR % % National Australia Bank 14/ MTN (XS ) 3... EUR % % National Australia Bank 15/ MTN (XS )... EUR % % National Bank of Canada 15/ MTN (XS )... EUR % % Nationwide Building Society 15/ MTN (XS ) 3... EUR % % Nationwide Building Society 15/ MTN (XS )... EUR %

14 Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR % Norddt. Landesbank 07/ S.1249 ÖPF (DE000NLB3649)... EUR % % Nordea Bank 13/ MTN (XS )... EUR % % Nordea Bank 13/ MTN (XS )... EUR % % Nordea Bank 13/ MTN (XS )... EUR % % Nordea Bank 15/ MTN (XS )... EUR % % Paccar Financial Europe 13/ MTN (XS )... EUR % % Paccar Financial Europe 14/ MTN (XS )... EUR % % Pohjola Pankki 14/ MTN (XS )... EUR % % Pohjola Pankki 15/ MTN (XS )... EUR % % QNB Finance 14/ MTN (XS )... EUR % % QNB Finance 15/ MTN (XS )... EUR % % Rabobank 07/ MTN (XS )... EUR % % Rabobank 13/ MTN (XS )... EUR % % Rabobank 14/ MTN (XS )... EUR % % Rabobank 15/ MTN (XS )... EUR % % Royal Bank of Canada 15/ MTN (XS )... EUR % % Royal Bank of Scotland 09/ (NL )... EUR % % Royal Bank of Scotland 10/ MTN (XS )... EUR % % RWE 02/ MTN (XS )... EUR % % Saecure 12/ S.12 Cl.A1 Reg S (XS )... EUR % % Sanofi 14/ MTN (FR ).. EUR % % Sanofi 15/ MTN (FR ).. EUR % % SAP 14/ MTN (DE000A13SL18).... EUR % % SAP 15/ MTN (DE000A14KJE8).... EUR % % SBAB Bank 13/ MTN (XS )... EUR % % SBAB Bank 15/ MTN (XS )... EUR % % Scentre Management 14/ MTN (XS )... EUR % % Shell International Finance 15/ MTN (XS ) 3... EUR % % Skandin. Enskilda Banken 13/ MTN (XS )... EUR % % Skandin. Enskilda Banken 15/ MTN (XS )... EUR % % Sky 15/ MTN (XS )..... EUR % % Snam 13/ MTN (XS )... EUR % % Snam 14/ MTN (XS )... EUR % % Soc. Autoroutes Paris-Rhin-Rhône 14/ MTN (FR )... EUR % % Soc. Autoroutes Paris-Rhin-Rhône 15/ MTN (FR )... EUR % % Societe Generale 13/ MTN (XS )... EUR % % Societe Generale 14/ MTN (XS )... EUR % % Société Générale 15/ MTN (XS )... EUR % % Société Générale 15/ MTN (XS )... EUR % % Solvay 15/ (BE )... EUR % % Standard Chartered 14/ MTN (XS ) 3... EUR % % Swedbank 13/ MTN (XS )... EUR % % Swedbank 13/ MTN (XS )... EUR %

15 Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR % Swedbank 15/ MTN (XS )... EUR % % Swedbank 15/ MTN (XS )... EUR % % Syngenta Finance 14/ MTN (XS )... EUR % % Toronto-Dominion Bank 15/ MTN (XS ) 3... EUR % % Total Capital International 14/ MTN (XS )... EUR % % Toyota Motor Credit 15/ MTN (XS )... EUR % % Toyota Motor Credit 15/ MTN (XS ) 3... EUR % % UBS (London Branch) 14/ MTN (XS )... EUR % % UBS (London Branch) 15/ MTN (XS )... EUR % % UniCredit 10/ (IT )... EUR % % UniCredit 13/ MTN (XS )... EUR % % UniCredit 14/ MTN (XS )... EUR % % UniCredit 14/ MTN PF (IT )... EUR % % UniCredit 15/ MTN (XS )... EUR % % Vela Home 04/ Cl.A2 (IT )... EUR % % Vinci 13/ MTN (FR )... EUR % % Volkswagen Bank 13/ MTN (XS )... EUR % % Volkswagen Bank 14/ MTN (XS )... EUR % % Volkswagen Financial Services 15/ MTN (XS )... EUR % % Volkswagen Int. Finance 14/ MTN (XS ) 3... EUR % % Volkswagen Int. Finance 14/ MTN (XS )... EUR % % Volkswagen Int. Finance 15/ MTN (XS )... EUR % % Volvo Treasury 13/ MTN (XS )... EUR % % Volvo Treasury 14/ MTN (XS )... EUR % % Vonovia Finance 15/ MTN (DE000A18V120) EUR % % Wells Fargo & Co. 06/ MTN (XS )... EUR % % Wells Fargo & Co. 14/ MTN (XS )... EUR % % Wells Fargo & Co. 15/ MTN (XS )... EUR % % Westpac Banking 13/ MTN (XS )... EUR % % Westpac Sec. NZ (London Br.) 14/ MTN (XS )... EUR % % America Móvil 13/ (US02364WBF14)... USD % % Bank of Tokyo-Mitsubishi 15/ Reg S (USJ0423YCA04)... USD % % Bank of Tokyo-Mitsubishi 15/ Reg S (USJ04306AB22)... USD % % BP Capital Markets 13/ (US05565QCN60)... USD % % Glencore Funding 15/ Reg S (XS )... USD % % Korea Development Bank 14/ (US500630CB28)... USD % % Regal S.32/DB Capital Trust 10/ MTN (XS )... USD % % Regal/DB Bank Capital 99/ MTN S.17 (XS )... USD % % Royal Bank of Scotland Group 14/ (US780099CF26)... USD %

16 Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR % Standard Chartered 15/ Reg S (XS )... USD % % Sumitomo Mitsui Banking14/ (US865622BK90)... USD % % Toronto-Dominion Bank 13/ MTN (US89114QAL23)... USD % % Toronto-Dominion Bank 15/ MTN (US89114QB239)... USD % % BW Bank Capital Funding Trust I 99/und. S.1 (USU )... Count EUR Securities admitted to or included in organized markets Interest-bearing securities % American Express Credit 14/ MTN (US0258M0DL06)... USD % % American Honda Finance 15/ MTN (US02665WAX92)... USD % % AT & T 15/ (US00206RCK68)... USD % % Bank of America 14/ MTN (US06051GFE44)... USD % % Baxalta 15/ a (US07177MAH60). USD % % BP Capital Markets 15/ (US05565QCW69)... USD % % Chevron 14/ (US166764AJ95)... USD % % CW Bank of Australia 13/ MTN Reg S (US2027A1GW19)... USD % % CW Bank of Australia 15/ MTN Reg S (US2027A1HN01)... USD % % Enbridge 13/ (US29250NAG07)... USD % % Glencore Funding 13/ Reg S (XS )... USD % % Goldman Sachs Group 14/ MTN (US38141EC493) USD % % Goldman Sachs Group 15/ (US38148LAD82)... USD % % HSBC USA 13/ (US40428HPK22).. USD % % HSBC USA 15/ (US40428HPW69).. USD % % JPMorgan Chase & Co. 15/ (US46625HKB59)... USD % % Macquarie Bank 14/ MTN Reg S (US55608RAF73)... USD % % Nissan Motor Acceptance 13/ Reg S (USU65478AJ57)... USD % % Royal Bank of Canada 15/ MTN (US78012KCC99)... USD % % Siemens Financieringsmaatsch. 15/ Reg S (USN82008AA63)... USD % % State Street 15/ (US857477AR48).. USD % % Sumitomo Mitsui Banking 15/ (US865622BP87)... USD % % Toyota Motor Credit 15/ MTN (US89236TCR41)... USD % % UBS (Stamford Branch) 15/ MTN (US90261XHJ46) USD % % Westpac Banking 15/ (US961214CN14)... USD % Unlisted securities Interest-bearing securities % CSC Capital Funding (XS )... EUR % Investment fund units In-group fund units DGL - Deutsche Managed Euro Short Term Bond Fund (IE00B98GX142) (0.200%)... Count EUR DWS Emerging Markets Bonds (Short) (LU ) (0.600%)... Count EUR Total securities portfolio

17 Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR Derivatives Minus signs denote short positions Currency derivatives Currency futures (short) Open positions USD/EUR million Swaps Credit default swaps Protection seller Airbus Group Finance / 100 BP (CSI) (OTC)... EUR Bank of America/100 BP (BNP) (OTC)... EUR JPMorgan Chase & Co. / 100 BP (BNP) (OTC). EUR Cash at bank Demand deposits at Depositary EUR deposits... EUR % Deposits in other EU/EEA currencies... EUR % Deposits in non-eu/eea currencies Japanese yen... JPY % U.S. dollar... USD % Other assets Interest receivable... EUR % Withholding tax claims... EUR % Other receivables... EUR % Receivables from share certificate transactions EUR % Total assets Other liabilities Liabilities from cost items... EUR % Additional other liabilities... EUR % Liabilities from share certificate transactions EUR % Net assets Net asset value per unit Count/ Net asset value per unit and number of units outstanding currency in the respective currency Net asset value per unit Class LC... EUR Class LD... EUR Number of units outstanding Class LC... Count Class LD... Count Negligible rounding errors may have arisen due to the rounding of calculated percentages. 15

18 Deutsche Floating Rate Notes Maximum limit for the market risk exposure (according to CSSF circular 11/512) 2.00% vom Portfoliowert Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure... % Highest market risk exposure... % Average market risk exposure... % The values-at-risk were calculated for the period from January 1, 2015, through December 31, 2015, using the VaR method of historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. 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 0.1, 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 369,631, as of the reporting date. Counterparties BNP Paribas S.A. London Branch; Citibank N.A. London Branch; Credit Suisse International; Deutsche Bank AG, Frankfurt/Main; Goldman Sachs International; HSBC Bank PLC; Merrill Lynch International Ltd.; Morgan Stanley & Co. International PLC Securities lending The following securities were transferred under securities loans at the reporting date: Security description Principal amount Securities loans Count, or Total market value in EUR Currency ( 000) Limited maturity Perpetual Total % BNP Paribas 15/ MTN... EUR % BPCE 13/ MTN... EUR % Caisse Ce. Desjardins Québec 15/ MTN... EUR % CW Bank of Australia 15/ MTN... EUR % Danske Bank 14/ MTN... EUR % France 15/ EUR % France 15/ EUR % GE Capital European Funding 11/ MTN... EUR % HBOS 07/ MTN... EUR % Intesa Sanpaolo 07/ MTN... EUR % National Australia Bank 14/ MTN... EUR % Nationwide Building Society 15/ MTN. EUR % Shell International Finance 15/ MTN. EUR % Standard Chartered 14/ MTN... EUR % Toronto-Dominion Bank 15/ MTN... EUR % Toyota Motor Credit 15/ MTN... EUR % Volkswagen Int. Finance 14/ MTN... EUR Total receivables from securities loans Contracting parties for securities loans: BNP Paribas S.A. Arbitrage, Paris; Citigroup Global Markets Ltd., London; Crédit Suisse Securities (Europe) Ltd.; Deutsche Bank AG, Frankfurt/Main; J.P. Morgan Securities PLC; Morgan Stanley & Co. International PLC; Nomura International PLC Total collateral pledged by third parties for securities loans EUR thereof: Bonds EUR Equities EUR

19 Deutsche Floating Rate Notes Market abbreviations Futures exchanges OTC = Over the Counter Exchange rates (indirect quotes) As of December 30, 2015 Japanese yen.... JPY = EUR 1 U.S. dollar... USD = EUR 1 Notes on valuation The Management Company determines the net asset values per unit and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Management Company on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the fund prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the Management Company and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Investments 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 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 * This bond, which has a default guarantee provided by the federal state of Carinthia, is an issue of the former Hypo Alpe Adria International AG, which got into financial difficulties. The liabilities under this bond were transferred to Heta Asset Resolution AG ( Heta ) by means of a transfer arrangement on the basis of the Austrian Federal Act on the Creation of a Liquidation Entity. On March 1, 2015, Heta was placed under the authority of the Austrian Financial Market Authority (FMA), which, in its capacity as resolution authority, will conduct the orderly liquidation of Heta. In this context, a time-limited debt moratorium until the end of May 2016 was set for all debt securities, including interest, transferred to Heta. Against the backdrop of financial reports recently published by Heta showing a significant capital shortfall, an imminent decline in value and a haircut with the participation of creditors is to be expected for the Heta bonds. The extent of this haircut will be largely determined by recoverability and the successful enforceability of claims in connection with the existing default guarantee by the federal state of Carinthia. Depending on the course of further decisions or measures by the FMA and the Austrian government regarding the liquidation of Heta, in view of the default guarantee provided by the federal state of Carinthia all other available legal remedies will be reviewed in order to assert the interests of investors. Since March 2015, in the absence of an active market, the valuation of this bond is being conducted on the basis of a scenario-based and probability-based model. The assumptions made for this purpose, which are subject to regular monitoring and revision by the Management Company, take into account not only observable market data but also the guarantee for the bond provided by the state of Carinthia, among other factors. 1 Does not include positions with a negative balance, if such exist. 3 These securities are completely or partly lent as securities loans. 17

20 Deutsche Floating Rate Notes 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/ Description currency Description currency additions disposals additions ( / 000) ( / 000) Sales/ disposals Securities traded on an exchange Interest-bearing securities % ABN AMRO Bank 15/ Tr.7 MTN (XS )... EUR % ABN AMRO Bank 15/ Tr.2 MTN (XS )... EUR % Achmea Bank 15/ MTN Tr.3 (XS )... EUR % Agence Française Développem. 12/ MTN (XS )... EUR % Air Liquide Finance 13/ MTN (FR )... EUR % Allied Irish Banks 10/ MTN (XS )... EUR % AYT Cedulas Cajas X 05/ PF (ES )... EUR % Bank of Ireland 15/ MTN (XS )... EUR % Banque Fédérative Crédit Mut. 13/ MTN (XS )... EUR % Banque Fédérative Crédit Mut. 13/ MTN (XS )... EUR % Banque Fédérative Crédit Mut. 14/ MTN (XS )... EUR % Banque Fédérative Crédit Mut. 14/ MTN (XS )... EUR % Barclays Bank 14/ MTN (XS )... EUR % Bayerische Landesbank 03/ IHS (XS )... EUR % Bayerische Landesbank 04/ IHS (XS )... EUR % Bayerische Landesbank 10/ S.3079 IHS (DE000BLB8CM5)... EUR % Belfius Bank 14/ MTN (BE )... EUR % Belfius Bank 14/ MTN (BE )... EUR % Berica 10 Residential MBS 11/ S.10 Cl.A2 (IT )... EUR % BMW Finance 13/ MTN (XS )... EUR % BMW Finance 13/ MTN (XS )... EUR % BMW Finance 14/ MTN (XS )... EUR % BNP Paribas 13/ MTN (XS )... EUR % BNP Paribas 13/ MTN (XS )... EUR % BNP Paribas 14/ MTN (XS )... EUR % BNP Paribas 14/ MTN Reg S (XS )... EUR % BPCE 13/ MTN (FR )... EUR % BPCE 13/ MTN (FR )... EUR % BPCE 13/ MTN (FR )... EUR % BPCE SFH 12/ MTN PF (FR )... EUR % Bpifrance Financement 14/ MTN (FR )... EUR % Caisse Amortism. Dette Soc. 12/ MTN (FR )... EUR % Cie. Financement Foncier 13/ MTN PF (FR ).. EUR % Citigroup 14/ MTN (XS )... EUR % Crédit Agricole (London Br.) 12/ MTN (XS )... EUR % Crédit Agricole (London Br.) 13/ MTN (FR )... EUR % Crédit Agricole (London Br.) 13/ MTN (XS )... EUR % Credit Suisse (London Branch) 12/ MTN (XS )... EUR % Credit Suisse (London Branch) 13/ MTN (XS )... EUR % Credit Suisse (London Branch) 14/ MTN (XS )... EUR % Credit Suisse (London Branch) 14/ MTN (XS )... EUR % Credit Suisse (London Branch) 14/ MTN (XS )... EUR % CW Bank of Australia 12/ MTN (XS )... EUR % Danske Bank 13/ MTN (XS )... EUR % Danske Bank 14/ MTN (XS )... EUR % DekaBank DGZ 03/ Tr.26 IHS MTN (XS )... EUR % DekaBank DGZ 04/ S.108 IHS MTN (XS )... EUR % DekaBank DGZ 04/ Tr.93 IHS MTN (XS )... EUR % Deutsche Bank 04/ MTN (DE )... EUR % Deutsche Bank 13/ MTN (DE000DB5DDE2)... EUR % Deutsche Bank 13/ MTN (DE000DB7XLL4)... EUR % Deutsche Bank 14/ MTN (DE000DB7XKK8)... EUR % Dt. Apothek. u. Ärztebk. 13/ MTN (XS )... EUR % ENEL 07/ (IT )... EUR % ENI 09/ S.0001 (IT )... EUR % Erste Abwicklungsanstalt 10/ (DE000WLB6SG2)... EUR % Fiat Chrysler Finance Europe 09/ MTN (XS )... EUR % France 14/ (FR )... EUR % France 14/ (FR )... EUR % France 14/ (FR )... EUR % France 14/ (FR )... EUR % France 14/ (FR )... EUR % France 15/ (FR )... EUR % France 15/ (FR )... EUR % France 15/ (FR )... EUR % France 15/ (FR )... EUR % France (FR )... EUR % France B.T.F. 14/ (FR )... EUR % France B.T.F. 14/ (FR )... EUR % French Republic 15/ (FR )... EUR % GE Capital European Funding 13/ MTN (XS )... EUR % Granite Mortgages / S.2 Cl.A2 (XS )... EUR % HBOS 03/ (XS )... EUR % HeidelbergCement Finance Lux. 10/ MTN (XS ). EUR % Hermes X 05/ Cl.A (XS )... EUR % HSBC Bank 05/ MTN (XS )... EUR

21 Deutsche Floating Rate Notes Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals % HSBC Bank 13/ MTN (XS )... EUR % HSH N Finance (Guernsey) 03/ MTN (XS )... EUR % HSH Nordbank 05/ E IHS (DE000HSH1LX9)... EUR % HSH Nordbank 05/ MTN (XS )... EUR % HYPO NOE Gruppe Bank 13/ MTN (XS )... EUR % HYPO-BANK BURGENLAND 00/ (AT )... EUR % ING Bank 13/ MTN (XS )... EUR % ING Bank 13/ MTN (XS )... EUR % ING Groep 13/ MTN (XS )... EUR % Intesa Sanpaolo 13/ MTN (XS )... EUR % Intesa Sanpaolo Bank Ireland 13/ MTN (XS )... EUR % Italy 14/ (IT )... EUR % JPMorgan Chase & Co. 05/ MTN (XS )... EUR % JPMorgan Chase 05/ MTN (XS )... EUR % Landesbank Berlin 07/ IHS S.333 (DE000LBB0YR5)... EUR % LB Baden-Württemberg 04/ S.216 IHS MTN (XS )... EUR % LB Baden-Württemberg 04/ MTN (XS )... EUR % LB Baden-Württemberg 04/ S.234 IHS MTN (XS )... EUR % LB Baden-Württemberg 05/ R.61 IHS (DE000A0BU154)... EUR % LB Hessen-Thüringen 05/ S.H174 IHS MTN (DE000A0EPK33)... EUR % LB Hessen-Thüringen 06/ S.H192 IHS MTN (XS )... EUR % LBBW Dublin Management 04/ MTN (XS )... EUR % LBBW Dublin Management 05/ MTN (XS )... EUR % Lloyds Bank 13/ MTN (XS )... EUR % Lloyds Bank 13/ MTN (XS )... EUR % Lloyds Bank 13/ MTN (XS )... EUR % Macquarie Bank 15/ S.AUG MTN (XS )... EUR % Mercedes-Benz Australia/Pacific 13/ MTN (XS )... EUR % Mercedes-Benz Japan 15/ MTN Tr.2 (XS )... EUR % Mondelez International 13/ (XS )... EUR % Münchener Hypothekenbk. 05/ S.183 IHS (DE000A0EY1G6)... EUR % Münchener Hypothekenbk. 13/ S.1630 IHS MTN (DE000MHB9213)... EUR % Nederlandse Waterschapsbank 11/ MTN (XS )... EUR % Netherlands 12/ (NL )... EUR % Norddt. Landesbank 03/ IHS MTN (DE )... EUR % Nordea Bank Finland 12/ MTN PF (XS )... EUR % Pohjola Pankki 12/ MTN (XS )... EUR % Pohjola Pankki 15/ Tr.9 MTN (XS )... EUR % QNB Finance 14/ MTN (XS )... EUR % Rabobank 09/ MTN (XS )... EUR % Raiffeisen Bank International 13/ MTN (XS )... EUR % Raiffeisen Bank International 13/ MTN (XS )... EUR % Royal Bank of Scotland 10/ (NL )... EUR % Société Générale 13/ MTN (XS )... EUR % Société Générale 13/ MTN (XS )... EUR % Société Générale 13/ MTN (XS )... EUR % Societe Generale 13/ MTN (XS )... EUR % Standard Chartered 13/ MTN (XS )... EUR % Standard Chartered Bank 13/ MTN Reg S (XS )... EUR % Storm 10/ S.3 Cl.A1 (XS )... EUR % Suncorp-Metway 13/ MTN (XS )... EUR % Telecom Italia 04/ MTN (XS )... EUR % Telefonica Emisiones 09/ MTN (XS )... EUR % UniCredit 05/ MTN (XS )... EUR % UniCredit 13/ MTN (XS )... EUR % Volkswagen Bank 13/ MTN (XS )... EUR % Volkswagen Bank 13/ MTN (XS )... EUR % Volkswagen Bank 14/ IHS MTN (XS )... EUR % Volkswagen Int. Finance 12/ MTN (XS )... EUR % Volvo Treasury 14/ MTN (XS )... EUR % Volvo Treasury 14/ MTN (XS )... EUR % Westpac Banking 14/ MTN (XS )... EUR % CLASS/DB CapFT 09/und. MTN (XS )... USD % EARLS Eight /DB CapFT 09/ S.496 CLN (XS )... USD % Royal Bank of Scotland 05/ (XS )... USD Unlisted securities Interest-bearing securities % Vesteda Residential Funding II 05/ CI.A4 (XS ).. EUR Investment fund units In-group fund units Deutsche Institutional Yield (LU ) (0.100%)... Count

22 Deutsche Floating Rate Notes 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 Value ( 000) Futures contracts to sell currencies USD/EUR EUR Swaps (total amount of opening transactions) Credit default swaps Protection seller EUR (Underlyings: HSBC Bank / 100 BP (BNP) , Volkswagen AG / 100 BP (BNP) ) Securities loans (total transactions, at the value agreed at the closing of the loan contract) Value ( 000) Perpetual EUR Security description: % A.N.Z. Banking Group 14/ MTN (XS ), % Abbey National Trea. Serv. 14/ MTN (XS ), % Abbey National Trea. Serv. 14/ MTN (XS ), % ABN AMRO Bank 15/ MTN (XS ), % American Honda Finance 15/ MTN (XS ), % ANZ New Zealand (Intl.) (Ldn. Br.) 13/ MTN (XS ), % ASB Finance (London Branch) 14/ MTN (XS ), % AT & T 14/ (XS ), % B.A.T. International Finance 14/ MTN (XS ), % Bank of China15/ MTN (XS ), % Banque Fédérative Crédit Mu. 13/ MTN (XS ), % BMW US Capital 15/ MTN (DE000A1ZZ002), % BNP Paribas 14/ MTN (XS ), % BNP Paribas 15/ MTN (XS ), % BNZ Int. Funding (London Br.) 14/ MTN (XS ), % BPCE 13/ MTN (FR ), % BPCE 15/ MTN (FR ), % Caterpillar International Finance 13/ MTN (XS ), % Caterpillar International Finance 14/ MTN (XS ), % Citigroup 04/ (XS ), % Citigroup 14/ MTN (XS ), % Crédit Agricole (London Br.) 13/ MTN (XS ), % Crédit Agricole (London Br.) 14/ MTN (XS ), % Credit Suisse (London Branch) 14/ MTN (XS ), % Credit Suisse (London Branch) 14/ MTN (XS ), % Credit Suisse (London Branch) 14/ MTN (XS ), % Credit Suisse (London Branch) 15/ MTN (XS ), % CW Bank of Australia 12/ MTN (XS ), % CW Bank of Australia 15/ MTN (XS ), % Daimler 13/ MTN (DE000A1TNK78), % Danone 15/ MTN (FR ), % Deutsche Bahn Finance 14/ MTN (XS ), % Deutsche Bank 13/ MTN (DE000DB5DDE2), % Deutsche Bank 14/ MTN (DE000DB7XHM0), % DH Europe Finance 15/ (XS ), % DNB Bank 15/ MTN (XS ), % ENEL 10/ (IT ), % ENI 09/ S.0001 (IT ), % Erste Abwicklungsanstalt 12/ MTN (DE000EAA0CH3), % France 14/ (FR ), % France 14/ (FR ), % France 14/ (FR ), Securities loans (total transactions, at the value agreed at the closing of the loan contract) % France 14/ (FR ), % France 14/ (FR ), % France 15/ (FR ), % France 15/ (FR ), % France 15/ (FR ), % France 15/ (FR ), % France (FR ), % France B.T.F. 14/ (FR ), % France B.T.F. 14/ (FR ), % French Republic 15/ (FR ), % GE Capital European Funding 11/ MTN (XS ), % GE Capital European Funding 15/ MTN (XS ), % Goldman Sachs Group 14/ MTN (XS ), % Goldman Sachs Group 15/ MTN (XS ), % HBOS 04/ MTN (XS ), % HBOS 07/ MTN (XS ), % ING Bank 13/ MTN (XS ), % ING Bank 14/ MTN (XS ), % Intesa Sanpaolo 13/ MTN (XS ), % Intesa Sanpaolo 13/ MTN (XS ), % Intesa Sanpaolo 14/ MTN (XS ), % Intesa Sanpaolo 15/ MTN (XS ), % Intesa Sanpaolo Bank Ireland 15/ MTN (XS ), % John Deere Bank 14/ MTN (XS ), % JPMorgan Chase & Co. 13/ MTN (XS ), % JPMorgan Chase & Co. 14/ MTN (XS ), % JPMorgan Chase & Co. 14/ MTN (XS ), % LB Hessen-Thüringen 06/ S.H192 IHS MTN (XS ), % Macquarie Bank 14/ MTN (XS ), % Morgan Stanley 06/ MTN (XS ), % Morgan Stanley 07/ MTN (XS ), % Morgan Stanley 14/ MTN (XS ), % National Australia Bank 14/ MTN (XS ), % National Australia Bank 15/ MTN (XS ), % Netherlands 12/ (NL ), % Nordea Bank 15/ MTN (XS ), % Rabobank 15/ MTN (XS ), % Royal Bank of Canada 15/ MTN (XS ), % Sanofi 14/ MTN (FR ), % Shell International Finance 15/ MTN (XS ), % Soc. Autoroutes Paris-Rhin-Rhône 14/ MTN (FR ), % Societe Generale 13/ MTN (XS ), % Societe Generale 14/ MTN (XS ), % Société Générale 15/ MTN (XS ), % Standard Chartered 14/ MTN (XS ), % Swedbank 15/ MTN (XS ), % Syngenta Finance 14/ MTN (XS ), % Toronto-Dominion Bank 15/ MTN (XS ), % Total Capital International 14/ MTN (XS ), % Toyota Motor Credit 15/ MTN (XS ), % UniCredit 05/ MTN (XS ), % UniCredit 15/ MTN (XS ), % Volkswagen Int. Finance 14/ MTN (XS ), % Bank of Tokyo-Mitsubishi 15/ Reg S (USJ04306AB22), % Glencore Funding 15/ Reg S (XS ), % JPMorgan Chase & Co. 15/ (US46625HKB59), % Macquarie Bank 14/ MTN Reg S (US55608RAF73) Value ( 000) Repurchase agreements (total transactions, at the value agreed at the closing of the repurchase agreements) Value ( 000) Purchased under repurchase agreements EUR (Underlyings: Bank of Ireland 12/ MTN, Caterpillar International Finance 14/ MTN, Comunidad Autónoma de Madrid 15/ , German Postal Pensions 2 06/ Cl.C) Sold under repurchase agreements EUR (Underlyings: Erste Abwicklungsanstalt 12/ MTN) 20

23 Deutsche Floating Rate Notes Statement of income and expenses (incl. income adjustment) for the period from January 1, 2015, through December 31, 2015 I. Income 1. Interest from securities (before withholding tax)... EUR Interest from investments of liquid assets (before withholding tax)... EUR Income from investment certificates... EUR Income from securities lending and repurchase agreements... EUR thereof: from securities lending...eur from repurchase agreements...eur Deduction for foreign withholding tax... EUR Other income EUR Total income... EUR II. Expenses 1. Interest on borrowings and negative interest on deposits... EUR Management fee... EUR thereof: All-in fee...eur Other expenses... EUR thereof: Performance-based fee from securities lending...eur Performance-based fee from repurchase agreements...eur Expenses for legal and consulting costs...eur Taxe d abonnement...eur Total expense ratio / Transaction costs BVI total expense ratio (TER) The total expense ratios for the unit classes were: Class LC 0.24% p.a., Class LD 0.22% p.a. The TER expresses total expenses and fees (excluding transaction costs) as a percentage of a fund s average net assets in relation to the respective unit class for a given fiscal year. In addition, the interest income from securities lending resulted in a performance-based fee of: Class LC 0.009%, Class LD 0.008% of the average net asset value of the respective unit class. Transaction costs The transaction costs paid in the reporting period amounted to EUR The transaction costs include all costs that were reported or settled separately for the account of the fund in the reporting period and are directly connected to the purchase or sale of assets. Any financial transaction taxes which may have been paid are included in the calculation. Total expenses... EUR III. Net investment income... EUR IV. Sale transactions 1. Realized gains... EUR Realized losses... EUR Capital gains/losses... EUR V. Realized net gain/loss for the fiscal year... EUR Net change in unrealized appreciation... EUR Net change in unrealized depreciation... EUR VI. Unrealized net gain/loss for the fiscal year... EUR VII. Net gain/loss for the fiscal year... EUR Note: the net change in unrealized appreciation (depreciation) is calculated by subtracting the total of all unrealized appreciation (depreciation) at the end of the fiscal year from the total of all appreciation (depreciation) at the beginning of the fiscal year. Total unrealized appreciation (depreciation) includes positive (negative) differences resulting from the comparison of the values recognized for the individual assets as of the reporting date with their respective acquisition costs. Unrealized appreciation/depreciation is shown without income adjustment. 21

24 Deutsche Floating Rate Notes Statement of changes in net assets for the fund I. Value of the fund s net assets at the beginning of the fiscal year... EUR Distribution for the previous year... EUR Net inflows... EUR a) Inflows from subscriptions... EUR b) Outflows from redemptions... EUR Income adjustment... EUR Net gain/loss for the fiscal year... EUR thereof: Net change in unrealized appreciation... EUR Net change in unrealized depreciation... EUR II. Value of the fund s net assets at the end of the fiscal year... EUR Summary of the gains/losses Realized gains (incl. income adjustment)... EUR from: Securities transactions... EUR (Forward) currency transactions... EUR Swap transactions... EUR Realized losses (incl. income adjustment)... EUR from: Securities transactions... EUR (Forward) currency transactions... EUR Swap transactions... EUR Details on the distribution policy * Class LD: Type As of Currency Per unit Final distribution Marach 4, 2016 EUR 0.21 Class LC: The income for the fiscal year is reinvested. * Additional information is provided in the sales prospectus. Changes in net assets and in the net asset value per unit over the last three years Net assets at the end of the fiscal year EUR EUR EUR Net asset value per unit at the end of the fiscal year 2015 Class LC... EUR Class LD... EUR Class LC... EUR Class LD... EUR Class LC... EUR Class LD... EUR - Net change in unrealized appreciation/depreciation... EUR from: Securities transactions... EUR (Forward) currency transactions... EUR Swap transactions... EUR Swap transactions may include results from credit derivatives. Transactions processed for the account of the fund s assets via closely related companies (based on major holdings of the Deutsche Bank Group) The share of transactions conducted for the account of the fund s assets via brokers that are closely related companies and persons (share of 5% and above), amounted to 6.63% of all transactions. The total volume was EUR 107,754,

25

26 KPMG issued an unqualified audit opinion for the full annual report. The translation of the report of the Réviseur d Entreprises agréé (the independent auditor s opinion) is as follows: KPMG Luxembourg, Société coopérative Tel: , Avenue John F. Kennedy Fax: Luxembourg, Luxembourg info@kpmg.lu Internet: REPORT OF THE RÉVISEUR D ENTREPRISES AGRÉÉ To the unitholders of Deutsche Floating Rate Notes We have audited the accompanying financial statements of Deutsche Floating Rate Notes, which comprise the statement of net assets, the statement of investments in the securities portfolio and other net assets as of December 31, 2015, the statement of income and expenses and the statement of changes in net assets for the fiscal year then ended, as well as a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Management Board of the Management Company for the financial statements The Management Board of the Management Company is responsible for the preparation and proper overall presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of financial statements and for the internal controls considered necessary to enable the financial statements to be prepared such that they are free from material misstatement, irrespective of whether this is due to fraud or error. Responsibility of the Réviseur d Entreprises agréé Our responsibility is to express an opinion on these annual accounts based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted by the Commission de Surveillance du Secteur Financier for Luxembourg. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the annual accounts are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the annual accounts. The audit measures are chosen at the discretion of the approved auditors, as is the assessment of the risk that the annual financial statements contain significant misstatements on account of errors or infringements. In making those risk assessments, the Réviseur d Entreprises agréé considers internal control relevant to the entity s preparation and proper overall presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of evaluating the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Management Board of the Management Company, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. KPMG Luxembourg, Société coopérative, a Luxembourg entity and T.V.A. LU a member firm of the KPMG network of independent member firms affiliated with R.C.S. Luxembourg B KPMG International Cooperative ( KPMG International ), a Swiss entity 24

27 Audit opinion In our opinion, the financial statements give a true and fair view of the financial position of Deutsche Floating Rate Notes as of December 31, 2015, and of the results of its operations and changes in its net assets for the fiscal year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of financial statements. Other matter Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. Luxembourg, March 23, 2016 KPMG Luxembourg Société coopérative Cabinet de révision agréé Harald Thönes 25

28

29 Management Company Supervisory Board (since May 1, 2015) Management Board (since May 1, 2015) Deutsche Asset & Wealth Management Investment S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg Equity capital as of December 31, 2015: EUR million before profit appropriation At the extraordinary general meeting of DWS Investment S.A. on April 24, 2015, a resolution was passed to change the name of the company to Deutsche Asset & Wealth Management Investment S.A. effective May 1, Furthermore, it was decided to change over from the single-tier organizational structure in place up to that point to a dual organizational structure. On the basis of this resolution, the Management Board, under the supervision of the Supervisory Board, has been responsible for operational management since May 1, Board of Directors (until April 30, 2015) Holger Naumann Chairman Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Heinz-Wilhelm Fesser DWS Investment S.A., Luxembourg Holger Naumann Chairman Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Nathalie Bausch Deutsche Bank Luxembourg S.A., Luxembourg Reinhard Bellet Deutsche Bank AG, Frankfurt/Main Marzio Hug Deutsche Bank AG, London Stefan Kreuzkamp (since February 1, 2016) Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Dr. Boris N. Liedtke (until December 31, 2015) Deutsche Bank Luxembourg S.A., Luxembourg Dr. Matthias Liermann Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Dr. Asoka Wöhrmann (until December 31, 2015) Deutsche Bank AG, Frankfurt/Main Management (until April 30, 2015) Dirk Bruckmann (since January 14, 2016) Chairman Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Manfred Bauer (until December 31, 2015) Deutsche Bank AG, Frankfurt/Main Ralf Rauch Deutsche Asset & Wealth Management Investment S.A., Luxembourg Martin Schönefeld Deutsche Asset & Wealth Management Investment S.A., Luxembourg Barbara Schots Deutsche Asset & Wealth Management Investment S.A., Luxembourg Auditor KPMG Luxembourg Société coopérative 39, Avenue John F. Kennedy 1855 Luxembourg, Luxembourg Depositary Marzio Hug Deutsche Bank AG, London Dr. Boris N. Liedtke Deutsche Bank Luxembourg S.A., Luxembourg Dr. Matthias Liermann Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Klaus-Michael Vogel DWS Investment S.A., Luxembourg Dr. Asoka Wöhrmann Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Klaus-Michael Vogel DWS Investment S.A., Luxembourg Manfred Bauer DWS Investment S.A., Luxembourg Markus Kohlenbach DWS Investment S.A., Luxembourg Doris Marx DWS Investment S.A., Luxembourg Ralf Rauch DWS Investment S.A., Luxembourg Martin Schönefeld DWS Investment S.A., Luxembourg Until April 22, 2015: State Street Bank Luxembourg S.A. 49, Avenue J. F. Kennedy 1855 Luxembourg, Luxembourg Since April 23, 2015: State Street Bank Luxembourg S.C.A. 49, Avenue J. F. Kennedy 1855 Luxembourg, Luxembourg Fund Manager Deutsche Asset & Wealth Management Investment GmbH Mainzer Landstraße Frankfurt/Main, Germany Sales, Information and Paying Agent LUXEMBOURG Deutsche Bank Luxembourg S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg As of: February 29, 2016

30 Deutsche Asset & Wealth Management Investment S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg Tel.: Fax:

Deutsche Asset Management. Deutsche Asset Management S.A. DWS Euro Reserve. Annual Report Investment Fund Organized under Luxembourg Law

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