DWS Institutional. Annual Report DWS Institutional Money plus DWS Institutional USD Money plus

Transcription

1 Annual Report 2011 Money plus USD Money plus Investment Company with Variable Capital Incorporated under Luxembourg Law 1/2012

2 Money plus USD Money plus

3 Contents Annual report 2011 for the period from January 1, 2011, through December 31, 2011 Equity 50 Asien and bond markets 4 General 50 Asien information Annual report SICAV Money plus 10 USD Money plus 12 Investment portfolio for the reporting period Investment portfolios and financial statements 16 Report of the Réviseur d Entreprises agréé 36 1

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5 Equity and bond markets

6 Equity markets in the fiscal year through December 31, 2011 Equity markets affected by the debt crisis In the period from the beginning of January 2011 through July 2011, prices in the international equity markets ini - tially rose significantly because of the surprisingly good performance of the global economy. However, since August/September, the euro area debt crisis grew more acute and prices on the exchanges plummeted. Fears of recession suppressed the expectation of solid growth. This, in turn, was viewed as necessary in order to reduce the high levels of debt. The corporate reporting season for the second quarter of 2011 was unable to form a counterweight to the negative influences. In addition, the ability of the central banks to stimulate the economy was sharply limited. In many cases, for example, key interest rates were near zero, leaving little leeway for further lowering. Moreover, the temporary threat of U.S. insolvency and the downgrade of the country s credit rating weighed on sentiment. The hopes for an improved climate were based primarily on the austerity efforts of the heavily-indebted nations. These efforts were decisive for the transfer payments from the rescue package put together by the European Union and the International Monetary Fund. Cyclical support came from emerging markets such as China, with its ongoing strong economic growth, although it also lost some momentum. Against this backdrop, the MSCI World Index recorded a loss of 4.8% in U.S. dollar terms over the 12-month period (-2.4% in euro). At sector level, financials and economically sensitive, cyclical Strong market movements over a five-year period 140 Germany U.S International equity markets in fiscal year 2011 Performance in % DAX STOXX Europe 50 S&P 500 TOPIX Equity indices: STOXX Europe 50 S&P 500 TOPIX DAX MSCI World MSCI Emerging Markets In local currency In euro Japan Europe 12/06* 12/07 12/08 12/09 12/10 12/11 Data on euro basis * December 29, 2006 = 100 STOXX is a registered trademark of STOXX Limited; DAX is a registered trademark of Deutsche Börse AG (in U.S. dollars) (in U.S. dollars) Equity indices: Germany: DAX Europe: Dow Jones STOXX 50 U.S.: S&P 500 Japan: TOPIX worldwide: MSCI World Emerging markets: MSCI Emerging Markets equities came under pressure from summer Nevertheless, the latter recorded significant gains before the economic prospects deteriorated. The U.S. equity market initially recorded a significant gain in the first half of the fiscal year. The reason for this was the positive development of corporate and economic data. As the period went on, however, this data weakened noticeably, leading to renewed fears of recession. The ongoing discussions about sovereign debt in the Western industrial countries also contributed to the dar - kening of the market environment. Although an agreement was reached on raising the debt ceiling in the United States, the increasing uncertainty prompted one of the leading rating agencies to downgrade the country s credit rating. The deterioration of the debt crisis in Europe also led to fears of a negative impact on the global eco - nomy. Despite these difficulties, an improvement in economic prospects in conjunction with the ongoing expansionary central bank policy (lock-in of the virtually zero-interest rate policy until 2013) boosted U.S. equities again toward the end of the reporting period. The U.S. equity market as measured by the S&P 500 index recorded a gain of 2.1% in U.S. dollar terms (+4.6% in euro) for the full reporting year. The climate in Europe s stock markets was good in light of the initially positive economic environment. This applied in particular to Germany and the Northern European countries with relatively sound management of their public budgets. The strong growth in the emerging industrial countries and the revival of domestic demand provided the impetus. Many companies were buoyed here by their strong international competitiveness. However, even these markets were unable to avoid the threatening escalation of the debt crisis in the second half of 2011 despite extensive liquidity aids from the European Central Bank (ECB). The DAX, for example, was down by 14.7% overall in euro terms. Some stock markets in 4

7 the highly indebted countries of Southern Europe, with their growth concerns, recorded even greater losses. For example, Italian equities, as meas - ured by the FTSE MIB, fell by 21.2%. This also explained the considerably higher 14.5% decline on the EURO STOXX 50 index (in euro terms) in comparison to the broader STOXX Europe 50 index, which fell 5.6%. Prices on most Eastern European exchanges were also affected by the euro area debt crisis in the year through the end of December The aboveaverage economic growth in these countries and their comparatively low level of government debt was of little help in this regard. Polish equities as measured by the WIG fell by 29.1% while Czech equities fell by 27.1% (PX index, both percentages in euro terms). The natural disaster of March 2011 in Fukushima and its consequences was the main influence on the Japanese equity market in the reporting period. Fears of a major nuclear crisis as a result of the accident at the Fukushima nuclear power plant and the noticeable cooling of the Japanese economy from the loss of production capacity led to a major price correction. The situation stabilized later in the period, and the stock exchange showed temporary signs of recovery. However, this was only short-lived, as concerns about the weakening of the global economy against the backdrop of debt problems in the euro peripheral countries dampened the performance. Leading indicators in the U.S. and Europe were also gloomier. As measured by the TOPIX index, Japanese equities recorded a loss of 17.0% in local currency during the reporting period (-10.7% in euro terms). In view of rising risk aversion resulting from the debt problems, investors preferred the yen, which gave the currency a strong boost. Change in oil price since the end of 2009 USD/barrel /09 6/10 12/10 6/11 12/11 Oil price (WTI) Source: Thomson Financial Datastream The economies in the emerging markets remained relatively robust, although they could not avoid the impact of the global trends. The equity markets of some emerging-market countries initially turned in impressive performances thanks to the low debt and robust economic outlooks of these countries. However, as the period went on, they suffered from the rising risk aversion of international investors. Although these markets had no direct connection with the structural problems in the industrial countries, the stock markets were hit hard particularly in those economies dominated by ongoing inflationary pressures, such as India. Against this backdrop, the MSCI Emerging Markets recorded a loss of 15.7% in euro terms. Strong fluctuations in gold and crude oil With the financial crisis in the euro area deteriorating, the price for a troy ounce of gold rose very sharply, from around USD 1,400 at the beginning of the reporting period to more than USD 1,900 at its peak. However, the price had fallen to about USD 1,560 by the end of In the fourth quarter, investors turned their focus toward U.S. dollar exposures at the expense of investments in gold. This was partly due to the slight brightening of the economic outlook in the U.S. toward the end of the reporting period. Nevertheless, gold ended the 12-month period through the end of December 2011 with an overall gain of around 10%. Furthermore, the crude oil price also climbed to the same extent, reaching around USD 99 a barrel (WTI) by the end of the reporting period. In the interim, how - ever, it was also subject to major fluc - tuations. After initially rising significantly to around USD 115 on the strength of the upturn in the global economy, the price then dropped noticeably here, too. This was the result of debt problems in the euro area, which led to fears of recession. In terms of currencies, the euro, remaining at 1.30 on balance, hardly changed against the U.S. dollar. It temporarily rose to almost 1.50 before the crisis in the euro area became more severe. 5

8 Bond markets in the fiscal year through December 31, 2011 Capital markets under the sway of the debt crisis The performance in the international capital markets in the 2011 fiscal year was characterized by uncertainty. Initial optimism was replaced by renewed fears of recession in the second half of the year, mainly triggered by the sovereign debt crisis in the euro area and the global economic slowdown. While the economy in the U.S., Europe and Japan experienced a noticeable downturn, economic growth in the emerging-market countries, particularly China and India, was by contrast comparatively robust, although momentum slowed considerably. This fact, combined with the deteriorating debt problems in the euro peripheral countries, especially in heavily-indebted Greece, had an extremely negative impact on the capital markets. Investor risk aversion was very high as a result. Gold, German government bonds and the Japanese yen, which were considered safe havens for investment profited from this trend. Nevertheless, their performance fluctuated enormously. As a result, gold, which tested record highs at times (at the beginning of September 2011 the price stood at around USD 1,900 per troy ounce) had to give up some of its price gains toward the end of the year. Bonds from the euro peripheral countries under price pressure The debt crisis in the euro area, which began in April 2010 with the Greek financial crisis, expanded during the 2011 fiscal year to include the euro countries Portugal, Italy, Ireland and Economic growth in the U.S., the euro area, Japan, the BRIC countries (Brazil, Russia, India, China) and the world Economic growth compared to the previous year 12.0% 9.0% 6.0% 3.0% 0.0% -3.0% U.S. Euro area Japan * 2012* BRIC countries: Brazil Russia India China Spain. The European Union (EU) and the International Monetary Fund (IMF) put together a rescue package in the form of guarantees and liquidity, but these measures, along with the ECB s purchases of bonds from financially weak euro countries has thus far had only a temporary stabilizing effect. In view of the fear of a Greek government default, a second aid package was put together for Greece at the special euro summit on July 21, 2011, which called for euro governments to provide an additional EUR 109 billion. The package also called for banks and insurance companies to contribute EUR 37 billion in a debt swap. A further summit in October forced banks to increase their capital. In addition, the euro-area countries introduced a credit leverage mechanism, to strengthen the clout of the European Financial Stability Facility (EFSF). Nevertheless, the financial markets remained skeptical that the consolidation efforts by the euro peripheral countries would be successful, especially in the Southern European debtor countries. This lack of confidence on the part of investors increased pressure, primarily on the bonds of the World Significant widening of risk premiums with respect to German government bonds for ten-year government bonds from the euro periphery * Estimates Source: Deutsche Bank % points /08 6/09 12/09 6/10 12/10 6/11 12/11 Portugal Italy Ireland Greece Spain Source: Thomson Financial Datastream financially weak euro-area countries. Their risk premiums and therefore yield spreads increased significantly in the case of Greek bonds dramatically (see the chart Significant widening of risk premiums with respect to German government bonds ). At the same time, the considerable price drops pushed up yields significantly on Greek government bonds in particular, but also on Portuguese government bonds (see the chart Yield performance of ten-year government bonds from the euro peripheral countries ). 6

9 Bonds from the core countries in demand as safe havens In the search for safe investments, investors fled to gold and government bonds, e.g. from Germany, Switzerland and the U.S. As a result, after increasing briefly, yields on these bonds, which were already low by international comparison, dropped sharply in the second half of the fiscal year while their prices rose. Overall, in the 10-year maturity segment, yields on German government bonds fell from 3.0% to 1.8% p.a., U.S. government bonds from 3.4% to 1.9% p.a. and Swiss government bonds from 1.7% to 0.7% p.a. during the fiscal year through the end of December After rising temporarily, yields on Japanese government bonds were back down to just over the one-percent mark at the end of December. Risk premiums higher on corporate bonds Initially, investors continued to favor corporate bonds, in particular high-yield bonds. This was also aided by a reduction in debt at company level and the positive refinancing opportunities due to the low interest-rate policy pursued by central banks. However, with the escalation of the sovereign debt crisis in the euro area and the U.S., coupled with slowing global economic growth, increasing investor risk aversion dampened the performance of the corporate bond markets. Bank bonds in particular, including European and U.S. issues, came under pressure due to the deterioration of the debt crisis in the euro periphery and the weak U.S. real estate market. As a result, in the investmentgrade segment (rating of BBB or better by leading rating agencies), bank risk premiums and yield spreads were at times higher on bank bonds than on comparable corporate bonds. Euro under pressure Sovereign debt in the Western industrial countries and the resulting uncertainties about the potential impact on global economic growth became the dominant topics in the international currency markets, too. The Japanese yen, which investors regarded as a safe haven, was a particular beneficiary of the resulting increase in investor risk aversion. It gained 8.8% against the euro and 5.5% against the U.S. dollar. To limit the rise of the yen and thereby relieve the strain on the export-oriented Japanese economy, the Japanese government intervened in the currency market; this was supported by the low-interest rate policy of the Bank of Japan and its bond purchasing program. The Swiss franc was also in strong demand by investors and took flight. But the strength of the franc had an increasingly negative effect on Switzerland s export-oriented eco - nomy and on price stability in the country. Against this backdrop, the Swiss National Bank (SNB) in addition to its de facto zero interest-rate policy and expanded monetary supply Yield performance of ten-year government bonds from the euro peripheral countries % p. a /08 6/09 12/09 6/10 12/10 6/11 12/11 Portugal Italy Ireland Greece Spain Source: Thomson Financial Datastream established a minimum exchange rate of 1.20 francs per euro on September 6, This brought the prior massive surge of the Swiss franc to a halt. In the second half of the year, the thus far still unresolved sovereign debt crisis in the euro periphery and signs of an economic downturn in the euro area were a par - ticular drag on the euro exchange rate. The U.S. dollar also came under pressure temporarily because of high capital outflows from the greenback. The reasons for this included the significant rise in the federal deficit, high unemployment and continued weak growth in the U.S. This weak growth prompted the U.S. Federal Reserve in the third quarter of 2011 to maintain its virtually zero-interest rate policy (target range: % p.a.) until In September, the Fed also announced the further easing of its monetary policy by increasing the duration of the bonds it holds. 7

10 General information The funds described in this report are sub-funds of a SICAV (Société d Investissement à Capital Variable) incorporated under Luxembourg law. Performance The investment return, or performance, of a mutual fund investment is meas - ured by the change in value of the fund s shares. The net asset values per share (= redemption prices) with the addition of intervening distributions, which are, for example, reinvested free of charge within the scope of investment accounts at DWS, are used as the basis for calculating the value. Past performance is not a guide to future results. The corresponding bench - marks if available are also presented in the report. All financial data in this publication is as of December 31, 2011 (unless otherwise specified). Sales prospectuses Fund shares are purchased on the basis of the current sales prospectus, the key investor information document and the by-laws of the SICAV, 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 shareholders 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.). 8

11 2011 Annual report

12 Money plus Investment objective and performance in the reporting period The sub-fund Money Plus, which is intended for institutional investors, seeks to generate returns in euro which are based on the performance of its benchmark. To this end, the sub-fund invests in government and corporate bonds with short maturities that are denominated in or hedged against the euro. DWS INSTITUTIONAL MONEY PLUS Five-year performance /06* 12/07 12/08 12/09 12/10 12/11 Money plus *12/2006 = 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, 2011 In the fiscal year 2011, the economy initially continued its upward trend. The European Central Bank increased its reference interest rate again for the first time since the peak of the financial crisis in two steps to 1.5% p.a. before later cutting it again to the prior year's level. However, these positive trends were dampened again from August 2011 when the European debt problems intensified again, particularly with respect to Greece s national deficit. In this investment climate, the sub-fund Money plus recorded an appreciation of 1.1% per share (BVI DWS INSTITUTIONAL MONEY PLUS vs. benchmark Performance at a glance in % year years years Money plus 1M EUR LIBID + 5bp 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, 2011 method) in the period from the beginning of January through the end of December 2011, put ting it on an equal footing with its benchmark, the 1-month EUR LIBID + 5bp (both percentages in euro). Investment policy in the reporting period The investment focus of DWS Institutional Money plus in the reporting period was on floating-rate bonds, the coupons of which are adjusted every three to six months to current market interest rates. As these bonds 10

13 are issued primarily by financial services providers, they formed the sector focus of the portfolio. Government and corporate bonds rounded out the portfolio. In its selection, the fund management preferred bonds with a minimum rating of BBB and better by the leading rating agencies (investment grade bonds). Term deposits contributed to liquidity management, enabling the sub-fund to combat the increased volatility of the markets. The net asset value guarantee was renewed and as of December 28, 2012 stood at: EUR 13, per share*. DWS INSTITUTIONAL MONEY PLUS Rating distribution of the bonds in the portfolio* Bonds: 62.0 AAA AA A BBB Other Time deposit Investment funds Money market funds Cash and other assets** AAA AA A BBB In % of the fund s net assets (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 BB to B CCC and lower 30 * Average values based primarily on ratings by Standard & Poor's, Moody's and Fitch ** incl. derivatives 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. Security code: ISIN: LU As of: December 31, 2011 * Additional information on the guarantee and the effects of tax changes on the guarantee is provided in the sales prospectus. 11

14 USD Money plus Investment policy in the reporting period The sub-fund USD Money plus, which is intended for institutional investors, predominantly invested in corporate and government bonds with floating interest rates denominated in or hedged against the U.S. dollar. In the fiscal year 2011, the economy initially continued its upward trend. From July 2011, the European debt problems DWS INSTITUTIONAL USD MONEY PLUS Five-year performance /06* 12/07 12/08 12/09 12/10 12/11 USD Money plus * 12/2006 = 100 Data on U.S. dollar basis BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: December 31, 2011 deteriorated again and had an extremely negative impact on the capital markets. In the U.S., the U.S. Federal Reserve decided to maintain its target range for the key interest rate at 0.00%-0.25% until 2013, due to the increase in government debt and ongoing weak growth. USD Money plus achieved an appreciation of 0.3% per share (BVI method) in the 2011 fiscal year, putting it slightly ahead of its benchmark, the 1-month USD LIBID + 5bp, which returned 0.2% (both percentages in USD terms). Investment objective and DWS INSTITUTIONAL USD MONEY PLUS vs. benchmark Performance at a glance in % year 3 years 5 years USD Money plus 1M USD LIBID + 5bp Data in U.S. dollars BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: December 31, 2011 performance in the reporting period In the period from the beginning of January through the end of December 2011, USD Money Plus invested predominantly in floating rate notes. These are floating-rate bonds whose interest rates are adjusted every three to six months in line with current market conditions. As floaters are issued primarily by financial services providers, this segment dominated the portfolio in terms of sector allocation. 12

15 Corporate bonds from various other sectors were included selectively. Government-guaranteed securities and issues of near-government issuers (European agencies) rounded off the investment spectrum. In line with its investment policy, the management favored U.S. dollar-denominated securities of European issuers with a minimum rating of BBB or better by leading rating agencies (investment grade). As of the end of December 2011, the duration was one month; the average yield was 0.3% p. a. net (after taking into account the all-in fee) 1). The renewed net asset value guarantee 2) as of December 28, 2012 is: USD 12, per share. DWS INSTITUTIONAL USD MONEY PLUS Rating distribution of the bonds in the portfolio* Bonds: 65.6 AAA AA A BBB B Time deposit Cash and other assets** AAA AA A BBB In % of the fund s net assets (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 BB to B CCC and lower * Average values based primarily on ratings by Standard & Poor's, Moody's and Fitch ** incl. derivatives 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. Security code: ISIN: LU As of: December 31, ) Average yield of the sub-fund s investments as of the reporting date. This can differ from the nominal yield of the interest-bearing instruments held in the portfolio. The future performance of the sub-fund cannot be derived from this. 2) Additional information on the guarantee and the effects of tax changes on the guarantee is provided in the sales prospectus. 13

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17 0Investment 0 portfolios and financial statements for the reporting period The format used for complete dates in securities descriptions in the investment portfolio is day/month/year.

18 Annual report Money plus Investment portfolio December 31, 2011 Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net ( / 000) amount in the reporting period EUR assets Securities traded on an exchange Interest-bearing securities % ABN AMRO Bank 10/ MTN (XS ) EUR % % ABN AMRO Bank 10/ MTN (XS ) EUR % % ABN AMRO Bank 11/ MTN (XS ) EUR % % Agence Francaise de Develop. 11/ MTN (XS ) 3) EUR % % ART Five /TAP SA 06/ S.100 (XS ) EUR % % ASB Finance (London Branch) 07/ MTN (XS ) EUR % % Atlantes Mortgage No.1 03/ Cl.A (XS ) EUR % % Bacchus 06/ S.2 CI.A1 (XS ) EUR % % Bank of America 07/ MTN (XS ) EUR % % Bank of Nova Scotia 07/ MTN (XS ) EUR % % Banque Fédérative Crédit Mut. 11/ MTN (XS ) 3) EUR % % Barclays Bank 09/ MTN (XS ) 3) EUR % % Bayerische Landesbank 05/ IHS S (DE000BLB1XK0) 3) EUR % % Bayerische Landesbank 11/ PF (XS ) 3) EUR % % Bayerische Landesbank 11/ ÖPF (DE000BLB6H20) 3) EUR % % Bayerische Landesbank 11/ ÖPF S.0326 (DE000BLB0573) 3) EUR % % Berlin 10/ LSA S.294 (DE000A1A6RD8) 3) EUR % % Berlin-Hannover.Hypo.bk. 11/ E.162 PF (DE000BHY1125) EUR % % BMW Finance 11/ MTN (XS ) EUR % % BMW Finance 11/ MTN (XS ) EUR % % BNP Paribas 10/ MTN (XS ) EUR % % BNP Paribas 11/ MTN (XS ) EUR % % BNP Paribas 11/ MTN (XS ) EUR % % BNP Paribas 11/ MTN (XS ) EUR % % BPCE 06/ MTN (FR )... EUR % % Caisse Centrale du Crédit Im. 07/ MTN (XS ) EUR % % Caisse d Amort.de la Dette Soc. 11/ MTN (XS ) EUR % % Chapel 03/ S.1 Cl.A (XS ) EUR % % Cie. Financement Foncier 10/ MTN PF (FR ) 3) EUR % % Citigroup 06/ MTN (XS ) EUR % % Clydesdale Bank 07/ MTN (XS ) EUR % % Comp. de Financement Foncier 11/ MTN PF (FR )..... EUR % % Coriolanus/BLB-Genuss. 09/ MTN S.118 (XS ) EUR % % Coriolanus/CART 1 07/ MTN (XS ) EUR % % Crédit Agricole (London Br.) 07/ MTN (XS ) 3) EUR % % Crédit Agricole (London Br.) 11/ MTN (XS ) EUR % % Credit Foncier de France 10/ MTN (FR ) 3) EUR %

19 Money plus Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net ( / 000) amount in the reporting period EUR assets % Credit Suisse (London Branch) 07/ MTN (XS ) 3) EUR % % Danske Bank 07/ MTN (XS ) 3) EUR % % Danske Bank 07/ MTN (XS ) EUR % % DekaBank DGZ 04/ S.103 IHS MTN (XS ) EUR % % Deutsche Bank 07/ (XS ) EUR % % Deutsche Genoss.-Hypothekenbk 11/ MTN PF (DE000A1KQWW9) 3)... EUR % % Deutsche Hypothekenbank 11/ MTN HPF S.290 (DE000DHY2907) 3) EUR % % Dexia Banque Int. Luxembourg 09/ MTN (XS ) EUR % % Dexia Kommunalbank 11/ ÖPF S.1629 (DE000DXA1NN0) EUR % % DZ Bank 11/ MTN S.2849 (DE000DZ5WFC3) 3) EUR % % EARLS Eight /BVV 05/ S.190 MTN (XS ) EUR % % EARLS Four/Allianz 02/ S.653 MTN (XS ) EUR % % Eirles Three/LBBW Genuss. 09/ S.291 MTN (XS ) EUR % % Eirles Three/WestLB/DB Ldn. 09/ S.289 MTN (XS )... EUR % % Erste Abwicklungsanstalt 11/ MTN (DE000EAA0BQ6) 3) EUR % % EUROFIMA 10/ MTN (XS ) EUR % % EUROFIMA 11/ MTN (XS ) EUR % % Eurohypo 05/ ÖPF MTN (XS ) EUR % % Granite Master Issuer 05/ S.2 Cl.A5 (XS ) EUR % % Hamburg 10/ LSA S.20 (DE000A1E8K09) 3) EUR % % Hamburgische Landesbank, Guernsey 03/ MTN (XS ) EUR % % HSBC Bank 09/ MTN (XS ) 3) EUR % % HSBC Bank 11/ MTN (XS ) 3) EUR % % Hypo Alpe-Adria Bank Int. 07/ MTN (XS ) EUR % % IKB Deutsche Industriebank 07/ MTN (XS ) EUR % % ING Bank 11/ MTN (XS ) EUR % % ING Bank 11/ MTN (XS ) 3) EUR % % Intesa Sanpaolo 10/ MTN (XS ) EUR % % Jump 05/ S.1 Cl.A (IT ). EUR % % KA Finanz 11/ MTN (XS ) EUR % % KBC Ifima 07/ MTN (XS ) EUR % % KfW 10/ MTN (XS ).... EUR % % Landesbank Saar 10/ A.376 ÖPF (DE000SLB3768) EUR % % LB Baden-Württemberg 04/ R.230 IHS (DE000LBW14R9) EUR % % LB Hessen-Thüringen 05/ S.H157 IHS MTN (XS ) 3) EUR % % LB Hessen-Thüringen 10/ S.H220 IHS MTN (XS ) 3) EUR % % LB Hessen-Thüringen 10/ E.0509B/025 ÖPF (DE000HLB3MY4) EUR % % L-Bank B-W-Förderbank 10/ S.5371 IHS MTN (XS ) 3) EUR % % L-Bank B-W-Förderbank 11/ MTN (XS ) EUR %

20 Money plus Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net ( / 000) amount in the reporting period EUR assets % Lloyds TSB Bank 11/ MTN (XS ) 3) EUR % % Lombarda Lease Finance No.4 05/ Cl.A (IT ) EUR % % Münchener Hypothekenbk. 10/ MTN (DE000MHB7761) 3) EUR % % National Bank of Abu Dhabi 09/ MTN (XS ) EUR % % National Bank of Abu Dhabi 10/ MTN (XS ) EUR % % Nationwide Building Society 11/ MTN (XS ) EUR % % Norddeutsche Landesbank 05/ MTN (XS ) EUR % % Norddt. Landesbank 03/ IHS S.585 (DE ) 3) EUR % % Norddt. Landesbank 04/ IHS MTN (XS ) 3) EUR % % Norddt. Landesbank 07/ S.1237 ÖPF (DE000NLB24A3) 3) EUR % % Norddt. Landesbank 09/ IHS S.954 (DE000NLB5KZ2) EUR % % Nordea Bank 09/ MTN (XS ) EUR % % Nordea Bank 09/ MTN (XS ) EUR % % Nordea Bank 11/ MTN (XS ) 3) EUR % % Nordea Bank 11/ MTN (XS ) 3) EUR % % Pohjola Pankki 10/ MTN (XS ) EUR % % Rabobank 10/ MTN (XS ) EUR % % Rabobank 10/ MTN (XS ) EUR % % Rabobank 11/ MTN (XS ) 3) EUR % % Rheinland-Pfalz 10/ LSA (DE000A1DAA16) EUR % % Royal Bank of Canada 07/ MTN (XS ) EUR % % Royal Bank of Scotland 06/ MTN (XS ) EUR % % Royal Bank of Scotland 11/ MTN (XS ) EUR % % Santander International Debt 10/ MTN (XS ) EUR % % Santander International Debt 11/ MTN (XS ) EUR % % SBAB Bank 11/ MTN (XS ) EUR % % SBAB Bank 11/ MTN (XS ) EUR % % SBAB Bank 11/ MTN (XS ) EUR % % Skandinaviska Enskilda Banken 11/ MTN (XS ) EUR % % Societe Generale 11/ MTN (XS ) EUR % % Split 2 04/ Cl.A (IT ).... EUR % % Svenska Handelsbanken 10/ MTN (XS ) EUR % % Svenska Handelsbanken 11/ MTN (XS ) 3) EUR % % Swedbank 11/ MTN (XS ) 3) EUR % % Swedbank 11/ MTN (XS ) EUR % % Swedbank Hypotek 10/ MTN PF (XS ) EUR % % UniCredit Bank Ireland 10/ MTN (XS ) EUR % % Volkswagen Bank 11/ MTN (XS ) EUR %

21 Money plus Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net ( / 000) amount in the reporting period EUR assets % Vorarlberger Landes- Hyp.bank 11/ ÖPF MTN (XS ).... EUR % % WL BANK 09/ R.592 ÖPF (DE000A0Z2RN8) 3) EUR % % WL BANK 11/ MTN (DE000A1H3U05) 3) EUR % % WL-BANK 11/ R.235 MTN IHS (DE000A1K0N43) 3) EUR % % ART Five /DB CapFT 09/und. S.183 MTN (XS ) USD % % CLASS/DB CapFT 09/und. MTN (XS ) USD % % EARLS Eight /DB CapFT 09/ S.496 CLN (XS ) USD % % HSH Nordbank 05/ IHS (DE000HSH0G91) USD % % Lunar Funding V/LBBW 05/ S.9 MTN (XS ) USD % % Regal Ser.32/DB Capital Trust 10/ MTN (XS ) USD % % Regal/DB Bank Capital 99/ MTN S.17 (XS ) USD % % Royal Bank of Scotland 05/ (XS ) USD % % Royal Bank of Scotland 05/ MTN (XS ) USD % % Royal Bank of Scotland 06/ MTN (XS ) USD % % Siemens Financieringsmaatsch. 06/ MTN (XS ) USD % % BW Bank Capital Funding Trust I 99/und. S.1 (USU ) Count EUR Unlisted securities Interest-bearing securities % BMW Finance (XS )... EUR % % DekaBank Deutsche Girozentrale (DE000DK1CPJ5) EUR % % DZ Privatbank (XS )... EUR % % Lloyds TSB Bank (XS ). EUR % % Norddeutsche Landesbank Luxembourg (XS ) EUR % % Sumitomo Corp. Capital Europe (XS ) EUR % % Tagus S. T. C. 06/ S.Altis 1 Cl.A (XS ) EUR % Investment fund units In-group fund units DWS Best Global FX Selection Plus (LU ) (1.500%) Count EUR DWS Invest European Bonds FC (LU ) (0.500%+) Count EUR DWS Invest Global Bonds FC (LU ) (0.500%+) Count EUR DWS Invest Government Liquidity Fund FC (LU ) (0.150%) Count EUR DWS Invest Income Strategy Conservative IC (LU ) (0.300%+) Count EUR DWS Invest Income Strategy Currency FC (LU ) (0.500%+) Count EUR Total securities portfolio

22 Money plus Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net ( / 000) amount in the reporting period EUR assets Derivatives Minus signs denote short positions Currency derivatives Currency futures (short) Open positions USD/EUR million Swaps Credit default swaps Protection seller Allianz SE / 25 BP (BNP) SELL (OTC FFM) EUR JPMorgan Chase & Co/ 50 BP (BNP) SELL (OTC FFM) EUR Sanofi Aventis/25 BP (CIT) SELL (OTC FFM) EUR Siemens AG / 25 BP (BNP) SELL (OTC FFM) EUR Swiss Re America/ 25 BP (BNP) SELL (OTC FFM) EUR Unilever / 25 BP (JPM) SELL (OTC FFM) EUR USA / 25 BP (BNP) SELL (OTC FFM) EUR Cash at bank Demand deposits at Custodian EUR deposits EUR % Deposits in other EU/EEA currencies EUR % Deposits in non-eu/eea currencies Swiss franc CHF % Japanese yen JPY % U.S. dollar USD % Time deposit EUR deposits (Landesbank Baden-Württemberg) EUR % EUR deposits (BNP Paribas S.A., Paris) EUR % Repayment claims from securities purchased under repurchase agreements Rev Repo Money plus (BNP FR) % EUR % Other assets Interest receivable EUR % Withholding tax claims EUR % Other receivables EUR % Other liabilities Liabilities from cost items EUR % Additional other liabilities EUR % Net assets Net asset value per share Number of shares outstanding Negligible rounding errors may have arisen due to the rounding of calculated percentages. 20

23 Money plus Composition of the reference portfolio (according to CSSF circular 11/512) Portfolio ex Derivatives 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, 2011, through December 31, 2011, 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 derivates in relation to the fund s assets was used for the calculation (nominal value method). Market abbreviations Futures exchanges OTC FFM = Over the Counter Frankfurt/Main Exchange rates (indirect quotes) As of December 30, 2011 Swiss franc CHF = EUR 1 Japanese yen JPY = EUR 1 U.S. dollar USD = EUR 1 Notes on the 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 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. A small part of the assets reported in this report are 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 fund held units of other investment funds (target funds) during the period under review, 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 during the period under review. Footnotes 3) Some or all of these securities are lent. The equivalent value of the lent securities is EUR 1,196,595,

24 Money 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 Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals Securities traded on an exchange Interest-bearing securities % A-BEST 2 05/ Cl.A (XS ) EUR % A.N.Z. Banking Group 06/ MTN (XS ) EUR % Abbey National Treasury Services 11/ MTN (XS ).... EUR % ABN AMRO Bank 10/ MTN (XS ) EUR % Arlo II/Münchener Rück 05/ MTN (XS ) EUR % Athlon Securitisation 05/ CI.A (XS ) EUR % Banco Bilbao Vizcaya Argentaria 04/ PF (ES ) EUR % Banco Espanol de Crédito 04/ PF (ES ) EUR % Banco Santander 05/ PF (ES ) EUR % Banesto Financial Products 10/ MTN (XS ).... EUR % Banque Fédérative Crédit Mut. 09/ MTN (XS ) EUR % Banque Fédérative Crédit Mut. 10/ MTN (XS ) EUR % Banque Fédérative Crédit Mut. 11/ MTN (XS ) EUR % Barclays Bank 08/ MTN (XS ) EUR % Barclays Bank 10/ MTN (XS ) EUR % Barclays Bank 10/ MTN (XS ) EUR % Bayerische Landesbank 04/ IHS (XS ) EUR % Bayerische Landesbank 04/ MTN (XS ) EUR % Bayerische Landesbank 08/ R ÖPF (DE000BLB5G06) EUR % Bayerische Landesbank 08/ HPF S.0033 (DE000BLB6B67) EUR % Bayerische Landesbank 11/ ÖPF S.316 (DE000BLB7AF5) EUR % Berlin-Hannover.Hypo.bk. 08/ E.102 PF (DE000A0XXRM1) EUR % BMW Australia Finance 10/ MTN (XS ) EUR % BNP Paribas 10/ MTN (XS ) EUR % BNP Paribas Home Loan Cov. Bonds 08/ MTN (FR ).... EUR % BPCE 09/ MTN (FR ) EUR % Bremen 09/ A.163 LSA (DE000A0XYRS6) EUR % Bruckner CDO I 04/ Cl.A1 Reg S (XS ) EUR % Caja Ahorr. Monte Piedad Madrid 04/ PF (ES ) EUR % Cie. Financement Foncier 03/ MTN PF (FR ). EUR % Commerzbank 01/ Tr.519 MTN (XS ) EUR % Commerzbank 07/ MTN (DE000DR5B8U7) EUR % Commonwealth Bank Australia 06/ MTN (XS ).... EUR % Crédit Agricole (London Br.) 10/ MTN (XS ).... EUR % Crédit Mutuel Arkéa 06/ MTN (FR ) EUR % Danske Bank 06/ MTN (XS ) EUR % DekaBank DGZ 10/ IHS S.6154 (DE000DK8ACT1) EUR % Deutsche Hypothekenbank 04/ ÖPF MTN S.41 (XS ) EUR % Deutsche Hypothekenbank 09/ ÖPF MTN (DE000DHY1834) EUR % Dexia Kommunalbank 04/ E.1273 ÖPF (DE000DXA0KK4) EUR % Dexia Kommunalbank 06/ E.1459 ÖPF (DE000DXA0Q10) EUR % DNB Bank 06/ MTN (XS ) EUR % DnB NOR Bank 06/ MTN (XS ) EUR % Eirles One 01/ MTN S.26 (XS ) EUR % Eurohypo 07/ HPF S.1N7 (DE000HBE1N78) EUR % Faxtor ABS 04/ Cl.A1 (XS ) EUR % Fortis Bank 10/ MTN (XS ) EUR % France B.T.A.N. 05/ (FR ) EUR % France B.T.A.N. 06/ (FR ) EUR % France O.A.T. 00/ (FR ) EUR % GE Capital European Funding 07/ MTN (XS ).... EUR % GE Capital European Funding 08/ MTN (XS ).... EUR % Germany 09/ BSA (DE ) EUR % Germany 09/ S.1 (DE ) EUR % Germany BS 09/ (DE ) EUR % Hypo Alpe-Adria-Bank Int. 01/ MTN (XS ).... EUR % ING Bank 10/ MTN (XS ) EUR % ING Bank 10/ MTN (XS ) EUR % ING Bank/Australia 06/ MTN (XS ) EUR % Instituto de Credito Oficial 10/ MTN (XS ).... EUR % Intesa Sanpaolo 04/ MTN (XS ) EUR % Intesa Sanpaolo 08/ MTN (XS ) EUR % Intesa Sanpaolo Bank Ireland 11/ MTN (XS ).... EUR % Italy 10/ (IT )..... EUR % Italy 10/ (IT )..... EUR % Italy B.O.T. 11/ (IT ) EUR % KBC Ifima 06/ MTN (XS ) EUR % KBC Ifima 10/ MTN (XS ) EUR % Kildare Securities 07/ Cl.A3 (XS ) EUR % LB Baden-Württemberg 00/ S.591 ÖPF (DE ) EUR

25 Money plus Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals % LB Baden-Württemberg 05/ S.461 MTN (XS ) EUR % LB Hessen-Thüringen 09/ IHS (DE000HLB1SJ6) EUR % Lloyds TSB Bank 10/ MTN (XS ) EUR % Münchener Hypothekenbk. 09/ MTN IHS S.1371 (DE000MHB7498)... EUR % Münchener Hypothekenbk. 09/ MTN PF S.1282 (DE000MHB0923).... EUR % National Australia Bank 06/ MTN (XS ).... EUR % Natixis 09/ MTN (XS ) EUR % Nordea Hypotek 08/ PF MTN (XS ) EUR % Nordrhein-Westfalen 08/ LSA R.843 (DE000NRW1162) EUR % Nordrhein-Westfalen 09/ LSA R.912 (DE000NRW2W07) EUR % NRW.BANK 09/ A.11Q IHS (DE000NWB11Q3) EUR % Nykredit Realkredit 09/ PF S.12E (LU ) EUR % Nykredit Realkredit 09/ Ser.31e PF (LU ) EUR % Nykredit Realkredit 10/ S.12E PF (LU ) EUR % Pohjola Pankki 06/ MTN (XS ) EUR % Pohjola Pankki 09/ MTN (XS ) EUR % Rabobank 10/ Tr.4 MTN (XS ) EUR % Raiffeisen Zentralbank Österreich 06/ MTN (XS ).... EUR % Realkredit Danmark 10/ PF (LU ) EUR % Royal Bank of Scotland 09/ MTN (XS ) EUR % Sampo Bank 04/ MTN (XS ) EUR % Santander International Debt 06/ MTN (XS ).... EUR % Santander International Debt 10/ MTN (XS ).... EUR % SBAB 09/ MTN (XS ) EUR % Société Générale 08/ MTN (XS ) EUR % Societé Générale 09/ MTN (XS ) EUR % Societe Generale Acc./L Oreal 06/ CLN (XS )..... EUR % Spain 10/ (ES0L ).... EUR % Svenska Handelsbanken 08/ MTN (XS ) EUR % Svenska Handelsbanken 09/ MTN (XS ) EUR % Toyota Motor Finance 10/ MTN (XS ) EUR % UBS (Jersey Br.) 11/ MTN (XS ) EUR % Ulster Bank Finance 06/ (XS ) EUR % UniCredit 06/ MTN (XS ) EUR % UniCredit 11/ MTN (XS ) EUR % UniCredit Bank 01/ S.962 PF (DE ) EUR % Volkswagen Bank 07/ MTN (XS ) EUR % Wells Fargo & Co. 06/ MTN (XS ) EUR % Wells Fargo Bank 06/ MTN (XS ) EUR % Westdt. ImmobilienBank 04/ IHS MTN (XS ) EUR % WestLB 08/ IHS S.B85J (DE000WLB85J6) EUR % Westpac Banking Corp. 08/ MTN (XS ) EUR % WL BANK 06/ MTN ÖPF R.491 (DE000A0JFC63) EUR % WL BANK 09/ MTN ÖPF R.610 (DE000A1CRXS0) EUR % WL BANK 10/ MTN IHS R.183 (DE000A1DAAL7) EUR % Eksportfinans 07/ MTN (XS ) GBP Unlisted securities Interest-bearing securities % ABN AMRO Bank (XS ) EUR % Bayerische Landesbank (DE000BLB4NR0) EUR % Bayerische Landesbank (DE000BLB4N40) EUR % Bayerische Landesbank (DE000BLB4PJ2) EUR % Bayerische Landesbank (DE000BLB4NW0) EUR % Bayerische Landesbank (DE000BLB4N81) EUR % BPCE 11/ Tr.3 MTN (FR ) EUR % CommerzBank (DE000CZ40S58) EUR % CommerzBank (DE000CZ400E2) EUR % Crédit Agricole CD (FR ) EUR % DekaBank DGZ (DE000DK1CNT9) EUR % DZ PRIVATBANK Tr.201 (XS ) EUR % DZ PRIVATBANK Tr.20 (XS ) EUR % DZ PRIVATBANK Tr.71 (XS ) EUR % DZ PRIVATBANK Tr.159 (XS ) EUR % DZ Privatbank (XS ) EUR % ENEL Finance International (XS ) EUR % ENEL Finance International (XS ) EUR % HSBC Bank 11/ MTN (XS ) EUR % KA Finanz 06/ MTN (XS ) EUR % LB Hessen-Thüringen (XS ) EUR % Lloyds TSB Bank (XS ) EUR % Müchener Hypothekenbank (DE000MHB1XC0) EUR % Norddeutsche Landesbank Luxembourg (XS ) EUR % Paccar Financial Europe (XS ) EUR % Rabobank 04/ MTN (XS ) EUR

26 Money plus Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals % RWE (XS ) EUR % RWE (XS ) EUR % Tesco (XS ) EUR % UniCredit Bank Austria (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 Currency futures Value ( 000) Futures contracts to purchase currencies GBP/EUR EUR USD/EUR EUR Futures contracts to sell currencies GBP/EUR EUR USD/EUR EUR Swaps (total amount of opening transactions) Credit default swaps Protection seller EUR (Underlyings: Credit Suisse Group Fin/ 25 BP (MST) SELL, Swiss Re America/ 100 BP (CIT) SELL) Securities loans (total transactions, at the value agreed at the closing of the loan contract) Value ( 000) Perpetual EUR (Security description: % Abbey National Treasury Services 11/ MTN, % ABN AMRO Bank 10/ MTN, % Bank of America 07/ MTN, % Banque Fédérative Crédit Mut. 09/ MTN, % Banque Fédérative Crédit Mut. 11/ MTN, % Barclays Bank 08/ MTN, % Barclays Bank 09/ MTN, % Bayerische Landesbank 04/ MTN, % Bayerische Landesbank 05/ IHS S % Bayerische Landesbank 08/ HPF S % Bayerische Landesbank 11/ ÖPF S % Bayerische Landesbank 11/ PF, % Berlin 10/ LSA S % Berlin-Hannover. Hypo.bk. 08/ E.102 PF, % BMW Australia Finance 10/ MTN, % BNP Paribas 10/ MTN, % BNP Paribas 11/ MTN, % BNP Paribas 11/ MTN, % BPCE 09/ MTN, % Cie. Financement Foncier 10/ MTN PF, % Citigroup Securities loans (total transactions, at the value agreed at the closing of the loan contract) Value ( 000) 06/ MTN, % Crédit Agricole (London Br.) 07/ MTN, % Credit Foncier de France 10/ MTN, % Deutsche Hypothekenbank 04/ ÖPF MTN S % Deutsche Hypothekenbank 09/ ÖPF MTN, % Deutsche Hypothekenbank 11/ MTN HPF S % Dexia Banque Int. Luxembourg 09/ MTN, % Dexia Kommunalbank 04/ E.1273 ÖPF, % Dexia Kommunalbank 06/ E.1459 ÖPF, % Dexia Kommunalbank 11/ ÖPF S % DNB Bank 06/ MTN, % DnB NOR Bank 06/ MTN, % France B.T.A.N. 05/ % France B.T.A.N. 06/ % France O.A.T. 00/ % GE Capital European Funding 07/ MTN, % Germany 09/ BSA, % Germany 09/ S % Germany BS 09/ % Hamburg 10/ LSA S % Hamburgische Landesbank, Guernsey 03/ MTN, % ING Bank 11/ MTN, % Intesa Sanpaolo 04/ MTN, % Intesa Sanpaolo 10/ MTN, % Italy 10/ % L-Bank B- W-Förderbank 10/ S.5371 IHS MTN, % LB Baden-Württemberg 04/ R.230 IHS, % LB Baden-Württemberg 05/ S.461 MTN, % LB Hessen-Thüringen 05/ S.H157 IHS MTN, % LB Hessen-Thüringen 09/ IHS, % LB Hessen- Thüringen 10/ S.H220 IHS MTN, % LB Hessen- Thüringen 10/ E.0509B/025 ÖPF, % Münchener Hypothekenbk. 09/ MTN IHS S % Münchener Hypothekenbk. 09/ MTN PF S % Münchener Hypothekenbk. 10/ MTN, % Norddeutsche Landesbank 05/ MTN, % Norddt. Landesbank 04/ IHS MTN, % Norddt. Landesbank 07/ S.1237 ÖPF, % Nordea Bank 09/ MTN, % Nordea Bank 11/ MTN, % Nordea Hypotek 08/ PF MTN, % Nordrhein-Westfalen 08/ LSA R % Nordrhein-Westfalen 09/ LSA R % NRW.BANK 09/ A.11Q IHS, % Rabobank 04/ MTN, % Rabobank 10/ MTN, % Rabobank 10/ MTN, % Rabobank 11/ MTN, % Royal Bank of Canada 07/ MTN, % Royal Bank of Scotland 06/ MTN, % Santander International Debt 06/ MTN, % Santander International Debt 10/ MTN, % Société Générale 08/ MTN, % Societé Générale 09/ MTN, % Societe Generale 11/ MTN, % Svenska Handelsbanken 09/ MTN, % Toyota Motor Finance 10/ MTN, % UniCredit 06/ MTN, % Wells Fargo & Co. 06/ MTN, % Wells Fargo Bank 06/ MTN, % WL BANK 06/ MTN ÖPF R % WL BANK 09/ MTN ÖPF R % WL BANK 09/ R.592 ÖPF, % WL BANK 10/ MTN IHS R % WL BANK 11/ MTN, % Royal Bank of Scotland 05/ MTN) 24

27 Money plus Securities repurchase agreements (total transactions, at the value agreed at the closing of the repurchase agreements) Securities repurchase agreements (total transactions, at the value agreed at the closing of the repurchase agreements) Value ( 000) Purchased under repurchase agreements EUR (Underlyings: Austria 02/ MTN, Austria 03/ MTN, Austria 03/ MTN 144a, Austria 03/ MTN, Austria 04/ MTN 144a, Austria 04/ MTN 144a, Austria 06/ MTN 144a, Austria 06/ MTN 144a, Austria 07/ MTN 144a, Austria 07/ MTN 144a, Austria 09/ MTN 144a, Austria 09/ Austria 10/ MTN 144a, Austria 11/ MTN 144a, Austria 97/ S.JL27. Austria 97/ S.JL27. Austria 97/ S.JL27. Austria 97/ S.JL27. Austria 97/ S.6. Austria 99/ Baden- Württemberg 05/ R.64 LSA, Baden-Württemberg 08/ R.76 LSA, Baden-Württemberg 09/ R.87 LSA, Baden- Württemberg 10/ Bank Nederlandse Gemeenten 01/ MTN, Bank Nederlandse Gemeenten 02/ MTN, Bank Nederlandse Gemeenten 03/ MTN, Bank Nederlandse Gemeenten 04/ MTN, Bank Nederlandse Gemeenten 05/ MTN, Bank Nederlandse Gemeenten 06/ MTN, Bank Nederlandse Gemeenten 06/ MTN, Bank Nederlandse Gemeenten 06/ MTN, Bank Nederlandse Gemeenten 07/ MTN, Bank Nederlandse Gemeenten 08/ MTN, Bank Nederlandse Gemeenten 08/ MTN, Bank Nederlandse Gemeenten 09/ MTN, Bank Nederlandse Gemeenten 09/ MTN, Bank Nederlandse Gemeenten 10/ MTN, Bank Nederlandse Gemeenten 10/ MTN, Bank Nederlandse Gemeenten 10/ MTN, Bank Nederlandse Gemeenten 10/ MTN, Bank Nederlandse Gemeenten 10/ MTN, Bank Nederlandse Gemeenten 11/ MTN, Bank Nederlandse Gemeenten 11/ MTN, Bank Nederlandse Gemeenten 11/ MTN, Bank Nederlandse Gemeenten 11/ MTN, Bank Nederlandse Gemeenten 98/ MTN, Bayern 02/ S.96 LSA, Bayern 05/ S.101 LSA, Bayern 06/ S.102 LSA, Bayern 07/ S.103 LSA, Bayern 09/ S.114 LSA, Bayern 09/ S.108 LSA, Bayern 11/ Ser. 120 LSA, Berlin 01/ A.108 LSA, Berlin 03/ A.159 LSA, Berlin 05/ A.204 LSA, Berlin 05/ A.206 LSA, Berlin 05/ A.202 LSA, Berlin 05/ A.196 LSA, Berlin 07/ A.230 LSA, Berlin 09/ A.274 LSA, Berlin 09/ A.267 LSA, Berlin 09/ A.264 LSA, Berlin 09/ A.279 LSA, Berlin 10/ LSA A.327. Berlin 11/ IHS S.336. Berlin, Land 11/ LSS 352. Brandenburg 03/ R.143 LSA, Brandenburg 05/ LSA, Brandenburg 11/ LSA, Bundesländer 09/ No.32 LSA, Bundesländer 10/ No.34 LSA, Caisse d Amort.de la Dette Soc. 11/ MTN, Caisse d Amort.de la Dette Sociale 11/ MTN, Caisse d Amortism. Dette Soc. 02/ INFL, Caisse d Amortism. Dette Soc. 04/ INFL, Caisse d Amortism. Dette Soc. 04/ MTN, Caisse d Amortism. Dette Soc. 04/ Caisse d Amortism. Dette Soc. 05/ MTN, Caisse d Amortism. Dette Soc. 05/ Caisse d Amortism. Dette Soc. 05/ Caisse d Amortism. Dette Soc. 06/ MTN, Caisse d Amortism. Dette Soc. 06/ MTN INFL, Caisse d Amortism. Dette Soc. 06/ MTN, Caisse d Amortism. Dette Soc. 07/ MTN, Caisse d Amortism. Dette Soc. 08/ MTN, Caisse d Amortism. Dette Soc. 09/ Caisse d Amortism. Dette Soc. 09/ MTN, Caisse d Amortism. Dette Soc. 09/ MTN, Caisse d Amortism. Dette Soc. 10/ MTN, Caisse d Amortism. Dette Soc. 10/ MTN, Caisse d Amortism. Dette Soc. 11/ MTN, Caisse d Amortism. Dette Soc. 11/ MTN, Caisse d Amortism. Dette Soc. 11/ Tr.2 MTN, Caisse d Amortism. Dette Soc. 11/ MTN, Caisse d Amortism. Dette Soc. 11/ INFL, Caisse d Amortism. Dette Soc. 98/ Caisse d Amortism. Dette Soc. 99/ INFL, Caisse d Amortismt Dette Soc. 11/ Tr.3 MTN, Caisse d Amortissement Dette Soc. 11/ MTN, Caissse D Amort Dette Soc. 11/ MTN, Charbonnages de France 02/ Council of EuropeDev. Bank 10/ MTN, Council of Europe Dev. Bank 11/ MTN, EFSF 11/ MTN, EFSF 11/ MTN, EUROFMA 01/ MTN, EUROFIMA 04/ MTN, EUROFIMA09/ MTN, European Bank for Rec. & Dev. 02/ MTN,European Community 08/ MTN, European Community09/ MTN, European Community 09/ MTN, European Community 09/ MTN, European Community 09/ MTN,European Community 10/ MTN, European Community10/ MTN, European Community 11/ MTN, European Community 11/ MTN, European Community 11/ MTN, European Community 11/ MTN, European Community 11/ MTN, European Community 11/ MTN, European Community 11/ MTN, European Fin. Stab. Facility 11/ MTN Reg S, European Investment Bank 02/ European Investment Bank 03/ MTN, European Investment Bank 04/ MTN, European Investment Bank 05/ MTN, European Investment Bank 06/ MTN, European Investment Bank 06/ MTN, European Investment Bank 06/ MTN, European Investment Bank 07/ MTN, European Investment Bank 07/ MTN, European Investment Bank 07/ MTN, European Investment Bank 07/ MTN, European Investment Bank 08/ MTN, European Investment Bank 08/ MTN, European Investment Bank 08/ MTN, European Investment Bank 09/ MTN, European Investment Bank 09/ MTN, European Investment Bank 09/ MTN, European Investment Bank 09/ MTN, European Investment Bank 09/ MTN, European Investment Bank 09/ MTN, European Investment Bank 09/ MTN, European Investment Bank 09/ MTN, European Investment Bank 10/ MTN, European Investment Bank 10/ MTN, European Investment Bank 10/ MTN, European Investment Bank 10/ MTN, European Investment Bank 10/ MTN, European Investment Bank 10/ MTN, European Investment Bank 10/ MTN, European Investment Bank 10/ MTN, European Bank 10/ MTN, European Investment Bank 10/ MTN, European Investment Bank 11/ MTN, European Investment Bank 11/ MTN, European Investment Bank 11/ MTN, European Investment Bank 11/ MTN, European Investment Bank 11/ MTN, European Investment Bank 11/ MTN, European Investment Bank 97/ European Investment Bank 98/ Eurpoean Investment Bank 11/ MTN, Finland 02/ Finland 04/ Finland 07/ Finland 08/ Finland 09/ Finland 09/ Finland 10/ Finland 10/ Finland 11/ France 09/ France B.T.A.N. 07/ France B.T.A.N. 07/ France B.T.A.N. 09/ France B.T.A.N. 09/ France B.T.A.N. 09/ France B.T.A.N. 10/ France B.T.A.N. 10/ France B.T.A.N. 10/ France B.T.A.N. 11/ France B.T.A.N. 11/ France O.A.T. 00/ France O.A.T. 00/ France O.A.T. 01/ France O.A.T. 01/ INFL, France O.A.T. 01/ France O.A.T. 01/ France O.A.T. 02/ France O.A.T. 02/ INFL, France O.A.T. 02/ France O.A.T. 03/ France O.A.T. 03/ France O.A.T. 03/ INFL, France O.A.T. 03/ France O.A.T. 04/ France O.A.T. 04/ INFL, France O.A.T. 04/ INFL, France O.A.T. 05/ France O.A.T. 05/ INFL, France O.A.T. 05/ France O.A.T. 06/ France O.A.T. 06/ France O.A.T. 06/ France O.A.T. 07/ France O.A.T. 07/ France O.A.T. 08/ INFL, France O.A.T. 08/ France O.A.T. 09/ France O.A.T. 09/ France O.A.T. 09/ France O.A.T. 09/ France O.A.T. 09/ INFL, France O.A.T. 09/ France O.A.T. 09/ France O.A.T. 09/ France O.A.T. 09/ France O.A.T. 09/ France O.A.T. 09/ France O.A.T. 10/ France O.A.T. 10/ INFL, France O.A.T. 10/ INFL, France O.A.T. 10/ France O.A.T. 11/ INFL, France O.A.T. 11/ France O.A.T. 87/ Tr.4. France O.A.T. 89/ Tr.3. France O.A.T. 92/ France O.A.T. 92/ France O.A.T. 93/ France O.A.T. 94/ Pf, France O.A.T. 94/ France O.A.T. 94/ Pf., France O.A.T. 97/ France O.A.T. 98/ PF, France O.A.T. 99/ INFL, Germany 00/ Coupons, Germany 00/ Germany 00/ Coupons, Germany 02/ Germany 02/ Germany 02/ A.II, Germany 03/ Germany 03/ Germany 03/ Germany 03/ Coupons, Germany 03/ Coupons, Germany 03/ Coupons, Germany 04/ Germany 04/ Germany 05/ Germany 05/ Germany 06/ Germany 06/ Germany 06/ S.148 BO, Germany Value ( 000) 25

28 Money plus Securities repurchase agreements (total transactions, at the value agreed at the closing of the repurchase agreements) Value ( 000) 06/ INFL, Germany 07/ Germany 07/ A. II, Germany 07/ S.151 BO, Germany 07/ S.150 BO, Germany 07/ INFL, Germany 08/ Germany 08/ Germany 08/ S.153 BO, Germany 08/ S.152 BO, Germany 09/ Ser.09. Germany 09/ Germany 09/ S.155. Germany 09/ S.154 BO, Germany 09/ INFL, Germany 09/ S.1. Germany 09/ S.2. Germany 10/ Germany 10/ Germany 10/ Germany 10/ Ser.158. Germany 10/ Germany 10/ Germany 10/ Germany 10/ Germany 10/ S.156. Germany 11/ Germany 11/ Germany 11/ Germany 11/ S.160 BO, Germany 11/ Germany 11/ Germany 11/ Ser.161. Germany 11/ Germany 11/ INFL, Germany 11/ Germany 86/ A.II, Germany 94/ Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Coupons, Germany 97/ Germany 97/ Coupons, Germany 98/ Coupons, Germany 98/ Coupons, Germany 98/ Coupons, Germany 98/ Germany 98/ A.II, Germany 98/ Coupons, Hessen 00/ S.3 LSA, Hessen 01/ S.3 LSA, Hessen 02/ S.7 LSA, Hessen 03/ S.2 LSA, Hessen 04/ S.4 LSA, Hessen 04/ S.1 LSA, Hessen 05/ S.4 LSA, Hessen 05/ S.7 LSA, Hessen 05/ S.1 LSA, Hessen 07/ S.4 LSA, Hessen 09/ S.6 LSA, Hessen 09/ S.7 LSA, Hessen 10/ LSA S Hessen 10/ LSA, Hessen 10/ LSA, Hessen 11/ LSA S Int. Bank for Rec. and Developm. 09/ MTN, KfW 01/ KfW 02/ KfW 03/ KfW 04/ KfW 05/ KfW 06/ KfW 06/ IHS, KfW 07/ KfW 07/ KfW 07/ KfW 08/ KfW 08/ KfW 08/ KfW 08/ KfW 09/ IHS, KfW 09/ MTN, KfW 09/ MTN, KfW 09/ MTN, KfW 09/ MTN, KfW 09/ KfW 09/ KfW 09/ MTN, KfW 09/ KfW 09/ MTN, KfW 09/ MTN, KfW 10/ MTN, KfW 10/ KfW 10/ IHS, KfW 10/ KfW 10/ KfW 10/ MTN, KfW 10/ KfW 10/ MTN, KfW 11/ IHS, KfW 11/ IHS, KfW 11/ KfW 11/ MTN, KfW 11/ Reg S, KfW 11/ KfW 11/ KfW 98/ KfW 98/ R.213 IHS, L-Bank B-W-Förderbank 09/ R.3096 IHS, Landwirtsch. Rentenbank 07/ S.854 MTN, Landwirtsch. Rentenbank 07/ S.893 MTN, Landwirtsch. Rentenbank 08/ S.907 MTN, Landwirtsch. Rentenbank 09/ S.947 MTN, Landwirtsch. Rentenbank 09/ S.951 MTN, Landwirtsch. Rentenbank 10/ S.1013 MTN, Landwirtsch. Rentenbank 11/ MTN, Landwirtschaftliche Rentenbank 11/ MTN, Luxembourg 01/ Nederland 92/ Strip, Netherland 09/ S.JL19. Netherlands 02/ Netherlands 02/ Strip, Netherlands 03/ Netherlands 04/ Netherlands 04/ Strip, Netherlands 05/ Coupons, Netherlands 05/ Coupons, Netherlands 05/ Netherlands 06/ Netherlands 06/ Netherlands 07/ Netherlands 08/ Netherlands 09/ Netherlands 09/ Netherlands 09/ Netherlands 09/ Strip S. JL19. Netherlands 10/ Netherlands 10/ Strip S.JA13. Netherlands 10/ Netherlands 10/ Strip S.JL20. Netherlands 11/ Netherlands 11/ Netherlands 11/ Netherlands Netherlands 93/ Netherlands 98/ Coupons, Netherlands 98/ Netherlands 98/ Securities repurchase agreements (total transactions, at the value agreed at the closing of the repurchase agreements) Value ( 000) Coupons, Nordic Investment Bank 09/ MTN, Nordrhein- Westfalen 01/ R.374 LSA, Nordrhein-Westfalen 04/ LSA, Nordrhein-Westfalen 05/ LSA R.627. Nordrhein-Westfalen 05/ LSA R.700. Nordrhein- Westfalen 06/ LSA R.756. Nordrhein-Westfalen 07/ LSA MTN, Nordrhein-Westfalen 07/ LSA R.782. Nordrhein-Westfalen 07/ LSA R.776. Nordrhein- Westfalen 07/ LSA R.819. Nordrhein-Westfalen 07/ LSA R.808. Nordrhein-Westfalen 07/ LSA R Nordrhein-Westfalen 07/ LSA R.790. Nordrhein- Westfalen 09/ LSA R.969. Nordrhein-Westfalen 09/ LSA R.906. Nordrhein-Westfalen 10/ LSA S Nordrhein-Westfalen 10/ Nordrhein-Westfalen 10/ Nordrhein-Westfalen 10/ LSA R Nordrhein-Westfalen 10/ MTN LSA R Nordrhein- Westfalen 11/ R.1126 LSA, Nordrhein-Westfalen 11/ Nordrhein-Westfalen 98/ LSA R.332. Nordrhein-Westfalen, Land 06/ MTN, Nordrhein- Westfallen 10/ IHS S Oesterreichische Kontrollbank 06/ MTN, Oesterreichische Kontrollbank 07/ MTN, Oesterreichische Kontrollbank 08/ MTN, Oesterreichische Kontrollbank 09/ MTN, Sachsen Anhalt 08/ A.12 LSA, Sachsen-Anhalt 02/ LSA, Sachsen-Anhalt 04/ A.19 LSA, Sachsen- Anhalt 06/ MTN LSA S.66. Sachsen-Anhalt 06/ Jumbo LSA, Sachsen-Anhalt 07/ Jumbo LSA, Sachsen- Anhalt 11/ A.13 LSA, Soc. Fin. Eco. Française 08/ Soc. Fin. Eco. Française 09/ Soc. Fin. Eco. Française 09/ Soc. Fin. Eco. Française 09/ Soc. Fin. Eco. Française 09/ Soc. Fin. Eco. Française 09/ MTN, Soc. Fin. Eco. Française 09/ Soc. Fin. Eco. Française 09/ MTN, Unedic 09/ Union Natle Interp.Em.Com.Ind. 11/ ) 26

29 Money plus Statement of income and expenses (incl. income adjustment) Statement of changes in net assets 2011 for the period from January 1, 2011, through December 31, 2011 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 including: from securities lending eur from repurchase agreements...eur Other income EUR Total income EUR II. Expenses 1. Management fee EUR including: All-in fee eur Performance-based fee eur Other expenses EUR including: Performance-based fee from securities lending income..eur Taxe d abonnement eur Other EUR Total expenses EUR III. Net investment income EUR IV. Sale transactions Realized gains EUR Realized losses EUR Capital gains/losses EUR V. Net gain/loss for the fiscal year EUR I. Value of the fund at the beginning of the fiscal year EUR Net inflows EUR a) Inflows from subscriptions EUR b) Outflows from redemptions EUR Income adjustment and reimbursed expenses EUR Net investment income EUR Realized gains EUR Realized losses EUR Net change in unrealized appreciation/depreciation.... EUR II. Value of the fund at the end of the fiscal year EUR Summary of the gains/losses for 2011 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 Financial futures transactions EUR (Forward) currency transactions 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. BVI total expense ratio (TER) The total expense ratio was 0.17% p.a. The TER expresses total expenses and fees (excluding transaction costs) as a percentage of the fund s average net assets for a given fiscal year. In addition, as it outperformed the defined benchmark, the fund incurred a performancebased fee of 0.42% calculated on the fund s average net assets. As well, the additional income from securities lending resulted in a performance-based fee of 0.030% calculated on the fund s average net assets. Transaction costs The transaction costs paid in the reporting period amounted to EUR 1, 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. Details on the distribution policy* 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 share over the last three years Net assets at the end of the fiscal year EUR Net asset value per share EUR 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 investment fund s assets via brokers that are closely related companies and persons (share of 5% and above), amounted to 8.80% of all transactions. The total volume was EUR 501,175,

30 Annual report USD Money plus Investment portfolio December 31, 2011 Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net ( / 000) amount in the reporting period EUR assets Securities traded on an exchange Interest-bearing securities % Chapel 03/ S.1 Cl.A (XS ) EUR % % Deutsche Bank 07/ (XS ) EUR % % ING Bank 11/ MTN (XS ) EUR % % LB Baden-Württemberg 04/ R.230 IHS (DE000LBW14R9) EUR % % Nationwide Building Society 11/ MTN (XS ) EUR % % Norddt. Landesbank 04/ IHS MTN (XS ) EUR % % Bank of Montreal 07/ MTN (XS ) USD % % Barclays Bank 07/ MTN (XS ) USD % % Danske Bank 09/ MTN Reg S (XS ) USD % % Deutsche Bank 04/ MTN (XS ) USD % % Erste Abwicklungsanstalt 11/ MTN IHS (XS ) USD % % HSBC Bank 11/ MTN 144a (US44328MAM64) USD % % HSH Nordbank 05/ IHS (DE000HSH0G91) USD % % Intesa Sanpaola 10/ S.YCD (US46115LUQ93) USD % % LB Hessen-Thüringen 11/ H230 MTN ÖPF (XS ) USD % % Lunar Funding V/LBBW 05/ S.9 MTN (XS ) USD % % National Australia Bank 10/ MTN Reg S (US6325C1BA69) USD % % Nederlandse Waterschapsbank 10/ MTN (XS ) USD % % Nordrhein-Westfalen 09/ MTN (DE000NRW2YX4) USD % % NRW.BANK 10/ MTN (DE000NWB25A7) USD % % NRW.BANK 10/ MTN (XS ) USD % % Rabobank 11/ MTN (XS ) USD % % Regal/DB Bank Capital 99/ MTN S.17 (XS ) USD % % RHG Mtge. Securities 03/ S.1E Cl.1A (XS ) USD % % Royal Bank of Scotland 04/ MTN (XS ) USD % % Royal Bank of Scotland 05/ (XS ) USD % % SFEF 09/ Reg S (XS ).. USD % % Siemens Financieringsmaatsch. 06/ MTN (XS ) USD % % Svenska Handelsbanken 09/ Reg S MTN (US86959NAC39) USD % Securities that are admitted or included in organized markets Interest-bearing securities % American Express Bank FSB 07/ MTN (US02580EBV48) USD % % BNP Paribas 10/ MTN (US05567LH757) USD % % BNP Paribas 11/ MTN (US05567LS572) USD % % Cie. Financement Foncier 10/ PF MTN 144a (US20428AAB52) USD % % Dexia Crédit Local 10/ a (US25214BAD64) USD %

31 USD Money plus Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net ( / 000) amount in the reporting period EUR assets % General Electric Capital 07/ MTN (US36962G2M58) USD % % ING Bank 11/ Reg S (USN3113TAP41) USD % % National Australia Bank 10/ MTN 144a (US6325C0BA86) USD % % Total Capital Canada 11/ (US89153UAC53) USD % % Wells Fargo & Co. 05/ MTN (US92976WAK27) USD % Unlisted securities Interest-bearing securities % Lloyds TSB Bank (XS ). EUR % % Nordea Bank (XS ).... EUR % % RWE (XS ) EUR % % Bayerische Landesbank 05/ MTN (US0727G0CZ15) USD % % Bayerische Landesbank 11/ HPF MTN (XS ) USD % % Deutsche Hypothekenbank 11/ PF MTN S.312 (DE000DHY3129) USD % % DZ Privatbank (XS )... USD % % FMS Wertmanagement (XS ) USD % % HSBC Bank 09/ MTN (XS ) USD % % KBC Bank CD (BE )... USD % % Münchener Hypothekenbank (DE000MHB2GC3) USD % % Pohjola Bank (XS ).... USD % % Société Générale CD (FR ) USD % Total securities portfolio Derivatives Minus signs denote short positions Currency derivatives Currency futures (short) Open positions EUR/USD million Cash at bank Demand deposits at Custodian USD deposits USD % Deposits in EU/EEA currencies USD % Time deposit USD deposits (Société Générale S.A., Paris) USD % USD deposits (Norddeutsche Landesbank Luxembourg S.A., Luxembourg) USD % Other assets Interest receivable USD % Other liabilities Liabilities from cost items USD % Additional other liabilities USD %

32 USD Money plus Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net ( / 000) amount in the reporting period EUR assets Net assets Net asset value per share Number of shares outstanding Negligible rounding errors may have arisen due to the rounding of calculated percentages. Composition of the reference portfolio (according to CSSF circular 11/512) Portfolio ex Derivatives 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, 2011, through December 31, 2011, 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 derivates in relation to the fund s assets was used for the calculation (nominal value method). Exchange rates (indirect quotes) As of December 30, 2011 Euro EUR = USD 1 Notes on the 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 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. A small part of the assets reported in this report are valued at derived market values. 30

33 USD Money 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 Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals Securities traded on an exchange Interest-bearing securities % ABN AMRO Bank 10/ MTN (XS ) EUR % Barclays Bank 10/ MTN (XS ) EUR % DNB Bank 06/ MTN (XS ) EUR % Skandinaviska Enskilda Banken 09/ MTN (XS ).... EUR % Société Générale 08/ MTN (XS ) EUR % Spain 10/ (ES0L ).... EUR % UniCredit 11/ MTN (XS ) EUR % American Express Travel Rel. Ser. 06/ MTN (XS ) USD % Arran Res. Mtge. F. No.2 06/ Cl.A3B 144a (US042707AH25) USD % Bank of Scotland 06/ MTN (XS ) USD % Banque Fédérative Crédit Mut. 06/ MTN (XS ) USD % BNP Paribas 09/ MTN (XS ) USD % BNZ International Funding 06/ MTN (XS ).... USD % Crédit Agricole (London Br.) 06/ MTN (XS ). USD % Deutsche Hypothekenbank 10/ MTN HPF (DE000DHY2667) USD % Dexia Credit Local (FR ) USD % Dexia Crédit Local 10/ Reg S (XS ) USD % LB Baden-Württemberg 05/ Ser.990 ÖPF (DE000LBW3NN6) USD % Natixis 06/ MTN (FR ) USD % NRW.BANK 10/ A.27W IHS MTN (XS ) USD % Perpetual Trustee 04/ S.Apollo (XS ) USD % Royal Bank of Scotland 05/ MTN (XS ) USD % Royal Bank of Scotland 06/ MTN (XS ) USD % Santander UK 06/ MTN (XS ) USD % Swedbank Hypotek 10/ MTN PF (XS ) USD Securities that are admitted or included in organized markets Interest-bearing securities % Sun Life Financial GLB 06/ MTN 144a Cl.3C7 (US86679WAA62).. USD Unlisted securities Interest-bearing securities % Barclays Bank CD (XS ) EUR % Lloyds TSB Bank (XS ) EUR % RWE (XS ) EUR % ABN AMRO Bank CD (FR ) USD % Bank Nederlandse Gemeenten (XS ) USD % Bayerische Landesbank (XS ) USD % Bayerische Landesbank (XS ) USD % BMW (XS ) USD % BMW (XS ) USD % Bremer Landesbank Kreditanstalt (XS ) USD % Bremer Landesbank Kreditanstalt (XS ) USD % Caisse d Amortism. Dette Soc (XS ) USD % Caisse des Dépôts et Consign (XS ) USD % Commerzbank (XS ) USD % Commonwealth Bank Australia 08/ MTN (XS ).... USD % DZ PRIVATBANK Tr.46 (XS ) USD % DZ PRIVATBANK Tr.132 (XS ) USD % DZ PRIVATBANK Tr.205 (XS ) USD % FMS Wertmanagement (XS ) USD % FMS Wertmanagement Tr.653 (XS ) USD % KBC Bank (BE ).. USD % KBC Bank (BE ).. USD % KBC Bank (BE ).. USD % KBC Bank CD (BE ) USD % LB Hessen-Thüringen (XS ) USD % Münchener Hypothekenbank (DE000MHB1BC6) USD % Münchener Hypothekenbank (DE000MHB1MC3) USD % Münchener Hypothekenbank (DE000MHB2BC4) USD % Münchener Hypothekenbk (DE000MHB80C1) USD % Natixis CD (FR ).. USD % Norddeutsche Landesbank Giroz (XS ) USD % Norddt. Landesbank Tr.1230 (XS ) USD % Pohjola Pankki CD (XS ) USD % Pohjola Pankki (XS ) USD % UBS (London Branch) (XS ) USD 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 purchase currencies EUR/USD USD Futures contracts to sell currencies EUR/USD USD

34 USD Money plus Statement of income and expenses (incl. income adjustment) Statement of changes in net assets 2011 for the period from January 1, 2011, through December 31, 2011 I. Income 1. Interest from securities (before withholding tax) USD Interest from investments of liquid assets (before withholding tax) USD Deduction for foreign withholding tax USD Total income USD II. Expenses 1. Management fee USD including: All-in fee usd Performance-based fee usd Other expenses USD including: Taxe d abonnement usd Other USD Total expenses USD III. Net investment income USD IV. Sale transactions Realized gains USD Realized losses USD Capital gains/losses USD V. Net gain/loss for the fiscal year USD BVI total expense ratio (TER) The total expense ratio was 0.17% p.a. The TER expresses total expenses and fees (excluding transaction costs) as a percentage of the fund s average net assets for a given fiscal year. In addition, as it outperformed the defined benchmark, the fund incurred a performancebased fee of 0.07% calculated on the fund s average net assets. Transaction costs The transaction costs paid in the reporting period amounted to USD 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. I. Value of the fund at the beginning of the fiscal year USD Net inflows USD a) Inflows from subscriptions USD b) Outflows from redemptions USD Income adjustment and reimbursed expenses USD Net investment income USD Realized gains USD Realized losses USD Net change in unrealized appreciation/depreciation.... USD II. Value of the fund at the end of the fiscal year USD Summary of the gains/losses for 2011 Realized gains (incl. income adjustment) USD from: Securities transactions USD (Forward) currency transactions USD Realized losses (incl. income adjustment) USD from: Securities transactions USD Financial futures transactions USD (Forward) currency transactions USD Net change in unrealized appreciation/depreciation... USD from: Securities transactions USD (Forward) currency transactions USD Details on the distribution policy* 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 share over the last three years Net assets at the end of the fiscal year USD Net asset value per share USD 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 investment fund s assets via brokers that are closely related companies and persons (share of 5% and above), amounted to 1.36% of all transactions. The total volume was EUR 6,996,

35 SICAV December 31, 2011 Portfolio composition (in euro) SICAV Danish Mortgage Alpha Overlay 3) EUR Garant 1) Bonds 4) Securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Repayment claims from securities purchased under repurchase agreements Other assets Other liabilities = Net assets Statement of income and expenses incl. income adjustment (in euro) SICAV Danish Mortgage Alpha Overlay 3) EUR Garant 1) Bonds 4) Dividends (before withholding tax) Interest from securities (before withholding tax) Interest from investments of liquid assets (before withholding tax) Income from investment certificates Income from securities lending and repurchase agreements Deduction for foreign withholding tax Other income = Total income Interest on borrowings Management fee Other expenses = Total expenses = Net investment income Statement of changes in net assets (in euro) SICAV Danish Mortgage Alpha Overlay 3) EUR Garant 1) Bonds 4) Value of the fund at the beginning of the fiscal year Change in unrealized net appreciation/depreciation of investments and foreign currency translations at fiscal year-end Distribution for the previous year Interim distribution(s) Net inflows Income adjustment and reimbursed expenses Net investment income Realized gains Realized losses Net change in unrealized appreciation/depreciation = Value of the fund at the end of the fiscal year Three-year performance (in euro) SICAV Danish Mortgage Bonds 4) Alpha Overlay 3) EUR Garant 1) Net assets at the end of the fiscal year Net asset value per share at the end of the fiscal year ) The sub-fund EUR Garant was merged with the sub-fund Money plus on January 22, ) The sub-fund OptiCash (USD) was merged with the sub-fund USD Money plus on February 25, ) The sub-fund Alpha Overlay was merged with the sub-fund DWS Invest Alpha Opportunities on June 29, ) The sub-fund Danish Mortgage Bonds was liquidated on January 10, * The portfolio composition, income, expenses and performance of the U.S. dollar denominated sub-funds USD Money plus and OptiCash (USD) were converted into euros at the stated exchange rate Fiscal year-end USD = EUR 1 Fiscal year-end USD = EUR 1 Fiscal year-end USD = EUR 1 33

36 Money plus USD Money plus * ) Euroland Equities 130/30 Euro Government Bonds Euro Corporate Bonds Euro Collateralized Bonds Money plus USD Money plus * ) Euroland Equities 130/30 Euro Government Bonds Euro Corporate Bonds Euro Collateralized Bonds Money plus USD Money plus * ) Euroland Equities 130/30 Euro Government Bonds Euro Corporate Bonds Euro Collateralized Bonds Money plus USD Money plus * ) Euroland Equities 130/30 Euro Government Bonds Euro Corporate Bonds Euro Collateralized Bonds

37 SICAV December 31, 2011 Portfolio composition (in euro) Cash Plus OptiCash (EUR) OptiCash (USD) 2) * ) Euro Short Duration Sovereign Fund (AAA) Securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Repayment claims from securities purchased under repurchase agreements Other assets Other liabilities = Net assets Statement of income and expenses incl. income adjustment (in euro) Cash Plus OptiCash (EUR) OptiCash (USD) 2) * ) Euro Short Duration Sovereign Fund (AAA) Dividends (before withholding tax) Interest from securities (before withholding tax) Interest from investments of liquid assets (before withholding tax) Income from investment certificates Income from securities lending and repurchase agreements Deduction for foreign withholding tax Other income = Total income Interest on borrowings Management fee Other expenses = Total expenses = Net investment income Statement of changes in net assets (in euro) Cash Plus OptiCash (EUR) OptiCash (USD) 2) * ) Euro Short Duration Sovereign Fund (AAA) Value of the fund at the beginning of the fiscal year Change in unrealized net appreciation/depreciation of investments and foreign currency translations at fiscal year-end Distribution for the previous year Interim distribution(s) Net inflows Income adjustment and reimbursed expenses Net investment income Realized gains Realized losses Net change in unrealized appreciation/depreciation = Value of the fund at the end of the fiscal year Three-year performance (in euro) Cash Plus OptiCash (EUR) OptiCash (USD) 2) * ) Euro Short Duration Sovereign Fund (AAA) Net assets at the end of the fiscal year Net asset value per share at the end of the fiscal year ) The sub-fund EUR Garant was merged with the sub-fund Money plus on January 22, ) The sub-fund OptiCash (USD) was merged with the sub-fund USD Money plus on February 25, ) The sub-fund Alpha Overlay was merged with the sub-fund DWS Invest Alpha Opportunities on June 29, ) The sub-fund Danish Mortgage Bonds was liquidated on January 10, * The portfolio composition, income, expenses and performance of the U.S. dollar denominated sub-funds USD Money plus and OptiCash (USD) were converted into euros at the stated exchange rate Fiscal year-end USD = EUR 1 Fiscal year-end USD = EUR 1 Fiscal year-end USD = EUR 1 35

38 Report of the Réviseur d Entreprises agréé To the shareholders of SICAV KPMG issued an unqualified audit opinion for the full annual report of this SICAV (Société d Investissement à Capital Variable). The translation of the report of the Réviseur d Entreprises agréé (the independent auditor s opinion) is as follows: We have audited the accompanying financial statements of SICAV and each of its sub-funds, which comprise the statement of net assets, the statement of investments in securities and other net assets as at December 31, 2011, and the statement of operations and the statement of changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory information. Board of Directors of the SICAV responsibility for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements, and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d Entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgement of the Réviseur d Entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d Entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, 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. Opinion In our opinion, the financial statements give a true and fair view of the financial position of SICAV and each of its sub-funds as of December 31, 2011, and of the results of its operations and changes in its net assets for the year then ended, in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the 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, April 12, 2012 KPMG Luxembourg S.à r.l. Cabinet de révision agréé Harald Thönes 36

39 Investment Company SICAV 2, Boulevard Konrad Adenauer L-1115 Luxembourg RC B Board of Directors of the Investment Company Klaus-Michael Vogel Chairman Executive Member of the Board of Directors of DWS Investment S.A., Luxembourg Executive Member of the Board of Directors of Deutsche Bank Luxembourg S.A., Luxembourg Manfred Bauer DWS Investment S.A., Luxembourg Michael Koschatzki DWS Investment GmbH, Frankfurt/Main Silvia Wagner Managing Director of DWS Finanz-Service GmbH, Frankfurt/Main Promoter and Management Company Board of Directors of the Management Company Wolfgang Matis (since February 1, 2011) Chairman Managing Director of DWS Investment GmbH, Frankfurt/Main Managing Director of DWS Holding & Service GmbH, Frankfurt/Main Ernst Wilhelm Contzen Executive Member of the Board of Directors der Deutsche Bank Luxembourg S.A., Luxembourg Heinz-Wilhelm Fesser Luxembourg Frank Kuhnke London Klaus-Michael Vogel Executive Member of the Board of Directors of DWS Investment S.A., Luxembourg Executive Member of the Board of Directors of Deutsche Bank Luxembourg S.A., Luxembourg Dorothee Wetzel DWS Investment GmbH, Frankfurt/Main Auditor KPMG Luxembourg S.à r.l. 9, Allée Scheffer L-2520 Luxembourg Custodian State Street Bank Luxembourg S.A. 49, Avenue J. F. Kennedy L-1855 Luxembourg Fund Manager DWS Investment GmbH Mainzer Landstraße D Frankfurt/Main Sales, Information and Paying Agent LUXEMBOURG Deutsche Bank Luxembourg S.A. 2, Boulevard Konrad Adenauer L-1115 Luxembourg DWS Investment S.A. 2, Boulevard Konrad Adenauer L-1115 Luxembourg Capital stock as of December 31, 2011: EUR million Jochen Wiesbach Managing Director of DWS Finanz-Service GmbH, Frankfurt/Main Klaus Kaldemorgen (until January 31, 2011) DWS Investment GmbH, Frankfurt/Main Management Company Management Klaus-Michael Vogel Executive Member of the Board of Directors of DWS Investment S.A., Luxembourg Executive Member of the Board of Directors of Deutsche Bank Luxembourg S.A., Luxembourg Manfred Bauer DWS Investment S.A., Luxembourg Markus Kohlenbach (since March 1, 2011) DWS Investment S.A., Luxembourg Doris Marx DWS Investment S.A., Luxembourg Ralf Rauch DWS Investment S.A., Luxembourg As of: January 31, 2012

40 SICAV 2, Boulevard Konrad Adenauer L-1115 Luxembourg RC B Tel.: Fax: