DWS Covered Bond Fund

Transcription

1 Deutsche Asset Management Deutsche Asset Management Investment GmbH DWS Covered Bond Fund Semiannual Report 2016/2017

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3 Contents Semiannual report 2016/2017 for the period from October 1, 2016, through March 31, 2017 (in accordance with article 103 of the German Investment Code (KAGB)) General information... 2 Semiannual report DWS Covered Bond Fund... 4 Investment portfolio for the reporting period

4 General information 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 Management Investment GmbH, are used as the basis for calculating the value; in the case of domestic reinvesting funds, the domestic investment income tax following any deduction of foreign withholding tax plus solidarity surcharge charged to the fund are added. Performance is calculated in accordance with the BVI method. Past performance is not a guide to future results. The corresponding benchmarks if available are also presented in the reports. All financial data in this publication is as of March 31, 2017 (unless otherwise stated). Sales prospectuses The sole binding basis for a purchase are the current version of the sales prospectus including the Terms and Conditions of Investment and the key investor information document, which are available from Deutsche Asset Management Investment GmbH or any branch of Deutsche Bank AG as well as from other paying agents. Information about the all-in fee The all-in fee does not include the following expenses: a) any costs that may arise in connection with the acquisition and disposal of assets; b) any taxes that may arise in connection with administrative and custodial costs; c) the costs of asserting and enforcing the legal claims of the investment fund. The details of the fee structure are set out in the current sales prospectus. Issue and redemption prices Each exchange trading day on the Internet: 2

5 Semiannual report

6 DWS Covered Bond Fund Performance of unit classes vs. benchmark (in euro) Unit class ISIN 6 months Class LD DE % Class FD DE000DWS1UN6-2.2% Class IC DE000DWS1UP1-2.2% Class ID DE000DWS1UQ9-2.2% Class LC DE000DWS1UL0-2.3% iboxx Covered -1.6% BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: March 31, 2017 Overview of the unit classes 4 ISIN LD DE LC DE000DWS1UL0 FD DE000DWS1UN6 IC DE000DWS1UP1 ID DE000DWS1UQ9 Security code LD LC DWS1UL FD DWS1UN IC DWS1UP ID DWS1UQ Fund currency EUR Unit class currency LD EUR LC EUR FD EUR IC EUR ID EUR Date of inception LD May 26, 1988 and initial subscription LC April 22, 2013 FD March 15, 2013 IC June 4, 2013 ID January 20, 2014 Initial sales charge LD 2.5% LC 2.5% FD None IC None ID None Distribution policy LD Distribution LC Reinvestment FD Distribution IC Reinvestment ID Distribution All-in fee LD 0.7% p.a. LC 0.7% p.a. FD 0.4% p.a. IC 0.35% p.a. ID 0.35% p.a. Minimum investment LD None LC None FD EUR 400,000 IC EUR 25,000,000 ID EUR 25,000,000 Initial issue price LD DEM (incl. initial sales charge) LC EUR (incl. initial sales charge) FD EUR IC EUR ID Net asset value per unit of the LD unit class of DWS Covered Bond Fund on the inception date

7 The format used for complete dates in securities descriptions in the investment portfolio is day/month/year. Investment portfolio for the reporting period

8 Statement of net assets I. Assets Amount in EUR 000 % of net assets 1. Bonds (issuers): Institutions Other financing institutions Central governments Total bonds: Investment fund units Derivatives Other assets II. Liabilities 1. Loan liabilities Other liabilities III. Net assets Negligible rounding errors may have arisen due to the rounding of calculated percentages. 6

9 Investment portfolio March 31, 2017 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 % ABN AMRO Bank 15/ MTN PF (XS )... EUR % % AIB Mortgage Bank 15/ MTN PF (XS )... EUR % % AIB Mortgage Bank 15/ MTN PF (XS )... EUR % % ANZ New Zeal. (Intl.)(Lon. Br.) 16/ MTN PF (XS )... EUR % % ASB Finance (London Branch) 16/ MTN PF (XS )... EUR % % AXA Bank Europe SCF 17/ MTN PF (FR )... EUR % % AYT Cedulas Cajas Global 07/ S.XIII PF (ES ) 3... EUR % % AYT Cedulas Cajas V 03/ PF (ES )... EUR % % AYT Cedulas Cajas VIII 04/ PF Cl.B (ES )... EUR % % Banco BPM 15/ MTN PF (IT )... EUR % % Banco BPM 15/ MTN PF (IT )... EUR % % Banco BPM 16/ MTN PF (IT )... EUR % % Banco de Sabadell 15/ PF (ES ) 3... EUR % % Banco de Sabadell 16/ PF (ES )... EUR % % Banco Mare Nostrum 14/ PF (ES )... EUR % % Banco Popular Español (POPULARBAN) 16/ PF (ES )... EUR % % Banco Popular Español 15/ PF (ES )... EUR % % Banco Popular Espanol 15/ PF (ES ) 3... EUR % % Banco Santander Totta 14/ MTN PF (PTBSQEOE0029)... EUR % % Bank of Ireland Mortgage Bank 14/ MTN PF (XS )... EUR % % Bank of Ireland Mortgage Bank 15/ MTN PF (XS )... EUR % % Bank of Montreal 16/ MTN PF (XS )... EUR % % Bankia 05/ PF (ES )... EUR % % Bankia 06/ PF (ES )... EUR % % Bankia 07/ PF (ES )... EUR % % Bankinter 15/ PF (ES )... EUR % % Belfius Bank 14/ MTN PF (BE ) 3... EUR % % BNZ Internat. Funding (London Br.) 16/ PF (XS )... EUR % % BPCE SFH 14/ MTN PF (FR )... EUR % % BPCE SFH 15/ MTN PF (FR ) 3... EUR % % BPCE SFH 16/ MTN PF (FR )... EUR % % BPER Banca 15/ MTN PF (IT )... EUR % % BRFKredit 16/ PF (XS )... EUR % % Caisse Francaise Fin. Local 15/ MTN PF (FR ) 3... EUR %

10 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 % Caisse Francaise Financ. Local 17/ MTN PF (FR )... EUR % % Caixa Geral de Depósitos 14/ MTN PF (PTCGHAOE0019)... EUR % % Caixabank 06/ PF (ES )... EUR % % Caixabank 16/ PF (ES )... EUR % % Caja Rural de Castilla-La Mancha 15/ PF (ES )... EUR % % Caja Rural de Navarra 13/ PF (ES )... EUR % % Caja Rural de Navarra 16/ PF (ES )... EUR % % Cajamar Caja Rural, S.C.C. 15/ PF (ES )... EUR % % Cedulas TDA 5 04/ PF (ES )... EUR % % CIE Financement Foncier 16/ MTN PF (FR ) 3... EUR % % CIE Financement Foncier 16/ MTN PF (FR )... EUR % % Cie. Financement Foncier 06/ MTN PF (FR )... EUR % % Cie. Financement Foncier 14/ MTN PF (FR ) 3... EUR % % Cie. Financement Foncier 16/ MTN PF (FR )... EUR % % Cie. Financement Foncier 16/ MTN PF (FR )... EUR % % CM-CIC Home Loan 13/ MTN PF (FR ) 3... EUR % % CM-CIC Home Loan 13/ MTN PF (FR )... EUR % % CM-CIC Home Loan 17/ MTN PF (FR )... EUR % % Coventry Building Society 14/ MTN PF (XS )... EUR % % Credit Agricole Cariparma 14/ MTN PF (IT )... EUR % % Credit Agricole Cariparma 15/ MTN PF (IT )... EUR % % Credit Agricole Cariparma 16/ MTN PF (IT ) EUR % % Credit Agricole Cariparma 17/ MTN (IT )... EUR % % Crédit Agricole Home Loan SFH 15/ MTN PF (FR )... EUR % % Crédit Agricole Home Loan SFH 17/ MTN PF (FR )... EUR % % Crédit Mu. Arkéa Home Loans SFH 15/ MTN PF (FR ). EUR % % Credito Emiliano 14/ PF (IT )... EUR % % DBS Bank 17/ PF MTN (XS )... EUR % % De Volksbank 16/ MTN PF (XS )... EUR % % Deut. Pfandbr.bk. 16/ R MTN PF (DE000A13SWC0) 3... EUR % % Deut. Pfandbr.bk. 16/ R MTN ÖPF (DE000A13SWG1)... EUR % % Deutsche Bank 16/ PF (ES )... EUR % % Deutsche Bank 16/ MTN PF (DE000DL19S68)... EUR % % Deutsche Bank S.A.E. 15/ PF (ES )... EUR % % Deutsche Pfandbriefbank 17/ MTN PF (DE000A2DASJ1)... EUR % % Eika Boligkreditt 14/ MTN PF (XS ) 3... EUR % % HSBC SFH (France) 13/ MTN PF (FR ) 3... EUR % % HSH Nordbank 16/ MTN PF (DE000HSH5Y29)... EUR %

11 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 % HSH Nordbank 16/ S.2563 MTN ÖPF (DE000HSH5YK0)... EUR % % HYPO NOE Gruppe Bank 17/ MTN PF (XS )... EUR % % Ibercaja Banco 16/ PF (ES )... EUR % % IM Cedulas 10 - FTA 07/ PF (ES )... EUR % % Intesa Sanpaolo 15/ MTN PF (IT ) EUR % % Intesa Sanpaolo 16/ MTN PF (IT ) EUR % % Italy B.T.P. 11/ (IT )... EUR % % Italy B.T.P. 16/ (IT )... EUR % % La Banque Postale Home Loan 17/ MTN PF (FR )... EUR % % Länsförsäkringar Hypotek 15/ MTN PF (XS ) 3... EUR % % Lloyds Bank 15/ MTN PF (XS )... EUR % % Lloyds Bank 16/ MTN PF (XS ) 3... EUR % % Mediobanca - Banca Credito Fin. 13/ MTN PF (IT ) 3... EUR % % Mediobanca - Banca Credito Fin. 14/ MTN PF (IT )... EUR % % National Australia Bank 15/ MTN PF (XS ) 3... EUR % % National Australia Bank17/ MTN (XS )... EUR % % National Bank of Canada 16/ MTN PF (XS )... EUR % % Nationwide Building Society 14/ MTN PF (XS )... EUR % % Nationwide Building Society 15/ MTN PF (XS )... EUR % % Nordea Mortgage Bank 15/ MTN PF (XS )... EUR % % Nordea Mortgage Bank 16/ MTN PF (XS ) 3... EUR % % OP-Asuntoluottopankki 14/ MTN PF (XS ) 3... EUR % % Oversea-Chinese Banking 17/ MTN PF (XS )... EUR % % Pitch 1 07/ PF (ES )... EUR % % PKO Bank Hipoteczny 16/ MTN PF (XS )... EUR % % PROGRAMA Cedulas TDA 6 06/ PF S.A6 (ES )... EUR % % PROGRAMA Cedulas TDA 6 07/ PF S.A5 (ES ) 3... EUR % % Royal Bank of Canada 15/ MTN Reg S PF (XS ) 3... EUR % % Santander Consumer Finance 16/ PF (ES )... EUR % % Santander UK 14/ MTN PF (XS )... EUR 900 % % Santander UK 15/ MTN PF (XS )... EUR % % SpareBank 1 Boligkreditt 16/ MTN PF (XS )... EUR % % SpareBank 1 Boligkreditt 16/ MTN PF (XS )... EUR % % SR-Boligkreditt 15/ MTN PF (XS )... EUR % % Swedish Covered Bond Corp. 17/ MTN (XS )... EUR % % Toronto-Dominion Bank 17/ MTN PF (XS )... EUR % % Türkiye Vakiflar Bankasi 16/ MTN PF (XS )... EUR % % Unione di Banche Italiane 16/ MTN PF (IT ) EUR % % Westpac Banking 15/ MTN PF (XS )... EUR %

12 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 % Westpac Sec. NZ (London Br.) 16/ MTN PF (XS )... EUR % % Westpac Securities NZ (London Br.) 17/ MTN (XS )... EUR % % WL BANK 15/ R.358 MTN PF (DE000A13SR38) 3... EUR % % Yorkshire Building Society 14/ MTN PF (XS )... EUR % Securitized money market instruments % Caixa Geral de Depósitos 13/ MTN PF (PTCGHUOE0015)... EUR % Investment fund units In-group fund units (incl. units of funds issued by the asset management company) Deutsche Institutional Money plus IC (LU ) (0.100%+)... Count EUR DGLS - Deutsche Managed Euro Ultra Short FI Fund (IE00B98GX142) (0.200%)... Count 599 EUR Total securities portfolio Derivatives Minus signs denote short positions Interest rate derivatives (Receivables/payables) Interest rate futures EURO BUXL 30YR BOND JUN 17 (EURX)... EUR EURO-BOBL JUN 17 (EURX)... EUR Swaps Interest rate swaps (Paid/received) Swap 0.455% / EURIBORM6 (DB FFM DE) (OTC)... EUR Swap 1.14 % / EURIBORM6 (DB FFM DE) (OTC)... EUR Cash and non-securitized money market instruments Cash at bank Demand deposits at Depositary Deposits in other EU/EEA currencies... EUR % Other assets Interest receivable... EUR % Other receivables... EUR % Loan liabilities EUR loans... EUR % Other liabilities Liabilities from cost items... EUR % Additional other liabilities... EUR %

13 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 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 LD... EUR Class FD... EUR Class LC... EUR Class IC.... EUR Class ID.... EUR Number of units outstanding Class LD... Count Class FD... Count Class LC... Count Class IC.... Count Class ID.... Count Total market value of securities that serve as collateral from OTC transactions with respect to third parties: EUR Negligible rounding errors may have arisen due to the rounding of calculated percentages. Market abbreviations Futures exchanges EURX = Eurex (Eurex Frankfurt/Eurex Zurich) OTC = Over the Counter Footnotes 3 These securities are completely or partly lent as securities loans. The equivalent value of the lent securities is EUR 151,654,

14 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 Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals Securities traded on an exchange Interest-bearing securities % Banco de Sabadell 14/ PF (ES )... EUR % Banco Popular Español 13/ PF (ES )... EUR % Banco Santander 16/ PF (ES )... EUR % Bank of Ireland Mortgage Bank 15/ MTN PF (XS )... EUR % Bank of Montreal 15/ MTN PF (XS )... EUR % Bank of Scotland 06/ MTN PF (XS )... EUR % Bankia 15/ PF (ES )... EUR % Belfius Bank 14/ MTN PF (BE )... EUR % BRFkredit 16/ PF (XS )... EUR % Caixabank 05/ PF (ES )... EUR % Caixabank 17/ PF (ES )... EUR % Caja Rural de Castilla-La Mancha 16/ PF (ES )... EUR % Cedulas TDA 6 05/ PF (ES )... EUR % Cie. Financement Foncier 14/ MTN PF (FR ).. EUR % Cie. Financement Foncier 15/ MTN PF (FR ).. EUR % Commerzbank 15/ MTN PF (DE000CZ40KZ0)... EUR % Commerzbank 16/ MTN PF (DE000CZ40LS3)... EUR % Commonwealth Bank Australia 16/ PF MTN (XS ).. EUR % Credit Agricole Cariparma 16/ MTN PF (IT ).. EUR % Danske Bank 16/ MTN PF (XS )... EUR % Deut. Pfandbr.bk. 13/ R MTN ÖPF (DE000A1R06C5).. EUR % DNB Boligkreditt 11/ MTN PF (XS )... EUR % DNB Boligkreditt 17/ PF MTN (XS )... EUR % IM Cedulas 7 - FTA 06/ PF (ES )... EUR % ING-DiBa 16/ PF (DE000A1KRJQ6)... EUR % Italy B.T.P. 14/ (IT )... EUR % KBC Bank 16/ MTN PF (BE )... EUR % Kutxabank 14/ PF (ES )... EUR % Kutxabank 15/ PF (ES )... EUR % Länsförsäkringar Hypotek 16/ MTN PF (XS ).. EUR % LB Baden-Württemberg 17/ MTN PF (DE000LB1DRT9)... EUR % Leeds Building Society 16/ MTN PF (XS )... EUR % Nationwide Building Society 16/ MTN PF (XS ).. EUR % OP-Asuntoluottopankki 15/ MTN PF (XS )... EUR % SpareBank 1 Boligkreditt 13/ MTN PF (XS ).. EUR % Stadshypotek 16/ MTN PF (XS )... EUR % UniCredit 16/ MTN PF (IT )... EUR % UniCredit Bank 14/ MTN PF (DE000HV2AK00)... EUR % Westpac Banking 14/ MTN PF (XS )... EUR % WL BANK 15/ R.361 MTN PF (DE000A14J5J4)... EUR Securitized money market instruments % Banco Bilbao Vizcaya Argentaria 07/ PF (ES )... EUR % Banco de Sabadell 13/ PF (ES )... EUR % Banco Popular Español 10/ PF (ES )... EUR % Banco Popular Español 13/ PF (ES )... EUR % Banco Santander Totta 14/ MTN PF (PTBSQDOE0020)... EUR % Eika BoligKreditt 12/ MTN PF (XS )... EUR 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) Interest rate futures Contracts purchased: EUR (Underlyings: EURO BUXL 30YR BOND DEC 16, EURO-BOBL MAR 17, EURO-BUND JUN 17) Contracts sold: EUR (Underlyings: EURO BUXL 30YR BOND DEC 16, EURO BUXL 30YR BOND MAR 17, EURO-BTP (ITALY GOVT) DEC 16, EURO-BUND DEC 16, EURO-BUND JUN 17, EURO-BUND MAR 17) 12

15 Securities loans (total transactions, at the value agreed at the closing of the loan contract) Value ( 000) Perpetual EUR Security description: % Banco BPM 16/ MTN PF (IT ), % Banco de Sabadell 13/ PF (ES ), % Banco de Sabadell 14/ PF (ES ), % Banco de Sabadell 15/ PF (ES ), % Banco de Sabadell 16/ PF (ES ), % Banco Popular Español 10/ PF (ES ), % Banco Santander 16/ PF (ES ), % Banco Santander Totta 14/ MTN PF (PTBSQDOE0020), % Bankia 15/ PF (ES ), % Belfius Bank 14/ MTN PF (BE ), % Belfius Bank 14/ MTN PF (BE ), % BPCE SFH 15/ MTN PF (FR ), % Cie. Financement Foncier 14/ MTN PF (FR ), % Cie. Financement Foncier 15/ MTN PF (FR ), % Commerzbank 16/ MTN PF (DE000CZ40LS3), % Coventry Building Society 14/ MTN PF (XS ), % Credit Agricole Cariparma 15/ MTN PF (IT ), % Credit Agricole Cariparma 16/ MTN PF (IT ), % Crédit Agricole Home Loan SFH 15/ MTN PF (FR ), % De Volksbank 16/ MTN PF (XS ), % Deut. Pfandbr.bk. 16/ R MTN PF (DE000A13SWC0), % Deutsche Bank S.A.E. 15/ PF (ES ), % HSH Nordbank 16/ MTN PF (DE000HSH5Y29), % HSH Nordbank 16/ S.2563 MTN ÖPF (DE000HSH5YK0), % Ibercaja Banco 16/ PF (ES ), % IM Cedulas 7 - FTA 06/ PF (ES ), % Intesa Sanpaolo 15/ MTN PF (IT ), % Intesa Sanpaolo 16/ MTN PF (IT ), % KBC Bank 16/ MTN PF (BE ), % LB Baden-Württemberg 17/ MTN PF (DE000LB1DRT9), % Lloyds Bank 15/ MTN PF (XS ), % Lloyds Bank 16/ MTN PF (XS ), % Nationwide Building Society 14/ MTN PF (XS ), % Nationwide Building Society 15/ MTN PF (XS ), % PROGRAMA Cedulas TDA 6 07/ PF S.A5 (ES ), % Santander UK 15/ MTN PF (XS ), % SpareBank 1 Boligkreditt 13/ MTN PF (XS ), % SpareBank 1 Boligkreditt 16/ MTN PF (XS ), % SR-Boligkreditt 15/ MTN PF (XS ), % Stadshypotek 16/ MTN PF (XS ), % UniCredit 16/ MTN PF (IT ), % UniCredit Bank 14/ MTN PF (DE000HV2AK00), % Unione di Banche Italiane 16/ MTN PF (IT ), % WL BANK 15/ R.361 MTN PF (DE000A14J5J4), % WL BANK 15/ R.358 MTN PF (DE000A13SR38) 13

16 Notes to the financial statements (in accordance with article 7, no. 9, KARBV (Accounting and Valuation Regulation issued under the KAGB)) Other disclosures Net asset value per unit, Class LD: EUR Net asset value per unit, Class FD: EUR Net asset value per unit, Class LC: EUR Net asset value per unit, Class IC: EUR Net asset value per unit, Class ID: EUR Number of units outstanding, Class LD: Number of units outstanding, Class FD: Number of units outstanding, Class LC: Number of units outstanding, Class IC: Number of units outstanding, Class ID: Disclosure regarding asset valuation procedures: The Depositary shall determine the value with the participation of the asset management company. The Depositary generally bases its valuation on external sources. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between the Depositary and the asset 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 not valued at derived market values. For investment fund units, the management fee/all-in fee rates in effect as of the reporting date for the investment funds held in the securities portfolio are shown in parentheses in the investment portfolio. 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. 14

17 Information pursuant to Regulation (EU) 2015/2365 on transparency of securities financing transactions (SFTs) and of reuse and amending Regulation (EU) No. 648/2012 Statement in accordance with Section A Stated in fund currency Securities lending Repurchase agreements Total return swaps 1. Assets used Absolute As a percentage of the fund s net assets The 10 largest counterparties 1. Name Commerzbank AG, Frankfurt Gross volume of open transactions Country of registration Federal Republic of Germany 2. Name Deutsche Bank AG, Frankfurt Gross volume of open transactions Country of registration Federal Republic of Germany 3. Name Citigroup Global Markets Ltd., London Gross volume of open transactions Country of registration United Kingdom 4. Name BNP Paribas S.A. Arbitrage, Paris Gross volume of open transactions Country of registration France 5. Name Société Générale S.A. London Branch Gross volume of open transactions Country of registration United Kingdom 6. Name Barclays Bank PLC, London Gross volume of open transactions Country of registration United Kingdom 7. Name Nomura International PLC Gross volume of open transactions Country of registration United Kingdom 8. Name Gross volume of open transactions Country of registration 9. Name Gross volume of open transactions Country of registration 15

18 10. Name Gross volume of open transactions Country of registration 3. Type(s) of settlement and clearing (e.g., bilateral, tri-party, central counterparty) Bilateral Transactions classified by term to maturity (absolute amounts) Less than 1 day day to 1 week week to 1 month to 3 months months to 1 year More than 1 year No fixed maturity Type(s) and quality/qualities of collateral received Type(s): Bank balances Bonds Equities Other Quality/Qualities: Insofar as securities lending transactions, reverse repurchase agreements or transactions with OTC derivatives (except forward currency transactions) are concluded, collateral in one of the following forms must be provided to the fund: Liquid assets such as cash, short-term bank deposits, money market instruments according to the definition in Directive 2007/16/EC of March 19, 2007, letters of credit and first-demand guarantees that are issued by top-rated credit institutions not affiliated with the counterparty, or bonds issued by an OECD member country or its local authorities or by supranational institutions and authorities at local, regional or international level, regardless of their term to maturity Units of a collective investment undertaking (hereinafter UCI ) investing in money market instruments that calculates a net asset value daily and has a rating of AAA or an equivalent rating Units of a UCITS that invests predominantly in the bonds and equities listed under the next two indents Bonds, regardless of their term to maturity, that have a minimum rating of low investment-grade Equities admitted to or traded in a regulated market in a member state of the European Union or on an exchange in an OECD member country, provided that these equities are included in a major index The Management Company reserves the right to restrict the permissibility of the aforementioned collateral. Furthermore, the Management Company reserves the right to deviate from the aforementioned criteria in exceptional cases. Additional information on collateral requirements can be found in the sales prospectus for the fund/sub-fund. 16

19 6. Currency/Currencies of collateral received Currency/Currencies: EUR; CHF; USD; GBP; JPY Collateral classified by term to maturity (absolute amounts) Less than 1 day day to 1 week week to 1 month to 3 months months to 1 year More than 1 year No fixed maturity Income and cost portions (before income adjustment) Income portion of the fund Absolute As a percentage of gross income Cost portion of the fund Income portion of the Management Company Absolute As a percentage of gross income Cost portion of the Management Company Income portion of third parties Absolute As a percentage of gross income Cost portion of third parties Income for the fund from reinvestment of cash collateral, based on all SFTs and total return swaps Absolute Lent securities as a percentage of all lendable assets of the fund Total Share The 10 largest issuers, based on all SFTs and total return swaps 1. Name European Investment Bank (EIB) Volume of collateral received (absolute) Name Kreditanstalt für Wiederaufbau Volume of collateral received (absolute)

20 3. Name Fresenius SE & Co. KGaA Volume of collateral received (absolute) Name Bayer AG Volume of collateral received (absolute) Name European Financial Stability Facility (EFSF) Volume of collateral received (absolute) Name LVMH Moët Hennessy Louis Vuitton SE Volume of collateral received (absolute) Name Nestlé S.A. Volume of collateral received (absolute) Name BASF SE Volume of collateral received (absolute) Name Vivendi S.A. Volume of collateral received (absolute) Name Anheuser-Busch InBev S.A./N.V. Volume of collateral received (absolute) Reinvested collateral as a percentage of collateral received, based on all SFTs and total return swaps Share Custody type of provided collateral from SFTs and total return swaps (As a percentage of all provided collateral from SFTs and total return swaps) Segregated cash/custody accounts - - Pooled cash/custody accounts - - Other cash/custody accounts - - Recipient determines custody type

21 14. Depositaries / Account holders of received collateral from SFTs and total return swaps Total number of depositaries / account holders Name State Street Bank Amount held in custody (absolute) Name Bank of New York Amount held in custody (absolute)

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23 Asset Management Company Deutsche Asset Management Investment GmbH 60612, Germany Liable equity capital as of December 31, 2016: EUR 179 million Subscribed and paid-in capital as of December 31, 2016: EUR 115 million Depositary State Street Bank International GmbH Brienner Straße München, Germany Liable equity capital as of December 31, 2015: EUR 2,154.4 million Subscribed and paid-in capital as of December 31, 2015: EUR million Henning Gebhardt (until December 31, 2016) Shareholder of Deutsche Asset Management Investment GmbH DWS Holding & Service GmbH, Supervisory Board Management Nicolas Moreau (since December 1, 2016) Deutsche Bank AG, London Chairman Christof von Dryander Deutsche Bank AG, Vice-Chairman Dr. Roland Folz (until November 30, 2016) Deutsche Bank AG, Hans-Theo Franken Deutsche Vermögensberatung AG, Dr. Alexander Ilgen Deutsche Bank AG, Holger Naumann Speaker of the Management Managing Director of DWS Holding & Service GmbH, Chairman of the Supervisory Board of Deutsche Asset Management S.A., Luxembourg Managing Director of DB Finanz-Holding GmbH, Member of the Board of Directors of Sal. Oppenheim jr. & Cie. Luxembourg S.A., Luxembourg Member of the Supervisory Board of Sal. Oppenheim jr. & Cie. AG & KGaA, Köln Member of the Supervisory Board of Sal. Oppenheim jr. & Cie. Komplementär AG, Köln Dr. Stefan Marcinowski Ludwigshafen Friedrich von Metzler Partner of Bankhaus B. Metzler seel. Sohn & Co. KGaA, Reinhard Bellet Managing Director of DWS Holding & Service GmbH, Member of the Supervisory Board of Deutsche Asset Management S.A., Luxembourg Alain Moreau Deutsche Bank AG, Prof. Christian Strenger Ute Wolf Evonik Industries AG, Essen Stefan Kreuzkamp Managing Director of DWS Holding & Service GmbH, Member of the Supervisory Board of Deutsche Asset Management S.A., Luxembourg Dr. Matthias Liermann Managing Director of DWS Holding & Service GmbH, Member of the Supervisory Board of Deutsche Asset Management S.A., Luxembourg Member of the Board of Directors of Oppenheim Asset Management Services S.à.r.l., Luxembourg Member of the Supervisory Board of Deutsche Treuinvest Stiftung, Thorsten Michalik Managing Director of DWS Holding & Service GmbH, Petra Pflaum (since January 1, 2017) Managing Director of DWS Holding & Service GmbH, As of: April 30, 2017

24 Deutsche Asset Management Investment GmbH 60612, Germany Tel.: +49 (0) Fax: +49 (0)