Deutsche Floating Rate Notes Annual Report 2015

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

Deutsche Floating Rate Notes

Contents Annual report 2015 for the period from January 1, 2015, through December 31, 2015 General information 2 2015 Annual report Deutsche Floating Rate Notes 4 Annual financial statements Investment portfolio and statement of income and expenses 8 Report of the Réviseur d Entreprises agréé 24 1

General information The fund described in this report is subject to the laws of Luxembourg. Performance The investment return, or performance, of a mutual fund investment is measured by the change in value of the fund s units. The net asset values per unit (= redemption prices) with the addition of intervening distributions, which are, for example, reinvested free of charge within the scope of investment accounts at Deutsche Asset & Wealth Management Investment S.A., are used as the basis for calculating the value. Past performance is not a guide to future results. The corresponding benchmark if available is also presented in the report. All financial data in this publication is as of December 31, 2015, (unless otherwise stated). Sales prospectuses Fund units are purchased on the basis of the current sales prospectus and management regulations as well as the key investor information document, in combination with the latest audited annual report and any semiannual report that is more recent than the latest annual report. Issue and redemption prices The current issue and redemption prices and all other information for unitholders may be requested at any time at the registered office of the Management Company and from the paying agents. In addition, the issue and redemption prices are published in every country of distribution through appropriate media (such as the Internet, electronic information systems, newspapers, etc.). The names of the following companies will change in March 2016: Deutsche Asset & Wealth Management Investment GmbH will become Deutsche Asset Management Investment GmbH Deutsche Asset & Wealth Management International GmbH will become Deutsche Asset Management International GmbH Deutsche Asset & Wealth Management Investment S.A. will become Deutsche Asset Management S.A. The official date of the entry into force of the renaming of the companies was not yet known at the time of the editorial deadline for this report; the previous company names are therefore used in this report. Renaming The fund DWS Floating Rate Notes was renamed Deutsche Floating Rate Notes effective May 15, 2015. 2

Annual report

Deutsche Floating Rate Notes Investment objective and performance in the reporting period The objective of the investment policy is to generate a return in euro. In order to achieve this, the fund invests predominantly in floating rate government and corporate bonds that are denominated in euro or hedged against the euro. The duration of the fund is a maximum of 12 months, which can be managed through the use of suitable derivatives, among other methods. In DEUTSCHE FLOATING RATE NOTES Five-year performance 104.2 103.6 103.0 102.4 101.8 101.2 100.6 100.0 12/10* 12/11 12/12 12/13 12/14 12/15 Deutsche Floating Rate Notes (LC unit class) * 12/2010 = 100 Data on euro basis BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: December 31, 2015 addition, derivatives may also be used for portfolio management. The investment climate in the reporting period was characterized by historically low interest rates, which were even below the zero percent mark in the money markets of the euro area. Performance of unit classes (in euro) Unit Classes ISIN 1 year 3 years 5 years Class LC LU0034353002-0.2% 1.1% 3.6% Class LD LU1122765560-0.2% 1 1 Launched on December 1, 2014 BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: December 31, 2015 In addition, global economic growth weakened. Against this backdrop, the LC unit class of the fund posted a decline of 0.2% per unit in the 2015 fiscal year (BVI method, in euro). Investment policy in the reporting period The investment focus of Deutsche Floating Rate Notes in the 2015 fiscal year continued to be on floating rate bonds, the coupons of which are generally adjusted to current market interest rates every three to six months. As these floating rate instruments are primarily issued by financial institutions, financials were the investment focus. In addition, government and corporate bonds rounded out the portfolio. At the end of December 2015, the interest-bearing instruments held in the portfolio mostly had investment grade 4

status, i.e., a rating of BBB and better from the leading rating agencies. The short-term segment, which was characterized by negative yields, significantly curtailed investment opportunities. In addition, particularly in the second half of 2015, the price pressures in the credit markets also adversely affected the performance of financials and corporate bonds held in the portfolio. This also noticeably dampened the performance of the fund. The reasons for this included the drastic drop in prices in the oil and commodity markets, as well as the slowdown in economic growth in China and the associated fears of market participants regarding negative effects on global economic growth. As of the end of December 2015, the DEUTSCHE FLOATING RATE NOTES Rating distribution of the bonds in the portfolio* AAA AA A BBB No Rating AAA AA A BBB In % of the fund s net assets in bonds (incl. pro-rata accrued interest) Extremely strong capacity to pay interest and repay principal Very strong capacity to pay interest and repay principal Strong capacity to pay interest and repay principal Adequate capacity to pay interest and repay principal. Adverse economic or sector-specific conditions are more likely to lead to a weakened capacity to pay interest and repay principal. DEUTSCHE FLOATING RATE NOTES Composition Bonds* Investment funds Cash and other assets 1.0 27.2 52.7 18.7 0.4 0 10 20 30 40 50 60 BB to B CCC and lower * Average values based primarily on ratings by Standard & Poor's, Moody's and Fitch Credit quality is adequate, with higher business and financial risk. Interest and principal payments are generally made without adverse effect on credit quality. The non-investment-grade rating is consistent with the company s business model. The rating is not consistent with the company s longterm business model. The capacity to pay interest and repay principal is potentially reduced in the long term. As of: December 31, 2015 0.3 13.1 0 20 40 60 80 86.6 In % of the fund s net assets As of: December 31, 2015 (* incl. pro-rata accrued interest) Negligible rounding errors may have arisen compared with the investment portfolio due to the rounding of calculated percentages. 100 average yield of the fund s investments was 0.4% per year* with an average duration of approximately one month. * Average yield of the fund s investments as of the reporting date. This may differ from the nominal yield of the interest-bearing instruments held in the portfolio. The future performance of the fund cannot be derived from this. 5

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

Annual financial statements Deutsche Floating Rate Notes Investment portfolio December 31, 2015 Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR Securities traded on an exchange 2 126 386 995.15 78.13 Interest-bearing securities 0.2860 % A.N.Z. Banking Group 13/04.10.16 MTN (XS0976558634)... EUR 8 000 % 100.0700 8 005 600.00 0.29 0.3360 % A.N.Z. Banking Group 14/28.10.19 MTN (XS1130526780)... EUR 12 000 % 99.5900 11 950 800.00 0.44 0.3030 % Abbey National Trea. Serv. 14/12.08.16 MTN (XS1097856527)... EUR 8 500 % 100.0330 8 502 805.00 0.31 0.5330 % Abbey National Trea. Serv. 14/22.05.19 MTN (XS1070235004)... EUR 8 200 1 200 % 99.8140 8 184 748.00 0.30 0.3170 % Abbey National Trea. Serv. 14/24.10.17 MTN (XS1127958046)... EUR 6 500 % 99.8260 6 488 690.00 0.24 0.2890 % Abbey National Trea. Serv. 14/27.01.16 MTN (XS1023278887)... EUR 6 300 % 100.0215 6 301 354.50 0.23 0.3770 % Abbey National Trea. Serv. 15/11.08.17 MTN (XS1274152690)... EUR 12 000 12 000 % 100.1910 12 022 920.00 0.44 0.5120 % ABN AMRO Bank 13/01.08.16 MTN (XS0956253636)... EUR 3 600 % 100.2440 3 608 784.00 0.13 0.3750 % ABN AMRO Bank 13/14.03.16 MTN (XS0904219218)... EUR 3 000 % 100.0740 3 002 220.00 0.11 0.6760 % ABN AMRO Bank 14/06.03.19 MTN (XS1040422526)... EUR 12 000 12 000 % 100.9330 12 111 960.00 0.45 0.3010 % ABN AMRO Bank 15/11.03.20 MTN (XS1199643427)... EUR 8 500 8 500 % 99.0420 8 418 570.00 0.31 0.1510 % ABN AMRO Bank 15/14.01.17 MTN (XS1165435089)... EUR 15 000 15 000 % 99.9900 14 998 500.00 0.55 0.4140 % Achmea Bank 15/18.0518 MTN (XS1234553391)... EUR 17 000 17 000 % 99.7280 16 953 760.00 0.62 0.2670 % Adagio III CLO 06/15.09.22 S.3X Cl.A3 Reg S (XS0262824898)... EUR 3 952 % 97.5000 3 375 505.06 0.12 0.0680 % Air Liquide Finance 13/17.06.16 MTN (FR0011521103)... EUR 8 000 % 99.9520 7 996 160.00 0.29 0.1690 % Air Liquide Finance 15/30.06.18 MTN (FR0012820835)... EUR 10 000 10 000 % 99.9000 9 990 000.00 0.37 0.4250 % Alfa Laval Treasury International 14/12.09.19 MTN (XS1108681625)... EUR 5 000 5 000 % 98.6700 4 933 500.00 0.18 0.2810 % American Honda Finance 15/11.03.19 MTN (XS1288342147)... EUR 6 635 6 635 % 99.7520 6 618 545.20 0.24 0.2490 % Anheuser-Busch InBev 14/29.03.18 MTN (BE6265140077)... EUR 7 150 % 99.7760 7 133 984.00 0.26 0.1980 % Anheuser-Busch InBev 15/19.10.18 MTN (BE6276038419)... EUR 7 660 7 660 % 99.4430 7 617 333.80 0.28 0.3460 % ANZ New Zealand (Intl.) (Ldn. Br.) 13/05.12.16 MTN (XS1000337128)... EUR 7 500 % 100.2380 7 517 850.00 0.28 0.1140 % ANZ New Zealand (Intl.) (Ldn. Br.) 14/10.06.16 MTN (XS1075369576)... EUR 5 000 % 100.0750 5 003 750.00 0.18 0.5170 % Arena 2012-I 12/17.11.44 Cl.A1 (XS0857684178)... EUR 2 400 % 100.1207 380 835.10 0.01 0.2560 % Ares European CLO III 07/15.08.24 Cl.A2 (XS0305644485)... EUR 10 000 % 99.4000 3 290 982.70 0.12 0.3570 % ASB Finance (London Branch) 14/03.07.17 MTN (XS1083312675)... EUR 13 620 % 100.0750 13 630 215.00 0.50 0.4620 % AT & T 14/04.06.19 (XS1144084099)... EUR 15 500 5 000 4 500 % 99.9380 15 490 390.00 0.57 0.3760 % B.A.T. International Finance 14/06.03.18 MTN (XS1043096400)... EUR 5 300 % 100.2770 5 314 681.00 0.20 0.1140 % Bank of America 06/18.05.16 MTN (XS0255015603)... EUR 4 000 % 100.0110 4 000 440.00 0.15 0.7090 % Bank of America 06/28.03.18 MTN (XS0249443879)... EUR 12 500 % 99.2500 12 406 250.00 0.46 0.5700 % Bank of America 07/23.05.17 MTN (XS0301928262)... EUR 10 000 10 000 % 99.6000 9 960 000.00 0.37 0.8690 % Bank of China15/30.06.18 MTN (XS1253376518)... EUR 11 200 11 200 % 100.0430 11 204 816.00 0.41 0.7430 % Bank of Ireland 15/31.07.17 MTN (XS1269185697)... EUR 7 000 7 000 % 100.0970 7 006 790.00 0.26 0.2740 % Bank of Montreal 13/04.11.16 MTN (XS0989165716)... EUR 8 000 % 100.1640 8 013 120.00 0.29 0.1990 % Bank of Nova Scotia 13/30.09.16 MTN (XS0975639344)... EUR 7 000 % 100.1270 7 008 890.00 0.26 0.1010 % Bank of Nova Scotia 14/15.01.16 MTN (XS1017218410)... EUR 5 000 % 100.0120 5 000 600.00 0.18 0.2640 % Bank of Nova Scotia 15/10.09.18 MTN (XS1288483123)... EUR 18 000 18 000 % 99.9260 17 986 680.00 0.66 0.3310 % Bank of Nova Scotia 15/14.01.20 MTN (XS1166454915)... EUR 20 000 20 000 % 99.3160 19 863 200.00 0.73 8

Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR 0.4190 % Banque Fédérative Crédit Mu. 13/22.03.16 MTN (XS0906823777)... EUR 3 100 % 100.0960 3 102 976.00 0.11 0.5870 % Banque Fédérative Crédit Mu. 14/20.03.19 MTN (XS1046498157)... EUR 12 500 7 500 % 100.8100 12 601 250.00 0.46 0.0400 % Banque Fédérative Crédit Mu. 15/23.03.17 MTN (XS1206509710)... EUR 9 500 9 500 % 99.9590 9 496 105.00 0.35 0.2060 % Barclays Bank 14/02.06.16 MTN (XS1072480053)... EUR 9 000 % 100.0580 9 005 220.00 0.33 0.1390 % BASF 13/19.08.16 MTN (XS0963402572)... EUR 4 000 % 99.9980 3 999 920.00 0.15 0.1670 % Bayer 14/24.01.16 MTN (XS1023268060)... EUR 3 150 % 100.0150 3 150 472.50 0.12 0.3070 % Bayer Nordic 13/04.04.16 MTN (XS0911791134)... EUR 4 000 % 99.9380 3 997 520.00 0.15 0.3370 % Belfius Bank 14/03.10.16 MTN (BE6272056365)... EUR 10 000 % 99.9300 9 993 000.00 0.37 0.4520 % Belfius Bank 14/11.04.16 MTN (BE6265447233)... EUR 10 000 % 100.0760 10 007 600.00 0.37 0.2860 % BHP Billiton Finance 15/28.04.20 MTN (XS1224953452)... EUR 12 000 12 000 % 97.4300 11 691 600.00 0.43 0.2470 % BMW US Capital 15/18.03.19 MTN (DE000A1Z6M04)... EUR 7 530 7 530 % 99.4460 7 488 283.80 0.28 0.1490 % BMW US Capital 15/20.04.18 MTN (DE000A1ZZ002)... EUR 10 560 10 560 % 99.3290 10 489 142.40 0.39 0.4580 % BNP Paribas 14/20.05.19 MTN (XS1069282827)... EUR 7 000 % 100.5870 7 041 090.00 0.26 0.3510 % BNP Paribas 15/15.01.20 MTN (XS1167154654) 3... EUR 11 420 11 420 % 99.8020 11 397 388.40 0.42 0.1480 % BNP Paribas 15/19.01.17 MTN (XS1169537492)... EUR 10 260 10 260 % 100.0490 10 265 027.40 0.38 0.3910 % BNP Paribas 15/28.08.19 MTN (XS1280841427)... EUR 10 000 10 000 % 100.2170 10 021 700.00 0.37 0.0000 % BNP Paribas Arbitrage Issuance 26.02.16 (XS1186887672)... EUR 50 000 50 000 % 99.9965 49 998 250.00 1.84 0.3860 % BNZ Int. Funding (London Br.) 14/02.12.19 MTN (XS1145855646)... EUR 15 000 % 99.5350 14 930 250.00 0.55 0.6480 % BPCE 13/18.01.16 MTN (FR0011391853)... EUR 2 000 % 100.0290 2 000 580.00 0.07 0.5510 % BPCE 13/28.05.18 MTN (FR0011496447) 3... EUR 5 000 5 000 % 100.7500 5 037 500.00 0.19 0.0960 % BPCE 14/05.12.16 MTN (FR0012364743)... EUR 10 000 % 99.9780 9 997 800.00 0.37 0.0840 % BPCE 15/10.03.17 MTN (FR0012601342)... EUR 7 500 7 500 % 99.9290 7 494 675.00 0.28 0.1510 % Brunel Residential Mtg. 07/13.01.39 S1X A4A (XS0289300898)... EUR 18 000 % 98.8500 4 148 380.66 0.15 0.3490 % Caisse Ce. Desjardins Québec 15/20.01.20 MTN (XS1170332107) 3... EUR 15 700 15 700 % 99.4790 15 618 203.00 0.57 0.0290 % Caixabank 06/09.01.18 PF (ES0414970220). EUR 15 000 % 99.4550 14 918 250.00 0.55 0.1370 % Canadian Imperial Bank Comm. 15/08.09.17 MTN (XS1287780719)... EUR 11 040 11 040 % 100.0210 11 042 318.40 0.41 0.2080 % Caterpillar International Finance 13/23.05.16 MTN (XS0934041731)... EUR 1 500 % 100.0330 1 500 495.00 0.06 0.1990 % Caterpillar International Finance 14/27.09.17 MTN (XS1071374679)... EUR 8 000 1 000 % 100.0010 8 000 080.00 0.29 0.1410 % Caterpillar International Finance 15/13.05.18 MTN (XS1232143310)... EUR 5 700 5 700 % 99.7000 5 682 900.00 0.21 0.2460 % CEZ 14/27.11.17 MTN (XS1144490080)... EUR 10 000 % 99.8470 9 984 700.00 0.37 1.3270 % Citigroup 04/10.02.19 (XS0185490934)... EUR 13 800 7 000 % 99.8000 13 772 400.00 0.51 0.1290 % Citigroup 06/09.02.16 MTN (XS0243636866). EUR 3 396 % 100.0110 3 396 373.56 0.12 0.5790 % Citigroup 07/31.05.17 MTN (XS0303074883). EUR 10 000 10 000 % 99.7500 9 975 000.00 0.37 0.4770 % Citigroup 14/11.11.19 MTN (XS1135549167). EUR 15 000 % 99.7410 14 961 150.00 0.55 0.9870 % CLASS/BVV 05/08.06.20 S.173 MTN (XS0220432347)... EUR 3 000 % 93.3800 2 801 400.00 0.10 0.0370 % Coca-Cola 15/09.03.17 (XS1197832675)... EUR 10 620 10 620 % 99.9820 10 618 088.40 0.39 0.1170 % Coca-Cola 15/09.09.19 (XS1197832832)... EUR 20 000 20 000 % 99.5250 19 905 000.00 0.73 0.1490 % Colgate-Palmolive 15/14.05.19 MTN (XS1230926609)... EUR 9 180 9 180 % 99.8420 9 165 495.60 0.34 0.3490 % Crédit Agricole (London Br.) 10/30.06.16 MTN (XS0515004157)... EUR 1 750 % 99.8570 1 747 497.50 0.06 0.4690 % Crédit Agricole (London Br.) 13/28.03.16 MTN (XS0909791757)... EUR 4 300 % 100.0910 4 303 913.00 0.16 0.3060 % Crédit Agricole (London Br.) 14/28.01.16 MTN (XS1023317966)... EUR 3 300 % 100.0170 3 300 561.00 0.12 0.3220 % Credit Suisse (London Branch) 14/15.12.17 MTN (XS1079975808)... EUR 8 480 % 100.0640 8 485 427.20 0.31 0.4010 % Credit Suisse (London Branch) 14/16.10.19 MTN (XS1121919333)... EUR 7 270 % 99.6260 7 242 810.20 0.27 0.2590 % Credit Suisse (London Branch) 14/19.02.16 MTN (XS1033927648)... EUR 10 000 % 100.0170 10 001 700.00 0.37 0.3870 % Credit Suisse (London Branch) 15/10.11.17 MTN (XS1319598188)... EUR 12 930 12 930 % 100.2480 12 962 066.40 0.48 9

Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR 0.2470 % Credit Suisse (London Branch) 15/22.07.16 MTN (XS1173844389)... EUR 9 450 9 450 % 100.0820 9 457 749.00 0.35 0.1010 % CW Bank of Australia 13/14.01.16 MTN (XS1014678996)... EUR 5 000 % 99.9960 4 999 800.00 0.18 0.3460 % CW Bank of Australia 15/21.01.20 MTN (XS1170317645) 3... EUR 15 000 20 000 5 000 % 99.5190 14 927 850.00 0.55 0.2540 % Daimler 13/07.10.16 MTN (DE000A1TNK78). EUR 4 000 % 99.9780 3 999 120.00 0.15 0.0970 % Daimler 15/18.09.17 MTN (DE000A161515). EUR 3 500 3 500 % 99.6740 3 488 590.00 0.13 0.3100 % Daimler Canada Finance 14/02.10.17 MTN (DE000A1ZE7J5)... EUR 4 000 % 99.6700 3 986 800.00 0.15 0.1910 % Daimler Canada Finance 14/15.01.16 MTN (DE000A1ZB177)... EUR 6 000 % 99.9550 5 997 300.00 0.22 0.2810 % Danone 15/14.01.20 MTN (FR0012432904). EUR 14 200 14 200 % 99.6830 14 154 986.00 0.52 0.6080 % Danske Bank 13/22.05.17 MTN (XS0935311919)... EUR 2 000 % 99.7110 1 994 220.00 0.07 0.2360 % Danske Bank 14/02.06.17 MTN (XS1072384685) 3... EUR 8 000 % 100.1730 8 013 840.00 0.29 0.1190 % Danske Bank 14/15.02.16 MTN (XS1099408285)... EUR 8 000 % 100.0240 8 001 920.00 0.29 0.2640 % Danske Bank 15/03.03.20 MTN (XS1196502246)... EUR 5 000 5 000 % 99.6310 4 981 550.00 0.18 0.1460 % DekaBank DGZ 13/27.02.17 S.6437 IHS (DE000DK9FUA0)... EUR 4 000 % 99.9620 3 998 480.00 0.15 0.1070 % DekaBank DGZ 14/17.05.16 IHS MTN (XS1137556285)... EUR 15 000 % 99.9690 14 995 350.00 0.55 0.2470 % Deutsche Bahn Finance 14/23.07.20 MTN (XS1089831249)... EUR 5 000 % 100.3780 5 018 900.00 0.18 0.5010 % Deutsche Bank 14/15.04.19 MTN (DE000DB7XHM0)... EUR 8 000 % 99.5120 7 960 960.00 0.29 0.3750 % Deutsche Hypothekenbank 15/14.09.17 IHS MTN (DE000DHY4515)... EUR 15 000 15 000 % 100.1215 15 018 225.00 0.55 0.1570 % Deutsche Pfandbriefbank 13/04.04.16 MTN ÖPF (DE000A1R0550)... EUR 3 000 % 99.9950 2 999 850.00 0.11 0.8540 % Deutsche Pfandbriefbank 13/08.07.16 R.35214 MTN (DE000A1R06F8)... EUR 3 000 % 99.5380 2 986 140.00 0.11 0.0370 % Dexia Crédit Local 14/22.01.16 MTN (XS1089906785)... EUR 10 000 % 100.0000 10 000 000.00 0.37 0.1130 % Dexia Crédit Local 14/31.01.16 MTN (XS1023721233)... EUR 10 000 % 100.0120 10 001 200.00 0.37 0.2270 % DG Hypothekenbank 12/10.02.16 R.1111 MTN PF (DE000A1KQW88)... EUR 1 500 % 100.0210 1 500 315.00 0.06 0.2020 % DG Hypothekenbank 13/11.04.16 S.996 IHS MTN (DE000A1REYV8)......... EUR 3 000 % 100.0000 3 000 000.00 0.11 0.3190 % DH Europe Finance 15/30.06.17 (XS1255435379)... EUR 7 075 7 075 % 100.1570 7 086 107.75 0.26 0.2710 % DNB Bank 15/13.01.20 MTN (XS1165750198)... EUR 10 000 10 000 % 99.2750 9 927 500.00 0.36 0.8870 % EARLS Eight /BVV 05/08.06.17 S.190 MTN (XS0220432776)... EUR 4 000 % 97.3000 3 892 000.00 0.14 0.7710 % ENEL 10/26.02.16 (IT0004576994)... EUR 1 820 % 100.0690 1 821 255.80 0.07 0.2190 % Erste Abwicklungsanstalt 12/15.08.16 MTN (DE000EAA0CH3)... EUR 2 000 % 100.1870 2 003 740.00 0.07 0.0000 % France 15/09.03.16 (FR0123283717) 3... EUR 15 000 15 000 % 100.0840 15 012 600.00 0.55 0.0000 % France 15/13.04.16 (FR0123283741) 3... EUR 10 000 10 000 % 100.1220 10 012 200.00 0.37 0.0580 % GE Capital European Funding 06/22.02.16 MTN (XS0245166367)... EUR 1 916 % 100.0060 1 916 114.96 0.07 0.8020 % GE Capital European Funding 11/15.06.17 MTN (XS0626808223) 3... EUR 3 000 % 100.8860 3 026 580.00 0.11 0.3820 % GE Capital European Funding 13/03.05.16 MTN (XS0925518903)... EUR 7 000 % 100.1250 7 008 750.00 0.26 0.3260 % GE Capital European Funding 15/21.01.20 MTN (XS1169331367)... EUR 20 000 20 000 % 99.6050 19 921 000.00 0.73 0.6840 % Goldman Sachs Group 14/29.10.19 MTN (XS1130101931)... EUR 12 150 % 99.8140 12 127 401.00 0.45 0.5310 % Goldman Sachs Group 15/11.09.18 MTN (XS1289966134)... EUR 11 245 11 245 % 99.9860 11 243 425.70 0.41 0.5910 % Goldman Sachs Group 15/29.05.20 MTN (XS1240146891)... EUR 5 820 5 820 % 99.4910 5 790 376.20 0.21 0.6870 % HBOS 04/01.09.16 MTN (XS0192560653).. EUR 14 000 14 000 % 99.8500 13 979 000.00 0.51 0.5440 % HBOS 06/29.03.16 MTN (XS0249026682).. EUR 14 000 % 99.8000 13 972 000.00 0.51 0.5670 % HBOS 07/21.03.17 MTN (XS0292269544) 3... EUR 5 000 5 000 % 99.7500 4 987 500.00 0.18 0.0000 % HETA Asset Resolution 07/31.05.16 MTN (XS0292051835) *)... EUR 12 900 2 100 % 77.8200 10 038 780.00 0.37 0.1605 % Highlander Euro CDO III 07/01.05.23 Cl.A Reg S (XS0293694880)... EUR 12 000 % 98.0000 6 013 377.73 0.22 10

Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR 0.1890 % HSBC France 14/27.01.16 MTN (FR0011707710)... EUR 12 500 % 100.0180 12 502 250.00 0.46 0.3370 % ING Bank 13/09.09.16 MTN (XS0969524734)... EUR 3 000 % 100.1530 3 004 590.00 0.11 0.2110 % ING Bank 14/14.04.16 MTN (XS1098512483)... EUR 12 000 % 100.0390 12 004 680.00 0.44 0.3180 % ING Bank 14/20.11.19 MTN (XS1143001102)... EUR 10 000 % 99.5420 9 954 200.00 0.37 0.4080 % ING Bank 15/20.08.18 MTN (XS1278757825)... EUR 10 000 10 000 % 100.1180 10 011 800.00 0.37 0.0640 % Intesa Sanpaolo 07/18.05.17 MTN (XS0300196879) 3... EUR 12 000 12 000 % 99.6730 11 960 760.00 0.44 1.2520 % Intesa Sanpaolo 13/11.01.16 MTN (XS1002250428)... EUR 5 000 % 100.0210 5 001 050.00 0.18 0.9980 % Intesa Sanpaolo 14/17.04.19 MTN (XS1057822766)... EUR 5 620 % 100.5460 5 650 685.20 0.21 0.9220 % Intesa Sanpaolo 15/15.06.20 MTN (XS1246144650)... EUR 14 050 14 050 % 100.3500 14 099 175.00 0.52 0.2970 % Intesa Sanpaolo Bank Ireland 15/09.03.16 MTN (XS1196645607)... EUR 14 500 14 500 % 100.0245 14 503 552.50 0.53 0.0000 % Invest.bk. Schleswig Holstein 14/20.11.19 S.1 IHS (DE000A13SL42)... EUR 12 000 % 100.4650 12 055 800.00 0.44 0.0710 % Italfinance Securitisation V.2 07/14.01.26 Cl.A (IT0004197254)... EUR 67 500 % 97.9000 4 919 326.68 0.18 0.3470 % John Deere Bank 14/19.03.19 MTN (XS1046499981)... EUR 2 500 % 100.3010 2 507 525.00 0.09 0.2820 % JPMorgan Chase & Co. 13/03.05.16 MTN (XS0926823070)... EUR 8 000 % 100.0620 8 004 960.00 0.29 0.5290 % JPMorgan Chase & Co. 14/07.05.19 MTN (XS1064100115)... EUR 8 000 % 100.3130 8 025 040.00 0.29 0.3080 % JPMorgan Chase & Co. 14/19.02.17 MTN (XS1034975588)... EUR 8 700 % 100.1490 8 712 963.00 0.32 0.1580 % JPMorgan Chase & Co. 14/20.11.16 MTN (XS1140490340)... EUR 11 590 % 100.0370 11 594 288.30 0.43 0.1510 % La Banque Postale 14/14.01.16 MTN (FR0011687052)... EUR 8 000 % 100.0000 8 000 000.00 0.29 1.6670 % Lloyds Bank 10/25.07.17 MTN (XS0551953317)... EUR 6 200 % 101.8510 6 314 762.00 0.23 0.2550 % Lloyds Bank 13/12.09.16 MTN (XS0970358064)... EUR 3 000 % 99.9560 2 998 680.00 0.11 0.3340 % Lloyds Bank 14/10.09.19 MTN (XS1109333986)... EUR 9 630 % 99.7520 9 606 117.60 0.35 0.1810 % Lloyds Bank 14/15.04.16 MTN (XS1057361187)... EUR 5 800 % 100.0220 5 801 276.00 0.21 0.1490 % LVMH Moët Hennessy Louis Vuitton 14/14.02.19 MTN (FR0012315133)... EUR 12 000 12 000 % 99.6350 11 956 200.00 0.44 0.1545 % Macquarie Bank 14/22.04.16 MTN (XS1126822524)... EUR 10 000 % 99.9500 9 995 000.00 0.37 0.3970 % Macquarie Bank 14/24.04.16 MTN (XS1060729065)... EUR 9 160 % 100.0800 9 167 328.00 0.34 0.2490 % Macquarie Bank 15/20.07.17 MTN Reg S (XS1262741819)... EUR 12 000 12 000 % 99.6100 11 953 200.00 0.44 0.1960 % McDonald s 15/26.08.19 MTN (XS1237187718)... EUR 17 000 17 000 % 99.4210 16 901 570.00 0.62 0.1420 % Mercedes-Benz Japan 14/15.06.18 MTN (XS1153305435)... EUR 12 000 12 000 % 99.1920 11 903 040.00 0.44 0.3510 % Morgan Stanley 06/13.04.16 MTN (XS0250971222)... EUR 6 000 % 100.0460 6 002 760.00 0.22 0.3710 % Morgan Stanley 07/16.01.17 MTN (XS0282583722)... EUR 10 000 % 100.1460 10 014 600.00 0.37 0.6090 % Morgan Stanley 14/19.11.19 MTN (XS1139320151)... EUR 13 570 % 100.2450 13 603 246.50 0.50 0.2480 % National Australia Bank 13/19.07.16 MTN (XS0954026661)... EUR 8 000 % 100.0950 8 007 600.00 0.29 0.3570 % National Australia Bank 13/24.01.18 MTN (XS0878868321)... EUR 5 000 % 99.9680 4 998 400.00 0.18 0.3690 % National Australia Bank 14/25.03.19 MTN (XS1048519836) 3... EUR 5 000 % 100.0660 5 003 300.00 0.18 0.2310 % National Australia Bank 15/16.01.18 MTN (XS1167324596)... EUR 15 000 25 000 10 000 % 99.8620 14 979 300.00 0.55 0.1670 % National Bank of Canada 15/09.09.17 MTN (XS1288327775)... EUR 13 941 13 941 % 100.0900 13 953 546.90 0.51 0.4320 % Nationwide Building Society 15/11.02.18 MTN (XS1315154721) 3... EUR 12 000 12 000 % 100.1250 12 015 000.00 0.44 0.1230 % Nationwide Building Society 15/31.07.17 MTN (XS1269352008)... EUR 14 500 14 500 % 99.9520 14 493 040.00 0.53 11

Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR 0.0000 % Norddt. Landesbank 07/05.12.17 S.1249 ÖPF (DE000NLB3649)... EUR 3 000 % 100.0800 3 002 400.00 0.11 0.2230 % Nordea Bank 13/12.08.16 MTN (XS0960715075)... EUR 4 000 % 99.8990 3 995 960.00 0.15 0.4080 % Nordea Bank 13/22.05.18 MTN (XS0935835313)... EUR 10 000 % 100.2530 10 025 300.00 0.37 0.2010 % Nordea Bank 13/25.11.16 MTN (XS0996758701)... EUR 5 000 % 100.1300 5 006 500.00 0.18 0.1760 % Nordea Bank 15/05.06.20 MTN (XS1242968979)... EUR 8 000 8 000 % 99.3600 7 948 800.00 0.29 0.2490 % Paccar Financial Europe 13/24.06.16 MTN (XS0946692430)... EUR 7 250 % 100.0650 7 254 712.50 0.27 0.2890 % Paccar Financial Europe 14/19.05.17 MTN (XS1068865804)... EUR 4 750 % 100.0530 4 752 517.50 0.17 0.2340 % Pohjola Pankki 14/03.03.17 MTN (XS1040272459)... EUR 7 320 % 100.1970 7 334 420.40 0.27 0.1610 % Pohjola Pankki 15/11.03.20 MTN (XS1199650638)... EUR 7 000 7 000 % 99.0100 6 930 700.00 0.25 0.3215 % QNB Finance 14/27.10.16 MTN (XS1126693024)... EUR 15 000 % 99.9000 14 985 000.00 0.55 0.2800 % QNB Finance 15/23.06.17 MTN (XS1337036914)... EUR 10 000 10 000 % 100.0140 10 001 400.00 0.37 0.0000 % Rabobank 07/20.09.17 MTN (XS0313145772)... EUR 5 000 % 99.7980 4 989 900.00 0.18 0.2640 % Rabobank 13/18.11.16 MTN (XS0994949567)... EUR 4 000 % 100.1640 4 006 560.00 0.15 0.2010 % Rabobank 14/15.01.16 MTN (XS1015347401)... EUR 12 000 % 100.0100 12 001 200.00 0.44 0.1410 % Rabobank 15/13.01.17 MTN (XS1166328374)... EUR 6 780 6 780 % 100.0220 6 781 491.60 0.25 0.3610 % Royal Bank of Canada 15/06.08.20 MTN (XS1272154565)... EUR 17 780 17 780 % 99.3150 17 658 207.00 0.65 0.7040 % Royal Bank of Scotland 09/08.10.19 (NL0009062215)... EUR 7 000 7 000 % 99.1250 6 938 750.00 0.25 0.0000 % Royal Bank of Scotland 10/31.03.16 MTN (XS0487908104)... EUR 7 100 % 99.8000 7 085 800.00 0.26 0.6590 % RWE 02/15.11.17 MTN (XS0158243013)... EUR 15 650 12 650 % 100.6110 15 745 621.50 0.58 0.5330 % Saecure 12/30.07.92 S.12 Cl.A1 Reg S (XS0808637135)... EUR 3 000 % 100.2000 784 986.84 0.03 0.1140 % Sanofi 14/10.09.18 MTN (FR0012146751).. EUR 8 000 % 99.8150 7 985 200.00 0.29 0.1690 % Sanofi 15/22.03.19 MTN (FR0012969012).. EUR 10 000 10 000 % 100.1260 10 012 600.00 0.37 0.2080 % SAP 14/20.11.18 MTN (DE000A13SL18).... EUR 9 700 % 100.1740 9 716 878.00 0.36 0.2590 % SAP 15/01.04.20 MTN (DE000A14KJE8).... EUR 6 980 6 980 % 99.9690 6 977 836.20 0.26 0.1490 % SBAB Bank 13/27.09.16 MTN (XS0974353244)... EUR 4 300 % 100.0750 4 303 225.00 0.16 0.1690 % SBAB Bank 15/27.06.18 MTN (XS1241559910)... EUR 10 680 10 680 % 99.8000 10 658 640.00 0.39 0.6010 % Scentre Management 14/16.07.18 MTN (XS1087817422)... EUR 10 000 % 100.1840 10 018 400.00 0.37 0.2720 % Shell International Finance 15/15.09.19 MTN (XS1292468987) 3... EUR 20 000 20 000 % 99.8600 19 972 000.00 0.73 0.1860 % Skandin. Enskilda Banken 13/26.08.16 MTN (XS0965124653)... EUR 4 000 % 99.9310 3 997 240.00 0.15 0.3420 % Skandin. Enskilda Banken 15/15.09.20 MTN (XS1291152624)... EUR 15 000 15 000 % 99.7180 14 957 700.00 0.55 0.7090 % Sky 15/01.04.20 MTN (XS1212467911)..... EUR 13 550 13 550 % 99.7040 13 509 892.00 0.50 0.7980 % Snam 13/17.10.16 MTN (XS0982233123)... EUR 10 600 5 600 % 100.4310 10 645 686.00 0.39 0.5970 % Snam 14/22.01.16 MTN (XS1020295009)... EUR 8 000 % 99.9120 7 992 960.00 0.29 0.6180 % Soc. Autoroutes Paris-Rhin-Rhône 14/31.03.19 MTN (FR0011884899)... EUR 5 000 % 100.4880 5 024 400.00 0.18 0.5731 % Soc. Autoroutes Paris-Rhin-Rhône 15/03.01.20 MTN (FR0013054020)... EUR 12 400 12 400 % 100.0840 12 410 416.00 0.46 0.4860 % Societe Generale 13/07.06.18 MTN (XS0940651432)... EUR 6 400 6 400 % 100.2270 6 414 528.00 0.24 0.2190 % Societe Generale 14/28.03.16 MTN (XS0867620303)... EUR 4 400 % 100.0420 4 401 848.00 0.16 0.2210 % Société Générale 15/16.01.17 MTN (XS1166629490)... EUR 3 700 3 700 % 100.0620 3 702 294.00 0.14 0.3770 % Société Générale 15/22.07.18 MTN (XS1264495000)... EUR 8 400 8 400 % 100.1870 8 415 708.00 0.31 0.7060 % Solvay 15/01.12.17 (BE6282455565)... EUR 4 900 4 900 % 100.3850 4 918 865.00 0.18 0.2750 % Standard Chartered 14/13.06.17 MTN (XS1077632013) 3... EUR 8 150 % 100.0180 8 151 467.00 0.30 0.2470 % Swedbank 13/20.09.16 MTN (XS0945556719)... EUR 8 000 % 100.1340 8 010 720.00 0.29 0.2970 % Swedbank 13/22.04.16 MTN (XS0920907101)... EUR 3 000 % 99.7500 2 992 500.00 0.11 12

Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR 0.4140 % Swedbank 15/18.08.20 MTN (XS1277337678)... EUR 15 000 15 000 % 100.0100 15 001 500.00 0.55 0.5490 % Swedbank 15/26.03.18 MTN (XS1207477628)... EUR 5 000 5 000 % 100.8650 5 043 250.00 0.19 0.2100 % Syngenta Finance 14/02.10.17 MTN (XS1050454765)... EUR 5 000 % 100.0290 5 001 450.00 0.18 0.3670 % Toronto-Dominion Bank 15/ 08.09.20 MTN (XS1287714502) 3... EUR 15 000 15 000 % 99.7360 14 960 400.00 0.55 0.1670 % Total Capital International 14/19.03.20 MTN (XS1139316555)... EUR 10 300 % 99.7530 10 274 559.00 0.38 0.0870 % Toyota Motor Credit 15/08.09.17 MTN (XS1288335448)... EUR 5 805 5 805 % 99.8340 5 795 363.70 0.21 0.1490 % Toyota Motor Credit 15/20.07.18 MTN (XS1171489476) 3... EUR 9 890 9 890 % 99.4950 9 840 055.50 0.36 0.1260 % UBS (London Branch) 14/05.09.16 MTN (XS1105679366)... EUR 7 350 % 100.0760 7 355 586.00 0.27 0.1990 % UBS (London Branch) 15/15.05.17 MTN (XS1232125259)... EUR 13 510 13 510 % 100.0700 13 519 457.00 0.50 0.0000 % UniCredit 10/31.05.16 (IT0004607302)... EUR 4 221 % 99.8350 4 214 035.35 0.15 1.4470 % UniCredit 13/22.01.16 MTN (XS0935795939)... EUR 3 000 % 100.1100 3 003 300.00 0.11 0.9020 % UniCredit 14/10.04.17 MTN (XS1055725730)... EUR 11 520 % 100.5590 11 584 396.80 0.43 0.4830 % UniCredit 14/31.01.17 MTN PF (IT0004988538)... EUR 4 070 % 100.2270 4 079 238.90 0.15 0.9090 % UniCredit 15/19.02.20 MTN (XS1169707087)... EUR 15 090 15 090 % 100.3410 15 141 456.90 0.56 0.2990 % Vela Home 04/27.07.28 Cl.A2 (IT0003647473)... EUR 19 500 % 99.7000 972 568.81 0.04 0.5280 % Vinci 13/18.04.16 MTN (FR0011471010)... EUR 3 000 % 100.0700 3 002 100.00 0.11 0.3290 % Volkswagen Bank 13/09.05.16 MTN (XS0927517911)... EUR 2 000 % 99.7520 1 995 040.00 0.07 0.3590 % Volkswagen Bank 14/09.05.17 MTN (XS1065067289)... EUR 9 000 % 98.4150 8 857 350.00 0.33 0.2010 % Volkswagen Financial Services 15/16.10.17 MTN (XS1216646825)... EUR 6 600 6 600 % 96.8960 6 395 136.00 0.23 0.5510 % Volkswagen Int. Finance 14/15.04.19 MTN (XS1057486471) 3... EUR 7 000 % 95.8130 6 706 910.00 0.25 0.2460 % Volkswagen Int. Finance 14/21.01.16 MTN (XS1019327029)... EUR 7 200 % 99.9790 7 198 488.00 0.26 0.2510 % Volkswagen Int. Finance 15/16.07.18 MTN (XS1167637294)... EUR 12 380 12 380 % 96.7000 11 971 460.00 0.44 0.7190 % Volvo Treasury 13/16.05.16 MTN (XS0931455777)... EUR 3 000 % 100.1960 3 005 880.00 0.11 0.2360 % Volvo Treasury 14/05.09.16 MTN (XS1106384180)... EUR 5 000 % 100.0090 5 000 450.00 0.18 0.8220 % Vonovia Finance 15/15.12.17 MTN (DE000A18V120).................. EUR 8 600 8 600 % 100.2780 8 623 908.00 0.32 0.0700 % Wells Fargo & Co. 06/23.03.16 MTN (XS0248766833)... EUR 4 000 % 100.0030 4 000 120.00 0.15 0.3970 % Wells Fargo & Co. 14/24.04.19 MTN (XS1061043797)... EUR 10 000 % 100.0450 10 004 500.00 0.37 0.3060 % Wells Fargo & Co. 15/02.06.25 MTN (XS1240966348)... EUR 10 710 10 710 % 99.3380 10 639 099.80 0.39 0.2570 % Westpac Banking 13/10.11.16 MTN (XS0993813707)... EUR 10 000 % 100.1850 10 018 500.00 0.37 0.2840 % Westpac Sec. NZ (London Br.) 14/10.03.17 MTN (XS1044486667)... EUR 8 180 % 100.2240 8 198 323.20 0.30 1.5020 % America Móvil 13/12.09.16 (US02364WBF14)... USD 6 000 % 99.9240 5 481 144.24 0.20 1.0020 % Bank of Tokyo-Mitsubishi 15/05.03.18 Reg S (USJ0423YCA04)... USD 14 400 14 400 % 99.3390 13 077 732.37 0.48 1.5220 % Bank of Tokyo-Mitsubishi 15/14.09.18 Reg S (USJ04306AB22)... USD 10 909 10 909 % 100.1000 9 983 186.60 0.37 0.7639 % BP Capital Markets 13/07.11.16 (US05565QCN60)... USD 7 000 % 99.7960 6 386 476.87 0.23 1.3771 % Glencore Funding 15/16.04.18 Reg S (XS1218431960)... USD 20 000 20 000 % 84.0000 15 358 876.61 0.56 0.9454 % Korea Development Bank 14/22.01.17 (US500630CB28)... USD 3 580 % 99.9690 3 271 888.87 0.12 3.4031 % Regal S.32/DB Capital Trust 10/30.06.16 MTN (XS0493072507)... USD 6 260 % 96.8909 5 545 077.59 0.20 3.3031 % Regal/DB Bank Capital 99/30.03.19 MTN S.17 (XS0095395819)... USD 5 323 % 96.6550 4 703 605.79 0.17 1.5431 % Royal Bank of Scotland Group 14/31.03.17 (US780099CF26)... USD 12 000 % 99.6760 10 935 081.32 0.40 13

Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR 0.9552 % Standard Chartered 15/17.04.18 Reg S (XS1219971857)... USD 14 300 14 300 % 98.9500 12 936 059.53 0.48 0.6406 % Sumitomo Mitsui Banking14/11.07.17 (US865622BK90)... USD 2 000 2 000 % 99.3440 1 816 443.14 0.07 0.9370 % Toronto-Dominion Bank 13/09.09.16 MTN (US89114QAL23)... USD 6 000 % 100.1150 5 491 621.18 0.20 0.8020 % Toronto-Dominion Bank 15/13.03.18 MTN (US89114QB239)... USD 16 000 16 000 % 99.2270 14 514 430.94 0.53 3.2290 % BW Bank Capital Funding Trust I 99/und. S.1 (USU122163020)... Count 2 000 EUR 790.0000 1 580 000.00 0.06 Securities admitted to or included in organized markets 223 028 982.71 8.19 Interest-bearing securities 1.0825 % American Express Credit 14/18.03.19 MTN (US0258M0DL06)... USD 7 000 % 99.6750 6 378 733.44 0.23 0.7806 % American Honda Finance 15/13.07.18 MTN (US02665WAX92)... USD 4 667 4 667 % 99.6960 4 253 688.71 0.16 1.5331 % AT & T 15/30.06.20 (US00206RCK68)... USD 4 200 4 200 % 98.4600 3 780 587.48 0.14 1.1955 % Bank of America 14/01.04.19 MTN (US06051GFE44)... USD 10 000 % 99.6130 9 106 808.19 0.33 1.3655 % Baxalta 15/22.06.18 144a (US07177MAH60). USD 16 665 16 665 % 99.7110 15 191 426.59 0.56 0.7841 % BP Capital Markets 15/13.02.18 (US05565QCW69)... USD 7 140 7 140 % 99.3020 6 481 960.45 0.24 0.4439 % Chevron 14/09.11.16 (US166764AJ95)... USD 4 670 % 99.8370 4 262 442.88 0.16 1.0695 % CW Bank of Australia 13/20.09.16 MTN Reg S (US2027A1GW19)... USD 8 500 % 100.2000 7 786 401.91 0.29 0.9020 % CW Bank of Australia 15/12.03.18 MTN Reg S (US2027A1HN01)... USD 13 650 13 650 % 99.4020 12 404 462.30 0.46 0.9755 % Enbridge 13/01.10.16 (US29250NAG07)... USD 1 750 % 100.1930 1 602 970.75 0.06 1.5623 % Glencore Funding 13/27.05.16 Reg S (XS0938722237)... USD 2 500 2 500 % 97.6000 2 230 693.98 0.08 1.3120 % Goldman Sachs Group 14/15.12.17 MTN (US38141EC493).................. USD 15 000 % 99.6370 13 663 503.47 0.50 1.0476 % Goldman Sachs Group 15/22.05.17 (US38148LAD82)... USD 9 100 9 100 % 99.8500 8 306 912.41 0.31 1.4744 % HSBC USA 13/24.09.18 (US40428HPK22).. USD 4 000 % 100.0860 3 660 020.30 0.13 1.1139 % HSBC USA 15/07.08.18 (US40428HPW69).. USD 7 150 7 150 % 99.6620 6 514 570.82 0.24 1.2714 % JPMorgan Chase & Co. 15/23.01.20 (US46625HKB59)... USD 15 000 15 000 % 100.0150 13 715 339.68 0.50 1.3844 % Macquarie Bank 14/24.03.17 MTN Reg S (US55608RAF73)... USD 4 300 % 99.9000 3 927 209.90 0.14 1.3031 % Nissan Motor Acceptance 13/26.09.16 Reg S (USU65478AJ57)... USD 3 000 % 100.1530 2 746 852.80 0.10 0.9720 % Royal Bank of Canada 15/06.03.20 MTN (US78012KCC99)... USD 15 000 15 000 % 98.4340 13 498 532.68 0.50 0.6732 % Siemens Financieringsmaatsch. 15/25.05.18 Reg S (USN82008AA63)... USD 15 000 15 000 % 99.4610 13 639 368.09 0.50 1.2641 % State Street 15/18.08.20 (US857477AR48).. USD 12 000 12 000 % 99.4240 10 907 435.34 0.40 0.8971 % Sumitomo Mitsui Banking 15/16.01.18 (US865622BP87)... USD 20 750 20 750 % 99.5490 18 884 486.16 0.69 0.7806 % Toyota Motor Credit 15/13.07.18 MTN (US89236TCR41)... USD 17 000 17 000 % 99.7720 15 506 285.25 0.57 1.3031 % UBS (Stamford Branch) 15/26.03.18 MTN (US90261XHJ46).................. USD 15 000 15 000 % 99.7810 13 683 250.60 0.50 0.8232 % Westpac Banking 15/25.05.18 (US961214CN14)... USD 12 000 12 000 % 99.3110 10 895 038.53 0.40 Unlisted securities 7 997 992.00 0.29 Interest-bearing securities 0.0000 % CSC Capital Funding 21.04.16 (XS1314335149)... EUR 8 000 8 000 % 99.9749 7 997 992.00 0.29 Investment fund units 7 946 845.12 0.29 In-group fund units 7 946 845.12 0.29 DGL - Deutsche Managed Euro Short Term Bond Fund (IE00B98GX142) (0.200%)... Count 498 498 EUR 10 046.8900 5 002 045.12 0.18 DWS Emerging Markets Bonds (Short) (LU0599900635) (0.600%)... Count 30 000 30 000 EUR 98.1600 2 944 800.00 0.11 Total securities portfolio 2 365 360 814.98 86.90 14

Deutsche Floating Rate Notes Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets ( / 000) amount in the reporting period EUR Derivatives Minus signs denote short positions Currency derivatives -1 496 553.42-0.05 Currency futures (short) Open positions USD/EUR 365.20 million... -1 496 553.42-0.05 Swaps 123 039.28 0.00 Credit default swaps Protection seller Airbus Group Finance / 100 BP (CSI) 20.03.16 (OTC)... EUR 15 000 26 249.52 0.00 Bank of America/100 BP (BNP) 20.06.16 (OTC)... EUR 10 000 41 035.28 0.00 JPMorgan Chase & Co. / 100 BP (BNP) 20.09.16 (OTC). EUR 10 000 55 754.48 0.00 Cash at bank 358 121 127.35 13.16 Demand deposits at Depositary EUR deposits... EUR 357 554 253.21 % 100 357 554 253.21 13.14 Deposits in other EU/EEA currencies... EUR 105.57 % 100 105.57 0.00 Deposits in non-eu/eea currencies Japanese yen... JPY 50 097.00 % 100 380.26 0.00 U.S. dollar... USD 619 532.53 % 100 566 388.31 0.02 Other assets 1 247 776.88 0.05 Interest receivable... EUR 1 217 794.93 % 100 1 217 794.93 0.04 Withholding tax claims... EUR 25.55 % 100 25.55 0.00 Other receivables... EUR 29 956.40 % 100 29 956.40 0.00 Receivables from share certificate transactions EUR 1 245 553.85 % 100 1 245 553.85 0.05 Total assets 1 2 726 098 312.34 100.16 Other liabilities -518 796.50-0.02 Liabilities from cost items... EUR -439 572.38 % 100-439 572.38-0.02 Additional other liabilities... EUR -79 224.12 % 100-79 224.12 0.00 Liabilities from share certificate transactions EUR -2 493 572.30 % 100-2 493 572.30-0.09 Net assets 2 721 589 390.12 100.00 Net asset value per unit Count/ Net asset value per unit and number of units outstanding currency in the respective currency Net asset value per unit Class LC... EUR 83.65 Class LD... EUR 83.60 Number of units outstanding Class LC... Count 30 048 904.644 Class LD... Count 2 487 910.000 Negligible rounding errors may have arisen due to the rounding of calculated percentages. 15

Deutsche Floating Rate Notes Maximum limit for the market risk exposure (according to CSSF circular 11/512) 2.00% vom Portfoliowert Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure... % 0.088 Highest market risk exposure... % 0.303 Average market risk exposure... % 0.177 The values-at-risk were calculated for the period from January 1, 2015, through December 31, 2015, using the VaR method of historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. Market risk is the risk to the fund s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.1, whereby the total of the nominal amounts of the derivatives in relation to the fund s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the Guidelines on ETFs and other UCITS issues of the European Securities and Markets Authority (ESMA) totaled EUR 369,631,419.80 as of the reporting date. Counterparties BNP Paribas S.A. London Branch; Citibank N.A. London Branch; Credit Suisse International; Deutsche Bank AG, Frankfurt/Main; Goldman Sachs International; HSBC Bank PLC; Merrill Lynch International Ltd.; Morgan Stanley & Co. International PLC Securities lending The following securities were transferred under securities loans at the reporting date: Security description Principal amount Securities loans Count, or Total market value in EUR Currency ( 000) Limited maturity Perpetual Total 0.3510 % BNP Paribas 15/15.01.20 MTN... EUR 1 000 998 020.00 0.5510 % BPCE 13/28.05.18 MTN... EUR 500 503 750.00 0.3490 % Caisse Ce. Desjardins Québec 15/20.01.20 MTN... EUR 15 700 15 618 203.00 0.3460 % CW Bank of Australia 15/21.01.20 MTN... EUR 7 500 7 463 925.00 0.2360 % Danske Bank 14/02.06.17 MTN... EUR 1 500 1 502 595.00 0.0000 % France 15/09.03.16... EUR 15 000 15 012 600.00 0.0000 % France 15/13.04.16... EUR 10 000 10 012 200.00 0.8020 % GE Capital European Funding 11/15.06.17 MTN... EUR 1 500 1 513 290.00 0.5670 % HBOS 07/21.03.17 MTN... EUR 4 000 3 990 000.00 0.0640 % Intesa Sanpaolo 07/18.05.17 MTN... EUR 1 500 1 495 095.00 0.3690 % National Australia Bank 14/25.03.19 MTN... EUR 1 000 1 000 660.00 0.4320 % Nationwide Building Society 15/11.02.18 MTN. EUR 1 000 1 001 250.00 0.2720 % Shell International Finance 15/15.09.19 MTN. EUR 1 000 998 600.00 0.2750 % Standard Chartered 14/13.06.17 MTN... EUR 2 500 2 500 450.00 0.3670 % Toronto-Dominion Bank 15/ 08.09.20 MTN... EUR 1 500 1 496 040.00 0.1490 % Toyota Motor Credit 15/20.07.18 MTN... EUR 1 000 994 950.00 0.5510 % Volkswagen Int. Finance 14/15.04.19 MTN... EUR 1 000 958 130.00 Total receivables from securities loans 67 059 758.00 67 059 758.00 Contracting parties for securities loans: BNP Paribas S.A. Arbitrage, Paris; Citigroup Global Markets Ltd., London; Crédit Suisse Securities (Europe) Ltd.; Deutsche Bank AG, Frankfurt/Main; J.P. Morgan Securities PLC; Morgan Stanley & Co. International PLC; Nomura International PLC Total collateral pledged by third parties for securities loans EUR 70 591 538.31 thereof: Bonds EUR 26 350 750.77 Equities EUR 44 240 787.53 16

Deutsche Floating Rate Notes Market abbreviations Futures exchanges OTC = Over the Counter Exchange rates (indirect quotes) As of December 30, 2015 Japanese yen.... JPY 131.743407 = EUR 1 U.S. dollar... USD 1.093830 = EUR 1 Notes on valuation The Management Company determines the net asset values per unit and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Management Company on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the fund prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the Management Company and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Investments reported in this report are valued to a small extent at derived market values. The management fee/all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes * This bond, which has a default guarantee provided by the federal state of Carinthia, is an issue of the former Hypo Alpe Adria International AG, which got into financial difficulties. The liabilities under this bond were transferred to Heta Asset Resolution AG ( Heta ) by means of a transfer arrangement on the basis of the Austrian Federal Act on the Creation of a Liquidation Entity. On March 1, 2015, Heta was placed under the authority of the Austrian Financial Market Authority (FMA), which, in its capacity as resolution authority, will conduct the orderly liquidation of Heta. In this context, a time-limited debt moratorium until the end of May 2016 was set for all debt securities, including interest, transferred to Heta. Against the backdrop of financial reports recently published by Heta showing a significant capital shortfall, an imminent decline in value and a haircut with the participation of creditors is to be expected for the Heta bonds. The extent of this haircut will be largely determined by recoverability and the successful enforceability of claims in connection with the existing default guarantee by the federal state of Carinthia. Depending on the course of further decisions or measures by the FMA and the Austrian government regarding the liquidation of Heta, in view of the default guarantee provided by the federal state of Carinthia all other available legal remedies will be reviewed in order to assert the interests of investors. Since March 2015, in the absence of an active market, the valuation of this bond is being conducted on the basis of a scenario-based and probability-based model. The assumptions made for this purpose, which are subject to regular monitoring and revision by the Management Company, take into account not only observable market data but also the guarantee for the bond provided by the state of Carinthia, among other factors. 1 Does not include positions with a negative balance, if such exist. 3 These securities are completely or partly lent as securities loans. 17

Deutsche Floating Rate Notes Transactions completed during the reporting period that no longer appear in the investment portfolio Purchases and sales of securities, investment fund units and promissory note loans (Schuldscheindarlehen); market classifications are as of the reporting date Count/ Count/ Purchases/ Sales/ Purchases/ Description currency Description currency additions disposals additions ( / 000) ( / 000) Sales/ disposals Securities traded on an exchange Interest-bearing securities 0.6870 % ABN AMRO Bank 15/06.03.19 Tr.7 MTN (XS1263143296)... EUR 12 000 12 000 0.3010 % ABN AMRO Bank 15/11.03.20 Tr.2 MTN (XS1295711797)... EUR 8 500 8 500 0.4140 % Achmea Bank 15/18.05.18 MTN Tr.3 (XS1281799418)... EUR 17 000 17 000 0.9850 % Agence Française Développem. 12/26.01.15 MTN (XS0737108984)... EUR 5 000 0.1750 % Air Liquide Finance 13/17.06.15 MTN (FR0011521111)... EUR 3 000 2.4350 % Allied Irish Banks 10/30.09.15 MTN (XS0545957432)... EUR 12 900 0.0910 % AYT Cedulas Cajas X 05/30.06.15 PF (ES0312342001)... EUR 10 000 0.7430 % Bank of Ireland 15/31.07.17 MTN (XS1313096601)... EUR 7 000 7 000 0.3010 % Banque Fédérative Crédit Mut. 13/22.07.15 MTN (XS0953526695)... EUR 4 000 0.3820 % Banque Fédérative Crédit Mut. 13/23.01.15 MTN (XS0879579349)... EUR 1 400 0.2650 % Banque Fédérative Crédit Mut. 14/04.08.15 MTN (XS1026097516)... EUR 5 000 0.2880 % Banque Fédérative Crédit Mut. 14/16.07.15 MTN (XS1015130096)... EUR 6 000 0.1950 % Barclays Bank 14/31.07.15 MTN (XS1068113346)... EUR 15 000 0.0960 % Bayerische Landesbank 03/11.11.15 IHS (XS0179749808)... EUR 2 700 0.0880 % Bayerische Landesbank 04/22.12.15 IHS (XS0197480147)... EUR 3 000 0.5770 % Bayerische Landesbank 10/07.12.15 S.3079 IHS (DE000BLB8CM5)... EUR 5 000 5 000 0.3650 % Belfius Bank 14/03.02.15 MTN (BE6262430133)... EUR 5 000 0.3970 % Belfius Bank 14/19.05.15 MTN (BE6266428349)... EUR 5 000 1.1870 % Berica 10 Residential MBS 11/30.11.55 S.10 Cl.A2 (IT0004778699)... EUR 25 000 0.1710 % BMW Finance 13/22.10.15 MTN (XS0984182294)... EUR 5 000 0.2220 % BMW Finance 13/29.05.15 MTN (XS0937999414)... EUR 3 000 0.1230 % BMW Finance 14/24.07.15 MTN (XS1020415342)... EUR 7 000 0.3280 % BNP Paribas 13/03.04.15 MTN (XS0910936003)... EUR 3 000 0.2760 % BNP Paribas 13/13.11.15 MTN (XS0993219970)... EUR 5 100 0.3260 % BNP Paribas 14/03.02.15 MTN (XS1024281294)... EUR 10 000 0.1370 % BNP Paribas 14/03.12.15 MTN Reg S (XS1147699679)... EUR 10 000 0.3820 % BPCE 13/10.03.15 MTN (FR0011564541)... EUR 4 000 0.5320 % BPCE 13/16.01.15 MTN (FR0011390970)... EUR 2 500 0.4110 % BPCE 13/23.10.15 MTN (FR0011603422)... EUR 3 000 0.3360 % BPCE SFH 12/26.10.15 MTN PF (FR0011348101)... EUR 3 000 0.0790 % Bpifrance Financement 14/30.06.16 MTN (FR0012006948)... EUR 10 000 0.4810 % Caisse Amortism. Dette Soc. 12/23.02.15 MTN (FR0011203850)... EUR 2 000 0.2790 % Cie. Financement Foncier 13/28.03.15 MTN PF (FR0011458843).. EUR 2 000 0.3860 % Citigroup 14/18.03.16 MTN (XS1043845103)... EUR 9 000 0.4790 % Crédit Agricole (London Br.) 12/14.01.15 MTN (XS0864870398)... EUR 6 000 0.3810 % Crédit Agricole (London Br.) 13/16.10.15 MTN (FR0011600006)... EUR 4 000 0.3670 % Crédit Agricole (London Br.) 13/28.08.15 MTN (XS0966074741)... EUR 6 800 1.2210 % Credit Suisse (London Branch) 12/02.02.15 MTN (XS0738689479)... EUR 1 000 0.2810 % Credit Suisse (London Branch) 13/19.01.15 MTN (XS0953949574)... EUR 3 000 0.1570 % Credit Suisse (London Branch) 14/02.12.15 MTN (XS1148027193)... EUR 15 000 0.1910 % Credit Suisse (London Branch) 14/12.08.15 MTN (XS1098411371)... EUR 10 000 0.3110 % Credit Suisse (London Branch) 14/24.02.15 MTN (XS1038608656)... EUR 7 000 0.3860 % CW Bank of Australia 12/17.09.15 MTN (XS0828754332)... EUR 3 000 0.3010 % Danske Bank 13/23.02.15 MTN (XS0963984686)... EUR 3 000 0.1660 % Danske Bank 14/16.11.15 MTN (XS1068097713)... EUR 5 000 0.1160 % DekaBank DGZ 03/14.08.15 Tr.26 IHS MTN (XS0174559665)... EUR 9 900 0.0640 % DekaBank DGZ 04/14.12.15 S.108 IHS MTN (XS0207412106)... EUR 6 600 0.0620 % DekaBank DGZ 04/16.12.15 Tr.93 IHS MTN (XS0201243267)... EUR 1 500 0.7630 % Deutsche Bank 04/20.09.16 MTN (DE0003933685)... EUR 7 000 22 852 0.3050 % Deutsche Bank 13/22.04.15 MTN (DE000DB5DDE2)... EUR 6 100 0.1920 % Deutsche Bank 13/28.05.15 MTN (DE000DB7XLL4)... EUR 3 500 0.2310 % Deutsche Bank 14/22.01.15 MTN (DE000DB7XKK8)... EUR 15 000 0.2280 % Dt. Apothek. u. Ärztebk. 13/02.09.15 MTN (XS0967767996)... EUR 3 000 1.1040 % ENEL 07/14.01.15 (IT0004292691)... EUR 3 800 1.0640 % ENI 09/29.06.15 S.0001 (IT0004503766)... EUR 14 000 0.8980 % Erste Abwicklungsanstalt 10/15.09.15 (DE000WLB6SG2)... EUR 1 000 6.8750 % Fiat Chrysler Finance Europe 09/13.02.15 MTN (XS0465889912)... EUR 25 000 0.0000 % France 14/09.12.15 (FR0122599485)... EUR 10 000 10 000 0.0000 % France 14/11.11.15 (FR0122599477)... EUR 10 000 10 000 0.0000 % France 14/18.02.15 (FR0122599345)... EUR 20 000 0.0000 % France 14/20.08.15 (FR0122411004)... EUR 10 000 10 000 0.0000 % France 14/22.01.15 (FR0122410980)... EUR 20 000 0.0000 % France 15/08.07.15 (FR0122775424)... EUR 20 000 20 000 0.0000 % France 15/16.12.15 (FR0123120125)... EUR 15 000 15 000 0.0000 % France 15/20.05.15 (FR0122775382)... EUR 15 000 15 000 0.0000 % France 15/30.09.15 (FR0122945902)... EUR 15 000 15 000 0.0000 % France 23.09.15 (FR0122945894)... EUR 20 000 20 000 0.0000 % France B.T.F. 14/25.02.15 (FR0122599394)... EUR 15 000 0.0000 % France B.T.F. 14/28.01.15 (FR0122599378)... EUR 10 000 0.0000 % French Republic 15/1.7.15 (FR0122775416)... EUR 10 000 10 000 0.2360 % GE Capital European Funding 13/25.09.15 MTN (XS0974821794)... EUR 4 000 0.2830 % Granite Mortgages 04-1 04/20.03.44 S.2 Cl.A2 (XS0184562816)... EUR 28 000 4.8750 % HBOS 03/20.03.15 (XS0165449736)... EUR 9 090 9 090 6.7500 % HeidelbergCement Finance Lux. 10/15.12.15 MTN (XS0520759803). EUR 6 990 6 990 0.2120 % Hermes X 05/18.09.39 Cl.A (XS0228806245)... EUR 9 400 0.2850 % HSBC Bank 05/30.09.20 MTN (XS0230370339)... EUR 15 750 18

Deutsche Floating Rate Notes Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals Description Count/ currency ( / 000) Purchases/ additions Sales/ disposals 0.2180 % HSBC Bank 13/21.05.15 MTN (XS0934338822)... EUR 1 000 0.4130 % HSH N Finance (Guernsey) 03/21.12.15 MTN (XS0162446354)... EUR 7 000 3.6250 % HSH Nordbank 05/23.12.15 E.10092 IHS (DE000HSH1LX9)... EUR 10 000 10 000 0.1290 % HSH Nordbank 05/30.12.15 MTN (XS0223792242)... EUR 15 000 0.6280 % HYPO NOE Gruppe Bank 13/02.04.15 MTN (XS0910524668)... EUR 2 000 0.3590 % HYPO-BANK BURGENLAND 00/30.11.15 (AT0000336623)... EUR 6 000 0.2890 % ING Bank 13/04.06.15 MTN (XS1000746724)... EUR 5 000 0.2840 % ING Bank 13/06.02.15 MTN (XS0958919341)... EUR 2 000 0.5310 % ING Groep 13/27.02.15 MTN (XS0966078908)... EUR 4 000 1.4980 % Intesa Sanpaolo 13/29.07.15 MTN (XS0880279491)... EUR 3 700 6 200 1.4300 % Intesa Sanpaolo Bank Ireland 13/30.03.15 MTN (XS0974639725)... EUR 8 000 0.0000 % Italy 14/31.12.14 (IT0005026965)... EUR 10 000 0.3820 % JPMorgan Chase & Co. 05/12.10.15 MTN (XS0231555672)... EUR 5 000 0.3320 % JPMorgan Chase 05/02.03.15 MTN (XS0213425308)... EUR 1 500 0.0410 % Landesbank Berlin 07/17.08.15 IHS S.333 (DE000LBB0YR5)... EUR 2 345 0.1060 % LB Baden-Württemberg 04/08.12.15 S.216 IHS MTN (XS0191369650)... EUR 2 000 0.1130 % LB Baden-Württemberg 04/18.12.15 MTN (XS0185464269)... EUR 8 750 0.0890 % LB Baden-Württemberg 04/30.12.15 S.234 IHS MTN (XS0196507668)... EUR 3 000 0.0270 % LB Baden-Württemberg 05/01.12.15 R.61 IHS (DE000A0BU154)... EUR 2 000 0.0970 % LB Hessen-Thüringen 05/15.06.15 S.H174 IHS MTN (DE000A0EPK33)... EUR 2 000 0.7960 % LB Hessen-Thüringen 06/08.12.16 S.H192 IHS MTN (XS0278214563)... EUR 1 500 12 950 0.1570 % LBBW Dublin Management 04/02.11.15 MTN (XS0197937294)... EUR 4 500 9 500 0.0910 % LBBW Dublin Management 05/30.06.15 MTN (XS0223751990)... EUR 7 000 0.2370 % Lloyds Bank 13/10.09.15 MTN (XS0969669547)... EUR 5 300 0.2820 % Lloyds Bank 13/14.10.15 MTN (XS0982246372)... EUR 2 500 0.2180 % Lloyds Bank 13/24.07.15 MTN (XS0955044184)... EUR 2 000 0.2460 % Macquarie Bank 15/20.07.17 S.AUG MTN (XS1270850487)... EUR 12 000 12 000 0.2150 % Mercedes-Benz Australia/Pacific 13/11.12.15 MTN (XS1004127053)... EUR 10 000 0.1420 % Mercedes-Benz Japan 15/15.06.18 MTN Tr.2 (XS1247539965)... EUR 12 000 12 000 0.5350 % Mondelez International 13/11.06.15 (XS1003241996)... EUR 9 380 0.0880 % Münchener Hypothekenbk. 05/07.07.15 S.183 IHS (DE000A0EY1G6)... EUR 4 000 0.1810 % Münchener Hypothekenbk. 13/23.03.15 S.1630 IHS MTN (DE000MHB9213)... EUR 1 700 0.1950 % Nederlandse Waterschapsbank 11/25.05.15 MTN (XS0630460433)... EUR 1 500 0.7500 % Netherlands 12/15.04.15 (NL0010055703)... EUR 25 000 0.1310 % Norddt. Landesbank 03/22.10.15 IHS MTN (DE0007840670)... EUR 3 000 0.5780 % Nordea Bank Finland 12/17.02.15 MTN PF (XS0747497047)... EUR 6 000 0.6710 % Pohjola Pankki 12/28.06.15 MTN (XS0797165700)... EUR 1 000 0.1610 % Pohjola Pankki 15/11.03.20 Tr.9 MTN (XS1243394720)... EUR 7 000 7 000 0.1230 % QNB Finance 14/23.12.15 MTN (XS1157670115)... EUR 10 000 0.1120 % Rabobank 09/30.10.15 MTN (XS0455699263)... EUR 6 000 0.3860 % Raiffeisen Bank International 13/17.09.15 MTN (XS0972288681)... EUR 6 000 0.5810 % Raiffeisen Bank International 13/19.03.15 MTN (XS0903449865)... EUR 8 000 0.5310 % Royal Bank of Scotland 10/24.03.15 (NL0009349208)... EUR 4 743 0.5290 % Société Générale 13/14.01.15 MTN (XS0872763841)... EUR 4 100 0.6480 % Société Générale 13/18.01.16 MTN (XS0876474809)... EUR 18 000 0.4810 % Société Générale 13/23.10.15 MTN (XS0920910824)... EUR 4 600 0.2920 % Societe Generale 13/27.05.15 MTN (XS0867616459)... EUR 5 000 0.3170 % Standard Chartered 13/02.12.15 MTN (XS0998509490)... EUR 7 300 0.4020 % Standard Chartered Bank 13/15.01.15 MTN Reg S (XS0874863201)... EUR 500 0.8860 % Storm 10/22.09.52 S.3 Cl.A1 (XS0537415761)... EUR 3 000 0.3860 % Suncorp-Metway 13/05.09.15 MTN (XS0968979442)... EUR 4 000 0.6300 % Telecom Italia 04/23.11.15 MTN (XS0205352379)... EUR 16 500 16 500 1.8650 % Telefonica Emisiones 09/02.06.15 MTN (XS0430779537)... EUR 3 500 3 500 0.2540 % UniCredit 05/18.02.15 MTN (XS0212401920)... EUR 17 000 24 000 1.5480 % UniCredit 13/24.07.15 MTN (XS0955112528)... EUR 4 000 0.3430 % Volkswagen Bank 13/08.04.15 MTN (XS0912109161)... EUR 2 000 0.4290 % Volkswagen Bank 13/14.01.15 MTN (XS0873252968)... EUR 2 000 0.2040 % Volkswagen Bank 14/17.07.15 IHS MTN (XS1016801422)... EUR 5 000 2.1250 % Volkswagen Int. Finance 12/19.01.15 MTN (XS0731679907)... EUR 10 000 0.4320 % Volvo Treasury 14/15.01.15 MTN (XS1015048165)... EUR 9 000 0.3660 % Volvo Treasury 14/15.11.15 MTN (XS1067933793)... EUR 7 000 0.0960 % Westpac Banking 14/21.01.16 MTN (XS1016625193)... EUR 5 000 3.2266 % CLASS/DB CapFT 09/und. MTN (XS0423470276)... USD 2 860 3.1401 % EARLS Eight /DB CapFT 09/30.06.15 S.496 CLN (XS0425020814)... USD 2 090 0.9356 % Royal Bank of Scotland 05/09.03.15 (XS0213858243)... USD 30 000 30 000 Unlisted securities Interest-bearing securities 0.3400 % Vesteda Residential Funding II 05/20.07.17 CI.A4 (XS0224131473).. EUR 2 500 Investment fund units In-group fund units Deutsche Institutional Yield (LU0224902659) (0.100%)... Count 1 800 19

Deutsche Floating Rate Notes Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Futures contracts Currency futures Value ( 000) Futures contracts to sell currencies USD/EUR EUR 886 577 Swaps (total amount of opening transactions) Credit default swaps Protection seller EUR 16 500 (Underlyings: HSBC Bank / 100 BP (BNP) 20.12.15, Volkswagen AG / 100 BP (BNP) 20.09.15) Securities loans (total transactions, at the value agreed at the closing of the loan contract) Value ( 000) Perpetual EUR 709 619 Security description: 0.3360 % A.N.Z. Banking Group 14/28.10.19 MTN (XS1130526780), 0.5330 % Abbey National Trea. Serv. 14/22.05.19 MTN (XS1070235004), 0.2890 % Abbey National Trea. Serv. 14/27.01.16 MTN (XS1023278887), 0.1510 % ABN AMRO Bank 15/14.01.17 MTN (XS1165435089), 0.2810 % American Honda Finance 15/11.03.19 MTN (XS1288342147), 0.3460 % ANZ New Zealand (Intl.) (Ldn. Br.) 13/05.12.16 MTN (XS1000337128), 0.3570 % ASB Finance (London Branch) 14/03.07.17 MTN (XS1083312675), 0.4620 % AT & T 14/04.06.19 (XS1144084099), 0.3760 % B.A.T. International Finance 14/06.03.18 MTN (XS1043096400), 0.8690 % Bank of China15/30.06.18 MTN (XS1253376518), 0.4190 % Banque Fédérative Crédit Mu. 13/22.03.16 MTN (XS0906823777), 0.1490 % BMW US Capital 15/20.04.18 MTN (DE000A1ZZ002), 0.4580 % BNP Paribas 14/20.05.19 MTN (XS1069282827), 0.3510 % BNP Paribas 15/15.01.20 MTN (XS1167154654), 0.3860 % BNZ Int. Funding (London Br.) 14/02.12.19 MTN (XS1145855646), 0.6480 % BPCE 13/18.01.16 MTN (FR0011391853), 0.0840 % BPCE 15/10.03.17 MTN (FR0012601342), 0.2080 % Caterpillar International Finance 13/23.05.16 MTN (XS0934041731), 0.1990 % Caterpillar International Finance 14/27.09.17 MTN (XS1071374679), 1.3270 % Citigroup 04/10.02.19 (XS0185490934), 0.4770 % Citigroup 14/11.11.19 MTN (XS1135549167), 0.3670 % Crédit Agricole (London Br.) 13/28.08.15 MTN (XS0966074741), 0.3060 % Crédit Agricole (London Br.) 14/28.01.16 MTN (XS1023317966), 0.1910 % Credit Suisse (London Branch) 14/12.08.15 MTN (XS1098411371), 0.4010 % Credit Suisse (London Branch) 14/16.10.19 MTN (XS1121919333), 0.2590 % Credit Suisse (London Branch) 14/19.02.16 MTN (XS1033927648), 0.2470 % Credit Suisse (London Branch) 15/22.07.16 MTN (XS1173844389), 0.3860 % CW Bank of Australia 12/17.09.15 MTN (XS0828754332), 0.3460 % CW Bank of Australia 15/21.01.20 MTN (XS1170317645), 0.2540 % Daimler 13/07.10.16 MTN (DE000A1TNK78), 0.2810 % Danone 15/14.01.20 MTN (FR0012432904), 0.2470 % Deutsche Bahn Finance 14/23.07.20 MTN (XS1089831249), 0.3050 % Deutsche Bank 13/22.04.15 MTN (DE000DB5DDE2), 0.5010 % Deutsche Bank 14/15.04.19 MTN (DE000DB7XHM0), 0.3190 % DH Europe Finance 15/30.06.17 (XS1255435379), 0.2710 % DNB Bank 15/13.01.20 MTN (XS1165750198), 0.7710 % ENEL 10/26.02.16 (IT0004576994), 1.0640 % ENI 09/29.06.15 S.0001 (IT0004503766), 0.2190 % Erste Abwicklungsanstalt 12/15.08.16 MTN (DE000EAA0CH3), 0.0000 % France 14/09.12.15 (FR0122599485), 0.0000 % France 14/11.11.15 (FR0122599477), 0.0000 % France 14/18.02.15 (FR0122599345), Securities loans (total transactions, at the value agreed at the closing of the loan contract) 0.0000 % France 14/20.08.15 (FR0122411004), 0.0000 % France 14/22.01.15 (FR0122410980), 0.0000 % France 15/08.07.15 (FR0122775424), 0.0000 % France 15/16.12.15 (FR0123120125), 0.0000 % France 15/20.05.15 (FR0122775382), 0.0000 % France 15/30.09.15 (FR0122945902), 0.0000 % France 23.09.15 (FR0122945894), 0.0000 % France B.T.F. 14/25.02.15 (FR0122599394), 0.0000 % France B.T.F. 14/28.01.15 (FR0122599378), 0.0000 % French Republic 15/1.7.15 (FR0122775416), 0.8020 % GE Capital European Funding 11/15.06.17 MTN (XS0626808223), 0.3260 % GE Capital European Funding 15/21.01.20 MTN (XS1169331367), 0.6840 % Goldman Sachs Group 14/29.10.19 MTN (XS1130101931), 0.5910 % Goldman Sachs Group 15/29.05.20 MTN (XS1240146891), 0.6870 % HBOS 04/01.09.16 MTN (XS0192560653), 0.5670 % HBOS 07/21.03.17 MTN (XS0292269544), 0.2890 % ING Bank 13/04.06.15 MTN (XS1000746724), 0.3180 % ING Bank 14/20.11.19 MTN (XS1143001102), 1.2520 % Intesa Sanpaolo 13/11.01.16 MTN (XS1002250428), 1.4980 % Intesa Sanpaolo 13/29.07.15 MTN (XS0880279491), 0.9980 % Intesa Sanpaolo 14/17.04.19 MTN (XS1057822766), 0.9220 % Intesa Sanpaolo 15/15.06.20 MTN (XS1246144650), 0.2970 % Intesa Sanpaolo Bank Ireland 15/09.03.16 MTN (XS1196645607), 0.3470 % John Deere Bank 14/19.03.19 MTN (XS1046499981), 0.2820 % JPMorgan Chase & Co. 13/03.05.16 MTN (XS0926823070), 0.5290 % JPMorgan Chase & Co. 14/07.05.19 MTN (XS1064100115), 0.3080 % JPMorgan Chase & Co. 14/19.02.17 MTN (XS1034975588), 0.7960 % LB Hessen-Thüringen 06/08.12.16 S.H192 IHS MTN (XS0278214563), 0.3970 % Macquarie Bank 14/24.04.16 MTN (XS1060729065), 0.3510 % Morgan Stanley 06/13.04.16 MTN (XS0250971222), 0.3710 % Morgan Stanley 07/16.01.17 MTN (XS0282583722), 0.6090 % Morgan Stanley 14/19.11.19 MTN (XS1139320151), 0.3690 % National Australia Bank 14/25.03.19 MTN (XS1048519836), 0.2310 % National Australia Bank 15/16.01.18 MTN (XS1167324596), 0.7500 % Netherlands 12/15.04.15 (NL0010055703), 0.1760 % Nordea Bank 15/05.06.20 MTN (XS1242968979), 0.1410 % Rabobank 15/13.01.17 MTN (XS1166328374), 0.3610 % Royal Bank of Canada 15/06.08.20 MTN (XS1272154565), 0.1140 % Sanofi 14/10.09.18 MTN (FR0012146751), 0.2720 % Shell International Finance 15/15.09.19 MTN (XS1292468987), 0.6180 % Soc. Autoroutes Paris-Rhin-Rhône 14/31.03.19 MTN (FR0011884899), 0.2920 % Societe Generale 13/27.05.15 MTN (XS0867616459), 0.2190 % Societe Generale 14/28.03.16 MTN (XS0867620303), 0.2210 % Société Générale 15/16.01.17 MTN (XS1166629490), 0.2750 % Standard Chartered 14/13.06.17 MTN (XS1077632013), 0.4140 % Swedbank 15/18.08.20 MTN (XS1277337678), 0.2100 % Syngenta Finance 14/02.10.17 MTN (XS1050454765), 0.3670 % Toronto-Dominion Bank 15/ 08.09.20 MTN (XS1287714502), 0.1670 % Total Capital International 14/19.03.20 MTN (XS1139316555), 0.1490% Toyota Motor Credit 15/20.07.18 MTN (XS1171489476), 0.2540 % UniCredit 05/18.02.15 MTN (XS0212401920), 0.9090 % UniCredit 15/19.02.20 MTN (XS1169707087), 0.5510 % Volkswagen Int. Finance 14/15.04.19 MTN (XS1057486471), 1.5220 % Bank of Tokyo-Mitsubishi 15/14.09.18 Reg S (USJ04306AB22), 1.3771 % Glencore Funding 15/16.04.18 Reg S (XS1218431960), 1.2714 % JPMorgan Chase & Co. 15/23.01.20 (US46625HKB59), 1.3844 % Macquarie Bank 14/24.03.17 MTN Reg S (US55608RAF73) Value ( 000) Repurchase agreements (total transactions, at the value agreed at the closing of the repurchase agreements) Value ( 000) Purchased under repurchase agreements EUR 157 546 (Underlyings: Bank of Ireland 12/19.12.22 MTN, Caterpillar International Finance 14/27.09.17 MTN, Comunidad Autónoma de Madrid 15/30.04.25, German Postal Pensions 2 06/18.01.22 Cl.C) Sold under repurchase agreements EUR 1 056 (Underlyings: Erste Abwicklungsanstalt 12/15.08.16 MTN) 20

Deutsche Floating Rate Notes Statement of income and expenses (incl. income adjustment) for the period from January 1, 2015, through December 31, 2015 I. Income 1. Interest from securities (before withholding tax)... EUR 12 620 209.35 2. Interest from investments of liquid assets (before withholding tax)... EUR 123 136.46 3. Income from investment certificates... EUR 110 958.05 4. Income from securities lending and repurchase agreements... EUR 615 327.28 thereof: from securities lending...eur 597 106.08 from repurchase agreements...eur 18 221.20 5. Deduction for foreign withholding tax... EUR -4 284.18 6. Other income.................................. EUR 236 452.08 Total income... EUR 13 701 799.04 II. Expenses 1. Interest on borrowings and negative interest on deposits... EUR -8 353.66 2. Management fee... EUR -6 231 602.35 thereof: All-in fee...eur -6 231 602.35 3. Other expenses... EUR -488 929.60 thereof: Performance-based fee from securities lending...eur -238 842.80 Performance-based fee from repurchase agreements...eur -7 265.54 Expenses for legal and consulting costs...eur -27 317.34 Taxe d abonnement...eur -215 503.92 Total expense ratio / Transaction costs BVI total expense ratio (TER) The total expense ratios for the unit classes were: Class LC 0.24% p.a., Class LD 0.22% p.a. The TER expresses total expenses and fees (excluding transaction costs) as a percentage of a fund s average net assets in relation to the respective unit class for a given fiscal year. In addition, the interest income from securities lending resulted in a performance-based fee of: Class LC 0.009%, Class LD 0.008% of the average net asset value of the respective unit class. Transaction costs The transaction costs paid in the reporting period amounted to EUR 872.80. The transaction costs include all costs that were reported or settled separately for the account of the fund in the reporting period and are directly connected to the purchase or sale of assets. Any financial transaction taxes which may have been paid are included in the calculation. Total expenses... EUR -6 728 885.61 III. Net investment income... EUR 6 972 913.43 IV. Sale transactions 1. Realized gains... EUR 18 447 162.15 2. Realized losses... EUR -35 447 878.33 Capital gains/losses... EUR -17 000 716.18 V. Realized net gain/loss for the fiscal year... EUR -10 027 802.75 1. Net change in unrealized appreciation... EUR 28 828 288.59 2. Net change in unrealized depreciation... EUR -25 224 043.33 VI. Unrealized net gain/loss for the fiscal year... EUR 3 604 245.26 VII. Net gain/loss for the fiscal year... EUR -6 423 557.49 Note: the net change in unrealized appreciation (depreciation) is calculated by subtracting the total of all unrealized appreciation (depreciation) at the end of the fiscal year from the total of all appreciation (depreciation) at the beginning of the fiscal year. Total unrealized appreciation (depreciation) includes positive (negative) differences resulting from the comparison of the values recognized for the individual assets as of the reporting date with their respective acquisition costs. Unrealized appreciation/depreciation is shown without income adjustment. 21

Deutsche Floating Rate Notes Statement of changes in net assets for the fund I. Value of the fund s net assets at the beginning of the fiscal year... EUR 2 186 610 497.50 1. Distribution for the previous year... EUR -9 851.24 2. Net inflows... EUR 539 559 785.23 a) Inflows from subscriptions... EUR 1 856 105 229.97 b) Outflows from redemptions... EUR -1 316 545 444.74 3. Income adjustment... EUR 1 852 516.12 4. Net gain/loss for the fiscal year... EUR -6 423 557.49 thereof: Net change in unrealized appreciation... EUR 28 828 288.59 Net change in unrealized depreciation... EUR -25 224 043.33 II. Value of the fund s net assets at the end of the fiscal year... EUR 2 721 589 390.12 Summary of the gains/losses Realized gains (incl. income adjustment)... EUR 18 447 162.15 from: Securities transactions... EUR 7 041 602.59 (Forward) currency transactions... EUR 11 330 026.03 Swap transactions... EUR 75 533.53 Realized losses (incl. income adjustment)... EUR -35 447 878.33 from: Securities transactions... EUR -2 010 574.85 (Forward) currency transactions... EUR -33 298 400.51 Swap transactions... EUR -138 902.97 Details on the distribution policy * Class LD: Type As of Currency Per unit Final distribution Marach 4, 2016 EUR 0.21 Class LC: The income for the fiscal year is reinvested. * Additional information is provided in the sales prospectus. Changes in net assets and in the net asset value per unit over the last three years Net assets at the end of the fiscal year 2015..................................... EUR 2 721 589 390.12 2014..................................... EUR 2 186 610 497.50 2013..................................... EUR 1 251 758 807.79 Net asset value per unit at the end of the fiscal year 2015 Class LC... EUR 83.65 Class LD... EUR 83.60 2014 Class LC... EUR 83.78 Class LD... EUR 83.78 2013 Class LC... EUR 83.33 Class LD... EUR - Net change in unrealized appreciation/depreciation... EUR 3 604 245.26 from: Securities transactions... EUR 2 424 876.26 (Forward) currency transactions... EUR 1 052 139.52 Swap transactions... EUR 127 229.48 Swap transactions may include results from credit derivatives. Transactions processed for the account of the fund s assets via closely related companies (based on major holdings of the Deutsche Bank Group) The share of transactions conducted for the account of the fund s assets via brokers that are closely related companies and persons (share of 5% and above), amounted to 6.63% of all transactions. The total volume was EUR 107,754,605.51. 22

KPMG issued an unqualified audit opinion for the full annual report. The translation of the report of the Réviseur d Entreprises agréé (the independent auditor s opinion) is as follows: KPMG Luxembourg, Société coopérative Tel: +352 22 51 51 1 39, Avenue John F. Kennedy Fax: +352 22 51 71 1855 Luxembourg, Luxembourg Email: info@kpmg.lu Internet: www.kpmg.lu REPORT OF THE RÉVISEUR D ENTREPRISES AGRÉÉ To the unitholders of Deutsche Floating Rate Notes We have audited the accompanying financial statements of Deutsche Floating Rate Notes, which comprise the statement of net assets, the statement of investments in the securities portfolio and other net assets as of December 31, 2015, the statement of income and expenses and the statement of changes in net assets for the fiscal year then ended, as well as a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Management Board of the Management Company for the financial statements The Management Board of the Management Company is responsible for the preparation and proper overall presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of financial statements and for the internal controls considered necessary to enable the financial statements to be prepared such that they are free from material misstatement, irrespective of whether this is due to fraud or error. Responsibility of the Réviseur d Entreprises agréé Our responsibility is to express an opinion on these annual accounts based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted by the Commission de Surveillance du Secteur Financier for Luxembourg. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the annual accounts are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the annual accounts. The audit measures are chosen at the discretion of the approved auditors, as is the assessment of the risk that the annual financial statements contain significant misstatements on account of errors or infringements. In making those risk assessments, the Réviseur d Entreprises agréé considers internal control relevant to the entity s preparation and proper overall presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of evaluating the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Management Board of the Management Company, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. KPMG Luxembourg, Société coopérative, a Luxembourg entity and T.V.A. LU 27351518 a member firm of the KPMG network of independent member firms affiliated with R.C.S. Luxembourg B 149133 KPMG International Cooperative ( KPMG International ), a Swiss entity 24

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

Management Company Supervisory Board (since May 1, 2015) Management Board (since May 1, 2015) Deutsche Asset & Wealth Management Investment S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg Equity capital as of December 31, 2015: EUR 251.7 million before profit appropriation At the extraordinary general meeting of DWS Investment S.A. on April 24, 2015, a resolution was passed to change the name of the company to Deutsche Asset & Wealth Management Investment S.A. effective May 1, 2015. Furthermore, it was decided to change over from the single-tier organizational structure in place up to that point to a dual organizational structure. On the basis of this resolution, the Management Board, under the supervision of the Supervisory Board, has been responsible for operational management since May 1, 2015. Board of Directors (until April 30, 2015) Holger Naumann Chairman Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Heinz-Wilhelm Fesser DWS Investment S.A., Luxembourg Holger Naumann Chairman Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Nathalie Bausch Deutsche Bank Luxembourg S.A., Luxembourg Reinhard Bellet Deutsche Bank AG, Frankfurt/Main Marzio Hug Deutsche Bank AG, London Stefan Kreuzkamp (since February 1, 2016) Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Dr. Boris N. Liedtke (until December 31, 2015) Deutsche Bank Luxembourg S.A., Luxembourg Dr. Matthias Liermann Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Dr. Asoka Wöhrmann (until December 31, 2015) Deutsche Bank AG, Frankfurt/Main Management (until April 30, 2015) Dirk Bruckmann (since January 14, 2016) Chairman Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Manfred Bauer (until December 31, 2015) Deutsche Bank AG, Frankfurt/Main Ralf Rauch Deutsche Asset & Wealth Management Investment S.A., Luxembourg Martin Schönefeld Deutsche Asset & Wealth Management Investment S.A., Luxembourg Barbara Schots Deutsche Asset & Wealth Management Investment S.A., Luxembourg Auditor KPMG Luxembourg Société coopérative 39, Avenue John F. Kennedy 1855 Luxembourg, Luxembourg Depositary Marzio Hug Deutsche Bank AG, London Dr. Boris N. Liedtke Deutsche Bank Luxembourg S.A., Luxembourg Dr. Matthias Liermann Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Klaus-Michael Vogel DWS Investment S.A., Luxembourg Dr. Asoka Wöhrmann Deutsche Asset & Wealth Management Investment GmbH, Frankfurt/Main Klaus-Michael Vogel DWS Investment S.A., Luxembourg Manfred Bauer DWS Investment S.A., Luxembourg Markus Kohlenbach DWS Investment S.A., Luxembourg Doris Marx DWS Investment S.A., Luxembourg Ralf Rauch DWS Investment S.A., Luxembourg Martin Schönefeld DWS Investment S.A., Luxembourg Until April 22, 2015: State Street Bank Luxembourg S.A. 49, Avenue J. F. Kennedy 1855 Luxembourg, Luxembourg Since April 23, 2015: State Street Bank Luxembourg S.C.A. 49, Avenue J. F. Kennedy 1855 Luxembourg, Luxembourg Fund Manager Deutsche Asset & Wealth Management Investment GmbH Mainzer Landstraße 11-17 60329 Frankfurt/Main, Germany Sales, Information and Paying Agent LUXEMBOURG Deutsche Bank Luxembourg S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg As of: February 29, 2016

Deutsche Asset & Wealth Management Investment S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg Tel.: +352 4 21 01-1 Fax: +352 4 21 01-9 00