DB PWM Semiannual Report 2016

Transcription

1 Deutsche Asset Management DB PWM Semiannual Report 2016 n Active Asset Allocation Growth 80 Protect EUR n Active Asset Allocation Growth 80 Protect USD n Active Asset Allocation Growth II n DB Fixed Income Opportunities Investment company with variable capital incorporated under Luxembourg law

2 Active Asset Allocation Growth 80 Protect EUR Active Asset Allocation Growth 80 Protect USD Active Asset Allocation Growth II DB Fixed Income Opportunities

3 Contents Semiannual report 2016 for the period from January 1, 2016, through June 30, 2016 General information Semiannual report, DB PWM SICAV Active Asset Allocation Growth 80 Protect EUR 4 Active Asset Allocation Growth 80 Protect USD 5 Active Asset Allocation Growth II 6 DB Fixed Income Opportunities 7 Semiannual financial statements 10 1

4 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 measured 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 Deutsche Asset Management S.A., are used as the basis for calculating the value. Past performance is not a guide to future results. The corresponding benchmarks if available are also presented in the report. All financial data in this publication is as of June 30, 2016 (unless otherwise stated). Sales prospectuses Fund shares are purchased on the basis of the current sales prospectus, the key investor information document and the articles of incorporation and 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.). The following companies were renamed effective March 17, 2016: Deutsche Asset & Wealth Management Investment GmbH became Deutsche Asset Management Investment GmbH Deutsche Asset & Wealth Management International GmbH became Deutsche Asset Management International GmbH Deutsche Asset & Wealth Management Investment S.A. became Deutsche Asset Management S.A. 2

5 Semiannual report

6 Active Asset Allocation Growth 80 Protect EUR Active Asset Allocation Growth 80 Protect EUR Performance of the share class (in euro) Share class ISIN 6 months Class FC LU % BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30,

7 Active Asset Allocation Growth 80 Protect USD Active Asset Allocation Growth 80 Protect USD Performance of the share class (in USD) Share class ISIN 6 months Class USD FC LU % BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30,

8 Active Asset Allocation Growth II Active Asset Allocation Growth II Performance of the share class (in USD) Share class ISIN 6 months Class USD IC LU % BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30,

9 DB Fixed Income Opportunities DB Fixed Income Opportunities Performance of the share class (in USD) Share class ISIN 6 months Class ADV (USD) LU % Class DPM (USD) LU % Class ADV (EUR) 1 LU % Class ADV d (EUR) 1 LU % Class ADV NL (EUR) 1 LU % Class DPM (EUR) 1 LU % 1 in EUR 7

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11 The format used for complete dates in securities descriptions in the investment portfolio is day/month/year. Semiannual financial statements

12 Active Asset Allocation Growth 80 Protect EUR Investment portfolio June 30, 2016 Count/ Quantity/ Purchases/ Sales/ Total market % of Description units/ principal additions disposals Currency Market price value in net assets currency amount in the reporting period EUR Investment fund units In-group fund units DB Platinum IV - Croci Euro -I1C- EUR - (0.500%)... Units EUR DB Platinum IV - GAM Absolute Return Europe Equity -I1C-E- EUR - (1.340%)... Units EUR DB Portfolio - Euro Liquidity EUR - (0.210%)... Units EUR DB PWM Sicav - DB Fixed Income Opportunities -DPM- EUR - (0.290%)... Units EUR db x-trackers - db Hedge Fund Index ETF -1C- EUR - (0.700%). Units EUR db x-trackers - Euro Stoxx 50 ETF -1C- EUR - (0.010%)... Units EUR db x-trackers - MSCI Japan Index UCITS ETF (DR) -1C- EUR - (0.400%)... Units EUR db x-trackers II - Emerging Markets Liquid Eurobond Index ETF -1C- EUR - (0.450%)... Units EUR db x-trackers II - iboxx EUR Liquid Corporate UCITS ETF -1C- EUR - (0.100%)... Units EUR db x-trackers II - iboxx Sovereigns Eurozone AAA UCITS ETF -1D- EUR - (0.050%)... Units EUR db x-trackers II - iboxx Sovereigns Eurozone Yield Plus Ucits ETF -1C- EUR - (0.050%)... Units EUR DWS (CH) - Money Market (Euro) -B- EUR - (0.200%)... Units EUR DWS Floating Rate Notes EUR - (0.300%)... Units EUR DWS Institutional - DWS Institutional Money Plus -I- EUR - (0.160%)... Units EUR DWS Invest - DWS Invest Top Euroland -FC- EUR - (0.750%). Units EUR DWS Rendite Optima EUR - (0.150%)... Units EUR DWS Rendite Optima Four Seasons EUR - (1.500%)... Units EUR Concept Fund Solutions - db x-trackers MSCI USA Index UCITS ETF (DR) -1C- USD - (0.010%)... Units USD Concept Fund Solutions - db x-trackers MSCI USA Index UCITS ETF (DR) -1C- USD - (0.010%)... Units USD DB Platinum IV - CROCI US -I1C- USD - (0.500%)... Units USD DB PWM II SICAV - GIS US Equity Portfolio -A- USD - (0.170%)... Units USD db x-trackers - S&P 500 ETF -1C- USD - (0.050%)... Units USD DWS (CH) - Money Market (US Dollar) -B- USD - (0.200%).. Units USD Non-group fund units Amundi Funds - Absolute Volatility Euro Equities -IE - EUR - (0.700%)... Units EUR AXA World Funds - Euro Credit Short Duration -I- EUR - (0.250%)... Units EUR Baring Europe Select Trust -I- EUR - (0.750%)... Units EUR DWS Institutional - DWS Institutional Yield EUR - (0.150%). Units EUR E. I. Sturdza Funds plc - Strategic Europe Value Fund -EUR Inst- EUR - (0.900%)... Units EUR First State Investments - First State Asia Pacific Leaders Fund -B- EUR - (0.850%)... Units EUR ishares II PLC - ishares Barclays Euro Government Bond 3-5 (IBGX) EUR - (0.200%)... Units EUR Merrill Lynch Investment Solutions - Marshall Wace Tops Ucits Fund (Market Neutral) -B- EUR - (1.500%) Units EUR Nordea 1 - European High Yield Bond Fund -BI- EUR - (0.500%)... Units EUR The Jupiter Global Fund - Jupiter Dynamic Bond -I- EUR - (0.500%)... Units EUR The Jupiter Global Fund - Jupiter European Growth -I- EUR - (0.750%)... Units EUR UBS (Lux) Equity SICAV - European Opportunity Unconstrained (EUR) -I-A1- EUR - (0.760%)... Units EUR Cullen Funds PLC - Cullen North American High Dividend Value Equity Fund -A- USD - (0.750%)... Units USD ishares PLC - ishares Core MSCI Emerging Markets IMI UCITS ETF USD - (0.250%)... Units USD PowerShares Global Funds Ireland Plc - PowerShares EQQQ NASDAQ-100 UCITS ETF USD - (0.300%)... Units USD SSgA SPDR ETFs Europe I plc - SPDR Barclays Capital Emerging Markets Local Bond ETF EUR - (0.550%)... Units USD Total securities portfolio Derivatives (Minus signs denote short positions) Currency derivatives Receivables/payables 10

13 Active Asset Allocation Growth 80 Protect EUR Count/ Quantity/ Purchases/ Sales/ Total market % of Description units/ principal additions disposals Currency Market price value in net assets currency amount in the reporting period EUR Currency futures Currency futures (short) Open positions EUR/USD 4.8 million Cash at bank Demand deposits at Depositary EUR deposits... EUR Deposits in other EU/EEA currencies British pound... GBP Deposits in non-eu/eea currencies Japanese yen... JPY U.S. dollar... USD Other assets Dividends receivable Other receivables Total assets Other liabilities Additional other liabilities Liabilities from share certificate transactions Total liabilities Net assets Negligible rounding errors may have arisen due to the rounding of calculated percentages Net asset value per share and Count/ Net asset value per share number of shares outstanding currency in the respective currency Net asset value per share Class FC... EUR Number of shares outstanding Class FC... Count Composition of the reference portfolio (according to CSSF circular 11/512) 36% MSCI THE WORLD INDEX in EUR Constituents, 24% MSCI EMU Constituents, 15% JP Morgan GBI EMU (Euro) Bond Index 1 to 10 Years Constituents, 15% JP Morgan GBI Global Bond Index in EUR Constituents, 10% 1M EUR Deposit 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, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the Guidelines on ETFs and other UCITS issues of the European Securities and Markets Authority (ESMA) totaled EUR as of the reporting date. 11

14 Active Asset Allocation Growth 80 Protect EUR Market abbreviations Contracting party for currency futures Nomura International PLC Exchange rates (indirect quotes) As of June 30, 2016 British pound... GBP = EUR 1 Japanese yen... JPY = EUR 1 U.S. dollar.... USD = EUR 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the Management Company and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Transactions completed during the reporting period that no longer appear in the investment portfolio: Purchases and sales of securities, investment fund units and promissory note loans (Schuldscheindarlehen); market classifications are as of the reporting date Description Count/ units/ currency Purchases/ additions Sales/ disposals Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Investment fund units Futures contracts Value ( 000) In-group fund units Concept Fund Solutions - db x-trackers S&P 500 Equal Weight UCITS ETF (DR) -1C- USD - (0.150%).... Units db x-trackers II - iboxx Sovereigns Eurozone 3-5 Total Return Index ETF -1C- EUR - (0.050%)... Units Deutsche Invest I SICAV - Deutsche Invest I Convertibles -FC- EUR - (0.650%).... Units DWS Hybrid Bond Fund -FC- EUR - (0.600%)... Units Currency futures (long) Futures contracts to purchase currencies JPY/EUR EUR 431 Non-group fund units Aberdeen Global - Japanese Equity Fund -I2- JPY - (0.750%).... Units 661 BlackRock Global Funds - European Equity Income Fund -D2- EUR - (0.750%).... Units BlackRock Strategic Funds - BlackRock European Credit Strategies Fund -I2- EUR - (1.000%).... Units GAM Star Fund PLC - GAM Star Technology -Inst- USD - (1.000%)... Units Goldman Sachs Funds - Goldman Sachs Global Strategic Income Bond Portfolio -I- EUR (hedged) - (0.600%)... Units ishares EURO STOXX Banks UCITS ETF (DE) EUR - (0.510%)... Units ishares STOXX Europe Small 200 UCITS ETF (DE) EUR - (0.200%).... Units Robeco Capital Growth Funds - Robeco High Yield Bonds -IH- EUR (hedged) - (0.000%).... Units Standard Life Investments Global SICAV - Global Absolute Return Strategies Fund -D- EUR - (0.850%).... Units UBS (Lux) Bond Fund - Convert Europe -Q- EUR - (0.720%).... Units

15 Active Asset Allocation Growth 80 Protect USD Investment portfolio June 30, 2016 Count/ Quantity/ Purchases/ Sales/ Total market % of Description units/ principal additions disposals Currency Market price value in net assets currency amount in the reporting period USD Securities traded on an exchange Interest-bearing securities % Canadian Imperial Bank of Commerce/Canada 2007/2017*... USD % % NRW Bank 2014/2016*... USD % Securities admitted to or included in organized markets Interest-bearing securities % Apple Inc 2014/2017*... USD % % Deutsche Bank AG/London 2014/2017*... USD % % Svensk Exportkredit AB 2015/2017*... USD % Investment fund units In-group fund units db x-trackers - Euro Stoxx 50 ETF -1C- EUR - (0.010%)... Units EUR db x-trackers II - Emerging Markets Liquid Eurobond Index ETF -1C- EUR - (0.450%)... Units EUR DWS Invest - DWS Invest Top Euroland -FC- EUR - (0.750%). Units EUR Concept Fund Solutions - db x-trackers MSCI USA Index UCITS ETF (DR) -1C- USD - (0.010%)... Units USD DB Platinum IV - CROCI US -I1C- USD - (0.500%)... Units USD DB Platinum IV - GAM Absolute Return Europe Equity -I1C-U- USD - (1.340%)... Units USD DB PWM II SICAV - GIS US Equity Portfolio -A- USD - (0.170%)... Units USD DB PWM Sicav - DB Fixed Income Opportunities -DPM- USD - (0.290%)... Units USD db x-trackers - DB HEDGE FUND INDEX UCITS ETF -2C- USD - (0.700%)... Units USD db x-trackers - MSCI Japan Index UCITS ETF (DR) -1C- USD - (0.400%)... Units USD db x-trackers - S&P 500 ETF -1C- USD - (0.050%)... Units USD DWS (CH) - Money Market (US Dollar) -B- USD - (0.200%).. Units USD DWS (US Dollar) Reserve USD - (0.300%)... Units USD DWS Institutional - DWS Institutional USD Money Plus USD - (0.160%)... Units USD Non-group fund units Amundi Funds - Absolute Volatility Euro Equities -IE - EUR - (0.700%)... Units EUR E. I. Sturdza Funds plc - Strategic Europe Value Fund -EUR Inst- EUR - (0.900%)... Units EUR First State Investments - First State Asia Pacific Leaders Fund -B- EUR - (0.850%)... Units EUR ishares PLC - ishares FTSE 100 UCITS ETF (Dist) GBP - (0.400%)... Units GBP Cullen Funds PLC - Cullen North American High Dividend Value Equity Fund -A- USD - (0.750%)... Units USD Deutsche MAG FI - USD Sovereigns -I- USD - (0.100%)... Units USD ishares II PLC - ishares USD Treasury Bond 7-10yr UCITS ETF USD - (0.200%)... Units USD ishares PLC - ishares $ Treasury Bond 1-3yr UCITS ETF USD - (0.200%)... Units USD ishares PLC - ishares Core MSCI Emerging Markets IMI UCITS ETF USD - (0.250%)... Units USD ishares VII plc - ishares $ Treasury Bond 3-7yr UCITS ETF (Acc) USD - (0.200%)... Units USD JPMorgan Investment Funds - US Select Equity Fund -C- USD - (0.650%)... Units USD Merrill Lynch Investment Solutions - Marshall Wace TOPS UCITS Fund (Market Neutral) -B- USD - (1.500%)... Units USD Multi Units Luxembourg - Lyxor US$ 10Y Inflation Breakeven UCITS ETF -C- USD - (0.250%)... Units USD Nordea 1 - European High Yield Bond Fund -HBI- USD (hedged) - (0.500%)... Units USD PowerShares Global Funds Ireland Plc - PowerShares EQQQ NASDAQ-100 UCITS ETF USD - (0.300%)... Units USD SSgA SPDR ETFs Europe I plc - SPDR Barclays Capital Emerging Markets Local Bond ETF EUR - (0.550%)... Units USD The Jupiter Global Fund - Jupiter Dynamic Bond -D HSC- USD (hedged) - (0.500%)... Units USD Vanguard Investment Series Plc - U.S. Government Bond Index Fund -Institutional- USD - (0.200%)... Units USD Total securities portfolio

16 Active Asset Allocation Growth 80 Protect USD Count/ Quantity/ Purchases/ Sales/ Total market % of Description units/ principal additions disposals Currency Market price value in net assets currency amount in the reporting period USD Derivatives (Minus signs denote short positions) Currency derivatives Receivables/payables Currency futures Currency futures (short) Open positions USD/EUR 2.8 million Cash at bank Demand deposits at Depositary EUR deposits... EUR Deposits in other EU/EEA currencies British pound... GBP Deposits in non-eu/eea currencies Japanese yen... JPY U.S. dollar... USD Other assets Dividends receivable Interest receivable Other receivables Total assets ** Other liabilities Liabilities from cost items Total liabilities Net assets Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per share number of shares outstanding currency in the respective currency Net asset value per share Class USD FC... USD Number of shares outstanding Class USD FC... Count Composition of the reference portfolio (according to CSSF circular 11/512) 60% MSCI THE WORLD INDEX Constituents USD, 15% JP Morgan GBI Global Bond Index in USD Constituents, 15% JP Morgan GBI United States Bond Index 1 to 10 Years in USD Constituents, 10% 1M USD Deposit 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, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.1, whereby the total of the nominal amounts of the derivatives in relation to the fund s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the Guidelines on ETFs and other UCITS issues of the European Securities and Markets Authority (ESMA) totaled USD as of the reporting date. 14

17 Active Asset Allocation Growth 80 Protect USD Market abbreviations Contracting party for currency futures JP Morgan Securities PLC Exchange rates (indirect quotes) As of June 30, 2016 Euro... EUR = USD 1 British pound... GBP = USD 1 Japanese yen... JPY = USD 1 Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the Management Company and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * Floating interest rate. ** Does not include positions with a negative balance, if such exist. Transactions completed during the reporting period that no longer appear in the investment portfolio: Purchases and sales of securities, investment fund units and promissory note loans (Schuldscheindarlehen); market classifications are as of the reporting date Description Investment fund units Count/ units/ currency Purchases/ additions Sales/ disposals In-group fund units Concept Fund Solutions - db x-trackers S&P 500 Equal Weight UCITS ETF (DR) -1C- USD - (0.150%) Units db x-trackers - FTSE 250 UCITS ETF (DR) -1D- GBP - (0.250%).... Units db x-trackers - FTSE 250 UCITS ETF (DR) -1D- GBP - (0.250%)... Units DWS Invest - Convertibles -E2H- USD (hedged) - (0.650%).... Units Non-group fund units Aberdeen Global - Japanese Equity Fund -I2- JPY - (0.750%).... Units 330 BlackRock Global Funds - European Equity I ncome Fund -D2- EUR - (0.750%).... Units Blackrock Strategic Funds - Blackrock European Credit Strategies Fund -I2RF- USD (hedged) - (1.000%).... Units GAM Star Fund PLC - GAM Star Technology -Inst- USD - (1.000%)... Units Goldman Sachs Funds SICAV - Goldman Sachs Global Strategic Income Bond Portfolio -I- USD - (0.600%).... Units ishares STOXX Europe Small 200 UCITS ETF (DE) EUR - (0.200%).... Units ishares VII plc - ishares $ Treasury Bond 3-7yr UCITS ETF (Acc) USD - (0.200%).... Units Description Count/ Purchases/ Sales/ units/ additions disposals currency Legg Mason Global Funds plc - Legg Mason ClearBridge US Aggressive Growth Fund -PREMIER- USD - (0.650%)... Units Robeco - Robeco High Yield Bonds -IH- USD (0.590%).... Units SKY Harbor Global Funds - U,S, Short Duration High Yield Fund -A- USD - (0.450%).... Units Source Markets plc - Source Financials S&P US Select Sector UCITS ETF USD - (0.300%)... Units Standard Life Investments Global SICAV - Global Absolute Return Strategies Fund -D- USD (hedged) - (0.850%).... Units 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 (long) Value ( 000) Futures contracts to purchase currencies EUR/USD USD JPY/USD USD

18 Active Asset Allocation Growth II Investment portfolio June 30, 2016 Count/ Quantity/ Purchases/ Sales/ Total market % of Description units/ principal additions disposals Currency Market price value in net assets currency amount in the reporting period USD Investment fund units In-group fund units db x-trackers - Euro Stoxx 50 ETF -1C- EUR - (0.010%)... Units EUR db x-trackers II - Emerging Markets Liquid Eurobond Index ETF -1C- EUR - (0.450%)... Units EUR DWS Invest - DWS Invest Top Euroland -FC- EUR - (0.750%). Units EUR Concept Fund Solutions - db x-trackers MSCI USA Index UCITS ETF (DR) -1C- USD - (0.010%)... Units USD DB Platinum IV - CROCI US -I1C- USD - (0.500%)... Units USD DB Platinum IV - GAM Absolute Return Europe Equity -I1C-U- USD - (1.340%)... Units USD DB PWM II SICAV - GIS US Equity Portfolio -A- USD - (0.170%)... Units USD DB PWM Sicav - DB Fixed Income Opportunities -DPM- USD - (0.290%)... Units USD db x-trackers - DB HEDGE FUND INDEX UCITS ETF -2C- USD - (0.700%)... Units USD db x-trackers - MSCI Japan Index UCITS ETF (DR) -1C- USD - (0.400%)... Units USD db x-trackers - S&P 500 ETF -1C- USD - (0.050%)... Units USD DWS (CH) - Money Market (US Dollar) -B- USD - (0.200%).. Units USD Non-group fund units Amundi Funds - Absolute Volatility Euro Equities -IE - EUR - (0.700%)... Units EUR db x-trackers - EURO STOXX 50 UCITS ETF (DR) -1C- EUR - (0.010%)... Units EUR E. I. Sturdza Funds plc - Strategic Europe Value Fund -EUR Inst- EUR - (0.900%)... Units EUR First State Investments - First State Asia Pacific Leaders Fund -B- EUR - (0.850%)... Units EUR ishares PLC - ishares FTSE 100 UCITS ETF (Dist) GBP - (0.400%)... Units GBP Cullen Funds PLC - Cullen North American High Dividend Value Equity Fund -A- USD - (0.750%)... Units USD Deutsche MAG FI - USD Sovereigns -I- USD - (0.100%)... Units USD ishares II PLC - ishares USD Treasury Bond 7-10yr UCITS ETF USD - (0.200%)... Units USD ishares PLC - ishares $ Treasury Bond 1-3yr UCITS ETF USD - (0.200%)... Units USD ishares PLC - ishares Core MSCI Emerging Markets IMI UCITS ETF USD - (0.250%)... Units USD ishares VII plc - ishares $ Treasury Bond 3-7yr UCITS ETF (Acc) USD - (0.200%)... Units USD ishares VII plc - ishares $ Treasury Bond 3-7yr UCITS ETF (Acc) USD - (0.200%)... Units USD JPMorgan Investment Funds - US Select Equity Fund -C- USD - (0.650%)... Units USD Merrill Lynch Investment Solutions - Marshall Wace TOPS UCITS Fund (Market Neutral) -B- USD - (1.500%)... Units USD Multi Units Luxembourg - Lyxor US$ 10Y Inflation Breakeven UCITS ETF -C- USD - (0.250%)... Units USD Nordea 1 - European High Yield Bond Fund -HBI- USD (hedged) - (0.500%)... Units USD PowerShares Global Funds Ireland Plc - PowerShares EQQQ NASDAQ-100 UCITS ETF USD - (0.300%)... Units USD SSgA SPDR ETFs Europe I plc - SPDR Barclays Capital Emerging Markets Local Bond ETF EUR - (0.550%)... Units USD The Jupiter Global Fund - Jupiter Dynamic Bond -D HSC- USD (hedged) - (0.500%)... Units USD Vanguard Investment Series Plc - U.S. Government Bond Index Fund -Institutional- USD - (0.200%)... Units USD Total securities portfolio Derivatives (Minus signs denote short positions) Currency derivatives Receivables/payables Currency futures Currency futures (short) Open positions USD/EUR 0.3 million Cash at bank

19 Active Asset Allocation Growth II Count/ Quantity/ Purchases/ Sales/ Total market % of Description units/ principal additions disposals Currency Market price value in net assets currency amount in the reporting period USD Demand deposits at Depositary EUR deposits.... EUR Deposits in other EU/EEA currencies British pound... GBP Deposits in non-eu/eea currencies Japanese yen... JPY U.S. dollar.... USD Other assets Dividends receivable Total assets * Other liabilities Liabilities from cost items Total liabilities Net assets Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per share number of shares outstanding currency in the respective currency Net asset value per share Class USD IC.... USD Number of shares outstanding Class USD IC.... Count Composition of the reference portfolio (according to CSSF circular 11/512) 60% MSCI THE WORLD INDEX Constituents USD, 15% JP Morgan GBI Global Bond Index in USD Constituents, 15% JP Morgan GBI United States Bond Index 1 to 10 Years in USD Constituents, 10% 1M USD Deposit 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, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.3, whereby the total of the nominal amounts of the derivatives in relation to the fund s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the Guidelines on ETFs and other UCITS issues of the European Securities and Markets Authority (ESMA) totaled USD as of the reporting date. Market abbreviations Contracting party for currency futures JP Morgan Securities PLC Exchange rates (indirect quotes) As of June 30, 2016 Euro... EUR = USD 1 British pound... GBP = USD 1 Japanese yen... JPY = USD 1 17

20 Active Asset Allocation Growth II Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the Management Company and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnote * Does not include positions with a negative balance, if such exist. Transactions completed during the reporting period that no longer appear in the investment portfolio: Purchases and sales of securities, investment fund units and promissory note loans (Schuldscheindarlehen); market classifications are as of the reporting date Description Count/ units/ currency Purchases/ additions Sales/ disposals Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Investment fund units Futures contracts Value ( 000) In-group fund units Concept Fund Solutions - db x-trackers S&P 500 Equal Weight UCITS ETF (DR) -1C- USD - (0.150%) Units db x-trackers - FTSE 250 UCITS ETF (DR) -1D- GBP - (0.250%)... Units DWS Invest - Convertibles -E2H- USD (hedged) - (0.650%)... Units Currency futures (long) Futures contracts to purchase currencies EUR/USD USD 383 JPY/USD USD 181 Non-group fund units Aberdeen Global - Japanese Equity Fund -I2- JPY - (0.750%)... Units 103 BlackRock Global Funds - European Equity Income Fund -D2- EUR - (0.750%)... Units Blackrock Strategic Funds - Blackrock European Credit Strategies Fund -I2RF- USD (hedged) - (1.000%)... Units 309 GAM Star Fund PLC - GAM Star Technology -Inst- USD - (1.000%)... Units Goldman Sachs Funds SICAV - Goldman Sachs Global Strategic Income Bond Portfolio -I- USD - (0.600%)... Units 347 ishares STOXX Europe Small 200 UCITS ETF (DE) EUR - (0.200%)... Units Legg Mason Global Funds plc - Legg Mason ClearBridge US Aggressive Growth Fund -PREMIER- USD - (0.650%)... Units 776 SKY Harbor Global Funds - U,S, Short Duration High Yield Fund -A- USD - (0.450%)... Units 665 Source Markets plc - Source Financials S&P US Select Sector UCITS ETF USD - (0.300%)... Units 558 Standard Life Investments Global SICAV - Global Absolute Return Strategies Fund -D- USD (hedged) - (0.850%)... Units

21 DB Fixed Income Opportunities Investment portfolio June 30, 2016 Count/ Quantity/ Purchases/ Sales/ Total market % of Description units/ principal additions disposals Market price value in net assets currency amount in the reporting period USD Securities traded on an exchange Interest-bearing securities 7.75 % BRF SA 2013/ BRL % % Chile Government International Bond 2010/ CLP % % Chile Government International Bond 2010/ CLP % % Air Liquide Finance SA 2011/ CNY % % ICICI Bank Ltd/Bahrain (MTN) 2014/ CNY % % United Kingdom Government International Bond 2014/ CNY % % Akzo Nobel Sweden Finance AB (MTN) 2012/2022. EUR % % Allianz SE 2015/2045 *... EUR % % American International Group, Inc. 2016/ EUR % % Bacardi Ltd 2013/ EUR % % Bank of America Corp. (MTN) 2007/ EUR % % Barry Callebaut Services NV 2016/ EUR % % Carnival Corp 2015/ EUR % % Citigroup, Inc. (MTN) 2014/ EUR % % CK Hutchison Finance 16 Ltd 2016/ EUR % % Deutsche Telekom International Finance BV (MTN) 2016/ EUR % % Eastern Creation II Investment Holdings Ltd 2015/ EUR % % Eutelsat SA 2016/2021 **... EUR % % Fomento Economico Mexicano SAB de CV 2016/ EUR % % Gecina SA (MTN) 2014/ EUR % % Goldman Sachs Group Inc/The (MTN) 2015/2022. EUR % % Hannover Rueck SE 2014/2049 *... EUR % % HeidelbergCement AG (MTN) 2016/ EUR % % Holcim Finance Luxembourg SA (MTN) 2016/2023. EUR % % Hutchison Whampoa Europe Finance 13 Ltd 2013/2049 *... EUR % % JAB Holdings BV 2015/ EUR % % Kerry Group Financial Services 2015/ EUR % % SGSP Australia Assets Pty Ltd 2014/ EUR % % Sinopec Group Overseas Development 2015 Ltd -Reg- 2015/2022 **... EUR % % Swiss Re Admin Re Ltd 2016/ EUR % % Transurban Finance Co., Pty Ltd (MTN) 2014/2024. EUR % % Unitymedia Hessen GmbH & Co., KG (MTN) -Reg- 2013/ EUR % % Votorantim Cimentos SA -Reg- 2015/ EUR % % Bank Nederlandse Gemeenten NV 2006/ JPY % % Akbank TAS -Reg- 2013/ TRY % % AbbVie, Inc. 2015/ USD % % AbbVie, Inc. 2016/ USD % % Abu Dhabi Government International Bond -Reg- 2016/ USD % % Actavis Funding SCS 2015/ USD % % Actavis Funding SCS 2015/ USD % % Aetna, Inc. 2016/ USD % % Aetna, Inc. 2016/ USD % % Agricultural Bank China HK 2014/ USD % % AIA Group Ltd (MTN) -Reg- 2013/ USD % % Akbank TAS 2012/ USD % % American Honda Finance Corp 2015/ USD % % Anheuser-Busch InBev Finance, Inc. 2016/ USD % % Aquarius + Investments Plc for Swiss Reinsurance Co., Ltd. (MTN) 2012/2049 *... USD % % AT&T, Inc. 2015/ USD % % AutoZone, Inc. 2015/ USD % % Axiata SPV2 Bhd 2015/ USD % % Baidu, Inc. 2013/ USD % % Banco de Bogota SA -Reg- 2011/2017 **... USD % % Banco de Credito del Peru 2013/2023 **... USD % % Banco Santander-Chile 2014/2017 *... USD % % Bancolombia SA 2011/ USD % % Bank of America Corp. (MTN) 2014/ USD % % BBVA Banco Continental SA -Reg- 2013/ USD % % Bharat Petroleum Corp., Ltd 2015/ USD % % BMW US Capital LLC 2014/2017*... USD % % Carnival Corp. 2013/ USD % % Cheung Kong Infrastructure Finance BVI Ltd 2014/2017 *... USD % % China Overseas Finance Cayman III Ltd 2013/2018. USD % % Citigroup, Inc. 2015/ USD % % CNP Assurances 2013/2049 *... USD % % Corporacion Andina de Fomento 2016/ USD % % DBS Bank Ltd 2015/ USD % % DBS Bank Ltd -Reg- 2012/2022 *... USD % % Delek & Avner Tamar Bond Ltd 144A 2014/ USD % % DEWA Sukuk 2013 Ltd -Reg- 2013/2018 **... USD %

22 DB Fixed Income Opportunities Count/ Quantity/ Purchases/ Sales/ Total market % of Description units/ principal additions disposals Market price value in net assets currency amount in the reporting period USD % Double Rosy Ltd 2014/ USD % % DP World Crescent Ltd -Reg- 2016/ USD % % DP World Ltd (MTN) -Reg- 2007/ USD % % Dubai Electricity & Water Authority -Reg- 2010/2020. USD % % Ecolab, Inc. 2015/ USD % % Ecopetrol SA 2014/ USD % % Ecopetrol SA 2014/ USD % % EI Sukuk Co., Ltd 2016/2021 **... USD % % ESAL GmbH -Reg- 2013/ USD % % Exxon Mobil Corp. 2016/ USD % % Ford Motor Credit Co. LLC 2014/ USD % % Ford Motor Credit Co., LLC 2015/ USD % % Gazprom OAO Via Gaz Capital SA -Reg- 2013/2020. USD % % General Motors Financial Co Inc 2015/ USD % % General Motors Financial Co., Inc. 2014/ USD % % General Motors Financial Co., Inc. 2015/ USD % % Global Bank Corp. -Reg- 2014/2019 **... USD % % Goodman HK Finance 2014/ USD % % Grupo Bimbo SAB de CV -Reg- 2014/ USD % % GS Caltex Corp. -Reg- 2014/ USD % % Israel Electric Corp., Ltd -Reg- 2013/ USD % % JB y Co. SA de CV -Reg- 2015/ USD % % JPMorgan Chase & Co 2015/ USD % % Kinder Morgan Energy Partners LP 2013/ USD % % KOC Holding AS 2016/ USD % % Kookmin Bank -Reg- 2014/2017 **... USD % % Korea Expressway Corporation 2014/ USD % % Kuwait Projects Co. (MTN) 2014/2019 **... USD % % MAF Global Securities Ltd 2012/ USD % % MAF Sukuk Ltd 2015/ USD % % MDC-GMTN BV -Reg- 2016/ USD % % Minerva Luxembourg SA 144A 2013/ USD % % Mitsubishi Corp. (MTN) 2012/ USD % % Mizuho Bank Ltd 2014/ USD % % Molson Coors Brewing Co. 2016/ USD % % Morgan Stanley 2014/ USD % % Morgan Stanley 2014/ USD % % Myriad International Holdings BV 2015/ USD % % Namibia International Bonds 2015/ USD % % National Bank of Abu Dhabi 2015/2049 *... USD % % Newell Brands, Inc. 2016/ USD % % Nippon Life Insurance Co. -Reg- 2012/2042 *... USD % % Noble Group Ltd 2013/ USD % % NTPC Ltd (MTN) 2014/ USD % % OCP SA -Reg- 2015/ USD % % Oleoducto Central SA 2014/ USD % % ONGC Videsh Ltd -Reg- 2014/ USD % % Oversea-Chinese Banking Corp. Ltd (MTN) 2010/2022 *... USD % % Oversea-Chinese Banking Corp., Ltd 2012/2023 *. USD % % Pelabuhan Indonesia II PT -Reg- 2015/2025 **... USD % % Pertamina Persero PT -Reg- (MTN) 2013/2043 **. USD % % Pertamina Persero PT -Reg- 2011/ /2023. USD % % Perusahaan Gas Negara Persero Tbk PT -Reg- 2014/2024 **... USD % % Perusahaan Penerbit SBSN Indonesia III -Reg- 2015/ USD % % Proven Honour Capital Ltd 2016/ USD % % Province of Alberta Canada 2015/ USD % % Republic of Latvia -Reg- 2012/ USD % % Reynolds American, Inc. 2015/ USD % % Royal Capital BV 2015/2049 *... USD % % SABIC Capital II BV 2013/ USD % % Santander UK Plc 2014/ USD % % Sigma Alimentos SA de CV -Reg- 2016/ USD % % Sinopec Group Overseas Development 2013 Ltd 2013/ USD % % SoftBank Group Corp 2015/ USD % % Southern Copper Corp. 2015/2045 **... USD % % SP PowerAssets Ltd (MTN) -Reg- 2012/ USD % % Standard Chartered Plc (MTN) -Reg- 2015/2025 **. USD % % Sumitomo Mitsui Banking Corp 2015/ USD % % Svensk Exportkredit AB 2016/2019 *... USD % % Svenska Handelsbanken AB 2015/2049 *... USD % % Swire Pacific Financing Ltd (MTN) 2008/ USD % % Swire Properties MTN Financing Ltd (MTN) -Reg- 2013/2020 **... USD % % Tencent Holdings Ltd -Reg- 2011/ USD % % Time Warner, Inc. 2015/ USD % % Toll Brothers Finance Corp 2015/ USD % % TransCanada PipeLines Ltd 2013/ USD % % Turk Telekomunikasyon AS -Reg- 2014/2019 **.. USD % % Turkiye Is Bankasi -Reg- 2016/ USD %

23 DB Fixed Income Opportunities Count/ Quantity/ Purchases/ Sales/ Total market % of Description units/ principal additions disposals Market price value in net assets currency amount in the reporting period USD % UBS AG 2015/ USD % % UBS Group Funding Jersey Ltd -Reg- 2016/ USD % % Union Pacific Corp. 2013/ USD % % United Overseas Bank Ltd 2012/2022 *... USD % % United States Treasury Inflation Indexed Bonds 2013/ USD % % United States Treasury Note/Bond 2016/ USD % % United States Treasury Note/Bond 2016/ USD % % Wells Fargo & Co 2015/ USD % % Wells Fargo Bank NA (MTN) 2016/ USD % % Zimmer Holdings, Inc. 2015/ USD % Securities admitted to or included in organized markets Interest-bearing securities % ABN AMRO Bank NV 2013/ USD % % Alibaba Group Holding Ltd 2015/ USD % % Barry Callebaut Services NV 2013/ USD % % Bayer US Finance LLC -Reg- 2014/ USD % % BBVA Bancomer SA -Reg- 2011/ USD % % Biogen Inc 2015/ USD % % BPCE SA (MTN) 2014/ USD % % Brambles USA Inc 2015/ USD % % CCO Holdings LLC Via CCO Holdings Capital Corp. 144A 2015/ USD % % Celulosa Arauco y Constitucion 2014/ USD % % Charter Communications Operating LLC Via Charter Communications Operating Capital 144A 2015/2020. USD % % Daimler Finance North America LLC -Reg- 2015/ USD % % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/ USD % % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/ USD % % Dolphin Energy Ltd -Reg- 2012/ USD % % ebay, Inc. 2016/ USD % % Eni SpA 144A 2010/ USD % % GDF Suez 2012/ USD % % Gilead Sciences Inc 2015/ USD % % Grupo Bimbo SAB de CV -Reg- 2010/2020 **... USD % % Inversiones CMPC SA -Reg- 2014/2024 **... USD % % Lennar Corp. 2013/ USD % % Microsoft Corp 2015/ USD % % Mizuho Bank Ltd -Reg- 2014/ USD % % Newcrest Finance Pty Ltd -Reg- 2011/ USD % % Pernod Ricard SA -Reg- 2016/ USD % % QBE Insurance Group Ltd -Reg- 2013/ USD % % Ras Laffan Liquefied Natural Gas Co., Ltd II -Reg- 2005/ USD % % Siemens Financieringsmaatschappij NV 2015/2020. USD % % Solvay Finance (America) 2015/2020 **... USD % % Suncorp-Metway Ltd -Reg- 2014/ USD % % Suntory Holdings Ltd -Reg- 2014/ USD % % Synchrony Financial 2015/ USD % % Turkiye Garanti Bankasi AS 2012/ USD % % Wesfarmers Ltd -Reg- 2013/ USD % % WPP Finance / USD % Unlisted securities Interest-bearing securities % Macquarie Bank Ltd 2015/ USD % Total securities portfolio Derivatives (Minus signs denote short positions) Interest rate derivatives Receivables/payables Interest rate futures US Treasury Notes 5 year Futures 09/2016 (CBT)... Count US Treasury Notes 2 year Futures 09/2016 (CBT)... Count US Ultra Bond 09/2016 (CBT)... Count Germany Federal Republic Notes 10 year 09/2016 (EUR)... Count Currency derivatives Receivables/payables 21

24 DB Fixed Income Opportunities Count/ Quantity/ Purchases/ Sales/ Total market % of Description units/ principal additions disposals Market price value in net assets currency amount in the reporting period USD Currency futures Currency futures (short) Open positions USD/EUR 64.2 million USD/JPY 216 million Closed positions USD/EUR 4.3 million Currency futures (long) Open positions EUR/USD million Swaps Receivables/payables Interest rate swaps 3M Libor / 0.795% 27/09/2017 (OTC) (DB)... Count M Libor / 0.926% 20/09/2016 (OTC) (DB)... Count M Libor / 1.536% 31/05/2019 (OTC) (DB)... Count M Libor / % 27/09/2022 (OTC) (DB)... Count M Libor / 1.73% 11/05/2018 (OTC) (DB)... Count M Libor / 2.75% 26/08/2020 (OTC) (DB)... Count M Libor / 2.779% 27/09/2023 (OTC) (DB)... Count M Libor / 3.55% 11/05/2045 (OTC) (DB)... Count M Euribor / 1.93% 22/08/2022 (OTC) (DB)... Count Credit default swaps Protection buyer Brazil / 1% 20/06/2020 (OTC) (DB)... Count Cash at bank Demand deposits at Depositary EUR deposits... EUR Deposits in other EU/EEA currencies British pound... GBP Deposits in non-eu/eea currencies Chinese yuan renminbi... CNY Japanese yen... JPY Turkish lira... TRY U.S. dollar... USD Other assets Interest receivable Other receivables Total assets *** Other liabilities Additional other liabilities Liabilities from share certificate transactions Total liabilities Net assets Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per share number of shares outstanding currency in the respective currency Net asset value per share Class ADV (EUR)... EUR Class ADV d (EUR)... EUR Class ADV NL (EUR)... EUR Class DPM (EUR)... EUR Class ADV (USD)... USD Class DPM (USD)... USD

25 DB Fixed Income Opportunities Net asset value per share and Count/ Net asset value per share number of shares outstanding currency in the respective currency Number of shares outstanding Class ADV (EUR).... Count Class ADV d (EUR)... Count Class ADV NL (EUR).... Count Class DPM (EUR)... Count Class ADV (USD).... Count Class DPM (USD)... Count Composition of the reference portfolio (according to CSSF circular 11/512) 70% IBoxx $ IG Index, 30% JPM CEMBI Div Index 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, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.6, whereby the total of the nominal amounts of the derivatives in relation to the fund s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the Guidelines on ETFs and other UCITS issues of the European Securities and Markets Authority (ESMA) totaled USD as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes. Total collateral pledged by third parties in connection with derivatives USD thereof: Cash at bank USD Market abbreviations Futures exchanges CBT = Chicago Board of Trade EUR = Eurex Contracting party for currency futures State Street Bank and Trust Company Securities lending The following securities were transferred under securities loans at the reporting date: Security description Quantity/ Limited maturity Securities loans Total principal amount Total market value in USD ( / 000) Perpetual % Eutelsat SA 2016/2021 EUR % Sinopec Group Overseas Development 2015 Ltd -Reg- 2015/2022 EUR % Banco de Bogota SA -Reg- 2011/2017 USD % Banco de Credito del Peru 2013/2023 USD % DEWA Sukuk 2013 Ltd -Reg- 2013/2018 USD % EI Sukuk Co., Ltd 2016/2021 USD % Global Bank Corp. -Reg- 2014/2019 USD % Grupo Bimbo SAB de CV -Reg- 2010/2020 USD % Inversiones CMPC SA -Reg- 2014/2024 USD % Kookmin Bank -Reg- 2014/2017 USD % Kuwait Projects Co. (MTN) 2014/2019 USD % Pelabuhan Indonesia II PT -Reg- 2015/2025 USD % Pertamina Persero PT -Reg- (MTN) 2013/2043 USD % Perusahaan Gas Negara Persero Tbk PT -Reg- 2014/2024 USD % Solvay Finance (America) 2015/2020 USD % Southern Copper Corp. 2015/2045 USD % Standard Chartered Plc (MTN) -Reg- 2015/2025 USD % Swire Properties MTN Financing Ltd (MTN) -Reg- 2013/2020 USD % Turk Telekomunikasyon AS -Reg- 2014/2019 USD Total receivables from securities loans Contracting parties for securities loans Barclays Capital Securities Limited, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, J.P. Morgan Securities plc (Fix Income), Nomura International PLC, Zuercher Kantonalbank Total collateral pledged by third parties for securities loans USD thereof: Bonds USD Equities USD

26 DB Fixed Income Opportunities Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the Management Company and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values. Footnotes * Floating interest rate. ** Some or all of these securities are lent. *** Does not include positions with a negative balance, if such exist. 24

27 DB Fixed Income Opportunities 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/ units/ currency Purchases/ additions Sales/ disposals Description Count/ units/ currency Purchases/ additions Sales/ disposals Securities traded on an exchange Interest-bearing securities 8.00 % Banco Santander Brasil SA -Reg- 2013/ BRL % United Overseas Bank Ltd 2013/ CNY % Abbey National Treasury Services Plc (MTN) 2013/ EUR % Alimentation Couche-Tard, Inc. 2016/ EUR % AT&T, Inc. 2015/ EUR % Bayer AG 2015/2075 *... EUR % Bertelsmann SE & Co KGaA 2015/2075 *... EUR % BNP Paribas SA (MTN) 2016/ EUR % Credit Suisse AG/London 2015/2020. EUR % Deutsche Boerse AG 2015/2041*.. EUR % EDP Finance BV 2014/ EUR % FCE Bank Plc 2014/ EUR % Goldman Sachs Group, Inc. (MTN) 2013/ EUR % Heineken NV 2015/ EUR % Lloyds Bank Plc (MTN) 2014/ EUR % MasterCard Inc 2015/ EUR % Petroleos Mexicanos (MTN) 2016/ EUR % Procter & Gamble Co/The 2015/2023. EUR % Romanian Government International Bond 2015/ EUR % Royal Bank of Scotland Group Plc 2013/ EUR % Solvay Finance SA 2015/49/1*... EUR % Telefonica Emisiones SAU 2012/ EUR % Total SA (MTN) 2015/2049 *... EUR % Wuerth Finance International BV (MTN) 2015/ EUR % Aviva Plc (MTN) 2015/2050 *... GBP % Japan Finance Organization for Municipalities 2006/ JPY % Abbey National Treasury Services Plc 2014/ USD % AIA Group Ltd (MTN) 2016/ USD % Arcelormittal 2010/ USD % Banco Bilbao Vizcaya Argentaria SA 2015/ USD % Barclays Plc 2014/ USD % Barclays Plc 2016/ USD % Barrick North America Finance LLC 2011/ USD % Burlington Northern Santa Fe LLC 2014/ USD % CNOOC Finance 2015 Australia Pty Ltd 2015/ USD % CNPC General Capital Ltd -Reg- 2014/ USD % ConocoPhillips Co. 2016/ USD % Dai-ichi Life Insurance Co., Ltd -Reg- 2011/2049 *... USD % Ford Motor Credit Co. LLC 2016/ USD % Formosa Group Cayman Ltd 2015/ USD % Hutchison Whampoa International 12 II Ltd 2012/ USD % KFW 2015/ USD % KFW 2016/2017 *... USD % Kunlun Energy Co., Ltd -Reg- 2015/ USD % MMC Norilsk Nickel OJSC via MMC Finance Ltd 2015/ USD % Morgan Stanley 2013/ USD % PepsiCo Inc 2015/ USD % Perusahaan Listrik Negara PT 2012/ USD % Petrobras Global Finance BV 2016/ USD % Petroleos Mexicanos (MTN) -Reg- 2016/ USD % Royal Bank of Canada 2015/ USD % Royal Bank of Scotland Group Plc 2014/ USD % Santander UK Group Holdings Plc 2016/ USD % Sino-Ocean Land Treasure Finance II Ltd 2015/ USD % Softbank Group Corp 2015/ USD % Sun Hung Kai Properties Capital Market Ltd (MTN) 2013/ USD % Tencent Holdings Ltd -Reg- 2012/ USD % Thermo Fisher Scientific, Inc. 2016/ USD % Verizon Communications, Inc. 2013/ USD % Visa Inc 2015/ USD % Visa Inc 2015/ USD % Zimmer Holdings, Inc. 2015/ USD Securities admitted to or included in organized markets Interest-bearing securities 1.50 % Thermo Fisher Scientific 2015/2020. EUR % AP Moeller - Maersk A/S 2015/2020. USD % Apple, Inc. 2015/ USD % Apple, Inc. 2016/ USD % Banco Santander Chile 2012/ USD % Bangkok Bank PCL/Hong Kong 2012/ USD % Banque Federative du Credit Mutuel SA 2015/ USD % CCO Safari II LLC 2015/ USD % CCOH Safari LLC 2015/ USD % Cisco Systems, Inc. 2015/ USD % Gilead Sciences Inc 2015/ USD % Origin Energy Finance Ltd 2013/ USD % Rolls-Royce PLC 2015/ USD 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 (Underlyings: Germany Federal Republic Bonds 5 year, US Treasury Note 10-Year, US Treasury Note 2-Year, US Treasury Note 30-Year, US Treasury Ultra Bond) USD Contracts sold (Underlying: Germany Federal Republic Bonds 5 year) USD Currency futures (short) Futures contracts to sell currencies USD/EUR USD USD/GBP USD USD/JPY USD Currency futures (long) Futures contracts to purchase currencies BRL/USD USD EUR/USD USD GBP/USD USD Swaps Interest rate swaps (Underlying: 6M Euribor) EUR

28 DB PWM SICAV June 30, 2016 Statement of net assets as of June 30, 2016 Consolidated DB PWM SICAV USD* ** % of net assets DB PWM Active Asset Allocation Growth 80 Protect EUR EUR DB PWM Active Asset Allocation Growth 80 Protect USD USD Assets Total securities portfolio Currency derivatives Cash at bank Other assets Total assets Liabilities Interest rate derivatives Currency derivatives Swaps Other liabilities Liabilities from share certificate transactions Total liabilities Net assets Statement of net assets as of June 30, 2016 DB PWM Active Asset Allocation Growth II USD DB PWM DB Fixed Income Opportunities USD Assets Total securities portfolio Currency derivatives Cash at bank Other assets Total assets Liabilities Interest rate derivatives Currency derivatives Swaps Other liabilities Liabilities from share certificate transactions Total liabilities Net assets * The portfolio composition, income, expenses and changes in net assets of the sub-funds managed in U.S. dollars were converted into euro at the stated exchange rate. Fiscal six-month period ended June 30, USD = EUR 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. 26

29 Investment Company DB PWM SICAV 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg RC B Board of Directors of the Investment Company Doris Marx Chairman Deutsche Asset Management S.A., Luxembourg Heinz-Wilhelm Fesser Independent member c/o Deutsche Asset Management S.A., Luxembourg Markus Kohlenbach Independent member c/o Deutsche Asset Management S.A., Luxembourg Stephan Scholl Deutsche Asset Management International GmbH, Frankfurt/Main Niklas Seifert (since April 27, 2016) Deutsche Asset Management S.A., Luxembourg Sven Sendmeyer (since April 27, 2016) Deutsche Asset Management Investment GmbH, Frankfurt/Main Promoter, Management Company and Central Administration Agent, Registrar and Transfer Agent, Main Distributor Deutsche Asset Management S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg Equity capital as of December 31, 2015: EUR million before profit appropriation Supervisory Board of the Management Company Holger Naumann Chairman Deutsche Asset Management Investment GmbH, Frankfurt/Main Nathalie Bausch Deutsche Bank Luxembourg S.A., Luxembourg Reinhard Bellet Deutsche Bank AG, Frankfurt/Main Marzio Hug Deutsche Bank AG, London Stefan Kreuzkamp (since February 1, 2016) Deutsche Asset Management Investment GmbH, Frankfurt/Main Frank Krings (since May 10, 2016) Deutsche Bank Luxembourg S.A., Luxembourg Dr. Matthias Liermann Deutsche Asset Management Investment GmbH, Frankfurt/Main Management Board of the Management Company Dirk Bruckmann (since January 14, 2016) Chairman Deutsche Asset Management Investment GmbH, Frankfurt/Main Ralf Rauch Deutsche Asset Management S.A., Luxembourg Martin Schönefeld Deutsche Asset Management S.A., Luxembourg Auditor KPMG Luxembourg Société coopérative 39, Avenue John F. Kennedy 1855 Luxembourg, Luxembourg Depositary State Street Bank Luxembourg S.C.A. 49, Avenue J. F. Kennedy 1855 Luxembourg, Luxembourg Fund Managers For the sub-funds Active Asset Allocation Growth 80 Protect EUR, Active Asset Allocation Growth 80 Protect USD and Active Asset Allocation Growth II: Deutsche Bank (Suisse) S.A. 3, Place des Bergues 1211 Genève, Switzerland For all other the sub-funds: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany Sales, Information and Paying Agent LUXEMBOURG Deutsche Bank Luxembourg S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg Barbara Schots Deutsche Asset Management S.A., Luxembourg As of: July 31, 2016

30 DB PWM SICAV 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg RC B Tel.: Fax: