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MORGAN GRENFELL
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INVESTMENT TRUST
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SEMI-ANNUAL REPORT
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UNAUDITED
APRIL 30, 1996
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Dear Fellow Shareholder:
On behalf of the Board of Trustees of the Morgan Grenfell Investment Trust, I
would like to express our appreciation for your continued support of our mutual
funds. It remains our goal to provide a broad range of funds, each with
specialist management teams delivering strong investment results.
The performance for each of our funds for the six month period ended April 30,
1996 is described in the pages that follow. This period was very challenging for
fixed income investments as interest rates rose in the U.S. and abroad during
this time. Our domestic and international funds performed well in this difficult
environment, generally adding value relative to their benchmark indices.
Investment opportunities were attractive in the U.S. and international equity
markets, particularly the smaller capitalization sectors. Both the emerging debt
and equity markets were also rewarding during this period.
Total aggregate assets in our funds grew to over $1.3 billion. We continue to
search for ways to further enhance our shareholders' value by offering new funds
to provide greater flexibility and diversification. Again, thank you for your
support and trust.
Sincerely,
/s/ JAMES E. MINNICK
James E. Minnick
President,
Morgan Grenfell Investment Trust
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TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND
PERFORMANCE................................ 5
SCHEDULE OF INVESTMENTS....................... 12
STATEMENT OF ASSETS AND LIABILITIES........... 44
STATEMENT OF OPERATIONS....................... 46
STATEMENT OF CHANGES IN NET ASSETS............ 48
FINANCIAL HIGHLIGHTS.......................... 51
NOTES TO FINANCIAL STATEMENTS................. 53
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
MUNICIPAL BOND FUND
Since the Fund's inception in December 1991, we have sought to provide
shareholders with a high level of federally tax exempt income consistent with
the preservation of capital, without investing exclusively in long term bonds in
order to obtain that high level of income. We have focused on purchasing issues
with intermediate maturities and early retirement features, such as sinking
funds and prepayment bond calls.
Over the last six months, bond prices have declined due to rising interest
rates. Nevertheless, the Fund was able to generate a positive total investment
return, as the income received exceeded the decline in principal value. For the
six month period ended April 30, 1996, the Morgan Grenfell Municipal Bond Fund
provided a total return of 2.42%. For comparison, the Lehman Brothers seven year
General Obligations Bond Index posted a return of 1.14% over the same period.
We believe that bonds with sinking fund retirements and mortgage prepayment
calls continue to offer attractive opportunities.
FIXED INCOME FUND
Since the Fund's inception in September 1992, we have sought to provide
shareholders with a high level of income consistent with the preservation of
capital. U.S. Treasury, corporate, mortgage backed, taxable municipal and tax
exempt municipal bonds are all analyzed for possible inclusion in the portfolio.
Relative value assessments are based on relative credit worthiness and cash flow
structure to price. Industry and sector weightings are subordinated to the
evaluation of individual bonds.
For the six month period ended April 30, 1996, the Morgan Grenfell Fixed
Income Fund provided a total return of 0.78%. For comparison, the Lehman
Brothers Aggregate Bond Index posted a return of 0.52% over the same period.
During the period, interest rates rose as the U.S. economy slowed. Yields of
five-year U.S. Treasury Notes rose from 5.8% to 6.4% causing bond prices to
fall.
The credit quality of the portfolio was strong with 62% of the portfolio
rated AAA and 72% AA or better. We continue to exercise caution in the corporate
and mortgage-backed sectors, having been concerned about a lack of supply
causing the yield spreads over the U.S. Treasury bonds to be too narrow.
SHORT-TERM
MUNICIPAL BOND FUND
The Morgan Grenfell Short-Term Municipal Bond Fund was opened on March 6,
1995. Since that time, we have acquired a diversified portfolio of short-term
municipal securities with a very short duration. Over the last six months, the
Fund generated a total return of 2.47%. For comparison, the IBC/Donoghue Total
Tax-Free Average posted a return of 1.54% over the same period. This return was
achieved by investing in bonds providing a high level of tax-free income, with
limited price volatility due to their short durations.
5
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
SHORT-TERM
FIXED INCOME FUND
The Morgan Grenfell Short-Term Fixed Income Fund was opened on March 13,
1995. In the brief period the Fund has been publicly offering its shares, we
have been purchasing short-term investment grade securities. Over the last six
months, the Fund generated a total return of 2.56%. For comparison, the Merrill
Lynch 182 Day Treasury Index posted a return of 2.68% over the same period. This
return was achieved by investing in short-term bonds providing a high level of
income, with limited price volatility due to their short durations.
SMALLER COMPANIES FUND
The Smaller Companies Fund had net assets of $3.8 million as of April 30,
1996. The investment objective of this Fund is to maximize capital appreciation
by investing in equity securities of small capitalization companies located
primarily in the United States. Small companies are defined as those companies
ranked according to market capitalization in the bottom 20% of the Wilshire 5000
Index.
For the six months ending April 30, 1996 the Fund was up 24.01% versus the
S&P Small Cap 600 Index which gained 18.11%. The Fund achieved gains virtually
across all economic sectors.
The Smaller Companies Fund utilizes a team approach with three portfolio
managers/ analysts researching the universe for the best investment ideas. This
process allows for expertise across all economic sectors thus optimizing the
research function and enabling a system of control. Along with research and
portfolio management, the team includes a specialized small company trading
capability to maximize our execution strategy.
Since the beginning of February, small-cap stocks have provided stock
market leadership relative to large-cap stocks, i.e. the S&P Small Cap 600 Index
gained almost 10% by April 30th vs. a modest decline by the S&P 500. This shift
in leadership is expected to continue as investors focus on the superior growth
prospects of many U.S. smaller companies.
The structure of the U.S. economy, with its high level of entrepreneurial
activity and venture capital backing, is expected to continue to provide
investors with many attractive investment opportunities as early stage private
companies transition to public ownership.
INTERNATIONAL EQUITY FUND
The International Equity Fund commenced operations on May 15, 1995 and had
total net assets of $3.4 million as of April 30, 1996.
The Fund's investment objective is to maximize capital appreciation by
investing in equity securities of companies located in countries other than the
United States. In general, the Fund invests in medium to large capitalization
companies, many of them household names.
In the period October 31, 1995 to April 30, 1996, the six months covered by
this report, the Fund has returned 13.84%. During this period, most major world
stock markets have performed strongly and the Fund's benchmark (Morgan Stanley
EAFE Index) has returned 13.09%. The most notable exception to this has been the
United Kingdom which returned 5.98%. Concerns have grown that with economic
activity picking up, the risks for
6
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increasing interest rates and inflation are growing. Additionally, investors are
starting to discount the negative market impact that a change in political party
is likely to have if Labor Party wins the next general election.
In Continental Europe, the emphasis on the peripheral markets, especially
Scandinavia, has been moderated. Investment has been increased in France and
Germany, primarily in consumer related industries and in Holland where the
preference is for quality "Blue Chip" names. Economies in the DM Bloc have been
particularly weak, exacerbated by their desire to meet the Maastricht criteria
for European Union. The weak economic data in Germany has allowed the Bundesbank
to cut rates to extremely low levels, and this could result in a stronger
economy later in the year.
The investment markets of the Pacific-basin ex Japan have been volatile
during the period under review. This has largely been as a result of the
heightened tension between China and Taiwan and concerns over investment in the
region. However, markets have performed strongly reflecting the attractive
earnings growth for the region (15%) and historically attractive PE multiples.
We remain overweight in these markets despite short term concerns related to the
forthcoming Most Favoured Nation status renegotiation between the U.S. and
China.
In Japan the market has performed strongly after the weakness of the
previous six months. Action has been taken to stimulate the economy, evidenced
by the strong liquidity injections into the financial system (interest rates are
effectively zero). This has led to increasing signs that the Japanese economy
appears to be recovering decisively from its deepest post-war slump. Encouraging
consumer spending data and a firm upward trend in industrial production are
feeding through to a strong recovery in corporate earnings.
International equity markets, while more volatile, have continued to
perform well. However, bond markets have generally produced negative returns in
early 1996 as they have become concerned that world economic activity is
accelerating and that inflation risks and short term interest rates will be
rising in 1997. We believe that economic growth will remain modest in 1996 and
there is still plenty of spare industrial capacity around the world. It is
probably premature to become too concerned about rising inflation which should
remain low at least in the early stages of economic recovery. Within the major
equity markets we believe that the most attractive investment opportunities are
in the Far East, particularly Japan, which should benefit now that the economy
is finally set to recover.
INTERNATIONAL SMALL
CAP EQUITY FUND
The International Small Cap Equity Fund commenced operations on January 3,
1994 and had total assets of $128.1 million as of April 30, 1996.
The investment objective of this Fund is to maximize capital appreciation
by investing primarily in equity securities of small capitalization companies
located in countries other than the United States. Small capitalization
companies are defined as those issuers ranked according to market capitalization
in the bottom 20% of the issuers listed on a stock exchange, and companies
listed on a secondary market or over-the-counter market.
7
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
International small cap equities in general continued to underperform in
the first two months of the period under review. This extended to 20 months the
period of small cap underperformance. This performance reflected poor investment
sentiment rather than investment fundamentals.
However, in the four month period ended April 1996, performance and
sentiment improved and the asset class outperformed larger cap stocks. Relative
performance was boosted by reductions in interest rates which have increased
expectations for growth, especially in Continental Europe. Small capitalization
stocks, which are highly geared to changes in expectations of economic growth
rates, have performed accordingly. The Japanese economy is expected to recover
and this has helped sentiment in that country. Investors have started to
reassess the prospects for the asset class though we expect this process to go
further in the rest of the year.
The Fund underperformed its benchmark (Natwest Markets Euro/Pacific Small
Cap Index) 15.09% to 18.57% for the six month period ended April 30, 1996. Stock
selection and cash/liquidity management were negative while currency management
was positive and country allocation neutral. Stock selection was strong in
Continental Europe and the UK but weak in Japan. Our currency hedging strategy
out of yen and into U.S. dollars also contributed significantly as the yen
weakened in the period. We maintained a hedge on 30% of the Fund's Yen assets
until February when the hedge was halved to 15% where it remained until the end
of April. In May, the hedge was removed since we took the view that the risks of
further yen weakness against the U.S. dollar had diminished.
EUROPEAN SMALL CAP EQUITY FUND
The European Small Cap Equity Fund commenced operations on November 1, 1994
and had total net assets of $11.2 million as of April 30, 1996.
The objective of the Fund is to maximize capital appreciation by investing
primarily in equity securities of small capitalization companies located in
Europe. Small capitalization companies are defined as those issuers, ranked
according to market capitalization in the bottom 20% of the companies listed on
a European stock exchange, and any stock listed on a secondary market or
over-the-counter market.
The Fund outperformed its benchmark (the Natwest Markets European Small Cap
Index) 13.57% to 11.84% for the six-month period ended April 30, 1996. Both the
UK and continental Europe contributed to outperformance, with a dull two month
period at the end of 1995 being outweighed by a very strong first four months of
1996. Performance has been driven by growth stocks as investors sought companies
with secular growth opportunities.
In the first half of the year there has been some strong outperformance
from small caps relative to their large cap counterparts as investors recognize
their attractiveness relative growth rates and valuations. Relative performance
has also been boosted by reductions in interest rates which have increased
expectations for growth, especially in Continental Europe. Small capitalization
stocks, which are highly geared to changes in expectations of economic growth
rates, have performed accordingly.
Given the positive economic background, we believe that the risk of
investing in the small
8
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cap sector remains low. European small cap valuations are still very attractive,
particularly in Continental Europe where they trade at a discount to large cap
stocks with expected relative growth rates at a 14% premium to large cap stocks.
The markets remain inefficient, especially in Continental Europe, with plenty of
opportunities to purchase high growth companies on low price/earnings. It
remains our strategy to invest in growth companies where the growth rate, in our
view, is not fully reflected in the share price.
EMERGING MARKETS
EQUITY FUND
The inception date for the Emerging Markets Equity Fund was February 2,
1994. On April 30, 1996, the Fund has net assets of $100.6 million.
The investment objective of the Fund is to maximize capital appreciation by
investing primarily in equity securities of issuers located in countries which
have yet to reach the level of maturity associated with developed markets.
During the six month period ended April 30, 1996, the Fund's performance
was 12.02% versus the benchmark performance of 16.50% (the Fund's benchmark is
the Barings Emerging Markets Index).
The period was marked by a sharp turnaround in sentiment to the developing
markets, which generally performed poorly in 1995 following the devaluation of
the Mexican Peso. Low valuations in many emerging markets led to a reappraisal
in late 1995; early 1996 and has seen a steady flow of funds into many markets,
particularly the poorest performers from 1995 including Latin America and the
Indian sub-continent. The South African market has pulled back from its highest
levels on the appointment of a new finance minister and remains virtually
unchanged in U.S. dollar denominated index terms over the period.
1995 was a year of challenge for Latin America in particular; by taking the
economically correct course of deflation (rather than allowing inflation to take
hold) in the face of capital flight, despite the short term political cost, it
appears that the longer term outcome will be increased confidence in investment
in the region. The case for diversification of pension fund assets into emerging
markets remains based around the superior growth rates from those countries.
GLOBAL FIXED INCOME FUND
The Global Fixed Income Fund commenced operations on January 3, 1994 and
had total net assets of $156.6 million as of April 30, 1996.
The investment objective of this Fund is to maximize total return,
emphasizing current income while providing opportunities for capital growth
consistent with reasonable risks. The Fund invests primarily in high grade debt
obligations of the U.S. and foreign governments and their agencies, obligations
of international and supranational entities, and high grade fixed income
obligations of U.S. and foreign corporate issuers. The Fund uses currency
hedging techniques as a means of protecting the U.S. dollar value of foreign
assets.
The total return for the six month period ended April 30, 1996 is 0.73%
compared with (0.12%) for the Fund's benchmark (the Salomon World Government
Bond Index, Unhedged, U.S.).
9
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
In February, the year-long rally in global bond markets ended as evidence
of stronger than expected growth in the U.S. led to a revision of expectations
about the monetary policy of the Federal Reserve. Having previously expected
further easing of monetary policy, bond market investors now expect an increase
in Fed Funds before the end of the year, and U.S. bond yields have risen
accordingly. Although all global bond markets have experienced rising yields in
the wake of the U.S. move, European bond markets have outperformed as economic
growth and inflation have remained subdued throughout Europe. Improving
prospects for European Monetary Union ("EMU") beginning on time in 1999 have
caused the value of European markets to rise relative to Germany. The likelihood
that slow growth and progress towards EMU will continue means that the Fund is
significantly overweight in European markets relative to the U.S., particularly
in the high yielding markets of Italy and Sweden. We have maintained an
underweight position in the Japanese bond markets, as evidence of stronger
growth makes the market vulnerable to a sell-off from current low yields.
Developments in the currency markets at the beginning of 1996 have been
less dramatic than those which occurred in 1995. We have maintained an
overweight U.S. dollar position against the Japanese Yen and the Deutschemark,
as we expect continued gradual appreciation against these currencies.
INTERNATIONAL
FIXED INCOME FUND
The International Fixed Income Fund commenced operations on March 15, 1994
and had total net assets of $31.0 million as of April 30, 1996.
The Fund's objective is identical to that of the Global Fixed Income Fund
except the International Fixed Income Fund does not invest in U.S. dollar
denominated bonds. The Fund uses currency hedging techniques as a means of
protecting the U.S. dollar value of foreign assets.
The Fund returned 0.87% for the six months ended April 30, 1996, compared
to (0.16%) for the Fund's benchmark (the Salomon World Government Bond Index,
Non-U.S. Unhedged).
In Europe, we believe the continuation of slow economic growth and subdued
inflation will lead to further interest rate reductions and outperformance by
the high yielding European markets. The Fund is, therefore, overweight in the
Italian, Swedish and Danish markets. Spread tightening relative to Germany will
also be helped by continued positive sentiment with regard to progress towards
EMU.
The Fund's underweight position in Japan reflects our belief that Japanese
bond yields will rise as stronger economic growth makes domestic equities a more
attractive investment alternative for Japanese investors.
10
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EMERGING MARKETS
DEBT FUND
The Emerging Markets Debt Fund commenced operations on August 4, 1994 and
had total net assets of $66.3 million as of April 30, 1996.
The investment objective of this Fund is to maximize total return. The Fund
invests primarily in fixed income securities of issuers located in countries
with emerging securities markets.
The total return for the six month period ended April 30, 1996 was 20.08%
against 21.33% for the Fund's benchmark (the JP Morgan Emerging Markets Bond
Index Plus).
Emerging markets withstood the falling Treasury market to register strong
returns as the process of structural reform continued throughout Latin America
and the region began to recover from recession. The Fund's largest positions are
in Argentina and Brazil. The top performing market in the first quarter was
Poland, which benefited from upgrades in its credit rating by both S&P and
Moody's to become an investment grade credit.
Over the next six months, improving credit fundamentals could cause Brady
Bond prices to continue to rise from the present, relatively low levels. Some of
the most attractive investment opportunities are felt to be in the smaller, more
illiquid, markets such as Panama, where the exchange of non-performing loans
into Brady Bonds should be completed in June, and Russia, where an election
victory for President Yeltsin would signal progress towards more economic
reform. The Fund is overweight in both these markets.
11
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SCHEDULE OF INVESTMENTS
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
MUNICIPAL BOND FUND
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FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
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MUNICIPAL BONDS -- 98.9%
ALABAMA -- 3.7%
Mobile, Certificate of Participation,
Affordable Housing
6.000%, 02/01/98 $ 275 $ 274
6.200%, 02/01/99 350 349
6.300%, 02/01/00 400 397
6.750%, 02/01/04 4,950 4,900
State Housing Finance Authority,
Multi-Family Housing, Club
Apartments, Series 1, RB
5.650%, 06/01/08 2,500 2,488
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8,408
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ARKANSAS -- 3.8%
Drew County, Public Facilities
Board, Single Family Mortgage,
Series A-2, RB, FNMA
7.900%, 08/01/11 453 481
Fayetteville, Public Facilities Board,
Single Family Mortgage, RB
7.250%, 04/01/11 1,440 1,578
Little Rock, Capital Improvement,
Series 1995A, RB
5.950%, 02/01/12 680 685
Lonoke County, Residential
Housing, Single Family
Mortgage, Series 1993 B, RB
7.375%, 04/01/11 356 363
Mississippi County, Public
Facilities Board, Mortgage,
Series 1, RB
7.200%, 07/15/10 1,000 1,095
North Little Rock, Residential
Housing Facilities, Series
1991-1, RB
0.000%, 12/01/10 (A) 7,765 3,019
Saline County, Residential Housing
Facilities, Single Family
Mortgage, RB
7.875%, 03/01/11 955 1,009
Stuttgart, Public Facilities Board,
Single Family Mortgage,
Series B, RB
7.750%, 09/01/11 318 329
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8,559
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CALIFORNIA -- 4.9%
Los Angeles, Community
Redevelopment Agency,
Angelus Plaza Project,
Series A, RB, FNMA
7.400%, 06/15/10 1,000 1,079
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FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
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Los Angeles, Community
Redevelopment Agency,
Monterey Hills Project B, RB
8.650%, 12/01/22 $ 330 $ 363
Los Angeles, Multi-Family
Housing, Earthquake
Rehabilitation Projects,
Series B, RB, FNMA AMT
5.850%, 12/01/07 (B) 4,250 4,260
Napa, Housing Facility, Napa Park
Apartments, Series A, RB, GNMA
7.500%, 06/20/00 542 550
Pleasant Hill, Multi-Family
Housing, Ellinwood Apartments
Project, Series A, RB, FNMA
5.300%, 10/01/05 (B) 3,165 3,161
Sacramento County, Multi-Family
Housing, Fairway II
Apartments, RB, FNMA
5.350%, 08/01/05 (B) 1,000 999
Santa Clara County, Housing
Authority, RB, GNMA
7.500%, 06/20/00 660 660
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11,072
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COLORADO -- 1.7%
Commerce City, Single Family
Mortgage, Series A, RB,
6.875%, 03/01/12 665 688
Logan County, Single Family
Mortgage, Series A, RB,
8.500%, 11/01/11 365 373
Vail, Single Family Mortgage,
Series 1992 A, RB
8.125%, 06/01/10 535 556
Westminster, Multi-Family
Housing, Semper Village
Apartments, RB, AXA
5.950%, 09/01/06 (B) 2,225 2,267
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3,884
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DELAWARE -- 2.6%
New Castle County, Single
Family Mortgage, RB
10.250%, 11/01/05 360 382
Seaford, Economic Development
Authority, Seaford Association
Project, RB
6.375%, 01/01/04 2,800 2,733
State Economic Development
Authority, Wilmington Friends
School Project, RB
6.300%, 07/01/99 50 50
12
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FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
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6.300%, 07/01/00 $ 50 $ 50
6.300%, 07/01/01 55 55
6.300%, 07/01/02 60 60
6.300%, 07/01/03 60 60
6.300%, 07/01/04 65 65
6.300%, 07/01/05 70 70
6.300%, 07/01/06 75 74
6.300%, 07/01/07 80 79
6.300%, 07/01/08 85 84
6.300%, 07/01/09 90 89
6.300%, 07/01/10 95 94
6.300%, 07/01/11 100 99
6.300%, 07/01/12 110 109
6.300%, 07/01/13 115 114
State Housing Authority, Single
Family Mortgage
8.750%, 06/01/17 830 848
Sussex County, Economic
Development, Gateway
Partnership VI Project A, RB (LOC)
7.850%, 05/01/97 (B) 495 495
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5,610
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FLORIDA -- 4.0%
Dade County, Certificate of
Participation, Government
Leasing Corporation, Series B
8.500%, 04/01/07 45 44
Dade County, Certificate of
Participation, Government
Leasing Corporation, Series C
9.000%, 04/01/20 300 288
Dunedin, Health Facility Authority,
Mease Hospital Incorporated,
RB, ETM
7.600%, 10/01/08 300 336
Fernando Apartments, Elderly
Housing, Section 8 Assistance, RB
9.750%, 10/01/11 778 815
Miami Beach, Housing Authority,
Elderly Housing, Section 8 1995, RB
6.625%, 01/15/09 1,200 1,220
Miramar, Water Improvement
Assessment, RB, FGIC
5.125%, 10/01/20 6,385 6,273
State Housing Finance Authority,
Home Ownership Mortgage,
Series 1987 G2, RB, GNMA, AMT
8.595%, 11/01/18 40 40
------
9,016
------
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FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
GEORGIA -- 3.8%
Atlanta, Housing Development
Corporation, Bedford Tower
Section 8-A, RB, HUD, FHA
6.350%, 01/01/23 $ 795 $ 804
Augusta, Housing Rehabilitation
Agency, Bon Air Project,
Series C, RB
7.000%, 09/01/05 1,000 1,067
Dekalb County, Housing Authority,
Macon Apartments, RB
6.400%, 05/01/05 785 797
Fulton County, Housing Authority,
Single Family Mortgage, RB,
GNMA, AMT
6.200%, 03/01/13 2,180 2,177
Marietta, Housing Authority,
Multi-Family, Ridge Pointe
Apartments, Series A, RB,
FNMA
5.700%, 06/01/05 (B) 1,475 1,499
Marietta, Housing Authority,
Multi-Family, Series A, RB,
New England Mutual Life
Guaranty
6.000%, 06/01/01 (B) 1,000 1,023
Saint Mary's, Housing Authority,
Multi-Family, Cumberland Oaks
Apartments, Series A, RB
FNMA
7.250%, 09/01/05 670 705
Saint Mary's, Housing Authority,
Multi-Family, Pines Apartments,
Series C, RB, FNMA
7.250%, 10/01/05 295 309
State Residential Finance Housing,
Series A, RB, AMT
6.750%, 06/01/16 175 178
------
8,559
------
HAWAII -- 0.2%
Honolulu, Housing Authority,
Multi-Family, Waipahu Towers
Project, Series A, RB, GNMA, AMT
6.900%, 06/20/05 395 408
------
IDAHO -- 0.4%
State Housing Agency, Single
Family Mortgage, Series F,
RB, AMT
5.800%, 07/01/07 1,000 1,003
------
13
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SCHEDULE OF INVESTMENTS
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
ILLINOIS -- 11.3%
Alton, Hospital Facilities, Alton
Memorial Hospital Project,
RB, ETM
7.000%, 07/01/05 $ 385 $ 414
Bolingbrook, Hospital Authority,
Hinsdale & Sanitarium Hospital
Project, RB, ETM
7.250%, 08/01/08 1,070 1,180
Bolingbrook, Mortgage, Capital
Appreciation Series 1, RB
0.000%, 01/01/11(A) 11,340 4,054
Des Plains, Hospital Facilities,
Holy Family Hospital Project,
RB, ETM, FGIC
7.000%, 01/01/07 105 110
7.000%, 01/01/07 220 239
Des Plains, Hospital Facilities,
Holy Family Hospital Project,
RB, ETM, MBIA
7.000%, 01/01/07 110 116
Development Finance Authority,
Catholic Health, Series A, RB,
Connie Lee Insured
5.150%, 02/15/06 1,010 985
Development Finance Authority,
Debt Restructure, East Saint
Louis, RB, Moral Obligation
6.050%, 11/15/99 325 333
Development Finance Authority,
Debt Restructure, East Saint
Louis, RB, Moral Obligation
6.875%, 11/15/05 875 917
Development Finance Authority,
Fund For Child Care Facilities
Project, Series A, RB
7.400%, 09/01/04 2,800 3,027
Development Finance Authority,
Industrial Development, Orleans
Place Project, Series A, RB, Asset
Guaranty, AMT
5.000%, 11/01/00 1,300 1,282
Health Facilities Authority,
Lutheran Social Services, RB
6.125%, 08/15/10 1,100 1,008
6.125%, 08/15/20 3,500 3,084
Health Facilities Authority, Mercy
Health Center, RB, ETM
7.100%, 06/01/09 635 698
7.500%, 09/01/09 300 334
Health Facilities Authority, Mercy
Hospital & Medical Center,
RB, ETM
10.000%, 01/01/15 2,150 2,843
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Health Facilities Authority,
Sydney R. Forkosh Memorial
Hospital, Pre-refunded @ 100, RB
7.000%, 07/01/02 $ 210 $ 227
McHenry, Industrial Development
Authority, Chroma Project,
Series 1994A, RB (LOC)
5.250%, 01/01/04 (C) 200 194
Quincy, Single Family Mortgage, RB
6.875%, 03/01/10 790 814
Village of Buffalo Grove, Economic
Development Project, Country
Line Partners, RB
5.450%, 08/15/02 1,940 1,938
Village of Graylake, Multi-Family
Housing, Country Squire Village
Apartments, Series A, RB, FHA
6.000%, 06/01/05 1,420 1,434
Western Illinois University, RB, ETM
7.400%, 04/01/09 125 138
-------
25,369
-------
INDIANA -- 1.7%
Indianapolis, Economic
Development, Knob in the
Woods Project, RB, FNMA AMT
6.375%, 10/01/04, (B) 3,520 3,797
-------
IOWA -- 0.8%
Davenport, Hospital Facility,
RB, ETM
7.200%, 07/01/09 100 109
State Finance Authority, Small
Business Development, Terrance
Center Association, L.P. Project,
RB, Guaranty Agreement with
Central Life Assurance Company
7.500%, 03/01/22 1,550 1,705
-------
1,814
-------
KANSAS -- 0.8%
Johnson County, Single Family
Mortgage, RB
5.625%, 05/01/02 130 132
Labette and Cowley Counties,
Single Family Mortgage,
Series A, RB
9.500%, 04/01/13 180 192
Reno County, Single Family
Mortgage Revenue Refunding
Bond, Series B
8.700%, 09/01/11 455 486
Saline County, Single Family
Mortgage, Series A, RB
9.500%, 10/01/11 345 362
14
<PAGE>
================================================================================
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Wichita, Hospital, RB, ETM
7.000%, 03/01/06 $ 250 $ 269
Wichita, Single Family Mortgage,
Series A, RB
7.100%, 09/01/09 360 372
------
1,813
------
KENTUCKY -- 0.2%
Greater Kentucky Housing
Assistance Corporation,
Section 8 Assisted, Project A,
RB, MBIA, FHA
7.625%, 01/01/25 430 446
------
LOUSIANA -- 6.0%
Housing Finance Authority,
Single Family
Housing, RB, GNMA, AMT
8.050%, 11/01/14 470 483
Iberia, Single Family Mortgage, RB
7.375%, 01/01/11 1,105 1,188
Public Facilities Authority,
Hospital, Southern Baptist
Hospital, RB, ETM
8.000%, 05/15/12 190 221
Public Facilities Authority,
Multi-Family Housing, Beau
Terre Project, RB, FNMA
5.800%, 06/01/05 (B) 750 752
Public Facilities Authority,
Multi-Family Housing, Carlyle
Apartments, RB, AXA
5.950%, 06/15/05 (B) 1,440 1,489
Public Facilities Authority,
Multi-Family Housing,
Edgewood Apartments, RB,
FNMA
5.800%, 06/01/05 (B) 5,650 5,664
Public Facilities Authority,
Multi-Family Housing, Oakleigh
Apartment Project, RB, AXA
5.850%, 03/15/04 315 324
5.750%, 03/15/03 295 303
5.950%, 03/15/05 330 339
Public Facilities Authority,
Multi-Family Housing, River
View, RB, CONN
6.000%, 07/01/97 (B) 940 942
Public Facilities Authority, Single
Family Mortgage, Series A, RB
7.375%, 10/01/12 710 710
Public Facilities Authority, Single
Family Mortgage, Series C, RB
8.450%, 12/01/12 895 943
-------
13,358
-------
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
MAINE -- 0.1%
State Housing Authority, Series B,
RB, AMT
8.400%, 11/15/07 $ 300 $ 309
------
MARYLAND -- 1.8%
Cecil County, Economic
Development, Northeast Plaza
Association, Series A, RB
6.875%, 01/15/08 1,760 1,868
Cecil County, Economic
Development, Northeast Plaza
Association, Series B, RB
6.875%, 01/15/10 525 556
Frederick County, Economic
Development, Mortgage
Revenue Refunding Bond,
Series A, RB, FHA
5.900%, 02/01/05 380 380
Prince George's County,
Multi-Family Mortgage,
Emerson House Project,
Series A, RB
6.400%, 10/15/05 1,200 1,233
------
4,037
------
MICHIGAN -- 0.7%
Detroit, Water Supply Systems,
RB, ETM
8.875%, 01/01/05 195 227
Petoskey, Hospital Finance
Authority, RB, ETM
6.700%, 03/01/07 345 368
State Hospital Finance Authority,
St. Joseph Mercy Hospital
Project, RB, ETM
7.000%, 07/01/05 175 189
State Hospital Finance Authority,
St. Lawrence Hospital Project,
RB, ETM
7.500%, 05/01/07 625 695
------
1,479
------
MINNESOTA -- 0.4%
Cambridge, Mortgage Revenue,
Health Care Center, Series A,
RB, GNMA, FHA
5.400%, 11/20/05 695 689
Dakota County, Housing &
Redevelopment Authority, Single
Family Mortgage, RB, FNMA,
GNMA
5.750%, 10/01/04 150 149
15
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Dakota County, Housing &
Redevelopment Authority, Single
Family Mortgage, RB, FNMA,
GNMA, AMT
5.550%, 10/01/02 $ 130 $ 130
------
968
------
MISSISSIPPI -- 2.6%
Mississippi Home Corporation,
Residual Capital Appreciation,
Series 1992-I, RB
0.000%, 09/15/16 (A) 21,100 5,011
Mississippi Home Corporation,
Single Family, Mortgage Access
Program, Series 1994 A, RB,
GNMA, AMT
5.000%, 06/01/04 815 810
------
5,821
------
MISSOURI -- 3.4%
Kansas City, Industrial Development
Authority, Multi-Family Housing,
Coves North Duplexes, RB, FNMA
5.600%, 09/01/05 (B) 2,780 2,804
Saint Louis County, Convention and
Sports Center, Series B, RB, FHA
6.500%, 08/15/01 775 823
Saint Louis, Housing Finance
Corporation, Kendelwood
Section 8, Series B, RB, FHA
6.250%, 08/15/15 1,845 1,790
6.500%, 08/15/22 2,210 2,149
------
7,566
------
MONTANA -- 0.2%
Missoula County,
Community Hospital, RB
ETM, AMBAC
7.125%, 06/01/07 500 546
------
NEBRASKA -- 1.0%
Hall County, Hospital Authority,
RB, ETM
8.000%, 01/01/07 205 234
Investment Finance Authority,
Multi-Family Housing, Old
Cheney Apartments, Series A,
RB, FNMA
5.500%, 12/01/05 (B) 2,000 1,990
------
2,224
------
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
NEVADA -- 0.4%
Single Family Housing Authority,
Series B, RB, AMT
6.450%, 10/01/07 $ 910 $ 948
------
NEW JERSEY -- 3.2%
Church Street Corporation, Elderly
Housing Section 8 Assistance 1994,
RB, HUD Section 8
5.000%, 03/01/01 265 260
Economic Development Authority,
Economic Growth, Series H-2, RB,
National Westminster, AMT (LOC)
5.000%, 10/01/05 860 839
Education Facilities Authority,
Caldwell College, Series A, RB,
7.250%, 07/01/25 1,200 1,188
Mansfield Township, Board of
Education Certificate of
Participation,
5.500%, 03/01/07, MBIA 1,840 1,881
State Housing Finance Authority,
Series A, Section 8 Assistance,
RB, HUD
6.700%, 11/01/04, 3,000 3,094
------
7,262
------
NEW MEXICO -- 2.0%
Albuquerque, Municipal
Collateralized Mortgage
Obligation, Class B-2, FGIC
0.000%, 05/15/11 (A) 3,180 1,049
Bernalillo County, Multi-Family
Housing, Sunchase Apartments,
Series A, RB, AXA
5.800%, 11/01/06 (B) 1,500 1,521
Roswell, Airport, RB, AMT
8.500%, 11/01/98 130 130
Sandoval County, Gross Receipts
Tax, RB, Intel
6.100%, 11/01/99 115 116
6.200%, 11/01/00 120 121
6.250%, 11/01/01 130 132
6.350%, 11/01/02 140 142
6.400%, 11/01/03 145 148
6.450%, 11/01/04 155 158
7.150%, 11/01/10 705 742
Santa Fe, Single Family Mortgage
Authority, Series 1991, RB
8.450%, 12/01/11 211 223
------
4,482
------
16
<PAGE>
================================================================================
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
NEW YORK -- 2.0%
Mechanicville, Multi-Family Housing,
Elderly Housing, RB, FHA
6.900%, 08/01/22 $2,500 $ 2,603
UFA Development Corporation,
Mortgage, Loretto Utica Project,
RB, FHA
5.150%, 07/01/03 2,000 1,985
-------
4,588
-------
NORTH CAROLINA -- 0.0%
Asheville, Housing Development
Corporation, Section 8 Assistance,
Asheville Gardens, RB, HUD
10.500%, 11/01/09 (E) 5 7
-------
OHIO -- 2.9%
Cuyahoga County, Industrial
Development, Chippewa Place, RB,
Series A, FHA
8.000%, 08/01/15 4,750 4,888
Housing Finance Authority, Single
Family Mortgage,
Series A, RB, BIGI
5.750%, 04/01/16 (D) 155 155
Housing Finance Authority, Single
Family Mortgage, Series A, RB,
GNMA, AMT
8.400%, 02/01/20 760 799
Lucas-Palmer, Housing
Development Corporation,
Palmer Gardens Section 8, RB,
MBIA, FHA
5.900%, 07/01/07 295 289
Ohio Capital Corporation for
Housing Mortgage, Section 8
Assistance, Project E, RB,
MBIA, FHA
5.700%, 01/01/05 495 496
-------
6,627
-------
OKLAHOMA -- 1.3%
Bryan County, Single Family
Mortgage, Series A, RB
8.600%, 07/01/10 520 541
Cleveland County, Home Loan
Authority, Single Family
Mortgage, Series 1992, RB
8.375%, 08/01/12 1,215 1,264
Housing Finance Authority,
RB, GNMA, AMT
7.997%, 08/01/18 (B) 315 317
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
McAlester, Public Works
Authority, RB, FSA
8.250%, 12/01/06 $ 185 $ 225
Payne County, Housing Finance
Authority, Single Family
Mortgage, Series A, RB
8.625%, 03/01/11 495 513
------
2,860
------
PENNSYLVANIA -- 9.6%
Allegheny County, Hospital
Development Authority, South
Side Hospital, RB
8.500%, 06/01/01 490 505
8.750%, 06/01/10 3,890 4,020
Allegheny County, Hospital
Development Authority,
St. Margaret Memorial Hospital,
Project A, RB
9.800%, 07/01/10 1,000 1,017
Allegheny County, Industrial
Development Authority, RB Integra
Bank of Pittsburgh, AMT (LOC)
6.000%, 10/01/04 1,000 1,004
Allegheny County, Residential
Finance Authority, Mortgage,
RB, GNMA
6.500%, 11/01/14 625 634
Allentown, Hospital Authority,
Sacred Heart Hospital of
Allentown, Series A, RB
6.200%, 11/15/03 700 711
Borough of Tarentum, Guaranteed
Electric, Series A, RB
5.500%, 09/01/08 645 595
Butler County, Industrial
Development Authority, First
Mortgage, Sherwood Oaks
Project, Series A, RB,Crossover
Refunded @ 102
8.750%, 06/01/96 (F) 150 154
Bucks County, Industrial
Development Authority, Women's
Humane Society, RB
7.100%, 12/01/09 600 601
Dauphin County, General Authority,
WW15 Term, RB
6.850%, 06/01/09 (C) 700 744
Falls Township, Hospital Authority,
Delaware Valley Medical Center,
RB, FHA
6.900%, 08/01/11 4,060 4,359
17
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Lehigh County, General Purpose,
Muhlenberg Continuing Care,
RB, (LOC)
7.800%, 03/15/02 (B) $2,320 $ 2,474
Montgomery County, Higher
Education & Health Authority,
Northwestern Corporation, RB,
6.250%, 06/01/99 680 694
Montgomery County, Industrial
Development Authority, BMHR
Associate Project, RB, (LOC)
6.750%, 11/15/04 250 257
Montgomery County, Industrial
Development Authority,
Emergency Care Research
Institute Project, RB
6.400%, 06/01/03 675 683
Philadelphia, Hospital & Higher
Education Authority,
Northwestern Corporation, RB
6.250%, 06/01/99 765 781
Philadelphia, Industrial
Development Authority, Jeanes
Physician's Office, Series A, RB
9.375%, 07/01/10 1,000 1,025
Philadelphia, Industrial
Development Authority,
National Board of Medical
Examiners Project, RB
6.750%, 05/01/12 550 583
Pottsville, Hospital Authority,
Pottsville Hospital & Warner
Clinic, RB
7.250%, 07/01/24 605 608
State Housing Authority, Single
Family Mortgage, RB, AMT
7.000%, 10/01/05 230 242
-------
21,691
-------
RHODE ISLAND -- 0.2%
State Industrial Facilities, Crystal
Thermoplastics Project, Series A,
RB, IRBA, AMT
6.900%, 08/01/14 380 387
-------
SOUTH CAROLINA -- 0.4%
State Housing Finance &
Development Authority,
Multi-Family Housing,
Runaway Bay Apartments
Project, RB
5.500%, 12/01/05 1,000 999
-------
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
SOUTH DAKOTA -- 0.5%
Student Loan Assistance, Series A,
RB, GTD, AMT
7.600%, 08/01/04 $ 510 $ 539
7.700%, 08/01/07 500 529
-------
1,068
-------
TENNESSEE -- 0.2%
Greeneville, Health & Education
Facility Board, Southern Advent
Hospital, RB, ETM
8.700%, 10/01/09 340 413
-------
TEXAS -- 11.0%
Bexar County, Housing Finance
Corporation Residual Bond,
Capital Appreciation
0.000%, 03/01/15 (A) 1,765 514
Brazos, Higher Education
Authority, RB, GTD, AMT
6.500%, 06/01/04 500 521
Bryon, Higher Education Authority,
Allen Academy, Series A, RB
6.500%, 12/01/06 500 486
7.300%, 12/01/16 1,750 1,728
Collin County, Housing Finance
Corporation, Multi-Family
Mortgage, Preston Bend
Apartments Project, RB, AXA
6.500%, 09/01/03 (B) 535 555
Denison, Hospital Authority,
Texoma Medical Center, RB, ETM
7.125%, 07/01/08 100 110
Duncanville, Hospital Development
Authority, Methodist Hospital
Project, RB, ETM
9.000%, 01/01/10 665 806
Grand Prairie, Multi-Family
Mortgage, Project A, Sugar
Creek Apartments, RB
6.000%, 02/01/05 715 711
Gregg County, Housing Finance
Corporation, Multi-Family
Housing, Summer Lake Project,
Series A, Mandatory Put @ 100,
RB, AXA
6.400%, 03/01/06 500 512
Harris County, Housing Finance
Corporation, Multi-Family
Housing, Colonial House
Apartments Project, RB, (LOC)
5.600%, 09/01/99 (B) 245 250
Northeast Hospital Authority,
RB, ETM
8.000%, 07/01/08 385 443
18
<PAGE>
================================================================================
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Odessa, Housing Authority,
Multi-Family Mortgage, Section 8
Assist Project, Series A, RB
5.875%, 10/01/03 $ 900 $ 877
Odessa, Housing Authority,
Multi-Family Mortgage, Section 8
Assist Project, Series B, RB,
HUD Section 8
5.875%, 10/01/03 1,720 1,677
Odessa, Housing Authority,
Multi-Family Mortgage, Section 8
Assist Project, Series B, RB
6.375%, 10/01/11 2,735 2,581
Odessa, Single Family Mortgage,
Series A, RB, FNMA
8.450%, 11/01/11 356 368
South Plains, Regional Housing
Authority, Section 8 Assistance
Project, Series A, RB, HUD
6.000%, 08/01/00 75 75
6.500%, 08/01/05 325 327
6.900%, 08/01/09 500 503
Southeast Hospital Financing
Agency, Memorial Hospital
System Project, RB, ETM
8.500%, 12/01/08 335 398
7.500%, 12/01/09 725 813
State Department of Housing &
Community, Capital
Appreciation, RB
0.000%, 03/01/15 (A) 38,030 10,411
Thomason, Health Facilities
Development Corporation,
El Paso County Hospital
District, GO, MBIA
7.200%, 08/15/98 65 65
-------
24,731
-------
UTAH -- 2.0%
Brigham City, Special Assessment
Bond, District Number 22
9.000%, 08/01/04 270 285
Hilldale, Electric Bonds, GO, AMT
7.500%, 12/15/03 500 537
Salt Lake City, Industrial
Development, Hermes
Association Project, RB, (LOC)
5.900%, 09/01/97 295 301
5.900%, 09/01/99 200 206
State Finance Agency, Single Family
Mortgage, Issue F-1, RB, AMBAC
5.850%, 07/01/07 1,000 1,017
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
State Housing Finance Agency,
Single Family Mortgage, Series
B-2, RB, FHA, AMT
7.600%, 01/01/22 $ 355 $ 371
State Municipal Finance Corporation,
Local Government, RB
7.300%, 12/01/03 500 524
Weber County, Municipal Building
Authority, Series 1994, RB,
Asset Guaranty
6.750%, 12/15/04 1,275 1,366
------
4,607
------
VIRGINIA -- 1.4%
Alexandria, Redevelopment &
Housing Authority, Multi-Family
Housing, United Dominion-
Parkwood Court, RB, AMT
6.625%, 05/01/06 (B) 2,990 3,068
------
WASHINGTON -- 3.3%
Seattle, Low Income Housing
Assistance Authority, Kin On
Project, Series A, RB, GNMA
7.400%, 11/20/36 1,500 1,582
State Housing Finance Commission,
Series A, RB, FNMA
7.000%, 07/01/99 185 188
State Housing Finance Commission,
Series B, RB, GNMA, FNMA
6.900%, 07/01/16 5,415 5,625
------
7,395
------
WEST VIRGINIA -- 1.5%
Harrison County,
Single Family Mortgage,
Series B, AMBAC
0.000%, 10/20/10 (A) 2,822 1,019
Marshall County, Capital
Appreciation, RB, MBIA
0.000%, 05/01/14 (A) 3,000 784
Mason County, First Mortgage,
Point Pleasant Haven, RB (LOC)
6.200%, 12/01/05 850 867
Raleigh Fayette & Nicholas
Counties, Single Family
Mortgage, Series B,
AMBAC
0.000%, 06/20/10 (A) 2,167 745
------
3,415
------
19
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
WISCONSIN -- 0.5%
Prairie Farm, Public School District,
Barron & Dunn Counties, GO
7.000%, 04/01/11 $ 215 $ 219
7.000%, 04/01/12 210 213
State Housing & Economic
Development Authority, Series B,
RB, GEMIC, AMT
6.625%, 09/01/20 395 394
Whitewater, Waterworks System, RB
7.500%, 07/01/16 250 278
--------
1,104
--------
WYOMING -- 0.5%
City of Cheyenne, Federal Mineral
Royalty, Second Lien, RB
6.200%, 06/01/09 1,000 1,021
--------
Total Municipal Bonds
(Cost $220,071,680) 222,739
--------
CASH EQUIVALENT -- 0.1%
SEI Institutional Tax Free Portfolio 336 336
--------
Total Cash Equivalent
(Cost $336,126) 336
--------
Total Investments -- 99.0%
(Cost $220,407,806) $223,075
--------
(A) ZERO COUPON BOND.
(B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS
THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS
SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(D) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF
INVESTMENTS IS THE RATE IN EFFECT AS OF APRIL 30, 1996.
(E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE
MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
AMT INCOME FROM SECURITY MAY BE SUBJECT TO ALTERNATIVE MINIMUM TAX.
ETM ESCROWED TO MATURITY
GO GENERAL OBLIGATION
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY
A MAJOR COMMERCIAL BANK.
RB REVENUE BOND
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR
THE SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
ASSET GUARANTY ASSET GUARANTY
AXA AXA REINSURANCE
BIGI BOND INVESTORS GUARANTY INSURANCE CORPORATION
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
FGIC FEDERAL GUARANTY INSURANCE CORPORATION
FHA EDERAL HOUSING AUTHORITY
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSISTANCE
GEMIC GENERAL ELECTRIC MORTGAGE INSURANCE COMPANY
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GTD GUARANTEED STUDENT LOANS
HUD HOUSING & URBAN DEVELOPMENT
INTEL INTEL GUARANTY
IRBA IRBA GUARANTY
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
FIXED INCOME FUND
CORPORATE OBLIGATIONS -- 16.7% Aegon N.V.
8.000%, 08/15/06 $ 4,151 $ 4,343
Associated Estates Realty
8.375%, 04/15/00 18,000 18,427
Auburn Hills Trust
12.000%, 05/01/20 5,080 7,315
Equitable Life Assurance Society
6.950%, 12/01/05 7,090 6,789
Fairfax Financial Holdings
8.250%, 10/01/15 7,615 7,558
Legg Mason
6.500%, 02/15/06 1,000 924
Lehman Brothers
11.625%, 05/15/05 2,485 3,125
7.125%, 07/15/02 7,950 7,890
London Insurance Group
6.875%, 09/15/05 1,960 1,884
Met Life
6.300%, 11/01/03 6,645 6,255
Paine Webber
6.750%, 02/01/06 10,400 9,750
7.875%, 02/15/03 3,000 3,064
9.250%, 12/15/01 2,745 2,975
Prudential Funding
6.750%, 09/15/23 2,000 1,695
Prudential Insurance America
6.875%, 04/15/03 10,000 9,713
Salomon Brothers
7.250%, 05/01/01 500 496
Vesta Insurance Group
8.750%, 07/15/25 7,960 7,861
--------
Total Corporate Obligations
(Cost $101,739,389) 100,064
--------
20
<PAGE>
================================================================================
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
ASSET-BACKED SECURITIES -- 1.4%
Auto Bond Receivables,
Series 1993-G, Class A
7.000%, 09/15/98 $ 84 $ 81
Auto Bond Receivables,
Series 1994-A, Class A
6.400%, 04/01/99 561 546
Auto Bond Receivables,
Series 1993 K
6.350%, 02/15/99 1,389 1,333
Ford Credit Auto Lease Trust,
Series 1995-1 A2
6.350%, 10/15/98 1,262 1,265
National Collegiate Trust Gate
Receivable, Series 1995-S1
8.830%, 09/20/11 2,925 3,079
Navistar Financial Trust,
Series 1995-B, Class A2
5.940%, 10/15/98 1,000 1,000
Structured Asset Securities,
Series 1996-CFL, Class A1C
5.940%, 02/25/28 1,000 965
------
Total Asset-Backed Securities
(Cost $8,166,061) 8,269
------
OTHER MORTGAGE-BACKED OBLIGATIONS -- 9.3%
Aetna Commercial Mortgage Trust,
Series 1995-C5, Class A2
6.590%, 12/26/30 10,000 9,573
Countrywide Mortgage Backed
Securities, Series 1994-C, Class A8
6.500%, 03/25/24 1,265 1,014
General Electric Capital Mortgage
Services, Series 1993-14, Class A7
6.500%, 11/25/23 1,275 1,069
General Electric Capital Mortgage
Services, Series 1994-18, Class A2
7.000%, 08/25/24 1,005 1,006
Green Tree Finance Series 1996-2,
Class A4
7.200%, 04/15/27 7,000 6,886
Green Tree Finance Series 1996-2,
Class B1
7.550%, 04/15/27 7,100 7,016
Housing Securities Incorporated,
Series 1994-1, Class A5
5.500%, 08/25/03 3,790 3,760
Merrill Lynch Mortgage Investors
Series 1995-C2, Class A1
7.520%, 06/15/21 1,069 1,074
Merrill Lynch Mortgage Investors,
Series 1991-1, Class A
7.650%, 01/15/12 2,480 2,507
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Prudential Home Mortgage,
Series 1994-17, Class A5
6.250%, 04/25/24 $ 5,700 $ 4,707
Prudential Home Mortgage,
Series 1988-5, Class A
10.530%, 08/25/18 734 671
Prudential Home Mortgage,
Series 1993-1, Class A1
7.500%, 02/25/23 7,050 7,064
Prudential Home Mortgage,
Series 1993-61, Class A1
6.500%, 12/25/08 2,936 2,935
Prudential Home Mortgage,
Series 1994-12, Class A7
6.050%, 04/25/24 3,999 3,094
Sears Mortgage Securities,
Series1992-3, Class T8
7.000%, 07/25/20 440 439
Shearson Lehman, Series E,
Class 2
5.750%, 07/01/97 19 19
Vanderbilt Mortgage Finance,
Series 1994-A, Class A1
7.000%, 07/10/19 2,649 2,664
-------
Total Other Mortgage-Backed Obligations
(Cost $56,196,090) 55,498
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 23.3%
Drexel Burnham Lambert Trust,
Series T, Class 3
8.450%, 01/20/19 3,153 3,184
Federal Home Loan Mortgage
Corporation, REMIC, Series 1577,
Class PG
5.500%, 03/15/21 400 373
Federal Home Loan Mortgage
Corporation, REMIC, Series 1625,
Class BA
5.000%, 11/15/00 630 629
Federal Home Loan Mortgage
Corporation, REMIC, Series 1622,
Class G
6.250%, 11/15/22 10,000 8,558
Federal Home Loan Mortgage
Corporation, REMIC, Series 1773,
Class E
8.500%, 04/15/23 3,260 3,378
Federal Home Loan Mortgage
Corporation, REMIC, Series 1803,
Class A
6.000%, 12/15/08 5,500 4,919
21
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
FIXED INCOME FUND
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Federal Home Loan Mortgage
Corporation, REMIC, Series 1324,
Class VD
7.000%, 06/15/05 $ 825 $ 812
Federal Home Loan Mortgage
Corporation, REMIC, Series 1360,
Class Pk
10.000%, 12/15/20 2,200 2,391
Federal Home Loan Mortgage
Corporation, REMIC, Series 1513,
Class AA
6.500%, 11/15/00 5,695 5,678
Federal Home Loan Mortgage
Corporation, REMIC Series 1528,
Class A
6.500%, 12/15/00 8,882 8,840
Federal Home Loan Mortgage
Corporation, REMIC, Series 1667,
Class PC
5.500%, 06/15/04 3,000 2,938
Federal Home Loan Mortgage
Corporation, REMIC, Series 1275,
Class VB
7.000%, 05/15/99 850 857
Federal Home Loan Mortgage
Corporation, REMIC, Series 1640,
Class V
6.500%, 12/15/98 1,135 1,128
Federal Home Loan Mortgage
Corporation, REMIC, Series 1661,
Class PC
5.500%, 09/15/02 950 943
Federal Home Loan Mortgage
Corporation, REMIC, Series 1712,
Class PC
5.500%, 02/15/03 2,735 2,698
Federal Home Loan Mortgage
Corporation, REMIC, Series 33,
Class C
8.000%, 09/15/18 4,887 4,924
Federal Home Loan Mortgage
Corporation, REMIC, Series 70,
Class C
9.000%, 09/15/20 883 924
Federal Home Loan Mortgage
Corporation, GOLD, Pool #627000
6.000%, 08/01/10 14,472 13,713
Federal National Mortgage
Association, REMIC, Series G92-42,
Class C
7.000%, 09/25/19 3,176 3,179
Federal National Mortgage
Association, REMIC,
Series 1989-79D
9.000%, 11/25/19 1,350 1,413
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Federal National Mortgage
Association, REMIC,
Series 1993-174, Class C
5.750%, 12/25/03 $ 750 $ 739
Federal National Mortgage
Association, REMIC,
Series 1995-2, Class H
8.500%, 06/25/10 18,200 18,663
Federal National Mortgage
Association, REMIC,
Series 1994-33, Class C
5.000%, 10/25/03 1,900 1,858
Federal National Mortgage
Association, REMIC,
Series 1989-74, Class J
9.800%, 10/25/19 2,500 2,697
Federal National Mortgage
Association, REMIC,
Series 1992-100, Class M
8.500%, 06/25/05 8,000 8,130
Federal National Mortgage
Association, REMIC,
Series 1993-174, Class EA
6.150%, 10/25/07 4,000 3,839
Federal National Mortgage
Association, REMIC,
Series 1992-43, Class E
7.500%, 04/25/22 3,220 3,150
Federal National Mortgage
Association, REMIC,
Series 1993-192, Class E
5.950%, 11/25/07 1,000 951
Federal National Mortgage
Association, REMIC,
Series 1993-223, Class PC
5.400%, 06/25/15 1,000 976
Federal National Mortgage
Association, REMIC,
Series 94-92, Class DE
7.500%, 07/25/07 5,267 5,150
Federal National Mortgage
Association, REMIC,
Series X-19C, Class G
7.500%, 08/25/21 720 700
Federal National Mortgage
Association, REMIC,
Series 1991-137, Class E
8.050%, 01/25/20 3,827 3,873
Federal National Mortgage
Association, REMIC,
Series G92-22, Class Z
7.500%, 06/25/18 4,782 4,781
Federal Home Loan Mortgage
Corporation, REMIC, Pool #1462
7.500%, 01/15/03 5,000 5,077
22
<PAGE>
================================================================================
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Government National Mortgage
Association, Pool #413221
8.250%, 05/15/10 $ 2,032 $ 2,123
Guaranteed Export Trust,
Series 1994-F
8.187%, 12/15/04 4,431 4,648
--------
Total U.S. Government Agency Obligations
(Cost $140,016,582) 138,834
--------
TAXABLE MUNICIPAL BONDS -- 22.6%
Allegheny County,
Pennsylvania Sanitation
Authority, Series A, RB, MBIA
6.600%, 06/01/97 975 980
6.800%, 12/01/97 3,795 3,838
Atlanta, Georgia Urban
Redevelopment Finance Authority,
Series 1994, FNMA
0.000%, 10/01/16 (A) 21,000 4,069
Beaumont Properties, Michigan
Series B, RB, Pre-refunded @ 101
10.500%, 01/01/99, (E) 3,000 3,308
Belmont, California
Redevelopment Agency,
Tax Allocation Bond, MBIA
7.550%, 08/01/11 895 857
BFC Finance, GSA Lease
7.380%, 12/01/17 7,975 7,765
California Desert Hospital
Corporation, Series A, RB
8.700%, 07/01/08 200 189
8.400%, 07/01/03 2,655 2,552
California State Housing Finance
Authority, Single Family Housing,
Series 1995, RB, AMBAC
7.900%, 08/01/07 9,000 9,124
Cameron County, Texas Housing
Finance Corporation, Series 1990A
Class 1-B, RB, FGIC
10.210%, 09/01/10 2,213 2,309
Cameron County, Texas Housing
Finance Corporation
Series A, RB, FGIC
10.450%, 09/01/11 945 1,052
Chattahoochee Valley, Alabama
Water Supply, RB, Asset Guaranty
8.600%, 10/01/07 200 219
City of Huntingdon, West Virginia
Single Family Mortgage, RB
9.050%, 01/15/12 1,408 1,501
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Compton, California Community
Redevelopment Agency,
Series 1995B, RB, CGIC
5.950%, 08/01/96 $ 1,785 $ 1,784
6.150%, 08/01/97 2,310 2,307
Connecticut State Health and
Education, Nursing Home
Program, AHF/Hartford
Project, RB
8.450%, 11/01/99 830 857
Connecticut State Health and
Education, Sheridan Woods
Center Project, RB
7.950%, 11/01/05 1,755 1,790
8.730%, 11/01/17 1,150 1,243
Cortland Memorial Hospital,
New York Series 1992 A, RB,
7.700%, 07/01/00 345 343
County of Monroe, New York
Nationwide Precision Products,
Series 1994B, RB (LOC)
5.950%, 12/01/04 (D) 2,095 2,095
Dauphin County, Pennsylvania
General Authority, Tressler
Project, Series B, Optional
Put 09/01/96 @ 100, RB
7.000%, 09/01/10 1,375 1,375
Delaware State Housing Authority
Series B, RB, AMBAC
6.750%, 07/01/14 955 904
Erie County, New York Industrial
Development Agency, Journeys
End Project, Series A, RB,
Mandatory Tender @ 100, (LOC)
9.750%, 01/01/00 (C) 1,840 1,918
Harrisburg, Pennsylvania Higher
Education Assistance Authority
Mandatory Put @ 100
10.500%, 10/01/02 (B) 800 878
Harrisburg, Pennsylvania Resource
Recovery Authority, Series 1993
B, RB (LOC)
6.000%, 09/01/98 315 308
6.875%, 09/01/03 515 483
7.750%, 09/01/13 3,145 3,019
Hofstra University, RB, MBIA
7.700%, 07/01/15 3,895 3,827
Kanawha and Putnam Counties,
West Virginia, Charleston and
Huntington, AMBAC,
0.000%, 12/01/16 (A) 8,360 2,048
La Follete Properties, Georgia
Multi-Family Housing,
La Follete Garden Apartments,
9.600%, 12/01/08 985 1,049
23
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
FIXED INCOME FUND
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Los Angeles County, Caifornia
Fairplex Revenue Bond (LOC)
10.500%, 06/01/15 $ 400 $ 433
Los Angeles County, California
Pension Obligation Bond,
Series A, AMBAC
8.620%, 06/30/06 200 219
Los Angeles, Caifornia Community
Redevelopment Agency,
Angelus Project, FNMA
6.200%, 12/15/96 200 200
Massachusetts State Housing Finance
Agency, Series C, RB, FHA
10.900%, 08/01/20 2,630 2,765
Mayor and City Council of Baltimore,
Maryland Public Improvement,
1995A Series B, GO, FGIC
8.100%, 10/15/10 1,775 1,926
8.700%, 10/15/15 1,875 2,076
Memphis-Shelby County, Tennessee
Industrial Development Board,
Cleo Project, Series B, RB, (LOC)
9.100%, 02/01/04 3,310 3,426
Montgomery County, New York
Industrial Development Authority,
Central National Bank
Project, RB, (LOC)
5.550%, 05/01/25 (D) 3,750 3,750
Muskegan County, Michigan
Unlimited Tax, GO
7.000%, 06/01/96 1,000 1,000
7.250%, 12/01/96 650 653
New Jersey State Economic
Development Authority,
Series 1992 R2, RB (LOC)
6.800%, 12/01/02 1,350 1,320
New Jersey State Economic
Development Authority,
State Contract, RB
7.100%, 09/15/02 2,500 2,450
New York City Industrial
Development Authority, Civic
Facility, Series B, RB, MBIA
8.100%, 09/01/06 1,975 2,121
New York Port Authority,
Ninetieth Series, RB
5.950%, 10/01/02 700 649
Oklahoma City, Oklahoma Airport
Trust, Federal Aviation Authority,
Senior Lien, Series 16, RB
9.875%, 07/01/12 1,005 1,079
Oklahoma City, Oklahoma Airport
Trust, Federal Bureau
Prisons Project, RB
9.800%, 11/01/14 2,650 2,898
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Oklahoma County, Oklahoma
Home Finance Authority, RB
0.000%, 07/01/12 (A) $ 3,450 $ 806
Olathe Labette County, Kansas
Single Family Mortgage,
Series 1993 A
0.000%, 02/01/16 (A) 1,795 458
Palm Springs, California
Desert Hospital, RB
9.000%, 07/01/13 5,945 5,573
Pima and Maricopa Counties,
Arizona Industrial Development
Authority, Multi-Family Housing,
Series 1993B, RB, FNMA
6.500%, 01/01/06 740 718
Plymouth County Massachusetts
Correctional Facility,
Certificate of Participation
10.400%, 04/01/22 5,100 5,693
Rhode Island Port Authority
Economic Development
Corporation, Central Falls
Detention Center, Series A, RB
8.200%, 01/15/08 1,239 1,338
San Diego County, California
Pension Obligation, Series A, FSA
6.240%, 08/15/02 2,000 1,878
San Francisco, California
Redevelopment Agency,
Series 1995B, RB, MBIA/FHA
7.500%, 07/01/24 3,860 3,759
Sand Creek, Idaho Limited
Partnership, Multi-Family
Housing, RB
8.250%, 12/01/18 3,655 3,404
Sarasota Florida Water and Sewer
Utility, Series A, RB, FGIC
4.450%, 10/01/96 1,665 1,654
Shelby County, Tennessee
Single Family Mortgage,
Series 1991A Class A-2, FGIC
8.900%, 04/15/05 1,414 1,414
Tarrant County, Texas Housing
Finance Authority, Single Family
Mortgage, Series 1993, RB, MBIA
6.650%, 07/15/16 735 711
Texas State Department of Housing &
Community Affairs, Single Family
Mortgage, Series 1994B, RB
9.500%, 03/01/16 16,020 16,020
Utah State Housing Authority,
Series D-1, RB
9.850%, 07/01/10 275 292
--------
Total Taxable Municipal Bonds
(Cost $140,940,488) 134,674
--------
24
<PAGE>
================================================================================
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
TAX-FREE MUNICIPAL BONDS -- 5.1%
Allentown, Pennsylvania Hospital
Authority, Sacred Heart Hospital
of Allentown, Series A, RB
6.500%, 11/15/08 $ 3,400 $ 3,421
Borough of Tarentum, Pennsylvania
Electric Utility, Series 1993 A, RB
5.875%, 09/01/18 745 678
Borough of Tarentum, Pennsylvania
Water Utility, Series 1993 B, RB
5.875%, 09/01/18 450 409
Georgia State Residential Finance
Housing, Series A, RB
6.750%, 06/01/16 900 914
Honolulu, Hawaii City and County,
Hale Pauahi Project, Series A, RB,
MBIA, FHA
6.800%, 07/01/28 3,000 3,004
King County, Washington Housing
Authority, Multi-Family Mortgage,
Section 8 Assisted Housing,
Series A, RB
7.000%, 08/01/03 750 805
Louisiana Public Facilities Authority,
Multi-Family Housing, Oakleigh
Apartment Project,
Mandatory Put @ 100, RB, AXA
5.950%, 03/15/05 (B) 915 945
Nelson County, Kentucky Industrial
Development, RB, AMT (LOC)
6.500%, 04/01/05 2,000 2,108
NewYork State Dormitory Authority,
Long Island University, RB,
Asset Guaranty
6.000%, 09/01/08 3,500 3,684
South Carolina State Housing Finance
Agency, Multi-Family Housing, RB,
Mandatory Put @ 100, FNMA
5.700%, 06/01/05 (B) 6,050 6,269
Taos County, New Mexico Local
Hospital, Series 1995 B, RB
Revenue Bond Series 1995 B,
Asset Guaranty
5.000%, 05/15/02 5,450 5,375
Vista, California Multi-Family Housing
Authority, Pepperwood Apartment
Project, Series 1995A, RB, FNMA,
Mandatory Put @ 100
5.700%, 06/01/05 (D) 2,785 2,820
-------
Total Tax-Free Municipal Bonds
(Cost $24,016,039) 30,432
-------
U.S. TREASURY OBLIGATIONS -- 16.7%
U.S. Treasury Bond
8.125%, 08/15/19 14,350 16,002
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
U.S. Treasury Notes
5.125%, 11/30/98 $37,025 $ 36,104
6.750%, 05/31/99 10,550 10,689
6.250%, 02/15/03 3,000 2,949
5.750%, 08/15/03 31,440 29,872
U.S. Treasury STRIPS
0.000%, 05/15/07 8,050 3,790
--------
Total U.S. Treasury Obligations
(Cost $100,521,013) 99,406
--------
REPURCHASE AGREEMENT -- 5.1%
J.P. Morgan Securities 5.27%, dated
04/30/96, matures 05/01/96,
repurchase price $30,109,533
(collateralized by U.S. Treasury
Note, par value $27,480,000,
7.875%, due 11/15/04, market
value $30,711,542) 30,105 30,105
--------
Total Repurchase Agreement
(Cost $30,105,125) 30,105
--------
Total Investments -- 100.2%
(Cost $601,700,788) $597,282
========
(A) ZERO COUPON BOND.
(B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS
THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS
SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(D) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF
INVESTMENTS IS THE RATE IN EFFECT AS OF APRIL 30, 1996.
(E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE
MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
AMT INCOME FROM SECURITY MAY BE SUBJECT TO ALTERNATIVE
MINIMUM TAX.
GO GENERAL OBLIGATION
RB REVENUE BOND
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY
A MAJOR COMMERCIAL BANK.
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
ASSET GUARANTY ASSET GUARANTY
AXA AXA REINSURANCE
CGIC CAPITAL GUARANTY INSURANCE CORPORATION
FGIC FEDERAL GUARANTY INSURANCE CORPORATION
FHA FEDERAL HOUSING AUTHORITY
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSISTANCE
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
STRIPS SEPARATELY TRADING OF REGISTERED INTEREST AND PRINCIPAL OF
SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
25
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
SHORT-TERM
MUNICIPAL BOND FUND
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
MUNICIPAL BONDS -- 99.1%
CALIFORNIA -- 5.4%
Los Angeles, Housing
Redevelopment Agency,
Monterey Hills Redevelopment
Project B, RB
5.500%, 12/01/05 $ 175 $ 175
Sacramento, Municipal Utility
District, Electric Revenue,
Series S, Pre-refunded @ 102,
RB, FGIC
6.625%, 02/01/97 (E) 10 10
San Francisco, Multi-Family
Housing, RB, FNMA
5.000%, 02/15/97 10 10
------
195
------
COLORADO -- 9.4%
Housing Finance Authority,
Single Family Program,
Series E, RB, AMT
6.250%, 12/01/09 85 85
El Paso County, Capital
Appreciation, Series C,
RB, AMT, (A)
0.000%, 07/10/14 1,000 255
------
340
------
DELAWARE -- 5.0%
State Economic Development
Authority, Wilmington Friends
School, RB
6.300%, 07/01/96 40 40
6.300%, 07/01/97 45 45
6.300%, 07/01/98 45 45
Dover, Delaware Water & Sewer,
Series B, RB, MBIA
7.200%, 07/01/01 25 25
Dover, Delaware Water & Sewer,
Series A, RB, MBIA
6.900%, 07/01/97 25 26
------
181
------
KANSAS -- 4.1%
Saline County, Single Family
Mortgage, Series A, RB,
9.500%, 10/01/11 140 147
------
LOUISIANA -- 5.0%
Public Facility Authority, River
View, Mandatory Put @ 100,
RB, CONN
6.000%, 07/01/97 (B) 180 180
------
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
MASSACHUSETTS -- 5.7%
State Housing Finance Agency,
Single Family, Series 8, RB
7.000%, 06/01/99 $ 200 $ 208
------
MICHIGAN -- 2.7%
State Hospital Finance Authority, RB
5.000%, 01/01/97 100 100
------
MISSISSIPPI -- 2.6%
Business Finance, Industrial
Development Authority,
The Taylor Group Project,
RB, AMT (LOC)
5.200%, 05/01/97 95 96
------
MISSOURI -- 2.2%
St. Louis County, Single Family,
RB, AMBAC
9.250%, 10/01/16 75 79
------
NEW HAMPSHIRE -- 1.9%
State Housing Finance Authority,
Single Family, Exchangeable, RB,
AMT, FHA, (LOC)
6.125%, 01/01/18 70 70
------
NEW MEXICO -- 12.1%
Albuquerque, Municipal
Collateralized Mortgage
Obligation, Class B-2, FGIC
0.000%, 05/15/11 (A) 839 277
Albuquerque, Municipal
Collateralized Mortgage
Obligation, Class B-1, FSA
7.650%, 08/15/07 55 58
Sandoval County, Gross Receipts
Tax Revenue, RB, Intel
6.000%, 11/01/98 105 105
------
440
------
NEW YORK -- 0.9%
State Medical Care Facility,
Finance Agency, Hospital &
Nursing Home, RB, FHA
6.700%, 08/15/01 30 32
------
OHIO -- 4.1%
Housing Finance Agency, Single
Family, Adjustable Rate,
RB, BIGI
5.750%, 04/01/16 (D) 150 150
------
26
<PAGE>
================================================================================
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
OKLAHOMA -- 2.4%
State Housing Finance Agency,
Single Family, Class A,
RB, AMT, GNMA
8.000%, 08/01/18 $ 85 $ 86
----
PENNSYLVANIA -- 16.3%
Erie County, Hospital Authority
Health Center Facility, Manchester
Presbyterian Project, RB (LOC)
7.500%, 09/15/06 25 25
Montgomery County, Redevelopment
Authority, Multi-Family Housing,
Gwynedd-Oxford Project, Series A,
RB, Mandatory Put @ 100, CONN
6.125%, 12/01/96 (B) 185 185
Pennsylvania State, GO
6.650%, 05/15/98 115 116
7.000%, 12/01/96 65 65
5.100%, 12/01/96 100 100
Philadelphia Industrial
Development Authority,
Huff Paper Project, AMT
6.100%, 12/15/97 40 40
Pittsburgh, GO, ETM, AMBAC
6.400%, 09/01/96 35 35
Western Westmoreland, Municipal
Authority, RB, MGG
6.150%, 10/15/97 25 25
----
591
----
TENNESSEE -- 2.8%
Hamilton County, Industrial
Development, Ridgemont/
Mountain Brook Apartments,
Mandatory Put @ 100, RB (LOC)
6.250%, 10/01/97 (B) 100 101
----
TEXAS -- 11.2%
South Plains, Regional Housing
Authority, Section 8 Assistance
Project, Series A, HUD
Section 8, RB,
6.000%, 08/01/00 170 171
Southeast Texas, Housing Finance
Residual Revenue, Series B, RB,
0.000%, 12/01/16 (A) 1,100 237
----
408
----
UTAH -- 1.1%
Salt Lake City, Industrial
Development Authority,
Hermes Associate Project,
RB, (LOC)
5.900%, 09/01/96 40 40
----
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
WISCONSIN -- 4.2%
State Housing & Economic
Development Authority,
Series B, RB, AMT
6.625%, 09/01/20 $ 150 $ 150
------
Total Municipal Bonds
(Cost $3,591,682) 3,594
------
CASH EQUIVALENTS -- 5.1%
SEI Institutional Tax Free
Portfolio 173 173
SEI Tax-Exempt Trust - Tax Free
Portfolio 13 13
------
Total Cash Equivalents
(Cost $186,672) 186
------
Total Investments -- 104.2%
(Cost $3,778,354) $3,780
======
(A) ZERO COUPON BOND
(B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS
THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS
SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(D) VARIABLE RATE SECURITY. THE RATE REFLECTED ON THE SCHEDULE OF
INVESTMENTS IS THE RATE IN EFFECT AT APRIL 30, 1996.
(E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE
MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
AMT ALTERNATIVE MINIMUM TAX
ETM ESCROWED TO MATURITY
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED
BY A MAJOR COMMERCIAL BANK
GO GENERAL OBLIGATION
RB REVENUE BOND
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR
THE SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE COMPANY
BIGI BOND INVESTORS GUARANTY ASSURANCE CORPORATION
CONN CONNECTICUT GENERAL LIFE
FGIC FEDERAL GUARANTY INSURANCE CORPORATION
FHA FEDERAL HOUSING AUTHORITY
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSISTANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING & URBAN DEVELOPMENT
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
MGG MUNICIPAL GOVERNMENT GUARANTEED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
27
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
SHORT-TERM
FIXED INCOME FUND
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
ASSET-BACKED SECURITIES -- 11.2%
Ford Credit Auto Lease Trust,
Series 1995-1, Class A2
6.350%, 10/15/98 $145 $ 146
Navistar Financial Corporation
Owner Trust, Series 1995-B,
Class A2
5.940%, 10/15/98 150 150
Premier Auto Trust, Series 1992-4,
Class A
5.050%, 01/15/98 82 83
Premier Auto Trust, Tranche 1993-5,
Class A2
4.220%, 03/02/99 51 51
Sears Credit Account Trust,
Series 1991-C, Class A
8.650%, 07/15/98 100 101
Standard Credit Card Master Trust,
Series 1991-1, Class A
8.500%, 08/07/97 100 100
Union Federal Savings Bank
Grantor Trust, Pool 1993-A,
Class A
4.525%, 05/15/99 423 416
------
Total Asset-Backed Securities
(Cost $1,046,999) 1,047
------
OTHER MORTGAGE-BACKED OBLIGATIONS -- 4.3%
General Electric Capital Mortgage
Services, Series 1994-18,
Class A2
7.000%, 08/25/24 67 67
Green Tree Financial Corporation,
Series 1993-1, Class A1
4.900%, 04/15/18 9 9
Green Tree Financial Corporation,
Series 1994-1, Class A1
5.600%, 04/15/19 63 63
Green Tree Financial Corporation,
Series 1995-1, Class A1
7.250%, 06/15/25 10 10
Green Tree Financial Corporation,
Series 1995-4, Class A1
6.050%, 07/15/25 45 45
Housing Securities Incorporated,
Series 1994-1, Class A5
5.500%, 08/25/03 100 99
Vanderbilt Mortgage Finance,
Series 1994-A, Class A1
7.000%, 07/10/19 110 111
------
Total Other Mortgage-Backed Obligations
(Cost $404,693) 404
------
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 22.7%
U.S. Treasury Notes
5.875%, 07/31/97 $ 70 $ 70
5.125%, 11/30/98 1,500 1,463
6.750%, 05/31/99 570 578
------
Total U.S. Treasury Obligations
(Cost $2,117,538) 2,111
------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 30.3%
Federal Home Loan Mortgage
Corporation, REMIC, Series 1230,
Class H
6.500%, 09/15/05 500 496
Federal Home Loan Mortgage
Corporation, REMIC, Series 1306,
Class G
7.800%, 05/15/12 65 66
Federal Home Loan Mortgage
Corporation, REMIC, Series 1190,
Class F
7.500%, 09/15/18 32 32
Federal Home Loan Mortgage
Corporation, REMIC, Series 1215,
Class E
6.750%, 02/15/04 87 88
Federal Home Loan Mortgage
Corporation, REMIC, Series 1607,
Class B
4.350%, 06/15/03 11 12
Federal Home Loan Mortgage
Corporation, REMIC, Series 1255,
Class E
7.500%, 01/15/19 500 505
Federal Home Loan Mortgage
Corporation, REMIC, Series 1464,
Class BC
6.100%, 04/15/14 250 250
Federal National Mortgage
Association, REMIC, Series
G92-35, Class BA
4.000%, 01/25/18 417 407
Federal National Mortgage
Association, REMIC, Series
1990-87, Class G
7.500%, 05/25/12 3 4
Federal National Mortgage
Association, REMIC, Series
1991-137, Class E
8.050%, 01/25/20 48 49
28
<PAGE>
================================================================================
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Federal National Mortgage
Association, REMIC, Series
1992-37, Class PC
6.000%, 03/25/15 $ 177 $ 177
Federal National Mortgage
Association, REMIC, Series
G92-42, Class C
7.000%, 09/25/19 34 34
Federal National Mortgage
Association, REMIC, Series
1992-161, Class A
6.500%, 12/25/13 42 42
Federal National Mortgage
Association, REMIC, Series
1989-85, Class D
7.600%, 05/25/18 47 47
Federal National Mortgage
Association, REMIC, Series
1991-165, Class H
7.500%, 04/25/20 46 46
Goldman Sachs Trust 3, Series E,
Class 4
8.000%, 05/27/15 562 572
------
Total U.S. Government Agency Obligations
(Cost $2,824,916) 2,827
------
TAXABLE MUNICIPAL BONDS -- 21.5%
Bryon, Texas Higher Education
Authority, Allen Academy,
Series B, RB
6.500%, 12/01/99 50 50
Dallas County, Texas Housing
Finance Corporation, Single
Family Mortgage, RB
6.625%, 12/01/13 185 169
Dauphin County, General
Authority, Tressler Project,
Series B,
Optional Put 09/01/96 @ 100 RB
7.000%, 09/01/10 270 270
Hillard, Ohio Housing
Development Corporation,
Series 1995B, RB, FHA
7.750%, 01/01/97 45 45
Indianola, Mississippi Housing
Development, Section 8
Eastover Apartments, MBIA/FHA
6.600%, 01/01/99 90 89
Lancaster, California Family
Housing, High Valley
Apartments, RB, FHA
5.850%, 06/01/96 15 15
- --------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------
Memphis-Shelby, Tennessee
Industrial Development Board,
Cleo Project, Series B, RB, (LOC)
9.100%, 02/01/04 $ 200 $ 207
Montgomery, Texas Housing
Finance Corporation,
Multi-Family Housing, Holly
Creek, Series II, Class B, RB, FHA
5.875%, 07/01/96 35 35
Moorhead, Mississippi Housing
Development, Section 8 Moorhead
Manor, Series A, RB, MBIA/FHA
6.600%, 07/01/96 25 25
6.600%, 07/01/97 30 30
6.600%, 07/01/98 30 30
6.600%, 07/01/99 35 34
Ohio Capital Corporation For
Housing, Series 1995-N, RB,
MBIA/FHA
6.875%, 07/01/97 50 50
Plainfield, Indiana, Quaker School
Building, RB,
6.150%, 07/01/96 135 135
Riverside, California Certificate of
Participation, Tyler Mall
Parking
10.000%, 04/01/10 400 418
Rome, New York Housing
Development Section 8, Series B,
RB, MBIA/FHA
7.750%, 07/01/01 55 55
San Francisco, California
Redevelopment Agency,
Seies 1995-C, RB, MBIA/FHA
6.375%, 01/01/00 165 163
Summit County, Colorado Snake
River Water District, GO,
Asset Guaranty
6.250%, 12/15/96 180 180
------
Total Municipal Bonds
(Cost $2,025,625) 2,000
------
CASH EQUIVALENTS -- 9.3%
SEI Daily Income Trust
Government II Fund 439 439
SEI Daily Income Trust Treasury II
Fund 427 427
------
Total Cash Equivalents
(Cost $866,821) 866
------
Total Investments -- 99.3%
(Cost $9,286,592) $9,255
======
29
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
SHORT-TERM
FIXED INCOME FUND
- ---------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- ---------------------------------------------------------------
GO GENERAL OBLIGATION
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT BY
A MAJOR COMMERCIAL BANK
RB REVENUE BOND
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR
THE SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
FHA FEDERAL HOUSING AUTHORITY
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALLER COMPANIES
FUND
COMMON STOCKS -- 81.3%
CONSUMER -- 18.6%
Apple South 1,500 $ 39
Barefoot 1,900 24
Barnett* 850 20
CDW Computer Centers* 450 35
Daka International* 900 27
Damark International* 4,600 52
Family Dollar Stores 1,900 29
Garden Ridge* 900 50
Just For Feet 1,700 81
Longhorn Steaks* 400 11
Micro Warehouse* 500 22
Mohawk Industries* 1,500 22
Movie Gallery* 1,800 55
Outback Steakhouse* 150 6
Petsmart* 400 18
Regal Cinemas* 300 12
Sonic* 2,600 49
Sports Authority* 2,250 67
Starbucks* 2,400 65
USA Detergents* 500 20
York Group* 300 6
------
710
------
SERVICE -- 10.7%
American Radio Systems* 2,000 67
Chancellor, Class A* 950 24
Daisytek International* 1,300 53
Delta & Pine Land 1,750 78
Paging Network* 2,500 59
Paxson Communications 800 12
Philip Environmental 1,000 8
PMT Services* 2,000 58
True North Communications 550 15
Vanguard Cellular Systems, Class A* 1,300 28
Vanstar 500 7
------
409
------
- ---------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- ---------------------------------------------------------------
CREDIT SENSITIVE -- 8.5%
BayBanks 100 $ 10
Credit Acceptance* 2,300 43
Dime Bancorp* 5,000 61
First Bell Bancorp 1,000 14
Glendale Federal Savings Bank* 2,000 35
HFNC Financial* 2,000 28
Lennar 3,000 75
Long Island Bancorp 1,000 28
Triangle Pacific* 1,750 29
----
323
----
TECHNOLOGY -- 21.9%
Ade* 3,500 56
Affiliated Computer Services,
Class A* 800 38
Altera* 1,100 58
CEM* 4,000 54
Ceridian* 600 29
Computervision* 4,100 50
Dendrite International* 550 13
Geoworks* 1,800 67
KLA Instruments* 750 22
MEMC Electronic Materials* 2,900 145
Mercury Interactive* 1,500 21
Micrel* 2,500 42
PCD* 5,000 67
Platinum Technology* 2,000 29
PRI Automation* 2,500 71
Rational Software* 200 11
Sandisk* 4,000 59
----
832
----
HEALTHCARE -- 5.4%
Genesis Health Ventures* 1,500 44
Gensia Pharmaceutical 5,500 28
Immulogic Pharmaceutical* 1,900 20
Perseptive Biosystems* 3,750 27
Quorum Health Group* 500 13
Sun Healthcare Group* 2,000 30
Value Health* 1,100 32
Ventritex * 700 11
----
205
----
ENERGY -- 9.6%
Benton Oil & Gas* 750 13
BJ Services* 1,500 57
Camco International 1,000 36
Devon Energy 2,000 51
Parker & Parsley Petroleum 1,000 25
Seacor Holdings* 1,050 43
Tidewater 2,250 96
United Meridian* 1,500 46
----
367
----
30
<PAGE>
================================================================================
- ---------------------------------------------------------------
SHARES/ MARKET VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- ---------------------------------------------------------------
PROCESS INDUSTRIES -- 2.2%
Bowater 1,000 $ 40
Potlatch 1,000 43
------
83
------
CAPITAL GOODS -- 1.3%
Adept Technology* 2,500 48
------
AIR TRANSPORTATION -- 0.8%
Atlantic Southeast Airlines 1,250 31
------
BUILDING & CONSTRUCTION
SUPPLIES -- 0.8%
Miller Industries* 1,050 29
------
TRANSPORTATION -- 1.5%
TNT Freightways 2,500 57
------
Total Common Stocks
(Cost $2,610,898) 3,094
------
COMMERCIAL PAPER -- 19.0%
Ford Motor Credit
5.290%, 05/01/96 $724 724
------
Total Commercial Paper
(Cost $724,000) 724
------
Total Investments -- 100.3%
(Cost $3,334,898) $3,818
======
* NON-INCOME PRODUCING SECURITY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL
EQUITY FUND
FOREIGN COMMON STOCKS -- 95.5%
AUSTRALIA -- 2.4%
Highlands Gold Rights * 6,200 $ --
Mayne Nickless 6,000 36
M.I.M. Holdings 31,000 46
------
82
------
FINLAND -- 1.8%
Nokia AB, Series A 700 25
Valmet `A' 2,600 35
------
60
------
FRANCE -- 7.1%
Castorama Dubois 467 89
Christian Dior 850 113
Cie de Saint Gobain 12 2
Sanofi 450 36
------
240
------
- ---------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- ---------------------------------------------------------------
HONG KONG -- 4.7%
Cheung Kong Holdings 5,000 $ 36
Hong Kong Telecommunications 30,000 57
HSBC Holdings 1,000 15
Hutchison Whampoa 5,000 31
Sun Hung Kai Properties 2,000 19
------
158
------
ITALY -- 1.4%
Telecom Italia 22,000 49
------
JAPAN -- 37.9%
Autobac Seven 100 10
Canon 4,000 80
DDI 8 69
Hitachi 7,000 76
Ito Yokado 1,000 59
Matsushita Electric 2,000 35
Mitsubishi 5,000 71
Mitsubishi Estate 6,000 84
Mitsubishi Heavy Industries 10,000 89
Mitsubishi Materials 3,000 18
Nishimatsu Construction 6,000 71
NKK * 23,000 72
Nomura Securities 4,000 87
NSK 6,000 48
Sankyo 3,000 73
Shin Etsu Chemical 3,150 69
Sumitomo Bank 2,000 43
Suzuki Motor 3,000 38
Teijin 13,000 71
Tokio Marine & Fire Insurance 6,000 83
Toshiba 5,000 39
------
1,285
------
MALAYSIA -- 2.7%
Genting Berhad 5,000 45
United Engineers 7,000 48
------
93
------
NETHERLANDS -- 6.9%
Aegon 879 42
Elsevier 6,200 93
Gucci * 800 43
Hunter Douglas 450 29
Polygram 460 27
------
234
------
SINGAPORE -- 4.0%
Jardine Matheson Holdings 6,800 54
Overseas Chinese Banking Foreign 6,000 83
------
137
------
SPAIN -- 1.5%
Centros Comerciales Pryca 1,100 25
Telefonica de Espana 1,500 27
------
52
------
31
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
INTERNATIONAL
EQUITY FUND
- -------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- -------------------------------------------------------------
SWEDEN -- 6.8%
Astra AB, Series A 2,400 $ 107
Ericsson LM, Series B 4,400 89
Securitas AB, Series B 600 35
------
231
------
SWITZERLAND -- 3.7%
Roche Holdings 6 47
Sandoz Pharmaceutical 70 77
------
124
------
UNITED KINGDOM -- 14.6%
British Telecommunications 4,900 27
Dixons Group 24,300 180
General Electric 18,100 98
Glaxo Wellcome 8,200 99
Williams Holdings 17,400 90
------
494
------
Total Foreign Common Stocks
(Cost $2,762,928) 3,239
------
FOREIGN PREFERRED STOCK -- 1.1%
GERMANY -- 1.1%
SAP 275 37
------
Total Foreign Preferred Stock
(Cost $44,914) 37
------
Total Investments -- 96.6%
(Cost $2,807,842) $3,276
======
* NON-INCOME PRODUCING SECURITY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL SMALL
CAP EQUITY FUND
- -------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- -------------------------------------------------------------
FOREIGN COMMON STOCKS -- 91.7%
AUSTRALIA -- 1.4%
Adelaide Bank 195,000 $ 581
Australian National 640,000 583
Digicall Group* 250,000 202
Foodland Associated 65,000 248
Savage Resources 231,000 203
Savage Resources Options* 23,100 6
------
1,823
------
AUSTRIA -- 1.0%
Austria Mikro Systeme
International* 1,441 175
Wolford 5,176 1,125
------
1,300
------
BELGIUM -- 0.3%
Quick Restaurants 3,834 403
------
DENMARK -- 1.6%
Martin Gruppen* 14,541 850
Oticon Holding AS, Series A 10,750 1,148
------
1,998
------
FINLAND -- 0.0%
Benefon Oy 2,500 45
------
FRANCE -- 3.3%
Airfeu SA 6,864 248
Assystem* 4,240 513
Bertrand Faure 2,500 82
Brioche Pasquier 1,807 268
But SA 9,025 603
CIPE France SA 6,566 572
Deveaux SA 2,483 319
Filipacchi Medias 16 3
Grand Optical-Photoservice 3,783 452
Guilbert SA 3,826 628
Hermes International 1,645 436
NRJ SA 10 1
------
4,125
------
GERMANY -- 2.8%
Adidas* 4,710 356
Boss (Hugo) 449 449
Cewe Color Holding 3,132 1,115
Jil Sander 866 736
Kiekert* 18,876 573
Marschollek Lauten 342 345
------
3,574
------
HONG KONG -- 2.2%
ASM Pacific Technology 67,000 66
Chen Hsong 230,000 118
32
<PAGE>
================================================================================
- -------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- -------------------------------------------------------------
China Resources Development 400,000 $ 247
East Asiatic Company 320,000 42
Four Seas Mercantile 250,000 95
Gold Peak 510,000 265
Grand Hotel Holdings `A' 580,000 238
Harbour Centre 211,000 286
HKR International 300,000 341
Hon Kwok Land Investment 402,000 140
Hong Kong Aircraft Engineering 44,800 114
Jardine International Motor 100,000 129
Liu Chong Hing Bank 140,000 194
Regal Hotels International 800,000 203
Wing Hang Bank 72,000 264
Winsor Industrial 73,000 67
------
2,809
------
INDONESIA -- 1.0%
Bukaka Teknik Utama 75,000 129
Clipan Finance 67,500 84
Fastfood Indonesia 31,000 40
PT Aneka Kimia Ray 72,000 133
PT Bank Niaga 50,000 125
PT Enseval Putera 151,000 105
Sari Husada 15,000 86
Tempo Scan Pacific 40,000 102
Tigaraksa Satria 40,000 206
Trias Sentosa 84,000 179
Wicaksana Overseas 40,000 115
------
1,304
------
ITALY -- 4.8%
De Rigo ADR* 40,937 1,233
Gewiss 90,031 1,302
Industria Machine* 69,153 487
Industrie Natuzzi Spa ADR 39,022 2,029
Saes Getters 20,113 508
Saes Getters Di Risp 30,614 607
------
6,166
------
JAPAN -- 44.5%
Aderans 20,000 475
Aichi 60,000 683
Alpine Electronics 37,000 729
Apic Yamada 22,000 686
Arcland Sakamoto 45,000 542
Belluna 1,200 26
Beltecno 30,000 356
Bridgestone 70,000 904
Cesar 80,000 796
Chubu Sekiwa Real Estate 44,000 732
Chuo Warehouse 45,000 602
Circle K 22,000 968
CKD 60,000 689
Daishowa Paper 65,000 603
Daiwabo Information Systems 27,500 618
- -------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- -------------------------------------------------------------
Enix 20,000 $ 581
Fast Retailing 10,000 402
Fuji Machine Manufacturing 20,000 658
Fuso Lexel 23,000 271
Higashi Nihon House 20,000 325
Honma Golf 17,400 413
H.I.S. 15,000 884
Ichiken 50,000 579
Itoki Crebio 65,000 542
Japan Digital Lab 20,000 486
Japan Industry Land 22,000 781
Juken Sangyo 50,000 583
Kaneshita Construction 45,000 581
Kansai Sekiwa 45,000 792
Kanto Seino Transportation 25,000 787
Kawasho Lease System 10,000 124
Kawasumi Labs 40,000 555
Maezawa Kaisei 17,000 680
Mars Engineering 8,000 584
Maruco 16,000 1,432
Maspro Denkoh 25,000 686
Meitec 3,000 66
Ministop 30,000 809
Misumi 24,200 831
Mitsuba Electric 50,000 626
Mitsui High-Tec 28,000 718
Mitsui Home 45,000 753
Mitsumi Electric 30,000 548
Nichiha 38,500 707
Nichii Gakkan 16,500 888
Nippon Kanzai 22,000 661
Nippon Thompson 95,000 945
Nissin 15,600 759
Nissin Electric 100,000 809
Nitto Electric Works 60,000 958
Nitto Kohki 22,000 894
Noritsu Koki 24,000 978
OSG 95,000 788
Paramount Bed 11,000 752
Paris Miki 20,000 847
Plenus 9,900 415
PS 35,000 669
Ricoh Elemex 55,000 868
Ryohin Keikaku 8,400 751
Ryoyo Electro 23,000 592
Sakai Chemical Industry 120,000 876
Sansei Yusoki 40,000 524
Sanyo Shinpan 8,000 558
Satori Electric 17,000 780
Seijo 20,000 627
Sekiwa Real Estate 45,000 512
Shimachu 20,000 679
Shimadzu 120,000 820
Shin Nikkei 70,000 559
Shinki 24,000 895
Sintokogio 65,000 591
33
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
INTERNATIONAL SMALL
CAP EQUITY FUND
- -------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- -------------------------------------------------------------
Stamina Foods 39,600 $ 401
Takada Kiko Steel 43,000 485
Takuma 50,000 770
Tanseisha 50,000 693
Terumo 75,000 954
TKC 24,700 765
Tohoku Misawa Home 50,000 626
Towa Pharmaceutical 11,000 293
Toyo Shutter 70,000 743
Trusco Nakayama 33,000 852
Tsudakoma 100,000 784
Wakita 40,000 719
Xebio 20,000 746
Yamae Hisano 25,000 230
Yoshinoya D&C 34 484
Yukiguni Maitake 26,000 249
-------
56,982
-------
MALAYSIA -- 1.9%
Cement Manufacturers Sarawak 15,000 87
Cycle and Carr Bin 60,000 378
Hock Hua Bank 60,000 184
IOI Properties 70,000 232
KFC Holdings 35,000 211
Metacorp 20,000 57
Muhibbah Engineering 40,000 152
Nylex Berhad 80,000 327
Public Finance 145,000 348
RJ Reynolds Berhad 70,000 222
Road Builder 25,000 110
Shah Alam Properties 38,000 148
-------
2,456
-------
NETHERLANDS -- 2.5%
Aalberts Industries 4,282 344
Gucci* 27,880 1,510
IHC Caland 11,708 460
Otra 12,430 308
Randstad Holdings 7,315 469
Sphinx Kon Gustavsberg 9,188 151
-------
3,242
-------
NORWAY -- 3.2%
Awilco AS, Series B 32,981 327
Hitec AS 58,640 330
Industri Investor* 112,740 343
Nera AS 16,461 599
Norman Data Defence* 17,150 313
Sensonor AS 39,817 334
Sysdeco Group AS* 4,000 48
System Etiketterin 47,403 744
Tomra Systems 84,595 779
Transocean* 9,709 272
-------
4,089
-------
- -------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- -------------------------------------------------------------
PHILIPPINES -- 0.2%
Bacnotan Consolidated 8,000 $ 42
Belle Corporation* 400,000 59
First Philippene Holdings 74,533 170
Union Bank of Philippines* 12,000 15
------
286
------
SINGAPORE -- 1.6%
Amtek Engineering 170,000 285
Comfort Group 80,000 73
Courts Singapore 177,000 291
CSA Holding* 75,000 81
Haw Par Brothers International 76,000 193
Hong Leong Finance 20,000 82
Jurong Engineering 50,000 222
Singap Tech Ship & Engine 152,000 344
SNP 75,000 67
Tiger Medicals 35,000 60
Venture Manufacturing 100,000 342
------
2,040
------
SOUTH KOREA -- 0.2%
Daesung Industrial 1,000 80
Daesung Rights 400 8
Halla Engineering & Construction 4,364 204
------
292
------
SPAIN -- 0.2%
Cortefiel 13,937 301
------
SWEDEN -- 3.6%
Allgon, Series B 5,000 76
Assa Abloy, Series B* 39,202 445
Elekta Instrument AB, Series B 5,994 207
Garphyttan Industrier AB 22,000 305
Hoganas AB, Series B 23,488 780
Kalmar 34,965 634
Opcon, Series B* 320 271
Sintercast, Series A* 23,860 1,531
Trio* 10,080 342
------
4,591
------
SWITZERLAND -- 0.6%
Fust 1,170 363
Kardex PC 1,155 344
------
707
------
THAILAND -- 0.5%
Hana Microelectric 31,000 171
Regional Container Line 7,000 84
Robinson Department Store 52,000 124
Serm Suk 6,040 185
Srithai Superware 12,000 89
------
653
------
34
<PAGE>
================================================================================
- -------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- -------------------------------------------------------------
UNITED KINGDOM -- 14.3%
Albright & Wilson 60,000 $ 160
Allders 15,500 49
Allied Colloids 40,000 80
Alumasc Group 50,909 332
Amersham International 13,000 209
Applied Distribution Group 100,000 250
Argos 50,000 488
Ashtead Group 230,600 666
Associated British Ports 66,700 301
Baynes (Charles) 140,000 293
BBA Group 85,000 445
Bunzl 100,000 346
Business Post Group 75,000 426
Capital Shopping 100,000 421
Charter 17,500 250
Compass Group 40,000 329
Courtaulds Textile 32,500 204
Cowie Group 90,000 519
Daily Mail & General Trust A 17,200 420
Dalgety 50,000 294
Devro International 77,000 271
Diploma 42,500 267
Fairey Group 43,650 434
Firstbus 90,400 230
Forth Ports 37,500 378
Glynwed International 55,000 306
Great Portland Estates 38,000 104
Henlys 43,900 434
Hepworth 60,000 273
Ibstock 210,000 270
Ideal Hardware 44,000 400
ISA International 100,000 259
Laird Group 50,000 368
London Clubs 44,500 366
Marston Thompson 50,000 262
MFI Furniture 105,000 281
Mirror Group 103,700 359
Misys 26,376 327
Morrison Supermarket 25,000 64
Perkins Food 55,000 66
Pillar Property Investment 133,400 363
Pizza Express 100,000 523
Rotork 81,450 279
Rugby Group 120,000 231
Sanderson Holding 25,000 110
Scapa Group 57,000 206
Security Services 22,400 412
Sheffield Insulation 53,900 204
Smith (David S.) Holding 67,900 306
Spirax-Sarco Engineering 40,000 439
Stagecoach Holdings 38,200 261
Stat-Plus Group 40,000 142
Staveley Industries 60,000 201
- ---------------------------------------------------------------
SHARES/ MARKET VALUE
DESCRIPTION FACE AMOUNT (000)(1) (000)
- ---------------------------------------------------------------
Trafford Park Estates 120,000 $ 191
Trinity Holdings 45,400 268
Ulster Television 20,000 388
United News & Media 25,600 267
Vickers PLC 120,000 466
Vitec Group 45,000 511
Vosper Thornycroft 21,850 270
-------
18,239
-------
Total Foreign Common Stocks
(Cost $100,131,194) 117,425
--------
FOREIGN PREFERRED STOCKS -- 3.3%
GERMANY -- 3.3%
Berentzen-Gruppe 29,433 1,038
Fielmann 12,675 556
Hach 848 298
Mobel Walther 10,190 403
Puma 1,871 645
Rhone Klinikum 9,192 1,078
Sto Vorzug 601 253
--------
4,271
--------
Total Foreign Preferred Stocks
(Cost $3,696,285) 4,271
--------
COMMON STOCKS -- 0.2%
UNITED STATES -- 0.2%
PixTech* 36,153 316
--------
Total Common Stocks
(Cost $363,926) 316
--------
FOREIGN CONVERTIBLE BONDS -- 1.5%
JAPAN -- 0.6%
Meitec
3.200%, 03/31/04 50,000 794
--------
NORWAY -- 0.9%
Vard
0.000%, 12/12/98 $ 439 1,079
--------
Total Foreign Convertible Bonds
(Cost $1,089,344) 1,873
--------
Total Investments -- 96.7%
(Cost $105,280,749) $123,885
========
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
PC PARTICIPATING CERTIFICATE
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
35
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
EUROPEAN SMALL
CAP EQUITY FUND
- -------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- -------------------------------------------------------------
FOREIGN COMMON STOCKS -- 82.1%
AUSTRIA -- 2.7%
Austria Mikro Systeme International* 868 $ 106
Wolford 889 193
------
299
------
BELGIUM -- 0.7%
Quick Restaurants 722 76
------
DENMARK -- 2.8%
Martin Gruppen* 1,200 70
Oticon Holding AS, Series A 2,292 245
------
315
------
FINLAND -- 0.2%
Benefon Oy 1,300 24
------
FRANCE -- 7.7%
Airfeu SA 1,527 55
Assystem* 910 110
Brioche Pasquier 481 71
But SA 1,250 83
CIPE France SA 1,069 93
Deveaux SA 500 64
Filipacchi Medias 3 1
Grand Optical-Photoservice 1,155 138
Guilbert SA 819 135
Hermes International 415 110
------
860
------
GERMANY -- 9.6%
Adidas* 950 72
Alulux Mining 72 273
Biotest 200 68
Boss (Hugo) 60 60
Cewe Color Holding 128 46
Jil Sander 156 132
Kiekert* 2,700 82
Marschollek Lauten 72 73
Sandvest Petroleum* 40 271
------
1,077
------
ITALY -- 8.1%
De Rigo ADR* 6,140 185
Gewiss 11,836 171
Industria Machine* 17,000 120
Industrie Natuzzi Spa ADR 3,194 166
Saes Getters 6,350 160
Saes Getters Di Risp 4,000 79
Saes Getters Priv 1,500 22
------
903
------
- -------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- -------------------------------------------------------------
NETHERLANDS -- 3.2%
Aalberts Industries 1,925 $ 155
Gucci* 1,950 106
OTRA Securities Group 3,750 93
------
354
------
NORWAY -- 6.1%
Awilco AS, Series B 7,210 72
Hitec AS* 6,600 37
Nera AS 2,260 82
Norman Data Defence* 3,600 66
Sensonor AS 7,681 64
Sysdeco Group AS* 2,000 24
System Etiketterin 7,651 120
Tomra Systems 15,966 147
Transocean* 2,368 66
------
678
------
SPAIN -- 0.4%
Cortefiel 1,885 41
------
SWEDEN -- 8.6%
Allgon, Series B 2,500 38
Assa Abloy, Series B* 7,965 90
Elekta Instrument AB, Series B 800 28
Garphyttan Industrier AB 5,000 69
Hoganas AB, Series B 6,187 205
Kalmar 7,590 138
Opcon, Series B* 70 59
Sintercast, Series A* 4,090 262
Trio* 2,170 74
------
963
------
SWITZERLAND -- 1.1%
Fust 142 44
Kardex PC 274 82
------
126
------
UNITED KINGDOM -- 30.9%
Albright & Wilson 20,000 53
Allied Colloids 25,000 50
Amersham International 3,000 48
Argos 16,800 164
Associated British Ports 6,700 30
BBA Group 32,000 167
Bradford Properties 16,000 57
Bunzl 13,700 47
Capital Shopping 12,500 53
Charter 5,000 71
Compass Group 11,000 90
Courtaulds Textiles 7,500 47
Cowie Group 14,500 84
36
<PAGE>
================================================================================
- -------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------
Daily Mail & General Trust A 4,800 $ 117
Dalgety 20,000 118
Devro International 24,200 85
Diploma 16,000 100
Fairey Group 8,750 87
Forth Ports 6,800 69
Glynwed International 22,000 122
Great Portland Estates 18,000 49
Henlys 8,900 88
Hepworth 25,000 114
Ibstock 65,000 84
Laird Group 19,200 141
London Clubs 9,750 80
MFI Furniture 36,100 97
Mirror Group 13,400 46
Misys 4,400 55
Morrison Supermarket 12,000 31
Pillar Property Investment 18,200 50
Rugby Group 40,000 77
Scapa Group 10,000 36
Security Services 7,500 138
Smith (David W.) Holding 19,400 88
Spirax-Sarco Engineering 15,000 164
Stagecoach Holdings 8,400 57
Staveley Industries 14,000 47
Trinity Holdings 10,600 63
United News & Media 3,264 34
Vickers 24,000 93
Vitec Group 4,800 55
Vosper Thornycroft 3,600 45
Wilson Holdings 25,000 70
------
3,461
------
Total Foreign Common Stocks
(Cost $7,291,624) 9,177
------
FOREIGN PREFERRED STOCKS -- 7.3%
GERMANY -- 7.3%
Berentzen-Gruppe 4,380 155
Fielmann 2,100 92
Hach 135 47
Mobel Walther 3,230 128
Puma 400 138
Rhoen Klinikum 2,172 255
------
815
------
Total Foreign Preferred Stocks
(Cost $619,792) 815
------
- --------------------------------------------------------------
SHARES/FACE AMOUNT MARKET
DESCRIPTION (000)(1) VALUE (000)
- --------------------------------------------------------------
COMMON STOCK -- 0.5%
UNITED STATES -- 0.5%
PixTech* 5,960 $ 52
-------
Total Common Stock
(Cost $59,924) 52
-------
FOREIGN CONVERTIBLE BOND -- 2.1%
NORWAY -- 2.1%
Vard
0.000%, 12/12/98 $ 94 232
-------
Total Foreign Convertible Bond
(Cost $94,560) 232
-------
Total Investments -- 92.0%
(Cost $8,065,900) $10,276
=======
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
PC PARTICIPATING CERTIFICATE
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
EQUITY FUND
FOREIGN COMMON STOCKS -- 93.0%
ARGENTINA -- 2.8%
Atanor SA, Series D* 86,375 $ 240
Disco* 65,000 1,032
Quilmes Industrial SA ADR 33,000 396
Quilmes Industrial 16,500 196
YPF SA ADR 45,000 984
-------
2,848
-------
BOTSWANA -- 0.6%
Sechaba Investment* 800,000 596
-------
BRAZIL -- 5.9%
Cia Energetica de Minas 41,800 1,087
Centrais Eletrica 872,000 615
Eletrobras 1,500,000 361
Makro Atacadista GDR* 115,000 874
Telecom Brasileiras ADR 38,740 2,097
Vale Rio Doce ADR 50,000 919
-------
5,953
-------
CHILE -- 2.9%
Cia Telecomunicacion Chile ADR 8,000 730
37
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
EMERGING MARKETS
EQUITY FUND
- -------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------
Enersis ADR 30,000 $ 893
Maderas Y Sinteticos ADR 8,500 135
Santa Isabel ADR* 40,000 1,155
-------
2,913
-------
COLOMBIA -- 1.9%
Banco de Colombia 1,933,078 865
Cadenalco ADR 25,000 425
Suramericana 38,386 662
-------
1,952
-------
GREECE -- 1.3%
Ergo Bank 7,350 370
Goody's 9,800 165
Hellenic Bottling 9,825 353
Hellenic Sugar 900 8
Hellenic Tellecomunication* 14,800 249
Lavipharm* 18,720 165
-------
1,310
-------
HUNGARY -- 1.1%
Egis Gyogyszer EDR 9,600 410
Richter Gedeon GDS 7,000 247
Richter Gedeon 12,000 419
-------
1,076
-------
INDIA -- 7.4%
Bajaj Auto 28,750 727
East India Hotels 50,000 1,036
Grasim Industries 24,200 417
Gujarat Ambuja Cement 82,800 847
Hindalco Industries 25,000 946
Larsen & Toubro 90,000 751
Mahangar Telephone 150,000 991
Oriental Bank of Commerce 206,500 515
State Bank of India* 86,000 757
Steel Authority of India GDR* 30,000 450
-------
7,437
-------
INDONESIA -- 7.3%
Bank Danamon 350,000 511
Bimantara Citra* 590,000 842
Bukaka Teknik Utama* 280,000 481
Duta Pertiwi Nusan 348,000 127
Gudang Garam 100,000 719
Kalbe Farma 95,000 275
Panin Bank 197,000 201
PT Aneka Kimia Ray 91,200 168
PT Enseval Putera 76,000 53
PT Indah Kiat Pulp & Paper 273,882 285
PT Indah Kiat Pulp &
Paper Rights* 68,470 43
PT Tempo Scan Pacific 180,000 460
Semen Gresik 56,000 194
Telekomunikasi* 1,000,000 1,664
Tigaraksa Satria 104,000 536
- -------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------
Tjiwi Kimia 201,780 $ 212
Trias Sentosa 85,000 181
Wicaksana Overseas 150,000 432
-------
7,384
-------
ISRAEL -- 1.8%
Blue Square Stores* 126,800 921
Makhteshim Chemicals Work* 78,000 487
Tadiran Telecommunications* 25,000 364
-------
1,772
-------
MALAYSIA -- 16.7%
Arab Malaysian Merchant Bank 56,666 261
Berjaya Sports 500,000 1,604
DCB Holdings 380,000 1,387
Gadek 120,000 789
Genting Berhad 30,000 270
KFC Holdings 100,000 602
Land and General 360,000 960
Leader Universal 250,000 737
Magnum 400,000 693
Malayan Banking 190,000 1,852
Malaysian Industrial
Development 343,000 572
Nylex Berhad 200,000 818
Perusahaan Otomobil 150,000 740
Petronas Gas 150,000 662
Renong Berhad 140,000 244
Resorts World Berhad 120,000 727
RJ Reynolds Berhad 180,000 570
Telekom Malaysia 160,000 1,508
UMW Holdings Berhad 200,000 658
United Engineers 160,000 1,097
-------
16,751
-------
MEXICO -- 8.3%
Cifra SA ADR* 790,000 1,043
Corporacion Geo SA ADR* 8,750 139
Corporacion Geo SA GDS* 11,250 174
Empaques Ponderosa ADS 47,000 378
Empresas Ica Sociedad
Controladora ADR 75,000 1,041
Grupo Financiero Bancomer,
Series B* 1,365,000 607
Grupo Financiero Bancomer,
Series L* 50,555 18
Grupo Industria Bimbo,
Series A 105,000 481
Grupo Industria Saltillo,
Series A 40,000 830
Grupo Televisa GDR 16,000 496
Kimberly Clark, Series A 26,000 475
Nacional de Drogas, Series B 10,000 44
Nacional de Drogas, Series L 255,000 1,172
Sigma Alimentos, Series B 60,000 433
38
<PAGE>
================================================================================
- -------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------
Telefonos de Mexico ADR,
Series L 16,000 $ 544
Transport Marititime de Mexico,
Series L 51,000 426
------
8,301
------
PAKISTAN -- 0.5%
Engro Chemicals 110,000 396
Pakistan Telecom* 699 71
------
467
------
PERU -- 0.8%
CPT Telefonica del Peru,
Series B 347,685 778
------
PHILIPPINES -- 2.1%
Aboitiz Equity Ventures* 1,628,600 318
Ayala Land, Series B 112,000 174
Bacnotan Consolidated 67,714 353
Belle Corporation* 2,100,000 310
First Philippine Holdings 99,840 227
Manila Electric 44,000 411
Metro Bank & Trust 7,000 189
Philippine National Bank* 12,000 179
------
2,161
------
POLAND -- 0.6%
Bank Przemyslowo* 4,420 226
Bydgosk Fabryka Kabli* 6,500 181
Zywiec* 2,000 166
------
573
------
PORTUGAL -- 1.3%
Banco Portugal de Invest 340 4
Banco Totta & Acores 8,000 154
Barbosa E Almeida 8,888 187
Cimentos de Portugal 13,890 261
Jeronimo Martins 4,000 321
Semapa* 24,000 259
TVI - Televisao Industries* 31,680 91
------
1,277
------
SOUTH AFRICA -- 12.5%
Anglo American Gold Investment 18,400 1,915
Anglovaal, Series N 26,000 904
Cadbury Schweps SA 33,500 470
DeBeers Centenary Linked Units 54,250 1,732
Fedsure Holdings 80,000 561
JCI 135,500 1,162
Malbak 152,500 733
Metro Cash & Carry 153,500 598
Metropolitian Life 48,500 674
Pick 'N Pay Stores 260,000 829
Rembrandt Group 94,000 806
- -------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------
Smith Foods 47,750 $ 769
South African Brewery 28,800 834
Southern Life 60,000 619
-------
12,606
-------
SOUTH KOREA -- 4.4%
Daesung Industry 3,300 263
Daesung Industry Rights* 1,320 41
Dong-Ah Construction 6,120 240
Dong-Ah Construction EDR 15,186 338
Hanil Bank 9,700 122
Hyundai Engineering 12,690 641
Hyundai Motor GDR 21,000 326
Korea Electric Power 7,500 317
Korean Air Lines 5,000 162
Pohang Iron & Steel 850 67
Pohang Iron & Steel ADR 11,000 303
Samsung Electric GDR 26,360 1,081
Samsung Electric GDS 1,603 119
Shinhan Bank 19,836 438
-------
4,458
-------
TAIWAN -- 0.4%
China Steel 11,000 245
Siliconware Precision GDR* 14,804 202
-------
447
-------
THAILAND -- 8.4%
Advanced Info Service 100,000 1,696
Electricity Generating 138,000 541
Finance One 105,000 736
Krung Thai Bank 350,000 1,720
PTT Exploration 89,500 1,234
Srithai Superware 50,000 372
Thai Farmers Bank 60,000 689
Thai Military Bank 300,000 1,450
-------
8,438
-------
TURKEY -- 2.3%
Arcelik 2,050,000 237
Ardem* 1,500,000 374
Eczacibasi Yatirim 1,300,000 220
Kartonsan 2,300,000 254
T Siemens 610,000 231
T Sise Cam 1,100,000 183
Trakya Cam 2,338,748 326
Vakif Fin Kiralama 9,000,000 467
-------
2,292
-------
UNITED KINGDOM -- 0.8%
Antofagasta Holdings 160,000 837
-------
UNITED STATES -- 0.9%
Mauritius Fund* 64,000 608
39
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
EMERGING MARKETS
EQUITY FUND
- --------------------------------------------------------------
SHARES/ MARKET
DESCRIPTION FACE AMOUNT (000)(1) VALUE (000)
- --------------------------------------------------------------
Oryx Fund* 35,000 $ 298
--------
906
--------
Total Foreign Common Stocks
(Cost $83,954,511) 93,533
--------
FOREIGN PREFERRED STOCKS -- 8.8%
BRAZIL -- 8.7%
Brasmotor 2,000,000 544
Cesp Cia Energetica ADR 30,000 277
Dixie Toga 1,159,338 1,087
Eletrobras 1,500,000 370
Ind Bebidas Antartica 4,920 595
Metalurgica Schulz 9,400,000 171
OSA 98,000,000 810
Petrol Brasileiros 3,466,666 404
Refripar 274,714,330 692
Telemig, Series B 15,410,000 1,260
Telerj 13,650,000 999
Weg 1,700,000 732
Unibanco 19,233,000 821
--------
8,762
--------
PORTUGAL -- 0.1%
Barbosa E Almeida 4,444 93
--------
Total Foreign Preferred Stocks
(Cost $8,352,538) 8,855
--------
FOREIGN CONVERTIBLE BONDS -- 0.5%
INDONESIA -- 0.0%
Modernland Realty
6.000%, 01/06/03 20 21
--------
TAIWAN -- 0.5%
Formosa Chemical & Fibre
1.750%, 07/19/01 $ 280 283
Yang Ming Marine
2.000%, 10/06/01 $ 210 250
--------
533
--------
Total Foreign Convertible Bonds
(Cost $555,022) 554
--------
Total Investments -- 102.3%
(Cost $92,862,070) $102,942
========
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
ADS AMERICAN DEPOSITORY SHARES
EDR EUROPEAN DEPOSITORY RECEIPT
GDR GLOBAL DEPOSITORY RECEIPT
GDS GLOBAL DEPOSITORY SHARES
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
GLOBAL FIXED
INCOME FUND
- --------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)(1) VALUE (000)
- --------------------------------------------------------------
FOREIGN BONDS -- 75.8%
AUSTRALIA -- 2.9%
Australian Government
7.500%, 07/15/05 6,300 $ 4,588
-------
AUSTRIA -- 2.4%
Government of Austria
8.000%, 06/17/02 DM5,100 3,682
-------
CANADA -- 5.0%
Government of Canada
9.000%, 12/01/04 3,800 3,011
Ontario Hydro
9.000%, 06/24/02 5,900 4,674
-------
7,685
-------
DENMARK -- 7.4%
Kingdom of Denmark
7.000%, 12/15/04 36,000 6,092
8.000%, 03/15/06 31,000 5,528
-------
11,620
-------
GERMANY -- 14.4%
Bayer Hypo/Wech
6.000%, 09/13/00 10,100 6,809
Bundesobligation
6.375%, 05/20/98 2,900 1,987
Deutsche Pfandbriefe Hypobank
5.000%, 02/22/01 3,000 1,934
Deutschland Republic
5.250%, 10/20/98 6,800 4,576
Westdeutsche Landesbank
6.375%, 07/15/03 3,000 1,974
6.250%, 09/15/03 3,000 1,958
World Bank
7.125%, 04/12/05 5,000 3,413
-------
22,651
-------
FINLAND -- 1.8%
Republic of Finland
8.000%, 04/07/03 UK1,880 2,809
-------
ITALY -- 11.9%
European Bank Reconstruction &
Development
9.750%, 07/28/00 9,000,000 5,989
Republic of Italy
10.500%, 11/01/00 13,900,000 9,338
9.500%, 02/01/01 5,000,000 3,250
-------
18,577
-------
40
<PAGE>
================================================================================
- -------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)(1) VALUE (000)
- -------------------------------------------------------------
JAPAN -- 15.3%
Government of Japan
6.700%, 06/20/00 295,000 $ 3,306
5.700%, 06/20/02 800,000 8,844
4.800%, 12/20/02 610,000 6,436
3.600%, 06/20/05 550,000 5,370
--------
23,956
--------
SWEDEN -- 8.4%
Kingdom of Sweden
10.250%, 05/05/00 31,000 5,032
13.000%, 06/15/01 23,000 4,155
10.250%, 05/05/03 24,000 3,977
--------
13,164
--------
UNITED KINGDOM -- 6.3%
Abbey National
8.000%, 04/02/03 2,500 3,723
United Kingdom Treasury
9.750%, 08/27/02 1,300 2,149
8.500%, 12/07/05 2,600 4,038
--------
9,910
--------
Total Foreign Bonds
(Cost $119,749,974) 118,642
--------
FOREIGN CURRENCY OPTION -- 0.1%
GERMANY -- 0.1%
Deutsche Mark Put* 07/17/96 $7,700 188
--------
Total Foreign Currency Option
(Cost $145,222) 188
--------
FOREIGN TIME DEPOSIT -- 1.7%
DENMARK -- 1.7%
Swiss Bank
3.500%, 05/02/96 15,525 2,631
--------
Total Foreign Time Deposit
(Cost $2,633,811) 2,631
--------
CORPORATE OBLIGATIONS -- 2.7%
UNITED STATES -- 2.7%
General Electric Capital
8.125%, 02/23/07 4,000 4,275
--------
Total Corporate Obligations
(Cost $ 4,270,946) 4,275
--------
- -------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)(1) VALUE (000)
- -------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 15.6%
U.S. Treasury Notes
6.875%, 04/30/97 3,250 $ 3,287
5.125%, 03/31/98 4,000 3,934
5.125%, 12/31/98 3,200 3,117
7.500%, 11/15/01 2,500 2,615
6.375%, 08/15/02 (2) 5,900 5,849
6.250%, 02/15/03 4,100 4,030
9.875%, 11/15/15 1,236 1,601
--------
Total U.S. Treasury Obligations
(Cost $24,620,775) 24,433
--------
Total Investments -- 95.9%
(Cost $151,420,728) $150,169
========
*NON-INCOME PRODUCING SECURITY
DM GERMAN MARK
UK BRITISH POUND STERLING
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE CONTRACTS WITH
AN AGGREGATE MARKET VALUE OF $5,849,024
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL FIXED
INCOME FUND
FOREIGN BONDS -- 93.3%
DENMARK -- 9.4%
Kingdom of Denmark
7.000%, 12/15/04 (2) 6,000 $ 1,015
8.000%, 03/15/06 (2) 10,600 1,890
-------
2,905
-------
FINLAND -- 3.4%
Republic of Finland
7.500%, 01/27/00 DM1,500 1,062
-------
GERMANY -- 20.7%
African Development Bank
7.250%, 10/21/99 1,250 877
Bayer Landesbank
6.000%, 02/16/04 1,500 960
Deutsche Pfandbriefe Hypobank
5.000%, 02/22/01 2,100 1,354
Deutschland Bundesrepublik
7.250%, 10/21/02 710 501
KFW International Finance
7.250%, 12/03/97 1,050 722
41
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
INTERNATIONAL FIXED
INCOME FUND
- -------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)(1) VALUE (000)
- -------------------------------------------------------------
LKB Baden Wurttenberg
6.625%, 08/20/03 1,100 $ 736
Norddeutsche Landesbank
6.000%, 01/05/04 1,000 640
Treuhandanstalt
7.500%, 09/09/04 900 636
-------
6,426
-------
ITALY -- 14.7%
European Bank Reconstruction &
Development
9.750%, 07/28/00 1,960,000 1,304
Republic of Italy
10.500%, 11/01/98 300,000 199
10.500%, 11/01/00 2,800,000 1,881
9.500%, 02/01/01 1,800,000 1,170
-------
4,554
-------
JAPAN -- 23.0%
Asian Development Bank
5.000%, 02/05/03 100,000 1,060
Government of Japan
6.700%, 06/20/00 105,000 1,177
4.800%, 12/20/02 116,000 1,224
3.600%, 06/20/05 150,000 1,465
Japan Development Bank
5.000%, 10/01/99 100,000 1,046
World Bank
4.750%, 12/20/04 110,000 1,166
-------
7,138
-------
SWEDEN -- 11.1%
Kingdom of Sweden
10.250%, 05/05/00 7,400 1,201
13.000%, 06/15/01 (2) 7,200 1,301
10.250%, 05/05/03 5,600 928
-------
3,430
-------
UNITED KINGDOM -- 8.4%
British Telecom PLC
7.125%, 09/15/03 550 781
Halifax
7.750%, 12/03/98 300 457
United Kingdom Treasury
7.500%, 12/07/06 950 1,378
-------
2,616
-------
- -------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)(1) VALUE (000)
- -------------------------------------------------------------
UNITED STATES -- 2.6%
Federal National Mortgage
Association
6.000%, 08/23/00 DM 1,200 $ 808
-------
Total Foreign Bonds
(Cost $29,199,757) 28,939
-------
FOREIGN TIME DEPOSIT -- 2.2%
DENMARK -- 2.2%
National Australia Bank
3.500%, 05/02/96 4,050 686
-------
Total Foreign Time Deposit
(Cost $687,081) 686
-------
FOREIGN CURRENCY OPTION -- 0.1%
GERMANY -- 0.1%
Deutsche Mark Put * 07/17/96 1,400 34
-------
Total Foreign Currency Option
(Cost $26,404) 34
-------
Total Investments -- 95.6%
(Cost $29,913,242) $29,659
=======
* NON-INCOME PRODUCING SECURITY.
DM GERMAN MARK
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE CONTRACTS
WITH AN AGGREGATE MARKET VALUE OF APPROXIMATELY $4,206,330.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
42
<PAGE>
================================================================================
EMERGING MARKETS
DEBT FUND
- -------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)(1) VALUE (000)
- -------------------------------------------------------------
FOREIGN BONDS -- 86.0%
ARGENTINA -- 19.9%
Government of Argentina
5.250%, 03/31/23 $7,300 $ 3,960
Government of Argentina FRN
6.313%, 03/31/05 9,603 7,322
6.563%, 03/31/23 2,750 1,898
-------
13,180
-------
BRAZIL -- 24.4%
Government of Brazil
8.000%, 04/15/14 7,425 4,455
5.250%, 04/15/24 4,810 2,513
Government of Brazil FRN
6.375%, 01/01/01 605 555
6.500%, 04/15/06 4,050 3,068
6.563%, 04/15/12 2,200 1,408
6.500%, 04/15/24 2,450 1,654
Petroleo Brazil FRN
10.088%, 06/08/98 2,500 2,571
-------
16,224
-------
BULGARIA -- 1.9%
Government of Bulgaria
Discount FRN
6.250%, 07/28/24 2,500 1,250
-------
ECUADOR -- 4.8%
Government of Ecuador
3.250%, 02/28/25 4,100 1,455
Government of Ecuador FRN
6.063%, 02/28/25 750 420
Government of Ecuador PDI
6.063%, 02/27/15 2,984 1,298
-------
3,173
-------
MEXICO -- 14.0%
Cemex SA
8.875%, 06/10/98 3,150 3,114
Government of Mexico FRN,
Series A
6.250%, 12/31/19 6,500 4,274
Government of Mexico FRN,
Series B
6.766%, 12/31/19 900 718
Government of Mexico, FRN,
Series D
6.547%, 12/31/19 1,510 1,204
-------
9,310
-------
NIGERIA -- 3.2%
Government of Nigeria
6.250%, 11/15/20 4,000 2,090
-------
- -------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)(1) VALUE (000)
- -------------------------------------------------------------
PANAMA -- 4.4%
Government of Panama FRN
6.750%, 05/10/02 $ 3,150 $ 2,906
-------
PHILIPPINES -- 3.9%
Government of Philippines FRN,
Series B
5.000%, 06/01/08 3,000 2,614
-------
POLAND -- 4.7%
Government of Poland
2.750%, 10/27/24 2,500 1,247
Government of Poland FRN
6.438%, 10/27/24 2,000 1,855
-------
3,102
-------
VENEZUELA -- 4.8%
Government of Venezuela
6.750%, 03/31/20 1,000 584
6.750%, 03/31/20 500 292
Government of Venezuela FRN
6.563%, 12/18/07 3,500 2,284
-------
3,160
-------
Total Foreign Bonds
(Cost $54,294,226) 57,009
-------
LOAN PARTICIPATIONS -- 9.6%
MOROCCO -- 4.7%
Morocco R&C Loan FRN
(Participation: J.P. Morgan) (3)
01/01/09 4,350 3,110
-------
RUSSIA -- 4.9%
Russian Loan Agreement (2)
(Participation: J.P. Morgan) (3) DM 6,400 1,855
Russian Loan Agreement (2)
(Participation: J.P. Morgan) (3) 3,550 1,429
-------
3,284
-------
Total Loan Participations
(Cost $5,676,833) 6,394
-------
Total Investments -- 95.6%
(Cost $59,971,059) $63,403
=======
FRN FLOATING RATE NOTE
PDI PAST DUE INCOME
DM GERMAN MARK
(1) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED
(2) NON-INCOME PRODUCING SECURITY. SECURITY IS IN DEFAULT.
(3) PARTICIPATIONS WERE ACQUIRED THROUGH FINANCIAL INSTITUTIONS
INDICATED PARENTHETICALLY. SEE NOTE 6.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
43
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES (000)
=======================================================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
--------- -------- ---------- ---------- ---------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED SMALLER
BOND INCOME BOND INCOME COMPANIES
FUND FUND FUND FUND FUND
--------- -------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investment securities (Cost $220,408,
$601,701, $3,778, $9,287, $3,335, $2,808,
$105,281, $8,066, $92,862, $151,421,
$29,913 and $59,971, respectively) $223,075 $597,282 $ 3,780 $ 9,255 $3,818
Cash 5 -- -- -- --
Foreign currency (Cost $1, $749, $15,
$527, $5, and $1, respectively) -- -- -- -- --
Dividends and interest receivable 3,685 8,045 49 116 --
Investment securities sold -- 8,285 -- -- 41
Unrealized gain on forward foreign
currency contracts -- -- -- -- --
Capital shares sold -- 1 -- -- --
Receivable due from Advisor -- -- 3 1 --
Other assets 1 -- -- -- --
-------- -------- ------- ------- ------
Total assets 226,766 613,613 3,832 9,372 3,859
-------- -------- ------- ------- ------
LIABILITIES:
Income distribution payable 1,042 3,188 17 44 --
Investment securities purchased 363 13,680 175 -- 46
Demand note payable -- -- -- -- --
Unrealized loss on forward foreign
currency contracts -- -- -- -- --
Investment advisory fees payable 68 176 -- -- --
Administration fees payable 20 53 4 4 3
Accrued expenses and other liabilities 33 417 9 6 3
-------- -------- ------- ------- ------
Total liabilities 1,526 17,514 205 54 52
-------- -------- ------- ------- ------
NET ASSETS:
Capital shares (unlimited
authorization-- $0.001 par value) 221,969 599,635 3,607 9,358 3,006
Accumulated net realized gain (loss)
on investments 588 1,221 10 (6) 319
Net unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency, and
translation of other assets and
liabilities in foreign currency -- -- -- -- --
Net unrealized appreciation
(depreciation) on investments 2,667 (4,419) 2 (32) 483
Undistributed net investment
income (loss) 16 (338) 8 (2) (1)
-------- -------- ------- ------- ------
Net assets $225,240 $596,099 $ 3,627 $ 9,318 $3,807
======== ======== ======= ======= ======
Outstanding shares of beneficial interest 20,815 57,898 360 935 292
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE $ 10.82 $ 10.30 $ 10.08 $ 9.97 $13.04
======== ======== ======= ======= ======
<FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
</TABLE>
<TABLE>
<CAPTION>
===================================================================================================================================
------------- ------------- --------- -------- ------- ------------- --------
INTERNATIONAL EUROPEAN EMERGING GLOBAL INTERNATIONAL EMERGING
INTERNATIONAL SMALL CAP SMALL CAP MARKETS FIXED FIXED MARKETS
EQUITY EQUITY EQUITY EQUITY INCOME INCOME DEBT
FUND FUND FUND FUND FUND FUND FUND
------------- ------------- --------- -------- ------- ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investment securities (Cost $220,408,
$601,701, $3,778, $9,287, $3,335, $2,808,
$105,281, $8,066, $92,862, $151,421,
$29,913 and $59,971, respectively) $3,276 $123,885 $10,276 $102,942 $150,169 $29,659 $63,403
Cash 79 3,961 804 -- 1,420 384 3,652
Foreign currency (Cost $1, $749, $15,
$527, $5, and $1, respectively) 1 756 16 536 -- 6 1
Dividends and interest receivable 10 320 38 159 4,373 921 1,313
Investment securities sold 31 1,087 79 1,927 -- -- 202
Unrealized gain on forward foreign
currency contracts -- -- 31 -- 710 131 62
Capital shares sold -- -- -- -- -- 2 --
Receivable due from Advisor 4 -- 1 -- -- -- --
Other assets -- 52 4 3 6 1 --
------ -------- ------- -------- -------- ------- -------
Total assets 3,401 130,061 11,249 105,567 156,678 31,104 68,633
------ -------- ------- -------- -------- ------- -------
LIABILITIES:
Income distribution payable -- -- -- -- -- -- --
Investment securities purchased -- 1,716 63 3,345 -- -- 2,241
Demand note payable -- -- -- 1,440 -- -- --
Unrealized loss on forward foreign
currency contracts -- 151 -- -- -- -- --
Investment advisory fees payable -- 90 -- 57 62 6 52
Administration fees payable 5 11 8 9 14 6 8
Accrued expenses and other liabilities 4 29 6 132 31 52 18
------ -------- ------- -------- -------- ------- -------
Total liabilities 9 1,997 77 4,983 107 64 2,319
------ -------- ------- -------- -------- ------- -------
NET ASSETS:
Capital shares (unlimited
authorization-- $0.001 par value) 2,869 112,872 8,779 92,339 152,481 29,847 56,293
Accumulated net realized gain (loss)
on investments 32 (4,301) 124 (1,347) 3,137 748 3,961
Net unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency, and
translation of other assets and
liabilities in foreign currency (1) (140) 31 8 652 117 63
Net unrealized appreciation
(depreciation) on investments 468 18,604 2,210 9,958* (1,252) (254) 3,432
Undistributed net investment
income (loss) 24 1,029 28 (374) 1,553 582 2,565
------ -------- ------- -------- -------- ------- -------
Net assets $3,392 $128,064 $11,172 $100,584 $156,571 $31,040 $66,314
====== ======== ======= ======== ======== ======= =======
Outstanding shares of beneficial interest 283 11,887 863 11,224 14,714 2,910 5,722
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE $12.00 $ 10.77 $12.94 $ 8.96 $ 10.64 $ 10.67 $ 11.59
====== ======== ======= ======== ======== ======= =======
<FN>
*NET OF $122,000 ACCRUED FOREIGN WITHHOLDING TAXES.
</FN>
</TABLE>
45
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS (000)
===========================================================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1996 (UNAUDITED)
--------- -------- ---------- ---------- ---------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED SMALLER
BOND INCOME BOND INCOME COMPANIES
FUND FUND FUND FUND FUND
--------- -------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $6,851 $18,427 $ 106 $ 188 $ --
Dividends -- -- -- -- 19
Less: Foreign taxes withheld -- -- -- -- --
------ ------- ------ ------ ----
Total Investment Income 6,851 18,427 106 188 19
------ ------- ------ ------ ----
EXPENSES:
Investment advisory fees 448 1,066 7 12 15
Investment advisory fee reduction (64) (126) (7) (12) (15)
Administration fees 125 297 21 21 15
Custodian fees 8 13 -- -- 2
Transfer agent fees 21 17 3 3 4
Professional fees 29 69 -- 1 --
Registration & filing fees 21 69 -- -- --
Printing fees 5 13 -- -- --
Trustee fees 8 18 -- -- --
Pricing fees 6 13 -- -- --
Other expenses 7 12 -- -- --
------ ------- ------ ------ ----
Total expenses 614 1,461 24 25 21
Less: Reimbursement from Advisor -- -- (14) (10) (3)
------ ------- ------ ------ ----
Total Net Expenses 614 1,461 10 15 18
------ ------- ------ ------ ----
NET INVESTMENT INCOME 6,237 16,966 96 173 1
------ ------- ------ ------ ----
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions 2,152 1,226 10 (6) 325
Option transactions -- -- -- -- --
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on investments (3,105) (16,359) (23) (39) 347
------ ------- ------ ------ ----
NET INCREASE IN NET ASSETS
FROM OPERATIONS $5,284 $ 1,833 $ 83 $ 128 $ 673
====== ======= ====== ====== ======
<FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
</TABLE>
<TABLE>
<CAPTION>
===================================================================================================================================
------------- ------------- --------- -------- ------- ------------- --------
INTERNATIONAL EUROPEAN EMERGING GLOBAL INTERNATIONAL EMERGING
INTERNATIONAL SMALL CAP SMALL CAP MARKETS FIXED FIXED MARKETS
EQUITY EQUITY EQUITY EQUITY INCOME INCOME DEBT
FUND FUND FUND FUND FUND FUND FUND
------------- ------------- --------- -------- ------- ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ -- $ 129 $ 9 $ 28 $4,671 $ 890 $ 4,071
Dividends 20 795 87 834 -- -- --
Less: Foreign taxes withheld (2) (109) (15) (57) (120) (18) --
---- ------- ------ ------- ------ ------ -------
Total Investment Income 18 815 81 805 4,551 872 4,071
---- ------- ------ ------- ------ ------ -------
EXPENSES:
Investment advisory fees 11 545 50 501 379 71 490
Investment advisory fee reduction (11) (54) (50) (83) (8) (37) (129)
Administration fees 25 61 50 57 84 38 50
Custodian fees 4 78 11 105 56 21 51
Transfer agent fees 4 6 4 6 8 4 6
Professional fees -- 16 1 15 20 3 9
Registration & filing fees -- 11 1 9 15 3 5
Printing fees -- 3 -- 3 4 1 2
Trustee fees -- 4 -- 4 5 1 3
Pricing fees 2 10 4 8 2 2 1
Other expenses -- 2 1 2 3 -- 2
---- ------- ------ ------- ------ ------ -------
Total expenses 35 682 72 627 568 107 490
Less: Reimbursement from Advisor (22) -- (9) -- -- -- --
---- ------- ------ ------- ------ ------ -------
Total Net Expenses 13 682 63 627 568 107 490
---- ------- ------ ------- ------ ------ -------
NET INVESTMENT INCOME 5 133 18 178 3,983 765 3,581
---- ------- ------ ------- ------ ------ -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions 38 (1,620) 124 (1,276) 3,275 575 5,647
Option transactions -- -- -- -- -- 200 --
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions 29 1,121 (8) (334) (1,731) 113 3
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency (10) (310) 52 23 1,114 65 125
Net change in unrealized appreciation
(depreciation) on investments 333 16,934 1,131 12,788* (5,864) (1,481) 3,555
---- ------- ------ ------- ------ ------ -------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $395 $16,258 $1,317 $11,379 $ 777 $ 237 $12,911
==== ======= ====== ======= ====== ====== =======
<FN>
* NET OF $122,000 CHANGE IN ACCRUED FOREIGN WITHHOLDING TAXES.
</FN>
</TABLE>
47
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (000)
=============================================================================================================================
MORGAN GRENFELL INVESTMENT TRUST--FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1996
(UNAUDITED) AND THE YEAR ENDED OCTOBER 31, 1995
------------------ ------------------ ---------------- ---------------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED
BOND INCOME BOND INCOME
FUND FUND FUND (2) FUND (3)
1996 1995 1996 1995 1996 1995 1996 1995
-------- -------- -------- -------- ------- ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 6,237 $ 10,748 $ 16,966 $ 25,635 $ 96 $ 90 $ 173 $ 79
Net realized gain (loss) from
security transactions 2,152 (1,331) 1,226 8,122 10 15 (6) --
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions -- -- -- -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- -- -- -- -- -- -- --
Net change in unrealized appreciation
(depreciation) on investments (3,105) 9,806 (16,359) 18,803 (23) 25 (39) 7
-------- -------- -------- -------- ------- ------ ------ ------
Net increase (decrease) in net assets
from operations 5,284 19,223 1,833 52,560 83 130 128 86
-------- -------- -------- -------- ------- ------ ------ ------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (6,222) (10,750) (17,305) (25,636) (88) (90) (175) (79)
Net realized gains -- -- (3,090) (31) (15) -- -- --
-------- -------- -------- -------- ------- ------ ------ ------
Total Distributions (6,222) (10,750) (20,395) (25,667) (103) (90) (175) (79)
-------- -------- -------- -------- ------- ------ ------ ------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 25,224 92,766 195,505 301,939 1,211 5,282 6,630 4,206
Shares issued in lieu of cash
distributions 4,874 7,570 18,303 20,565 99 74 132 54
Cost of shares repurchased (24,978) (53,428) (93,368) (94,732) (1,387) (1,672) (1,537) (127)
-------- -------- -------- -------- ------- ------ ------ ------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 5,120 46,908 120,440 227,772 (77) 3,684 5,225 4,133
-------- -------- -------- -------- ------- ------ ------ ------
Net increase (decrease) in net assets 4,182 55,381 101,878 254,665 (97) 3,724 5,178 4,140
-------- -------- -------- -------- ------- ------ ------ ------
NET ASSETS:
Beginning of period 221,058 165,677 494,221 239,556 3,724 -- 4,140 --
-------- -------- -------- -------- ------- ------ ------ ------
End of period $225,240 $221,058 $596,099 $494,221 $ 3,627 $3,724 $9,318 $4,140
======== ======== ======== ======== ======= ====== ====== ======
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 2,311 8,743 18,474 29,571 121 526 662 421
Shares issued in lieu of cash
distributions 446 714 1,719 2,007 9 7 13 5
Shares repurchased (2,288) (5,094) (8,816) (9,177) (137) (166) (153) (13)
-------- -------- -------- -------- ------- ------ ------ ------
Net increase (decrease) in capital shares 469 4,363 11,377 22,401 (7) 367 522 413
======== ======== ======== ======== ======= ====== ====== ======
<FN>
(2) SHORT-TERM MUNICIPAL BOND FUND COMMENCED OPERATIONS ON 3/6/95.
(3) SHORT-TERM FIXED INCOME FUND COMMENCED OPERATIONS ON 3/13/95.
(4) SMALLER COMPANIES FUND COMMENCED OPERATIONS ON 6/30/95.
(5) INTERNATIONAL EQUITY FUND COMMENCED OPERATIONS ON 5/15/95.
(6) EUROPEAN SMALL CAP EQUITY FUND COMMENCED OPERATIONS ON 11/1/94.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
48
<PAGE>
<TABLE>
<CAPTION>
========================================================================================================
----------------- ---------------- -----------------
INTERNATIONAL
SMALLER INTERNATIONAL SMALL CAP
COMPANIES EQUITY EQUITY
FUND (4) FUND (5) FUND
------ ------ ------ ------ -------- -------
1996 1995 1996 1995 1996 1995
------ ------ ------ ------ ------- -------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 1 $ 8 $ 5 $ 19 $ 133 $ 268
Net realized gain (loss) from
security transactions 325 (6) 38 (6) (1,620) (2,666)
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions -- -- 29 79 1,121 1
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- -- (10) 9 (310) 160
Net change in unrealized appreciation
(depreciation) on investments 347 136 333 135 16,934 (1,776)
------ ------ ------ ------ -------- -------
Net increase (decrease) in net assets
from operations 673 138 395 236 16,258 (4,013)
------ ------ ------ ------ -------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (10) -- (108) -- (479) (270)
Net realized gains -- -- -- -- -- (1,420)
------ ------ ------ ------ -------- -------
Total Distributions (10) -- (108) -- (479) (1,690)
------ ------ ------ ------ -------- -------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 496 2,500 259 2,502 22,784 33,284
Shares issued in lieu of cash
distributions 10 -- 108 -- 458 1,671
Cost of shares repurchased -- -- -- (1) (1,874) (7,133)
------ ------ ------ ------ -------- -------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 506 2,500 367 2,501 21,368 27,822
------ ------ ------ ------ -------- -------
Net increase (decrease) in net assets 1,169 2,638 654 2,737 37,147 22,119
------ ------ ------ ------ -------- -------
NET ASSETS:
Beginning of period 2,638 -- 2,738 1 90,917 68,798
------ ------ ------ ------ -------- -------
End of period $3,807 $2,638 $3,392 $2,738 $128,064 $90,917
====== ====== ====== ====== ======== =======
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued
Shares issued in lieu of cash 41 250 23 250 2,362 3,585
distributions
Shares repurchased 1 -- 10 -- 47 178
-- -- -- -- (194) (738)
------ ------ ------ ------ -------- -------
Net increase (decrease) in capital shares 42 250 33 250 2,215 3,025
====== ====== ====== ====== ======== =======
</TABLE>
<TABLE>
<CAPTION>
---------------- ---------------- --------------------
EUROPEAN EMERGING GLOBAL
SMALL CAP MARKETS FIXED
EQUITY EQUITY INCOME
FUND (6) FUND FUND
------- ------ -------- ------- -------- --------
1996 1995 1996 1995 1996 1995
------- ------ -------- ------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 18 $ 99 $ 178 $ 292 $ 3,983 $ 4,888
Net realized gain (loss) from
security transactions 124 30 (1,276) 974 3,275 1,380
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions (8) 28 (334) (86) (1,731) (112)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency 52 (21) 23 (17) 1,114 (207)
Net change in unrealized appreciation
(depreciation) on investments 1,131 1,079 12,788* (14,288) (5,864) 4,323
------- ------ -------- ------- -------- --------
Net increase (decrease) in net assets
from operations 1,317 1,215 11,379 (13,125) 777 10,272
------- ------ -------- ------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (99) (10) (332) (119) (5,022) (1,222)
Net realized gains (30) -- (1,018) (3,167) (946) --
------- ------ -------- ------- -------- --------
Total Distributions (129) (10) (1,350) (3,286) (5,968) (1,222)
------- ------ -------- ------- -------- --------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 518 8,121 8,336 61,891 31,345 82,695
Shares issued in lieu of cash
distributions 130 10 1,350 3,286 5,007 902
Cost of shares repurchased -- (1) (12,419) (12,370) (13,927) (7,225)
------- ------ -------- ------- -------- --------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 648 8,130 (2,733) 52,807 22,425 76,372
------- ------ -------- ------- -------- --------
Net increase (decrease) in net assets 1,836 9,335 7,296 36,396 17,234 85,422
------- ------ -------- ------- -------- --------
NET ASSETS:
Beginning of period 9,336 1 93,288 56,892 139,337 53,915
------- ------ -------- ------- -------- --------
End of period $11,172 $9,336 $100,584 $93,288 $156,571 $139,337
======= ====== ======== ======= ======== ========
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued
Shares issued in lieu of cash 43 808 970 7,411 2,856 7,804
distributions
Shares repurchased 11 1 165 365 463 94
-- -- (1,410) (1,451) (1,280) (694)
------- ------ -------- ------- -------- --------
Net increase (decrease) in capital shares 54 809 (275) 6,325 2,039 7,204
======= ====== ======== ======= ======== ========
<FN>
* NET OF $122,000 CHANGE IN ACCRUED FOREIGN WITHHOLDING TAXES.
</FN>
</TABLE>
49
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (000)
=======================================================================================================================
MORGAN GRENFELL INVESTMENT TRUST--FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1996
(UNAUDITED) AND THE YEAR ENDED OCTOBER 31, 1995
------------------ ------------------
INTERNATIONAL EMERGING
FIXED MARKETS
INCOME DEBT
FUND FUND
------------------ ------------------
1996 1995 1996 1995
------- ------- ------- -------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 765 $ 1,222 $ 3,581 $ 5,602
Net realized gain (loss) from security transactions 775 434 5,647 (1,684)
Net realized gain (loss) on forward foreign currency
contracts and foreign currency transactions 113 48 3 (75)
Net change in unrealized appreciation (depreciation) on
forward foreign currency contracts, foreign currency, and
translation of other assets and liabilities in foreign currency 65 312 125 (42)
Net change in unrealized appreciation (depreciation)
on investments (1,481) 861 3,555 (35)
------- ------- ------- -------
Net increase in net assets from operations 237 2,877 12,911 3,766
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (1,587) (76) (6,315) (447)
Net realized gains (282) -- -- (41)
------- ------- ------- -------
Total Distributions (1,869) (76) (6,315) (488)
------- ------- ------- -------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 4,126 10,597 41,753 64,746
Shares issued in lieu of cash distributions 1,681 60 6,315 488
Cost of shares repurchased (738) (1,093) (72,788) (322)
------- ------- ------- -------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 5,069 9,564 (24,720) 64,912
------- ------- ------- -------
Net increase (decrease) in net assets 3,437 12,365 (18,124) 68,190
------- ------- ------- -------
NET ASSETS:
Beginning of period 27,603 15,238 84,438 16,248
------- ------- ------- -------
End of period $31,040 $27,603 $66,314 $84,438
======= ======= ======= =======
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 386 996 3,806 6,391
Shares issued in lieu of cash distributions 155 6 587 51
Shares repurchased (65) (100) (6,677) (31)
------- ------- ------- -------
Net increase (decrease) in capital shares 476 902 (2,284) 6,411
======= ======= ======= =======
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
50
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
==============================================================================================================================
MORGAN GRENFELL INVESTMENT TRUST--FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1996 (UNAUDITED) AND THE PERIODS ENDED OCTOBER 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
NET DISTRIBUTIONS
NET ASSET NET REALIZED DISTRIBUTIONS FROM
VALUE INVESTMENT AND FROM NET REALIZED NET ASSET NET ASSETS
BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL END OF
OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN PERIOD (000)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------
MUNICIPAL BOND FUND:
- --------------------
1996* $10.86 $0.30 $(0.04) $(0.30) $ -- $10.82 2.42% $225,240
1995 10.37 0.61 0.49 (0.61) -- 10.86 10.90 221,058
1994 11.36 0.60 (0.61) (0.60) (0.38) 10.37 (0.15) 165,677
1993 10.56 0.67 0.84 (0.67) (0.04) 11.36 14.68 148,022
1992(1) 10.00 0.60 0.56 (0.60) -- 10.56 13.42(DAGGER) 94,700
- ------------------
FIXED INCOME FUND:
- ------------------
1996* $10.62 $0.34 $(0.25) $(0.34) $(0.07) $10.30 0.78% $596,099
1995 9.93 0.70 0.69 (0.70) -- 10.62 14.53 494,221
1994 10.95 0.64 (0.91) (0.64) (0.11) 9.93 (2.58) 239,556
1993 9.92 0.64 1.03 (0.64) -- 10.95 17.28 147,917
1992(2) 10.00 0.06 (0.08) (0.06) -- 9.92 (1.61)(DAGGER) 25,528
- -------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -------------------------------
1996* $10.13 $0.28 $(0.04) $(0.25) $(0.04) $10.08 2.47%$ 3,627
1995(3) 10.00 0.30 0.13 (0.30) -- 10.13 4.39(DAGGER) 3,724
- -----------------------------
SHORT-TERM FIXED INCOME FUND:
- -----------------------------
1996* $10.01 $0.29 (0.04) $(0.29) $ -- $ 9.97 2.56% $ 9,318
1995(4) 10.00 0.37 0.01 (0.37) -- 10.01 3.82(DAGGER) 4,140
- -----------------------
SMALLER COMPANIES FUND:
- -----------------------
1996* $10.55 $ -- $ 2.53 $(0.04) $ -- $13.04 24.01% $ 3,807
1995(5) 10.00 0.03 0.52 -- -- 10.55 5.50(DAGGER) 2,638
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
1996* $10.95 $0.06 $1.42 $(0.43) $ -- $12.00 13.84% $ 3,392
1995(6) 10.00 0.08 0.87 -- -- 10.95 9.50(DAGGER) 2,738
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
1996* $9.40 $ 0.01 $ 1.62 $(0.04) $(0.22) $10.77 15.09% $128,064
1995 10.35 0.03 (0.72) (0.04) (0.22) 9.40 (6.67) 90,917
1994(7) 10.00 0.02 0.33 -- -- 10.35 3.50(DAGGER) 68,798
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
1996* $11.55 $ 0.02 $ 1.53 $(0.12) $(0.04) $12.94 13.57% $ 11,172
1995(8) 10.00 0.12 1.44 (0.01) -- 11.55 15.66(DAGGER) 9,336
</TABLE>
RATIO OF
RATIO OF RATIO OF NET INVESTMENT
NET EXPENSES INCOME/(LOSS)
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
EXPENSES INCOME/(LOSS) NET ASSETS NET ASSETS PORTFOLIO AVERAGE
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE
- --------------------------------------------------------------------------------
- --------------------
MUNICIPAL BOND FUND:
- --------------------
0.55% 5.58% 0.61% 5.52% 29% $ --
0.54 5.75 0.62 5.67 63 --
0.54 5.60 0.67 5.47 94 --
0.55 5.94 0.75 5.74 160 --
0.55 6.31 0.79 6.07 143 --
- ------------------
FIXED INCOME FUND:
- ------------------
0.55% 6.37% 0.60% 6.32% 70% $ --
0.54 6.81 0.63 6.72 182 --
0.54 6.22 0.66 6.10 251 --
0.55 6.01 0.72 5.84 196 --
0.55 5.24 1.66 4.13 148 --
- -------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -------------------------------
0.54% 5.50% 1.74% 4.30% 80% $ --
0.52 4.60 2.16 2.96 62 --
- -----------------------------
SHORT-TERM FIXED INCOME FUND:
- -----------------------------
0.52% 5.78% 1.25% 5.05% 51% $ --
0.52 5.86 2.84 3.54 90 --
- -----------------------
SMALLER COMPANIES FUND:
- -----------------------
1.25% 0.03% 2.47% (1.19)% 85% $0.06
1.25 0.94 2.28 (0.09) 23 --
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
0.90% 0.32% 3.10% (1.88)% 11% $0.03
0.90 1.55 2.73 (0.28) 19 --
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
1.25% 0.25% 1.35% 0.15% 17% $0.02
1.25 0.41 1.48 0.18 62 --
1.25 0.34 1.67 (0.08) 41 --
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
1.25% 0.36% 2.44% (0.83)% 27% $0.04
1.25 1.25 2.24 0.26 34 --
* FOR THE PERIOD ENDED APRIL 30, 1996. ALL RATIOS, EXCLUDING TOTAL RETURN,
FOR THAT PERIOD HAVE BEEN ANNUALIZED. (DAGGER) RETURNS ARE FOR THE PERIOD
INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) MUNICIPAL BOND FUND COMMENCED OPERATIONS ON 12/13/91. ALL RATIOS FOR THE
PERIOD HAVE BEEN ANNUALIZED.
(2) FIXED INCOME FUND COMMENCED OPERATIONS ON 9/18/92. ALL RATIOS FOR THE
PERIOD HAVE BEEN ANNUALIZED.
(3) SHORT-TERM MUNICIPAL BOND FUND COMMENCED OPERATIONS ON 3/6/95. ALL RATIOS
FOR THE PERIOD HAVE BEEN ANNUALIZED.
(4) SHORT-TERM FIXED INCOME FUND COMMENCED OPERATIONS ON 3/13/95. ALL RATIOS
FOR THE PERIOD HAVE BEEN ANNUALIZED.
(5) SMALLER COMPANIES FUND COMMENCED OPERATIONS ON 6/30/95. ALL RATIOS FOR THE
PERIOD HAVE BEEN ANNUALIZED.
(6) INTERNATIONAL EQUITY FUND COMMENCED OPERATIONS ON 5/15/95. ALL RATIOS FOR
THE PERIOD HAVE BEEN ANNUALIZED.
(7) INTERNATIONAL SMALL CAP EQUITY FUND COMMENCED OPERATIONS ON 1/3/94. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(8) EUROPEAN SMALL CAP EQUITY FUND COMMENCED OPERATIONS ON 11/1/94. ALL RATIOS
FOR THE PERIOD HAVE BEEN ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
51
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
==============================================================================================================================
MORGAN GRENFELL INVESTMENT TRUST--FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1996 (UNAUDITED) AND THE PERIODS ENDED OCTOBER 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
NET DISTRIBUTIONS
NET ASSET NET REALIZED DISTRIBUTIONS FROM
VALUE INVESTMENT AND FROM NET REALIZED NET ASSET NET ASSETS
BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL END OF
OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN PERIOD (000)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------
EMERGING MARKETS EQUITY FUND:
- -----------------------------
1996* $ 8.11 $0.01 $ 0.95 $(0.03) $(0.08) $ 8.96 12.02% $100,584
1995 11.00 0.04 (2.29) (0.02) (0.62) 8.11 (21.00) 93,288
1994(1) 10.00 (0.01) 1.01 -- -- 11.00 10.00(DAGGER) 56,892
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
1996* $10.99 $0.24 $(0.15) $(0.37) $(0.07) $10.64 0.73% $156,571
1995 9.85 0.35 0.99 (0.20) -- 10.99 13.88 139,337
1994(2) 10.00 0.25 (0.40) -- -- 9.85 (1.50)(DAGGER) 53,915
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
1996* $11.34 $0.27 $(0.16) $(0.66) $(0.12) $10.67 0.87% $ 31,040
1995 9.94 0.42 1.03 (0.05) -- 11.34 14.66 27,603
1994(3) 10.00 0.29 (0.35) -- -- 9.94 (0.60)(DAGGER) 15,238
- ---------------------------
EMERGING MARKETS DEBT FUND:
- ---------------------------
1996* $10.55 $0.78 $ 1.26 $(1.00) $ -- $11.59 20.08% $ 66,314
1995 10.19 0.65 (0.17) (0.11) (0.01) 10.55 4.85 84,438
1994(4) 10.00 0.13 0.06 -- -- 10.19 1.90(DAGGER) 16,248
</TABLE>
RATIO OF
RATIO OF RATIO OF NET INVESTMENT
NET EXPENSES INCOME/(LOSS)
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
EXPENSES INCOME/(LOSS) NET ASSETS NET ASSETS PORTFOLIO AVERAGE
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE
- --------------------------------------------------------------------------------
- -----------------------------
EMERGING MARKETS EQUITY FUND:
- -----------------------------
1.25% 0.56% 1.42% 0.39% 37% $0.01
1.25 0.44 1.55 0.14 49 --
1.36 (0.12) 1.79 (0.55) 45 --
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
0.75% 5.27% 0.76% 5.26% 109% $ --
0.78 5.61 0.87 5.52 147 --
0.85 5.71 1.28 5.28 173 --
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
0.75% 5.36% 1.01% 5.10% 128% $ --
0.78 5.51 1.15 5.14 187 --
0.85 5.66 1.42 5.09 130 --
- ---------------------------
EMERGING MARKETS DEBT FUND:
- ---------------------------
1.50% 10.97% 1.90% 10.57% 129% $ --
1.79 10.97 2.05 10.71 266 --
1.90 7.04 2.60 6.34 52 --
* FOR THE PERIOD ENDED APRIL 30, 1996. ALL RATIOS, EXCLUDING TOTAL
RETURN, FOR THAT PERIOD HAVE BEEN ANNUALIZED.
(DAGGER) RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) EMERGING MARKETS EQUITY FUND COMMENCED OPERATIONS ON 2/2/94. ALL RATIOS
FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) GLOBAL FIXED INCOME FUND COMMENCED OPERATIONS ON 1/3/94. ALL RATIOS FOR
THE PERIOD HAVE BEEN ANNUALIZED.
(3) INTERNATIONAL FIXED INCOME FUND COMMENCED OPERATIONS ON 3/15/94. ALL
RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(4) EMERGING MARKETS DEBT FUND COMMENCED OPERATIONS ON 8/4/94. ALL RATIOS
FOR THE PERIOD HAVE BEEN ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
52
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
1. ORGANIZATION
Morgan Grenfell Investment Trust (the "Trust") was organized as a Delaware
business trust on September 13, 1993. The Trust is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company consisting of seventeen investment portfolios (Municipal Bond Fund,
Fixed Income Fund, Short-Term Municipal Bond Fund, Short-Term Fixed Income Fund,
Large Cap Growth Fund, and Smaller Companies Fund (collectively the "Domestic
Funds"); International Equity Fund, Global Equity Fund, European Equity Fund,
Pacific Basin Equity Fund, International Small Cap Equity Fund, European Small
Cap Equity Fund, Japanese Small Cap Equity Fund, Emerging Markets Equity Fund,
Global Fixed Income Fund, International Fixed Income Fund and Emerging Markets
Debt Fund (collectively the "International Funds"). The Domestic Funds and
International Funds are hereafter referred to collectively as the "Funds". At
April 30, 1996, the Large Cap Growth Fund, Global Equity Fund, European Equity
Fund, Pacific Basin Equity Fund and Japanese Small Cap Equity Fund had not yet
commenced operations. The Funds' prospectus provides a description of each
Fund's investment objectives, policies and strategies.
On December 28, 1994, pursuant to plans of reorganization approved by the
Municipal Bond Fund and the Fixed Income Fund shareholders on December 5, 1994,
all of the assets of the Morgan Grenfell Municipal Bond Fund and the Morgan
Grenfell Fixed Income Fund (formerly part of The Advisors' Inner Circle Fund)
were transferred to the Municipal Bond Fund and Fixed Income Fund respectively
(the "Portfolios"), newly formed portfolios of the Trust, in exchange for shares
of the Portfolios and assumption of stated liabilities of the two funds. The
Municipal Bond Fund reorganization was accomplished by a tax-free exchange of
the Municipal Bond Fund's net assets (valued at $149,509,966) for 14,567,909
shares of the corresponding Portfolio. The Fixed Income Fund reorganization was
accomplished by a tax-free exchange of the Fixed Income Fund's net assets
(valued at $273,285,174) for 27,846,079 shares of the corresponding Portfolio.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Funds.
SECURITY VALUATION--Securities listed on a securities exchange for which
market quotations are readily available are valued at the last quoted sales
price on the principal exchange on which they are traded on the valuation date
or, if there is no such reported sale on the valuation date, at the most recent
quoted bid price. Unlisted securities for which market quotations are readily
available are valued at the most recent quoted bid price. Certain debt and fixed
income investments owned by the Funds are valued at prices supplied by
independent pricing agents selected by Morgan Grenfell Capital Management, Inc.
and Morgan Grenfell Investment Services Limited (the "Advisors"), which prices
reflect broker-dealer supplied valuations and electronic data processing
techniques. Short-term investments are valued at amortized cost which
approximates market value. Other securities for which market value is not
readily available or securities whose market value does not, in the opinion of
the applicable Advisor, reflect fair value are valued at fair value using
methods determined in good faith by the valuation committee of the Board of
Trustees.
INCOME TAXES--It is the intention of each Fund to continue to qualify as a
regulated investment company and to distribute all of its taxable income.
Accordingly, no provision for Federal income taxes is considered necessary.
The International Funds may be subject to taxes imposed by countries in
which they invest with respect to their investments in issuers existing or
operating in such countries. Such taxes are generally based on either income
earned or repatriated. The International Funds accrue such taxes when the
related income is earned.
NET ASSET VALUE PER SHARE--The net asset value per share is calculated on a
daily basis by dividing the assets of each Fund, less its liabilities, by the
number of outstanding shares of the Fund.
REPURCHASE AGREEMENTS--Securities pledged as collateral for repurchase
agreements are held by the
53
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
custodian banks until maturity of the repurchase agreements. Provisions of the
repurchase agreements and procedures adopted by the Trust require that the
market value of the collateral, including accrued interest thereon, is
sufficient in the event of default by the counterparty.
The Funds may also invest in tri-party repurchase agreements. Securities
held as collateral for tri-party repurchase agreements are maintained in a
segregated account by the broker's custodian bank until maturity of the
repurchase agreement. Provisions of the agreements require that the market value
of the collateral, including accrued interest thereon, is sufficient in the
event of default.
If the counterparty defaults and the value of the collateral declines or if
the counterparty enters an insolvency proceeding, realization of the collateral
by the Funds may be delayed or limited.
FOREIGN CURRENCY TRANSLATION--The books and records of the International
Funds are maintained in U.S. dollars. Foreign currency amounts are translated
into U.S. dollars on the following basis: (I) market value of investment
securities, other assets and liabilities at the current rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The International Funds do not isolate that portion of gains and losses on
investments in securities which is due to changes in the foreign exchange rates
from that which is due to changes in market prices of such securities. The
International Funds do isolate the effect of fluctuations in foreign currency
rates when determining the gain or loss upon sale or maturity of foreign
currency denominated debt obligations pursuant to the Federal income tax
regulations. Such amounts are categorized as foreign currency gain or loss for
both financial reporting and income tax reporting purposes. The International
Funds report gains and losses on foreign currency related transactions as
realized and unrealized gains and losses for financial reporting purposes,
whereas such gains and losses, to the extent realized, are treated as ordinary
income or loss for Federal income tax purposes.
FORWARD FOREIGN CURRENCY CONTRACTS--The International Funds enter into
forward foreign currency contracts as hedges against portfolio positions as well
as for non-hedging purposes. The aggregate principal amounts of the contracts
are not recorded as the Funds do not intend to hold the contracts to maturity.
All commitments are "marked-to-market" daily at the applicable foreign exchange
rate and any resulting unrealized gains or losses are recorded currently. The
Funds realize gains or losses at the time forward contracts are extinguished,
except that gains or losses on certain open contracts are required to be
recognized for U.S. Federal income tax purposes at the close of the Fund's
taxable year and are generally treated as ordinary income for such purposes.
FOREIGN CURRENCY OPTIONS--The premium paid by a Fund for the purchase of an
option is included in the Fund's Schedule of Investments as an investment and
subsequently marked to market to reflect the current market value of the option.
For an option held by a Fund on the stipulated expiration date, the Fund
realizes a loss. If the Fund enters into a closing sale transaction, it realizes
a gain or loss, depending on whether the proceeds from the sale are greater or
less than the cost of the purchased option. If the Fund exercises a purchased
put option, it realizes a gain or loss from the sale of the underlying
investment and proceeds from such sale will be decreased by the premium
originally paid. If the Fund exercises a purchased call option, the cost of the
underlying investment which the Fund purchases upon exercise will be increased
by the premium originally paid. Certain foreign currency options may be required
to be marked-to-market for Federal income tax purposes at the close of a Fund's
taxable year, giving rise to a gain or loss that may, depending upon whether
certain elections are made, be capital or ordinary in character.
DISTRIBUTIONS--Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid in capital in the period that the difference arises.
54
<PAGE>
================================================================================
EXPENSES--Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Trust are
prorated to the Funds on the basis of relative net assets. Morgan Grenfell
Capital Management, Inc. absorbed all expenses of organizing the Trust.
All organizational costs incurred with the start of the Municipal Bond Fund
and the Fixed Income Fund are being amortized on a straight line basis over a
period of sixty months.
OTHER--Security transactions are accounted for on the date the security is
purchased or sold (trade date). Costs used in determining net realized capital
gains and losses on the sale of investment securities are those of the specific
securities sold adjusted for the accretion and amortization of original issue
discounts and purchase premiums during the respective holding period. Original
issue discounts and purchase premiums on securities held by the Funds are
accreted and amortized ratably to maturity using the effective interest method.
Dividend income is recognized on the ex-dividend date and interest income is
recognized using the accrual method.
3. ADMINISTRATION, INVESTMENT ADVISORY,
AND DISTRIBUTION AGREEMENTS
The Trust has entered into an administration agreement with SEI Financial
Management Corporation (the "Administrator"), pursuant to which the
Administrator receives an annual fee based on the aggregate average daily net
assets of all the Funds as follows: 0.15% up to $300,000,000; 0.12% from
$300,000,000 up to $500,000,000; 0.10% from $500,000,000 up to $1,000,000,000;
and 0.08% in excess of $1,000,000,000. Each Fund pays the Administrator a
minimum annual fee that equals (after a one-year phase in period) the following:
$50,000 for the Municipal Bond Fund, Fixed Income Fund, Short-Term Municipal
Bond Fund, Short-Term Fixed Income Fund and Smaller Companies Fund; $75,000 for
the International Equity Fund, Global Fixed Income Fund and International Fixed
Income Fund; and $100,000 for the International Small Cap Equity Fund, European
Small Cap Equity Fund, Emerging Markets Equity Fund, and Emerging Markets Debt
Fund.
The Administrator generally assists in all matters relating to the
administration of the Funds, including the coordination and monitoring of any
third parties furnishing services to the Funds, preparation and maintenance of
financial accounting records, and the provision of necessary office space,
equipment and personnel to perform administrative and clerical functions.
Under advisory agreements with the Trust, Morgan Grenfell Capital
Management, Inc. serves as the Advisor for the Domestic Funds and Morgan
Grenfell Investment Services Limited serves as the Advisor for the International
Funds. For these services, the Advisors are entitled to a monthly fee at an
annual rate of each Fund's average daily net assets as follows:
Municipal Bond Fund 0.40%
Fixed Income Fund 0.40%
Short-Term Municipal Bond Fund 0.40%
Short-Term Fixed Income Fund 0.40%
Smaller Companies Fund 1.00%
International Equity Fund 0.70%
International Small Cap Equity Fund 1.00%
European Small Cap Equity Fund 1.00%
Emerging Markets Equity Fund 1.00%
Global Fixed Income Fund 0.50%
International Fixed Income Fund 0.50%
Emerging Markets Debt Fund 1.50%
The Advisors have voluntarily agreed to reduce their advisory fees and/or
reimburse each Fund to the extent necessary to limit the Fund's operating
expenses to a specified percentage of its average net assets as follows:
Municipal Bond Fund 0.55%
Fixed Income Fund 0.55%
Short-Term Municipal Bond Fund 0.55%
Short-Term Fixed Income Fund 0.55%
Smaller Companies Fund 1.25%
International Equity Fund 0.90%
International Small Cap Equity Fund 1.25%
European Small Cap Equity Fund 1.25%
Emerging Markets Equity Fund 1.25%
Global Fixed Income Fund 0.75%
International Fixed Income Fund 0.75%
Emerging Markets Debt Fund 1.50%
55
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator or Advisors.
SEI Financial Services Company (the "Distributor") serves as the
distributor of shares of the Funds pursuant to a distribution agreement with the
Trust and assists in the sale of shares of the Funds. The Advisors, and not the
Trust, are responsible for payment of any expenses or fees incurred in the
marketing and distribution of shares of the Trust.
4. FORWARD FOREIGN CURRENCY CONTRACTS
The International Funds enter into forward foreign currency exchange
contracts as hedges against portfolio positions as well as for non-hedging
purposes. Such contracts, which protect the value of the Fund's investment
securities against a decline in the value of the hedged currency, do not
eliminate fluctuations in the underlying prices of the securities. They simply
establish an exchange rate at a future date. Also, although such contracts tend
to minimize the risk of loss due to a decline in the value of a hedged currency,
at the same time they tend to limit any potential gain that might be realized
should the value of such foreign currency increase.
The following forward foreign currency contracts were outstanding at April 30,
1996:
IN UNREALIZED
CURRENCY TO EXCHANGE APPRECIATION
MATURITY (DELIVER)/RECEIVE FOR (DEPRECIATION)
DATE (000) (000) (000)
-------- ---------------- -------- ------------
INTERNATIONAL EQUITY FUND:
- -------------------------
FOREIGN CURRENCY SALES:
07/24/96 DM (50) $ 33 $ --
06/27/96 JY (16,700) 158 (3)
07/24/96 NL (168) 100 1
-----
$ (2)
=====
INTERNATIONAL SMALL CAP EQUITY FUND:
- -----------------------------------
FOREIGN CURRENCY SALES:
07/24/96 DM (5,610) $3,715 $ 31
07/09/96 FF (11,400) 2,266 53
07/18/96 JY (730,200) 6,812 (246)
07/24/96 NL (2,080) 1,233 11
-----
$(151)
=====
IN UNREALIZED
CURRENCY TO EXCHANGE APPRECIATION
MATURITY (DELIVER)/RECEIVE FOR (DEPRECIATION)
DATE (000) (000) (000)
-------- ---------------- -------- ------------
EUROPEAN SMALL CAP EQUITY FUND:
- ------------------------------
FOREIGN CURRENCY SALES:
07/24/96 DM (499) $ 334 $ 6
05/22/96 FF (2,750) 550 18
07/24/96 NL (746) 447 9
-----
$ 33
=====
GLOBAL FIXED INCOME FUND:
- ------------------------
FOREIGN CURRENCY SALES:
05/21-07/18/96 CA (4,500) $ 3,289 $ (20)
05/20-07/18/96 DM (26,700) 18,293 807
05/20-07/18/96 DK (38,400) 6,684 157
06/20-08/19/96 SK (94,000) 13,831 (7)
-----
$ 937
-----
FOREIGN CURRENCY PURCHASES:
05/17-06/20/96 DM 15,500 $10,145 $ (8)
07/18/96 ES 600,000 4,813 (116)
-----
$(124)
-----
$ 813
=====
INTERNATIONAL FIXED INCOME FUND:
- -------------------------------
FOREIGN CURRENCY SALES:
05/20-08/19/96 DM (7,270) $ 4,970 $ 204
05/20-06/20/96 DK (8,050) 1,414 48
06/20-08/19/96 SK (18,000) 2,645 (4)
-----
$ 248
-----
FOREIGN CURRENCY PURCHASES:
07/18/96 AD 1,250 $ 979 $ (1)
06/20/96 CA 1,250 913 6
05/17-06/20/96 DM 4,080 2,741 (71)
05/20/96 DK 1,200 211 (8)
07/18/96 ES 160,000 1,283 (31)
07/30/96 UK 625 943 (8)
-----
$(113)
-----
$ 135
=====
EMERGING MARKETS DEBT FUND:
- --------------------------
FOREIGN CURRENCY SALES:
06/17/96 DM (2,300) $ 1,569 $ 62
=====
CURRENCY LEGEND
- ---------------
AD Australian Dollar FF French Franc
CA Canadian Dollar JY Japanese Yen
DM German Mark NL Netherlands Guilder
DK Danish Kroner SK Swedish Krona
ES Spanish Peseta UK British Pound Sterling
56
<PAGE>
================================================================================
At April 30, 1996, the Global Fixed Income Fund and International Fixed
Income Fund had unrealized gains (losses) on closed but unsettled forward
foreign currency contracts of $(103,663) and $2,880, respectively, scheduled to
settle between May 20, 1996 and August 19, 1996.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than short-term investments and U.S. Government securities, during the
period ended April 30, 1996, were as follows:
PURCHASES SALES
(000) (000)
--------- --------
Municipal Bond Fund $ 80,884 $ 64,690
Fixed Income Fund 253,017 186,434
Short-Term Municipal Bond Fund 2,487 2,624
Short-Term Fixed Income Fund 5,556 843
Smaller Companies Fund 2,364 2,164
International Equity Fund 612 321
International Small Cap Equity Fund 45,495 17,813
European Small Cap Equity Fund 2,706 2,550
Emerging Markets Equity Fund 41,213 36,761
Global Fixed Income Fund 178,430 135,667
International Fixed Income Fund 38,826 34,580
Emerging Markets Debt Fund 79,556 100,764
The cost of U.S. Government security purchases and the proceeds from the
sale of U.S. Government securities, during the period ended April 30, 1996, were
as follows:
PURCHASES SALES
(000) (000)
--------- --------
Fixed Income Fund $221,606 $170,453
Short-Term Fixed Income Fund 3,811 1,688
Global Fixed Income Fund 6,877 19,542
Emerging Markets Debt Fund 1,410 1,800
For Federal income tax purposes, the cost of securities owned at April 30,
1996 and the net realized gains or losses on securities sold for the period then
ended was not materially different from the amounts reported for financial
reporting purposes. The aggregate gross unrealized appreciation and depreciation
at April 30, 1996, for each Fund is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
----------- ----------- -------------
Municipal Bond Fund $ 3,531 $ (864) $ 2,667
Fixed Income Fund 4,287 (8,706) (4,419)
Short-Term Municipal
Bond Fund 15 (13) 2
Short-Term Fixed Income Fund 14 (46) (32)
Smaller Companies Fund 553 (70) 483
International Equity Fund 514 (46) 468
International Small Cap
Equity Fund 23,095 (4,491) 18,604
European Small Cap
Equity Fund 2,585 (375) 2,210
Emerging Markets
Equity Fund 14,836 (4,878) 9,958*
Global Fixed Income Fund 703 (1,955) (1,252)
International Fixed
Income Fund 281 (535) (254)
Emerging Markets
Debt Fund 3,695 (263) 3,432
* NET OF $122,000 ACCRUED FOREIGN WITHHOLDING TAXES.
At October 31, 1995 the following Funds had available realized capital
losses to offset future net capital gains through the fiscal year ended 2003:
(000)
------
Municipal Bond Fund $1,556
Smaller Companies Fund 6
International Equity Fund 6
International Small Cap Equity Fund 2,367
Emerging Markets Debt Fund 526
6. LOAN PARTICIPATIONS/ASSIGNMENTS
The Emerging Markets Debt Fund (the "Fund") invests in U.S. dollar-denominated
fixed and floating rate loans ("Loans") arranged through private negotiations
between a foreign sovereign entity and one or more financial institutions
("Lenders"). The Fund invests in such Loans in the form of participations in
Loans ("Participations") or assignments of all or a portion of loans from third
parties ("Assignments"). Participations typically result in the Fund having a
contractual relationship only with the Lender, not with the sovereign borrower.
The Fund has the right to receive payments of principal, interest and any fees
to which it is entitled from
57
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Concluded)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED)
the Lender selling the Participation and only upon receipt by the Lender of the
payments from the borrower. In connection with purchasing Participations, the
Fund generally has no right to enforce compliance by the borrower with the terms
of the loan agreement relating to the Loan, nor any rights of set-off against
the borrower, and the Fund will not benefit directly from any collateral
supporting the Loan in which it has purchased the Participation. As a result,
the Fund assumes the credit risk of both the borrower and the Lender that is
selling the Participation. The Fund may have difficulty disposing of
Participations and Assignments because the market for such instruments is not
highly liquid.
7. CONCENTRATION OF RISKS
The Municipal Bond Fund and Short-Term Municipal Bond Fund invest primarily
in a diversified portfolio of municipal securities, including municipal bonds
and debentures, rated Baa or better by Moody's Investors Service, Inc.
("Moody's") or BBB or better by Standard & Poor's Ratings Group ("S&P"), or, if
not rated, determined by the Advisor to be of comparable quality. Although the
Municipal Bond Fund and Short-Term Municipal Bond Fund maintain diversified
portfolios, the municipal bond issuers' abilities to meet their obligations may
be affected by economic developments in a specific state or region.
The Fixed Income Fund and Short-Term Fixed Income Fund invest primarily in
fixed income securities rated Baa or better by Moody's or BBB or better by S&P
or, if not rated, determined by the Advisor to be of comparable quality.
Although the Fixed Income Fund and Short-Term Fixed Income Fund maintain
diversified portfolios, the ability of the issuers of the Fund's portfolio
securities to meet their obligations may be affected by changing business and
economic conditions.
Each International Fund invests in securities of foreign issuers in various
countries. These investments may involve certain considerations and risks not
typically associated with investments in the United States, as a result of,
among other factors, the possibility of future political and economic
developments and the level of governmental supervision and regulation of
securities markets in the respective countries. Global Fixed Income,
International Fixed Income and Emerging Markets Debt Fund invest in debt
securities, the market value of which may change in response to interest rate
changes. Also, the ability of the issuers of debt securities held by the Funds
to meet their obligations may be affected by economic and political developments
in a specific country, industry, or region.
58
<PAGE>
NOTES
59
<PAGE>
===================
MORGAN GRENFELL
===================
INVESTMENT TRUST
===================
SEMI-ANNUAL REPORT
===================
APRIL 30, 1996
TRUSTEES AND OFFICERS
James E. Minnick,
PRESIDENT, CHIEF EXECUTIVE OFFICER AND
CHAIRMAN OF THE BOARD OF TRUSTEES
Patrick W. Disney,
SENIOR VICE PRESIDENT AND TRUSTEE
Paul K. Freeman, TRUSTEE
Graham E. Jones, TRUSTEE
Hugh G. Lynch, TRUSTEE
William N. Searcy, TRUSTEE
Edward T. Tokar, TRUSTEE
David W. Baldt,
VICE PRESIDENT
James H. Grifo,
VICE PRESIDENT
Neil P. Jenkins,
VICE PRESIDENT
Ian D. Kelson,
VICE PRESIDENT
Jeffrey A. Cohen,
TREASURER, PRINCIPAL ACCOUNTING OFFICER,
CHIEF FINANCIAL OFFICER
Mark G. Arthus,
SECRETARY AND COMPLIANCE OFFICER
INVESTMENT ADVISORS
Morgan Grenfell Capital Management, Inc.
Morgan Grenfell Investment Services Limited
ADMINISTRATOR AND SHAREHOLDER SERVICING AGENT
SEI Financial Management Corporation
DISTRIBUTOR
SEI Financial Services Company
CUSTODIANS
The Northern Trust Company
CoreStates Bank, N.A.
TRANSFER AGENT
DST Systems, Inc.
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
LEGAL COUNSEL
Hale and Dorr
THIS SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST
BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. INVESTORS SHOULD READ THE
PROSPECTUS CAREFULLY BEFORE INVESTING. SHARES OF THE MORGAN GRENFELL INVESTMENT
TRUST ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY
BANK. THE SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE
CORPORATION, THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY.
INVESTMENT IN THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF
PRINCIPAL. SEI FINANCIAL SERVICES COMPANY, THE DISTRIBUTOR OF THE MORGAN
GRENFELL INVESTMENT TRUST, IS NOT AFFILIATED WITH ANY BANK.
MIT-F-009-02
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST - APRIL 30, 1996 (UNAUDITED)
-------- -------- --------- ---------
PACIFIC JAPANESE
GLOBAL EUROPEAN BASIN SMALL CAP
EQUITY EQUITY EQUITY EQUITY
FUND FUND FUND FUND
-------- -------- --------- ---------
ASSETS:
Cash $1,000 $1,000 $1,000 $1,000
-------- -------- --------- ---------
Total assets 1,000 1,000 1,000 1,000
-------- -------- --------- ---------
LIABILITIES: -- -- -- --
-------- -------- --------- ---------
NET ASSETS: $1,000 $1,000 $1,000 $1,000
======== ======== ========= =========
Shares of beneficial interest
issued and outstanding (unlimited
authorization -- based on $0.001
par value) 100 100 100 100
======== ======== ========= =========
NET ASSET VALUE, OFFERING PRICE
AND REDEMPTION PRICE PER SHARE $10.00 $10.00 $10.00 $10.00
======== ======== ========= =========
THE FUNDS HAVE NOT COMMENCED OPERATIONS AS OF APRIL 30, 1996.
The accompanying notes are an integral part of the financial statements.
<PAGE>
Notes to Financial Statements
- --------------------------------------------------------------------------------
Morgan Grenfell Investment Trust - April 30, 1996 (Unaudited)
1. Organization
Morgan Grenfell Investment Trust (the "Trust") was organized as a Delaware
business Trust on September 13, 1993. The Trust is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company consisting of seventeen investment portfolios (Municipal Bond Fund,
Fixed Income Fund, Short-Term Municipal Bond Fund, Short-Term Fixed Income Fund,
Large Cap Growth Fund, Smaller Companies Fund, International Equity Fund, Global
Equity Fund, European Equity Fund, Pacific Basin Equity Fund, International
Small Cap Equity Fund, European Small Cap Equity Fund, Japanese Small Cap Equity
Fund, Emerging Markets Equity Fund, Global Fixed Income Fund, International
Fixed Income Fund and Emerging Markets Debt Fund. These financial statements
relate only to the Global Equity Fund, European Equity Fund, Pacific Basin
Equity Fund and Japanese Small Cap Equity Fund (hereafter referred to as the
"Funds"). At April 30, 1996, the Funds had no operations other than the sale of
initial shares to SEI Financial Management Corporation (the "Administrator"), a
wholly-owned subsidiary of SEI Corporation on December 29, 1993. Morgan Grenfell
Investment Services Limited (the "Advisor") absorbed all expenses of organizing
the Trust.
2. Administration, Investment Advisory, and Distribution Agreements
The Trust has entered into an administration with SEI Financial Management
Corporation (the "Administrator"), pursuant to which the Administrator receives
a monthly fee based on the aggregate average daily net assets of all the Funds
as follows: 0.15% up to $300,000,000; 0.12% from $300,000,000 up to
$500,000,000; 0.10% from $500,000,000 up to $1,000,000,000; and 0.08% in excess
of $1,000,000,000. Each funds pays the Administrator a minimum annual fee that
equals (after a one year phase in period) the following: $75,000 for the Global
Equity Fund, European Equity Fund and Pacific Basin Equity Fund and $100,000 for
the Japanese Small Cap Equity Fund.
The Administrator generally assists in all matters relating to the
administration of the Funds, including the coordination and monitoring of any
third parties furnishing services to the Funds, preparation and maintenance of
financial accounting records, and the provision of necessary office space,
equipment and personnel to perform administrative and clerical functions.
Under an advisory agreement with the Trust, Morgan Grenfell Investment
Services Limited (the "Advisor") serves as the Advisor for the Funds. For these
services, the Advisor is entitled to a monthly fee at an annual rate of each
Fund's average daily net assets as follows:
Global Equity Fund 0.70%
European Equity Fund 0.70%
Pacific Basin Equity Fund 0.70%
Japanese Small Cap Equity Fund 1.00%
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST - APRIL 30, 1996 (UNAUDITED)
The Advisor has voluntarily agreed to reduce its advisory fee to the extent
necessary to limit the Fund's operating expenses to a specified percentage of
its average net assets as follows:
Global Equity Fund 0.90%
European Equity Fund 0.90%
Pacific Basin Equity Fund 0.90%
Japanese Small Cap Equity Fund 1.25%
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator or Advisor.
SEI Financial Services Company (the "Distributor") serves as the
distributor of shares of the Funds pursuant to a distribution agreement with the
Trust and assists in the sale of shares of the Funds. The Advisor, and not the
Trust, is responsible for payment of any expenses or fees incurred in the
marketing and distribution of shares of the Trust.
