MORGAN
GRENFELL
INVESTMENT
TRUST
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SEMI-ANNUAL
REPORT
[GRAPHIC OF GLOBE WITH CUBES OMITTED]
Unaudited
APRIL 30, 1997
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Dear Fellow Shareholder:
On behalf of the Board of Trustees of Morgan Grenfell Investment Trust, I would
like to express our appreciation for your continued support of our mutual funds.
We remain committed to providing a broad range of mutual funds, capitalizing on
our specialist management teams' ability to deliver strong investment results.
As of April 30, 1997, Morgan Grenfell Investment Trust included fourteen active
funds with aggregate net assets of $1.7 billion and more than 750 shareholders.
We continued to offer more diversity to our shareholders in the domestic
marketplace by opening Morgan Grenfell Microcap Fund on December 18, 1996.
The performance for each of our Funds for the six-month period ended April 30,
1997 is described on the pages that follow. This period reflected continued
economic growth in many financial markets worldwide, with exceptional strength
in the U.S. equity markets in particular. Our mutual fund offerings continued to
perform well during this time period, generally adding value relative to their
benchmark indices. We are particularly proud of our Municipal Bond Fund, which
has recently obtained Morningstar's 5 star rating, the highest available, for
performance in the 1 year, 3 year and 5 year periods.
We continue to view the current investment horizon positively. Our investment
specialists teams continue to add value within their areas of expertise and look
forward to the challenges ahead.
Sincerely,
/S/SIGNITURE
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
STATEMENT OF NET ASSETS................................................ 15
STATEMENT OF OPERATIONS................................................ 60
STATEMENT OF CHANGES IN NET ASSETS..................................... 62
FINANCIAL HIGHLIGHTS................................................... 65
NOTES TO FINANCIAL STATEMENTS.......................................... 67
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
MUNICIPAL BOND FUND
Since Morgan Grenfell Municipal Bond 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, 1997, the Fund provided a total return of
2.03%. For comparison, the Lehman Brothers Seven Year General Obligations Bond
Index posted a return of 1.77% over the same period.
We believe that bonds with sinking fund retirements and mortgage prepayment
calls continue to offer attractive investment opportunities.
FIXED INCOME FUND
Since Morgan Grenfell Fixed Income 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 the relationship of cash flow structure to the price of the
security. Industry and sector weightings are subordinated to the evaluation of
individual bonds.
For the six month period ended April 30, 1997, the Fund provided a total
return of 2.21%. For comparison, the Lehman Brothers Aggregate Bond Index posted
a return of 1.71% 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
6.1% to 6.6%, causing bond prices to fall.
The credit quality of the portfolio is strong with 71% of the portfolio
rated AAA. 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. This accounts for our heavy
concentration in the highest rating category.
SHORT-TERM
MUNICIPAL BOND FUND
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. For the six month period ended
April 30, 1997, the Fund generated a total return of 2.71%. For comparison, the
IBC/Donoghue Total Tax-Free Average posted a return of 1.47% over the same
period. The Fund's return was achieved by investing in bonds providing a high
level of tax-free income with limited price volatility due to their short
durations.
Our intent is to provide investors with an attractive investment
alternative to lower yield tax-free money market funds. Relative stability of
principal is achieved by investing in bonds with short-term maturities and bonds
with anticipated early redemptions.
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
SHORT-TERM
FIXED INCOME FUND
Morgan Grenfell Short-Term Fixed Income Fund commenced operations on March
13, 1995. In the period during which the Fund has been publicly offering its
shares, we have been purchasing short-term investment grade securities. For the
six month period ended April 30, 1997, the Fund generated a total return of
2.78%. For comparison, the Merrill Lynch 182-Day Treasury Bill Index posted a
return of 2.65% for the same period. The Fund's return was achieved by investing
in short-term bonds providing a high level of income, with limited price
volatility due to their short maturities.
SMALLER COMPANIES FUND
Morgan Grenfell Smaller Companies Fund had net assets of $4.3 million as of
April 30, 1997. The primary 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 capitalization companies
are defined as those companies ranked in the bottom 20% of the Wilshire 5000
Index according to market capitalization.
For the six month period ended April 30, 1997, the Fund declined 4.9%
versus the S&P SmallCap 600 Index which gained 1.8%. The Service Companies,
Health Care, Consumer and Credit Sensitive sectors negatively contributed to the
Fund's performance versus that of the S&P 600 Index for the period. Also, large
capitalization companies continued to outperform small capitalization companies
during the period. The Dow Jones Industrial Average and the S&P 500 Index which
are representative of large capitalization companies gained 17.3% and 14.7%,
respectively.
In March, the equity market corrected across all sectors after the Federal
Reserve Board raised short-term rates by 25 basis points. This was the first
broad market correction since the summer of 1996. Starting in mid-April, small
cap companies have gained back what they lost in March's broad market
correction. The majority of small-cap companies have reported earnings in line
or above Wall Street analyst's expectations, indicating continued growth in this
sector of the market.
While some indicators of the economy appear to be growing moderately,
others show greater economic growth, possibly creating inflationary pressures.
While inflation remained relatively subdued at the end of April, the
unemployment rate reached a 24-year low of 4.9% and has intensified concerns
over the sustainability of the current low level of inflation. Recently, the
agreement to "Balance the Budget" by the year 2002 had alleviated some concerns
that the Fed will raise short-term interest rates again.
The structure of the U.S. economy has a high level of entrepreneurial
activity and venture capital backing. This entrepreneurial arena is expected to
continue providing investors with many attractive investment opportunities as
early stage private companies transition to public ownership and early stage
public companies begin to gain more exposure.
The Fund utilizes a team approach with co-portfolio managers researching
the small cap universe for the best investment ideas. The Fund's investment
portfolio generally is diversified across several economic sectors. As of April
30, 1997, the Consumer, Technology, Energy, Credit Sensitive, Service and Health
Care sectors accounted for 75% of the Fund.
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MICROCAP FUND
Morgan Grenfell Microcap Fund had net assets of $2.0 million as of April
30, 1997. The investment objective of this Fund is to maximize capital
appreciation by investing in equity securities of microcap companies located
primarily in the United States. Microcap companies are defined as those
companies ranked in the bottom 5% of the U.S. equity market according to market
capitalization.
For the period from the inception on December 18, 1996 to April 30, 1997,
the Fund was down 7.5% versus the Russell 2000 Index which was down 2.3% for the
same period. The Fund's investments in the Consumer and Capital Goods sectors
negatively contributed to the performance versus the Russell 2000 Index for the
period. Large capitalization companies continued to outperform small
capitalization during this period. The Dow Jones Industrial Average and the S&P
500 indices which are representative of large capitalization companies gained
11.15% and 10.24%, respectively.
In March, the equity market corrected across all sectors after the Federal
Reserve Board raised short-term interest rates by 25 basis points. This was the
first broad market correction since the summer of 1996. Starting in mid-April,
small cap companies have gained back what they lost in March's broad market
correction. The majority of small-cap companies have reported earnings in line
or above Wall Street analyst's expectations, indicating continued growth in this
sector of the market.
While some indicators of the economy appear to be growing moderately,
others show greater economic growth, possibly creating inflationary pressures.
While inflation remained relatively subdued at the end of April, the
unemployment rate reached a 24-year low of 4.9% and has intensified concerns
over the sustainability of the current low level of inflation. Recently, the
agreement to "Balance the Budget" by the year 2002 had alleviated some concerns
that the Fed will raise short-term interest rates again.
The structure of the U.S. economy has a high level of entrepreneurial
activity and venture capital backing. This entrepreneurial arena is expected to
continue providing investors with many attractive investment opportunities as
early stage private companies transition to public ownership and early stage
public companies begin to gain more exposure.
The Fund utilizes a team approach with co-portfolio managers researching
the micro-cap universe for the best investment ideas. The Fund's investment
portfolio is diversified across several economic sectors. As of April 30, 1997,
the Technology, Consumer, Service, Credit Sensitive, Energy and Health Care
sectors accounted for 75% of the total Fund.
INTERNATIONAL EQUITY FUND
In the six month period ended April 30, 1997, Morgan Grenfell International
Equity Fund appreciated by 2.09%. Over the same period, the Fund's benchmark,
the MSCI EAFE Index, rose by 1.72%. The Fund's performance during the period
extended its modest outperformance of the benchmark since inception.
Since inception, stock selection has been the principal reason for the Fund
outperforming its benchmark. During the period under review, this source of
performance was again strong, whereas the contribution from country/regional
allocation, during a period of considerable volatility, was slightly negative.
Japan declined 13.2% in absolute terms during the period,
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
and the Fund was modestly underweight in this market, the biggest component of
the benchmark (32% at the start of the period). Gains in Japan however were
counteracted by underweight positions in core European stock markets (Germany,
France, Switzerland) which rallied strongly in the first quarter of 1997, after
being easily outpaced by non-core Europe through much of 1996. The Fund's
underweight position in the UK was also a negative contributor, as dollar-based
returns for that market were enhanced by a dramatic appreciation of sterling,
starting in the fourth quarter of 1996. Stock selection was strong in Japan, and
generally mixed in Europe, with negative contributions from Spain, Holland and
the UK, but strong gains particularly in Germany, Italy and Switzerland.
EUROPEAN EQUITY FUND
Morgan Grenfell European Equity Fund commenced operations on September 3,
1996 and had total net assets of $36.1 million as of April 30, 1997.
The investment objective of this Fund is to maximize capital appreciation
by investing primarily in equity securities of leading companies located in the
United Kingdom and Continental Europe.
In the last six months, the Fund has outperformed its benchmark (MSCI
European Index) 12.34% to 11.96%.
As of April 30, 1997, the Fund was well exposed to cyclical and
economically sensitive stocks that should respond favorably to stronger European
economies. The Fund was notably underweight in financials as of April 30, 1997.
The UK remained the Fund's largest single exposure at approximately 33%,
followed by France at 15%, Holland at 11%, and Germany at 10%. The Fund was also
overweight in the smaller markets of Spain and Sweden with weightings of 6% and
7% respectively. The French and DM stocks are partly hedged back into the U.S.
dollar given that we expect the dollar rally to continue.
During the period under review, Europe's stock markets continued to perform
strongly in local currency terms. However, the rally in the U.S. dollar versus
the DM bloc currencies during 1997 has had the effect of somewhat reducing the
return from the markets to dollar-based investors. The strong returns have been
driven by several factors, most notably the continuing improvement in the
Continental European economies. 1997 will likely see a return to the trend in
economic growth from the mid-cycle pause that characterized much of 1996. The
economic recovery is being driven primarily by exports, given the more
competitive DM/$ exchange rate and the low interest rates across the Continent.
Economic growth in 1997 could reach 2.5% in Continental Europe and be over 3% in
the UK.
At the corporate level, the 1996 earnings reports in Continental Europe
broadly met market expectations. Many companies also surprised the market with
relatively upbeat statements with regard to the full year 1997 outlook. It
should be borne in mind that Continental European companies are typically highly
cautious in terms of forecasting so early in a year, so we do not believe they
would have made positive statements without being relatively sure of their
prospects. As a result, our expectations of 18-20% growth in earnings in 1997 in
Continental Europe may prove to be conservative and could be exceeded if the
recovery in the economies accelerates from current levels.
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As with the economy, the UK corporate outlook is somewhat different from
the Continent. The strength of sterling versus the DM is seriously hampering the
exporting sectors of the economy and earnings growth in the
cyclical/economically sensitive sectors will be consequently affected. The
strength of the domestic economy and the robust consumer spending environment
has skewed the UK market's performance towards the financial sector. Earnings
growth in the UK in 1997 will likely be around 8%. On the political front, the
UK election was called during March for May 1st. The widely and accurately
forecast return of a Labour administration was viewed positively by the market,
given the centralist policies of the "New" Labour Party and the evident
competence of their senior ministerial team.
The equity markets continued to be largely unaffected by the over-riding
European economic issue of 1998 and 1999, namely the introduction of the Euro as
a common currency. The bond markets, especially those in the peripheral
Continental countries such as Sweden, Spain and Italy, rallied throughout 1996
in the expectations of an untroubled transition to the Euro and as a result of
the tight fiscal, low inflation economic environment. Some doubts have crept in
during 1997 and bond market volatility has risen. This, in turn, has fed through
to certain interest rate sensitive sectors such as Spanish utilities, and the
equity markets' vulnerability to any weakness in bond markets going forward
should not be underestimated.
That being said, the outlook for Europe's stock markets in 1997 remains
positive. Trading on an average 1997 price earnings multiple of 17 can be
described as fair. In our view, the principal risk would be a threat to the
progress towards monetary union and the likely turmoil in the bond and currency
markets that would accompany a postponement of the Euro project.
INTERNATIONAL SMALL CAP EQUITY FUND
Morgan Grenfell International Small Cap Equity Fund commenced operations on
January 3, 1994 and had total net assets of $86.0 million as of April 30, 1997.
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 25% of the issuers listed on the stock exchange, and companies
listed on a secondary market or over-the-counter market.
For the six month period ended April 30, 1997, the Fund underperformed its
benchmark (NatWest Markets (NWM) Euro/Pacific Small Cap Index) falling 8.06%
against a fall of 6.90% for the benchmark. Both stock selection and asset
allocation were negative. Stock selection was very weak in Continental Europe,
weak in the UK but strong in Australia, the smaller Far Eastern markets and
Japan.
In the UK, the Fund's underperformance was due to the absence of financial
stocks in the Fund. These stocks have been very strong performers, particularly
in the first four months of 1997, but trade on multiples that look unattractive
relative to their growth rates. We believe that the recent performance of these
stocks has been driven by take-over speculation and hopes of radical political
action to enlarge private pen-
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
sion fund provisions. This underweight position in this sector has been
maintained but remains under review. In Continental Europe, there have been
several disappointing performances from stocks previously rated highly like
Fielmann in Germany and Saes Getters and De Rigo in Italy which have severely
hampered performance. In the case of Fielmann, an unexpected reduction in
Government rebates on spectacles has hit this leading retailer's gross margins.
The Company has responded by maintaining prices to further gain market share and
should benefit in the medium term as smaller players are forced from the market.
In Germany generally cyclical stocks have been strong while consumer stocks have
been weak. The Fund's overweight exposure to consumer stocks has been a negative
for performance and this exposure has been reduced. In Italy, the strength of
the Lira has hit exporters particularly hard. In the case of Saes Getters,
higher than expected research and development expenditure in the short term has
also damaged the share price though the long term prospects remain in place.
Increased competition has hurt De Rigo's future profitability and has led us to
commence selling of this stock.
In both Continental Europe and Japan, expectations of economic growth and
earnings progress declined in the last two months of 1996. Forecasts for smaller
company earnings were accordingly reduced. Japanese small cap markets have
remained weak in the first four months of this year as oversupply of equity and
low investor demand depressed ratings and the weak Yen focused attention on the
prospects for larger export earners rather than the domestically-biased smaller
cap stocks.
Small capitalization stocks, which are highly geared to changes in
expectations of economic growth rates have not performed well. However we expect
both the Japanese and Continental European economies to show improving economic
growth rates in 1997 and some positive signs in the former economy have helped
sentiment in May. Earnings forecasts for small cap stocks should rise in this
environment. European small cap valuations are still attractive. In Continental
Europe small companies generally trade at a small discount to large cap stocks
but have earnings which are below large companies in 1997. We believe that
economic recovery will make these small cap earnings prospects look conservative
and that large cap earnings are benefiting from exceptional one-off gains
arising from restructuring. Overall, valuations from Continental European
markets look reasonable in an international context. In Japan, small cap
earnings for the fiscal year ended March 1997 look to be lower (at an ex
Financials underlying level) than large cap stocks and trade at a premium in PE
terms. We believe that the weak state of the Japanese financial sector taken
together with domestic economic recovery will mean that small cap stocks will
make progress relative to large cap stocks in 1997.
EUROPEAN SMALL CAP
EQUITY FUND
Morgan Grenfell European Small Cap Equity Fund commenced operations on
November 1, 1994 and had total net assets of $10.3 million as of April 30, 1997.
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 25%
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of the issuers listed on a European stock exchange, or companies listed on a
secondary market or over-the-counter market.
For the six month period ended April 30, 1997, the Fund underperformed its
benchmark (the NatWest Markets (NWM) European Small Cap Index) falling 1.72%
relative to the benchmark's positive return of 5.56%. The Fund's investments in
both the UK and investments in Continental Europe contributed to this
underperformance with investments in the UK underperforming by 2.2% and
Continental Europe by about 7.7%.
In the UK, underperformance has been due to the absence of financial stocks
from the Fund. These stocks have been very strong performers particularly in the
first four months of 1997, but trade on multiples that look unattractive
relative to their growth rates. We believe that the recent performance of these
stocks has been driven by take-over speculation and hopes of radical political
action to enlarge private pension fund provisions. This underweight position in
this sector has been maintained but remains under review. In Continental Europe,
there have been several disappointing performances from stocks previously rated
highly like Fielmann in Germany and Saes Getters and De Rigo in Italy which have
severely hampered performance. In the case of Fielmann, an unexpected reduction
in Government rebates on spectacles has hit this leading retailer's gross
margins. The Company has responded by maintaining prices to further gain market
share and should benefit in the medium term as smaller players are forced from
the market. In Germany generally cyclical stocks have been strong while consumer
stocks have been weak. The Fund's overweight exposure to consumer stocks has
been negative for performance and this has been reduced. In Italy, the strength
of the Lira has hit exporters particularly hard. In the case of Saes Getters,
higher than expected research and development expenditure in the short term has
also damaged the share price though the long term prospects remain in place.
Increased competition has hurt De Rigo's future profitability and has led us to
commence selling of this stock.
In the first half of the year there has been poor performance from small
caps relative to their large cap counterparts as investors have marked up the
more liquid larger company markets in Continental Europe in expectation of
economic recovery. In the UK, small cap stocks have suffered as investors have
preferred more liquid stocks in the uncertain period leading up to the May
General Election. European small cap stocks, as represented by the Fund's
benchmark index, rose 5.6% in the six month period ended April 30, 1997 as
against a performance of 12.0% for the MSCI Large Cap Index.
Given a positive economic background, we believe that the risk of investing
in the small cap sector is low. In our view, European small cap valuations are
still attractive. In Continental Europe, small companies trade at a small
discount to large cap stocks but have earnings which are below large companies
in 1997. We believe that economic recovery will make these small cap earnings
prospects look conservative and that large cap earnings are benefiting from
exceptional one-off gains arising from restructuring. Overall valuations for
Continental European markets look reasonable in an international context. In the
UK, small companies trade at close to the bottom of their historic range
relative to larger companies and show similar levels of earnings growth. They
should benefit (relative to large cap) from recent ster-
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
ling strength against European currencies since they have a higher exposure
to the strongly growing domestic economy. Overall market valuations in the UK
look good in an international context. European markets remain inefficient,
especially in Continental Europe, with plenty of opportunities to purchase high
growth companies on low price/earnings relative to the market. 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 Morgan Grenfell Emerging Markets Equity Fund was
February 2, 1994. On April 30, 1997, the Fund had net assets of $105.6 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 foreign stock
markets.
During the six month period ended April 30, 1997, the Fund's performance
was 7.07% versus the benchmark's performance of 10.98% (the Fund's benchmark is
the MSCI Emerging Markets Free Index).
The period was marked by volatile returns across all regions driven by both
local factors and volatility on the international scene, particularly in U.S.
bond yields.
Eastern and Southern Europe generated strong returns as the fund flows
remained exceptionally strong. The Czech Republic was the only market to fall as
pressure on the currency built up. South Africa recovered as its government
moved to reassure investors as to their tight fiscal policy and the rate of
corporate restructuring picked up.
The Asian markets were very mixed performers. China performed strongly, as
did the market of the Indian sub-continent. However, many other markets were
weak, particularly Thailand which suffered from a liquidity shortage.
Latin America performed well during the period, particularly Brazil where
privatization momentum has been very strong.
The outlook for emerging markets in the remainder of 1997 is positive,
notwithstanding the apparent change of direction in U.S. interest rate moves.
Stock market valuations are generally below those developed markets while growth
rates of GDP and corporate earnings are likely to remain at a significant
premium. The Fund continues to be broadly diversified at the country level, and
aims to add value primarily through stock selection.
GLOBAL FIXED INCOME FUND
Morgan Grenfell Global Fixed Income Fund commenced operations on January 3,
1994 and had net assets of $109.9 million as of April 30, 1997.
The investment objective of the 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.
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The Fund's total return for the six month period ended April 30, 1997 was
(3.33%) compared with (4.50%) for the Fund's benchmark, the Salomon World
Government Bond Index (unhedged).
After a period of nervousness in the U.S. bond market following the Federal
Reserve's decision to increase short-term interest rates in the first quarter of
1996, the market performed better in the second half of the year, as fears of
the Fed being forced to respond to renewed inflationary pressures through
further rate increases proved to be premature. In 1997, the market has refocused
on these concerns, however, and following one rate hike in March, the market is
expecting the Fed to make at least one more move during 1997.
Outside the U.S., markets have generally fared better, although a strong
U.S. dollar has limited the gains available to U.S. investors. In Japan, bond
yields fell to record lows in the first quarter of 1997, as an already weak
economy was hit further by problems in the banking and real estate sectors.
While yields have since risen, Japanese interest rates are still low by
international comparison, and we do not see huge value in Japan's bond market.
In Europe, the higher yielding markets in particular have performed strongly, as
investors have attached increasing probability to the assumption that the first
round of European Monetary Union will take place in 1999, and yield spreads have
converged sharply towards the levels of the core markets of the German and
French bloc. In the UK, there was uncertainty in advance of the general
election, but the market performed strongly following the new government's
opening policy announcements, particularly the creation of a more independent
central bank.
The U.S. dollar gained ground over the second half of 1996 and first
quarter of 1997 against all major currencies, fueled both by the belief that
short term U.S. rates had further to rise and also by the willingness of the
German and Japanese central banks to allow their currencies to fall to boost the
competitiveness of their export sectors and aid their economic recoveries; the
German mark has also been weak in the expectation that the mark's strength will
be diluted in the new euro currency by the currencies of the weaker members. The
Fund has reduced its overweight position in the U.S.$, as we believe that the
dollar will consolidate following its strong rally.
INTERNATIONAL FIXED
INCOME FUND
Morgan Grenfell International Fixed Income Fund commenced operations on
March 15, 1994 and had net assets of $23.6 million as of April 30, 1997.
The Fund's objective is identical to that of Morgan Grenfell Global Fixed
Income Fund except that the 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 (5.93%) for the six month period ended April 30, 1997,
compared to (7.29%) for the Fund's benchmark, the Salomon World Government Bond
Index, non-U.S. (unhedged).
In Europe, bond yields have continued to converge sharply, as bond market
investors became increasingly confident that European Monetary Union will take
place in 1999, although uncertainty persists as to which countries will be
included in the initial round of membership. The markets which have done best
have been high yielding markets such as
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
Italy and Spain, with yield spreads tightening significantly towards German
yield spreads.
Despite the support among most European politicians for monetary union,
concerns persist that electorates are less enthusiastic, and the strict fiscal
packages introduced by countries in an attempt to meet membership criteria have
contributed to the generally weak levels of economic growth in Europe. With the
exception of the UK, where continued consumer-led growth has led to a round of
official rate increases, the trend in Europe has continued to be one of monetary
easing, and we see little likelihood of official rate rises in Germany until
1998 at the earliest.
In the UK, both major parties approached the May election without a clear
policy on EMU membership. It is almost impossible for the UK to be part of EMU
before the end of this century, and Britain's strong growth profile has
necessitated a series of interest rate rises, which we see continuing for at
least the next eighteen months. Despite this, the bond market has performed
well, especially following the new government's decision to grant a stronger
level of autonomy to the Bank of England.
The U.S. dollar gained ground over the second half of 1996 and first
quarter of 1997 against all major currencies, fueled both by the belief that
short term U.S. rates had further to rise and also by the willingness of the
German and Japanese central banks to allow their currencies to fall to boost the
competitiveness of their export sectors and aid their economic recoveries. The
German mark has also been weak in the expectation that the mark's strength will
be diluted in the new euro currency by the currencies of the weaker members. The
Fund has reduced its overweight position in the U.S.$, as we believe that the
dollar will consolidate following its strong rally.
EMERGING MARKETS
DEBT FUND
Morgan Grenfell Emerging Markets Debt Fund commenced operations on August
4, 1994 and had net assets of $108.5 million as of April 30, 1997.
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 Fund's total return for the six month period ended April 30, 1997 was
10.99% against 10.25% for the Fund's benchmark (the J.P. Morgan Emerging Market
Bond Index Plus).
Emerging markets have continued to register strong returns over the six
month period as investors' confidence in continuing structural reform has
outweighed concerns over tightening U.S. monetary policy. As of April 30, 1997,
the Fund's largest positions were in Argentina, Brazil and Russia. The top
performing market in the first quarter was Bulgaria, where the establishment of
IMF funding removed the possibility of external debt default.
Despite the returns experienced over the past twelve months, we remain
optimistic with regard to the outlook for emerging market debt. Most countries
within the universe are firmly committed to orthodox economic reform and a
consolidation of growth will facilitate this. Russian debt remains the cheapest
in the market relative to its credit rating and, as of April 30, 1997,
constituted our most significant overweight position.
14
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 97.3%
ALABAMA -- 3.3%
Birmingham, Medical Clinic
Board, RB, ETM
8.300%, 07/01/08 $ 407 $ 467
Lauderdale & Florence Counties,
Public Hospital, RB, ETM
7.000%, 07/01/07 385 436
Mobile, Certificate of Participation,
Affordable Housing
6.000%, 02/01/98 275 275
6.200%, 02/01/99 350 349
6.300%, 02/01/00 400 398
6.750%, 02/01/04 4,950 4,913
Morgan County, Decatur General
Hospital, Pre-refunded @ 102, RB (E)
7.875%, 03/01/99 85 91
State Housing Finance Authority,
Multi-Family Housing, Club
Apartments, Series 1, RB
5.650%, 06/01/08 2,500 2,519
--------
9,448
--------
ARIZONA -- 0.2%
Gila County, Industrial Development
Authority, Inspiration Consolidated
Copper, Pre-refunded @ 100, RB (E)
11.250%, 02/15/01 470 569
Maricopa County, Sun City Inter-
Community Healthcare, RB, ETM
8.625%, 01/01/10 50 60
--------
629
--------
ARKANSAS -- 3.3%
Drew County, Public Facilities
Board, Single Family Mortgage,
Series A-2, RB, FNMA
7.900%, 08/01/11 383 409
Fayetteville, Public Facilities
Board, Single Family
Mortgage, RB
7.250%, 04/01/11 1,180 1,208
Jefferson County, Health Care &
Residential Facilities Board,
Single Family Mortgage, RB,
FSA, ETM
7.400%, 12/01/10 85 95
Little Rock, Capital Improvement,
Series 1995A, RB
5.950%, 02/01/12 180 181
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Lonoke County, Residential Housing,
Single Family Mortgage,
Series 1993 B, RB
7.375%, 04/01/11 $ 264 $ 281
Mississippi County, Public Facilities
Board, Mortgage, Series 1, RB
7.200%, 07/15/10 975 1,068
North Little Rock, Residential
Housing Facilities,
Series 1991-1, RB (A)
0.000%, 12/01/10 7,765 3,057
Rogers County, Sales & Use Tax, RB
5.350%, 11/01/11 2,000 1,982
Saline County, Residential
Housing Facilities, Single
Family Mortgage, RB
7.875%, 03/01/11 805 854
State Housing Development
Agency, RB, ETM
8.375%, 07/01/10 60 71
Stuttgart, Public Facilities Board,
Single Family Mortgage, Series B, RB
7.750%, 09/01/11 285 298
--------
9,504
--------
CALIFORNIA -- 6.7%
Emeryville, Redevelopment Agency,
Residential Mortgage RB, ETM
7.500%, 09/01/11 150 168
Fairfield, Certificate of Participation,
Pre-Refunded @ 100 (E)
10.750%, 08/01/00 30 35
Fresno, Multi-Family Housing,
Woodlands Apartments Project,
Series A, RB, GNMA, AMT
6.650%, 05/20/08 500 524
Los Angeles, California, Earthquake
Rehabilitation, Series A, RB,
AMT, FNMA
5.700%, 12/01/28 2,000 1,992
Los Angeles, Community
Redevelopment Agency,
Angelus Plaza Project,
Series A, RB, FNMA
7.400%, 06/15/10 2,000 2,222
Los Angeles, Community
Redevelopment Agency,
Monterey Hills Project B, RB
8.650%, 12/01/22 330 367
Los Angeles, Multi-Family
Housing, Earthquake
Rehabilitation Projects,
Series B, RB, FNMA, AMT (B)
5.850%, 12/01/07 4,650 4,714
15
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Napa, Housing Facility, Napa Park
Apartments, Series A, RB, GNMA
4.809%, 06/20/00 $ 405 $ 405
Pleasant Hill, Multi-Family Housing,
Ellinwood Apartments Project,
Series A, RB, FNMA
5.300%, 10/01/20 3,165 3,193
San Jose, Multi-Family Housing,
Alamaden Lake Village Project,
Series B, RB, FGIC, GE Capital
Corporation (B)
5.150%, 03/01/01 2,000 1,995
Santa Clara County, Housing
Authority, RB, GNMA (D)
5.245%, 06/20/00 492 493
Vista, California Multi-Family
Housing Authority, Pepperwood
Apartment Project, Series 1995A,
RB, FNMA (B)
5.700%, 06/01/05 3,240 3,309
--------
19,417
--------
COLORADO -- 2.0%
Boulder County, Boulder Community
Hospital RB, ETM
7.000%, 07/01/09 50 53
Castle Rock Ranch, Public
Improvements Authority, RB
5.900%, 12/01/03 1,000 1,027
Commerce City, Single Family
Mortgage, Series A, RB
6.875%, 03/01/12 515 534
State Housing Finance
Authority, AMT, RB
5.750%, 11/01/04 175 175
State Student Loan, Series C, AMT, RB
7.150%, 09/01/06 990 1,061
Thornton, GO, FGIC, ETM
7.500%, 12/01/07 125 140
Vail, Single Family Mortgage,
Series 1992 A, RB
8.125%, 06/01/10 435 455
Westminster, Multi-Family Housing,
Semper Village Apartments,
RB, AXA (B)
5.950%, 06/01/05 2,225 2,281
--------
5,726
--------
DELAWARE -- 0.8%
New Castle County, Single Family
Mortgage, RB
10.250%, 11/01/05 220 227
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
State Economic Development
Authority, Wilmington Friends
School Project, RB
6.300%, 07/01/00 $ 50 $ 51
State Economic Development
Authority, Wilmington Friends
School Project, RB
6.300%, 07/01/01 55 56
6.300%, 07/01/02 60 61
6.300%, 07/01/03 60 61
6.300%, 07/01/04 65 66
6.300%, 07/01/05 70 72
6.300%, 07/01/06 75 76
6.300%, 07/01/07 80 81
6.300%, 07/01/08 85 86
6.300%, 07/01/09 90 92
6.300%, 07/01/10 95 97
6.300%, 07/01/11 100 101
6.300%, 07/01/12 110 112
6.300%, 07/01/13 115 117
State Housing Authority, Single
Family Mortgage, RB
8.750%, 06/01/17 830 831
--------
2,187
--------
FLORIDA -- 3.7%
Altamonte Springs, Health Facility
Authority, RB, ETM
8.750%, 10/01/09 225 270
Dade County, Certificate of
Participation, Government
Leasing Corporation, Series B
8.500%, 04/01/07 45 45
Dade County, Certificate of
Participation, Government
Leasing Corporation, Series C
9.000%, 04/01/20 300 300
Dunedin, Health Facility Authority,
Mease Hospital Incorporated,
RB, ETM
7.600%, 10/01/08 485 538
Duval County, Housing Finance
Authority, Single Family Mortgage,
RB, FGIC, GNMA
7.650%, 09/01/10 155 166
Fernando Apartments, Elderly
Housing, Section 8 Assistance, RB
9.750%, 10/01/11 756 800
Jacksonville, Health Facility
Authority, Saint Catherine
Laboure Manor Incorporated,
RB, ETM
9.125%, 01/01/03 160 176
16
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Jacksonville, Health Facility
Authority, Saint Vincent's Medical
Center Incorporated, RB, ETM
9.125%, 01/01/03 $ 300 $ 339
Miami Beach, Housing Authority,
Elderly Housing,
Section 8 1995, RB
6.625%, 01/15/09 1,200 1,242
Miramar, Water Improvement
Assessment, RB, FGIC
5.125%, 10/01/20 5,320 5,280
Pinellas County, Housing Finance
Authority, Single Family Mortgage,
Series A, RB, GNMA, AMT
6.850%, 03/01/29 1,500 1,573
--------
10,729
--------
GEORGIA -- 2.0%
Augusta, Housing Rehabilitation
Agency, Bon Air Project,
Series C, RB
7.000%, 09/01/05 1,000 1,071
De Kalb, Private Hospital Authority,
Wesley Services Inc. Project, (LOC)
8.250%, 09/01/15 500 516
Fulton County, Housing Authority,
Single Family Mortgage, RB,
GNMA, AMT
6.200%, 03/01/13 390 397
Marietta, Housing Authority,
Multi-Family, Ridge Pointe
Apartments, Series A, RB,
FNMA (B)
5.700%, 06/01/05 1,475 1,512
Marietta, Housing Authority,
Multi-Family, Series A, RB,
New England Mutual Life
Guaranty (B)
6.000%, 06/01/01 1,000 1,019
Saint Mary's, Housing Authority,
Multi-Family, Cumberland Oaks
Apartments, Series A, RB, FNMA
7.250%, 09/01/05 625 656
Saint Mary's, Housing Authority,
Multi-Family, Pines Apartments,
Series C, RB, FNMA
7.250%, 10/01/05 270 282
State Residential Finance Housing,
Series A, RB, AMT
6.750%, 06/01/16 360 366
--------
5,819
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
HAWAII -- 0.1%
Honolulu, Housing Authority,
Multi-Family, Waipahu Towers Project,
Series A, RB, GNMA, AMT
6.900%, 06/20/05 $ 365 $ 380
--------
IDAHO -- 0.6%
State Housing & Finance Association,
Series B, RB, AMT
5.650%, 07/01/09 475 468
State Housing Agency, Single Family
Mortgage, Series F, RB, AMT
5.800%, 07/01/07 1,000 1,014
State Housing Agency, Single Family
Mortgage, Series C1, RB
7.650%, 07/01/10 380 398
--------
1,880
--------
ILLINOIS -- 9.0%
Alton, Hospital Facilities, Alton
Memorial Hospital Project, RB, ETM
7.000%, 07/01/05 590 636
Bolingbrook, Hospital Authority,
Hinsdale Sanitarium Hospital
Project, RB, ETM
7.250%, 08/01/08 1,195 1,312
Bolingbrook, Mortgage, Capital
Appreciation Series 1, RB (A)
0.000%, 01/01/11 8,185 3,141
City of Fairfield, Economic
Development, Wayne County
Center Project, RB
6.000%, 12/15/05 545 552
Des Plains, Hospital Facilities,
Holy Family Hospital Project,
RB, ETM, FGIC
7.000%, 01/01/07 195 207
7.000%, 01/01/07 205 218
Des Plains, Hospital Facilities,
Holy Family Hospital Project,
RB, ETM, MBIA
7.000%, 01/01/07 240 255
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%, 11/15/99 325 329
Development Finance Authority,
Fund For Child Care Facilities
Project, Series A, RB
7.400%, 09/01/04 2,600 2,824
17
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Development Finance Authority,
Debt Restructure, East Saint
Louis, RB, Moral Obligation
6.875%, 11/15/05 $ 875 $ 917
Greater Peoria, Airport Authority,
GO, AMBAC, AMT
6.500%, 12/01/05 100 107
6.700%, 12/01/07 250 268
Greater Peoria, Airport Authority,
RB,AMBAC, AMT
6.600%, 12/01/06 575 615
Health Facilities Authority, Lutheran
Social Services, RB
6.125%, 08/15/10 850 831
Health Facilities Authority, Mercy
Health Center, RB, ETM
7.100%, 06/01/09 785 871
Health Facilities Authority, Mercy
Hospital & Medical Center, RB, ETM
10.000%, 01/01/15 2,105 2,789
Health Facilities Authority, Mercy
Health Center, RB, ETM
7.500%, 09/01/09 300 357
Health Facilities Authority, Sydney
R. Forkosh Memorial Hospital,
Pre-refunded @ 100, RB (E)
7.000%, 07/01/02 340 360
Health Facilities Authority, Lutheran
Health Systems, Series B, Partially
Pre-Refunded @ 102, RB (E)
7.375%, 04/01/99 2,000 2,140
Quincy, Single Family Mortgage, RB
6.875%, 03/01/10 625 648
Rockford-Concord Commons,
Housing Finance Authority,
Series A, RB, FHA
5.550%, 11/01/06 595 602
Rockford-Concord Commons,
Housing Finance Corporation,
Series A, HUD Section 8
Assisted, RB, FHA
6.150%, 11/01/22 1,845 1,843
Southwestern Development
Authority, Wood River
Township Hospital Project,
RB, Moral Obligation, ETM
6.875%, 08/01/03 200 221
Village of Buffalo Grove, Economic
Development Project, Country
Line Partners, RB
5.450%, 08/15/02 1,665 1,665
Village of Graylake, Multi-Family
Housing, Country Squire Village
Apartments, Series A, RB, FHA
6.000%, 06/01/05 1,305 1,329
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Western Illinois University,
RB, ETM
7.400%, 04/01/09 $ 165 $ 182
--------
26,204
--------
INDIANA -- 1.3%
Indianapolis, Economic Development,
Knob in the Woods Project, RB,
FNMA, AMT (B)
6.375%, 12/01/04 3,485 3,694
Vigo County, Hospital
Authority, RB, ETM
6.875%, 04/01/04 85 91
--------
3,785
--------
IOWA -- 0.7%
Davenport, Home Ownership
Mortgages, Series 1994, RB
4.000%, 03/01/03 115 113
Davenport, Hospital Facility, RB, ETM
7.200%, 07/01/09 100 110
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 1,699
--------
1,922
--------
KANSAS -- 0.9%
Johnson County, Single Family
Mortgage, RB
5.625%, 05/01/02 10 10
Labette and Cowley Counties,
Single Family Mortgage,
Series A, RB
9.500%, 04/01/13 105 112
Manhattan, Tax Increment
Revenue Refunding,
Series A, RB, Asset Guaranty, AMT
5.000%, 12/01/02 665 652
5.200%, 12/01/03 500 493
Reno County, Single Family
Mortgage Revenue Refunding
Bond, Series B
8.700%, 09/01/11 360 384
Saline County, Single Family
Mortgage, Series A, RB
9.500%, 10/01/11 220 232
Wichita, Hospital, RB, ETM
7.000%, 03/01/06 335 361
Wichita, Single Family Mortgage,
Series A, RB
7.100%, 09/01/09 305 318
--------
2,562
--------
18
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
KENTUCKY -- 1.6%
Greater Kentucky Housing
Assistance Corporation,
Section 8 Assisted, Project A,
RB, MBIA, FHA
7.625%, 01/01/25 $ 425 $ 440
Greater Kentucky Housing
Assistance Corporation,
Section 8 Assisted, Series C,
RB, MBIA, FHA
5.350%, 07/01/07 540 534
Lakeland Wesley Village
Incorporated, HUD Section 8
Assisted, RB, FHA
7.125%, 11/01/02 320 334
Nelson County, Kentucky
Industrial Development, RB,
AMT (LOC)
6.500%, 04/01/05 2,000 2,122
Owensboro, Electric Light &
Power, RB, ETM
10.500%, 01/01/04 485 573
State Turnpike Authority, RB, ETM
7.100%, 07/01/02 320 335
6.125%, 07/01/07 145 151
6.625%, 07/01/08 75 80
--------
4,569
--------
LOUISIANA -- 5.3%
Housing Finance Authority, Single
Family Housing, RB, GNMA, AMT
8.050%, 11/01/14 415 426
Iberia, Single Family Mortgage, RB
7.375%, 01/01/11 960 1,037
Jefferson Parish, Hospital Service
District 001, RB, ETM
7.125%, 01/01/02 315 332
Lafourche Parish, Home Mortgage
Authority, Single Family Mortgage,
RB, ETM
7.400%, 07/01/10 40 45
Public Facilities Authority, Southern
Baptist Hospital, RB, ETM
8.000%, 05/15/12 810 942
Public Facilities Authority,
Multi-Family Housing, Beau Terre
Project, RB, FNMA (B)
5.800%, 06/01/05 750 758
Public Facilities Authority,
Multi-Family Housing, Edgewood
Apartments, RB, FNMA (B)
5.800%, 06/01/05 7,155 7,235
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Public Facilities Authority,
Multi-Family Housing,
Oakleigh Apartment
Project, RB, AXA
5.750%, 03/15/03 $ 295 $ 305
Public Facilities Authority,
Multi-Family Housing,
Oakleigh Apartment Project,
RB, AXA
5.850%, 03/15/04 315 325
5.950%, 03/15/05 330 341
Public Facilities Authority, Single
Family Mortgage, Series A, RB
7.375%, 10/01/12 595 600
Public Facilities Authority, Single
Family Mortgage, Series C, RB
8.450%, 12/01/12 759 803
State Housing Finance Authority,
Malta Square Project, RB, AMT,
GNMA
6.450%, 09/01/27 630 634
6.500%, 09/01/38 1,615 1,623
--------
15,406
--------
MAINE -- 0.1%
State Health & Higher Education
Facilities Authority, Cedar Nursery,
Pre-refunded @ 102, RB (E)
7.900%, 02/01/00 65 71
State Housing Authority, Series B,
RB, AMT
8.400%, 11/15/07 265 271
--------
342
--------
MARYLAND -- 1.4%
Cecil County, Economic Development,
Northeast Plaza Association,
Series A, RB
6.875%, 01/15/08 1,760 1,901
Cecil County, Economic Development,
Northeast Plaza Association,
Series B, RB
6.875%, 01/15/10 525 566
Frederick County, Economic
Development, Mortgage Revenue
Refunding Bond, Series A, RB, FHA
5.900%, 02/01/05 345 348
Prince George's County, Multi-Family
Mortgage, Emerson House Project,
Series A, RB
6.400%, 10/15/05 1,200 1,242
--------
4,057
--------
19
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MASSACHUSETTS -- 0.3%
Boston, Industrial Development
Finance Authority, Alzheimers
Center Project, Series A, RB, FHA
6.000%, 02/01/37 $ 725 $ 716
State Health & Education Authority,
Massachusetts Institute of
Technology, RB
8.000%, 07/01/00 90 99
--------
815
--------
MICHIGAN -- 1.0%
Detroit, Water Supply Systems,
RB, ETM
8.875%, 01/01/05 715 818
Petoskey, Hospital Finance Authority,
RB, ETM
6.700%, 03/01/07 360 385
Saginaw, Hospital Finance Authority,
St. Lukes Hospital, RB, ETM
7.500%, 11/01/10 285 320
State Hospital Finance Authority,
St. Joseph Mercy Hospital
Project, RB, ETM
7.000%, 07/01/05 280 302
State Hospital Finance Authority,
St. Lawrence Hospital Project,
RB, ETM
7.500%, 05/01/07 735 808
State Hospital Finance Authority,
Henry Ford Hospital, RB, ETM
9.000%, 05/01/04 85 101
State Hospital Financial Authority,
Mount Carmel Mercy Hospital,
RB, ETM
7.500%, 08/01/05 35 38
--------
2,772
--------
MINNESOTA -- 0.9%
Cambridge, Mortgage Revenue,
Health Care Center, Series A,
RB, GNMA
5.400%, 11/20/05 660 667
City of Fridley, Community
Development, RB, LOC (B)
5.375%, 09/01/01 1,225 1,228
Dakota County, Housing &
Redevelopment Authority, Single
Family Mortgage, RB, FNMA,
GNMA, AMT
5.550%, 10/01/02 130 131
5.750%, 10/01/04 150 151
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Rochester, St. Mary's Hospital,
RB, ETM
5.750%, 10/01/07 $ 395 $ 404
--------
2,581
--------
MISSISSIPPI -- 1.5%
Mississippi Home Corporation,
Single Family, Mortgage Access
Program, Series 1994 A, RB,
GNMA, AMT
5.000%, 06/01/04 665 667
Mississippi Home Corporation
Single Family Mortgage,
(converts to 7.375% on
12/97) Series I, RB, GNMA,
FNMA, AMT
5.200%, 06/01/28 2,055 2,235
State Business Finance, Industrial
Development, RB, AMT (LOC)
5.450%, 09/01/01 285 285
5.600%, 09/01/02 305 306
5.800%, 09/01/04 340 341
5.900%, 09/01/05 360 361
--------
4,195
--------
MISSOURI -- 1.3%
Jefferson City, Industrial Development
Authority, Missouri Farm Bureau
Federation, RB
5.750%, 12/01/05 250 247
Kansas City, Industrial Development
Authority, Multi-Family Housing,
Coves North Duplexes, RB, FNMA
5.600%, 09/01/25 2,780 2,811
Saint Louis County, Convention &
Sports Center, Series B, RB
6.500%, 08/15/01 775 816
--------
3,874
--------
MONTANA -- 0.2%
Missoula County Community
Hospital, RB, ETM, AMBAC
7.125%, 06/01/07 475 512
--------
NEBRASKA -- 0.8%
Hall County, Hospital Authority,
RB, ETM
8.000%, 01/01/07 250 279
Investment Finance Authority,
Multi-Family Housing, Old
Cheney Apartments, Series A,
RB, FNMA (B)
5.500%, 12/01/05 2,000 2,010
--------
2,289
--------
20
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
NEVADA -- 0.7%
State Housing Division, Multi-Family
Mortgages, Saratoga Palms Project,
RB, FNMA, AMT
5.900%, 04/01/06 $ 700 $ 702
State Housing Division, Single
Family Mortgages, Series B, RB,
FHA/VA, AMT
6.450%, 10/01/07 875 919
State Housing Division, Single
Family Mortgages, Series E, RB,
AMT
6.000%, 10/01/09 500 497
--------
2,118
--------
NEW HAMPSHIRE -- 0.5%
State Higher Education & Health
Facilities Authority, Kendal at
Hanover, RB, (LOC)
5.200%, 10/01/06 830 810
5.300%, 10/01/07 625 609
State Higher Education & Health
Facilities, Crotched Mountain
Rehab Center, Pre-refunded @ 102,
RB (E)
7.500%, 01/01/00 110 119
--------
1,538
--------
NEW JERSEY -- 1.8%
Church Street Corporation, Elderly
Housing Section 8 Assistance 1994,
RB, HUD Section 8
5.000%, 03/01/01 220 218
Deptford Township, Fire District
Number 1, GO
5.600%, 10/15/06 190 195
5.850%, 10/15/07 200 208
Economic Development Authority,
Economic Growth, Series H-2,
RB, National Westminster,
AMT (LOC)
5.000%, 10/01/05 775 762
Education Facilities Authority,
Caldwell College, Series A, RB,
7.250%, 07/01/25 1,200 1,229
Mansfield Township, Board of
Education, Certificate of
Participation, MBIA
5.500%, 03/01/07 1,830 1,867
State Health Care Facility Finance
Authority, Community Memorial
Hospital, Series C, RB
8.000%, 07/01/14 205 216
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
State Health Care Facility Finance
Authority, Hackensack Hospital,
RB, ETM
8.750%, 07/01/09 $ 130 $ 151
State Highway Authority, Garden
State Parkway, RB, ETM
6.500%, 01/01/11 110 118
State Turnpike Authority, RB, ETM
10.375%, 01/01/03 75 88
Wanaque Valley, Regional Sewer
Authority, Partially Pre-Refunded
@ 102, RB, AMBAC (E)
7.125%, 09/01/97 55 56
--------
5,108
--------
NEW MEXICO -- 1.3%
Albuquerque, Class B-2, FGIC (A)
0.000%, 05/15/11 3,539 1,261
Albuquerque, Residential Mortgage,
Series A, RB, ETM
7.000%, 03/01/04 600 649
Bernalillo County, Multi-Family
Housing, Sunchase Apartments,
Series A, RB, AXA (B)
5.800%, 11/01/06 1,500 1,536
Roswell, Airport, RB, AMT
8.500%, 11/01/98 140 140
Santa Fe, Single Family Mortgage
Authority, Series 1991, RB
8.450%, 12/01/11 176 187
--------
3,773
--------
NEW YORK -- 3.7%
Capital District Youth Center
Lease, RB, (LOC)
5.200%, 02/01/05 130 127
5.250%, 02/01/06 125 121
5.300%, 02/01/07 145 140
6.000%, 02/01/17 500 489
New York City, Industrial
Development Agency, Series C,
RB, AMT, (LOC) (B)
7.625%, 11/01/99 2,965 3,019
New York City, Municipal Assistance
Corporation, Series 59,
Pre-refunded @ 100, RB (E)
6.500%, 07/01/97 120 120
New York City, Municipal Assistance
Corporation, Series 61, RB,
Crossover refunding @ 102
6.875%, 07/01/97 475 486
New York City, Municipal Assistance
Corporation, Series 62, RB
6.900%, 07/01/07 85 87
21
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
State Dormitory Authority, Long
Island University, RB,
Asset Guaranty
6.000%, 09/01/08 $3,450 $ 3,588
State Medical Care Facilities Finance
Agency, Hospital & Nursing Home,
Series A, Partially Pre-refunded
@ 102, RB, FHA (E)
7.900%, 08/15/98 60 63
State Power Authority, Series C,
RB, ETM
9.500%, 01/01/01 400 429
UFA Development Corporation,
Mortgage, Loretto Utica Project,
RB, FHA
5.150%, 07/01/03 2,000 2,000
--------
10,669
--------
NORTH CAROLINA -- 0.2%
Vance County, Industrial Facilities
Authority, RB, Optional Put
09/01/97, AMT (LOC)
4.700%, 09/01/00 720 720
--------
OHIO -- 1.8%
Cuyahoga County, Deaconess
Hospital Project, RB, ETM
6.750%, 11/01/09 299 315
Cuyahoga County, Multi-Family
Housing, Water Street Association,
RB, GNMA, FHA, AMT
6.250%, 12/20/36 1,300 1,298
Lucas-Palmer, Housing Development
Corporation, Palmer Gardens
Section 8, RB, MBIA, FHA
5.900%, 07/01/07 295 295
Ohio Capital Corporation for
Housing Mortgage, Section 8
Assistance, Project E, RB,
MBIA, FHA
5.700%, 01/01/05 465 470
State Building Authority, Toledo
Government Office Building,
Pre-refunded @ 100, RB (E)
10.125%, 04/01/03 200 252
State Mortgage, RB, FHA
5.600%, 08/01/06 505 502
State Water Development
Authority, RB, ETM
9.375%, 12/01/10 350 432
Youngstown State University,
General Receipt, Series A, RB
6.200%, 12/15/16 1,580 1,550
--------
5,114
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
OKLAHOMA -- 1.6%
Bryan County, Single Family
Mortgage, Series A, RB
8.600%, 07/01/10 $ 470 $ 490
Cleveland County, Home Loan
Authority, Single Family Mortgage,
Series 1992, RB
8.375%, 08/01/12 2,150 2,317
Housing Finance Authority, RB,
GNMA, AMT
7.997%, 08/01/18 155 158
McAlester, Public Works Authority,
RB, FSA
8.250%, 12/01/04 125 146
8.250%, 12/01/05 750 885
8.250%, 12/01/06 185 226
Payne County, Housing Finance
Authority, Single Family Mortgage,
Series A, RB
8.625%, 03/01/11 420 438
Tulsa, Industrial Development
Authority, Doctors Medical Center,
Pre-refunded @ 100, RB (E)
6.625%, 10/01/03 80 85
--------
4,745
--------
PENNSYLVANIA -- 14.4%
Allegheny County, Hospital
Development Authority, St.
Margaret Memorial Hospital,
Project A, RB
9.800%, 07/01/10 3,600 3,632
Allegheny County, Industrial
Development Authority, RB
Integra Bank of Pittsburgh,
AMT (LOC)
6.000%, 10/01/04 1,000 1,001
Allegheny County, Greater
Pittsburgh International Airport,
Series C, Partially Pre-refunded
@ 102, RB, AMT, MBIA (E)
8.250%, 01/01/98 725 756
Allegheny County, Residential
Finance Authority, Mortgage,
RB, GNMA
6.500%, 11/01/14 610 624
Allentown, Hospital Authority,
Sacred Heart Hospital of
Allentown, Series A, RB
6.200%, 11/15/03 700 720
22
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Allentown, Hospital Authority,
Sacred Heart Hospital of
Allentown, Series A, RB
6.500%, 11/15/08 $ 2,200 $ 2,250
Bucks County, Industrial
Development Authority, Women's
Humane Society, RB
7.100%, 12/01/09 600 601
Butler County, Pre-refunded
@ 101, GO (E)
7.300%, 09/01/97 50 51
Dauphin County, General Authority,
WW15 Term, RB (C)
6.850%, 06/01/09 700 742
Delaware County, Industrial
Development Authority,
Resource - Recovery Project,
RB (LOC)
8.100%, 12/01/13 3,665 3,804
Delaware County, Mercy Health
Care, Series B, RB
6.000%, 11/15/07 3,500 3,557
Falls Township, Hospital Authority,
Delaware Valley Medical Center,
RB, FHA
6.900%, 08/01/11 4,135 4,461
Fayette County, Hospital Authority,
Uniontown Hospital, RB,
Connie Lee Insured
5.200%, 06/15/04 280 278
5.400%, 06/15/06 1,120 1,116
5.450%, 06/15/07 600 598
5.550%, 06/15/08 1,420 1,415
5.650%, 06/15/09 1,505 1,499
Harrisburg, GO, ETM, MBIA
9.750%, 04/15/99 75 80
Hazleton, Health Services Authority,
St Joseph's Medical Center, RB
6.125%, 07/01/16 300 295
Kennett Square, GO
4.500%, 02/01/99 400 400
Lehigh County, General Purpose,
Muhlenberg Continuing Care,
RB, (LOC) (B)
7.800%, 03/12/02 2,320 2,453
Lehigh County, Muhlenberg
Hospital Center, RB
4.800%, 07/15/00 2,195 2,187
Manheim Township, School
Authority, Series 1978,
Pre-refunded @ 100, RB (E)
6.625%, 12/01/05 470 513
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Montgomery County, Industrial
Development Authority, BMHR
Associate Project, RB, (LOC)
6.750%, 11/15/04 $ 250 $ 258
Montgomery County, Industrial
Development Authority,
Emergency Care Research
Institute Project, RB
6.400%, 06/01/03 605 621
Philadelphia, Hospital & Higher
Education, Pennsylvania
Hospital, RB
4.400%, 07/01/97 500 500
Philadelphia, Industrial Development
Authority, Jeanes Physician's Office,
Series A, RB
9.375%, 07/01/10 965 979
Philadelphia, Industrial Development
Authority, National Board of
Medical Examiners Project, RB
6.750%, 05/01/12 550 586
Philadelphia, St. Agnes Hospital,
RB, ETM
6.750%, 08/15/01 50 51
Pittsburgh Urban Redevelopment
Authority, Center Triangle Tax
Increment, Series A, RB (LOC),
Private Placement
5.125%, 06/01/00 1,175 1,174
Pottsville, Hospital Authority,
Pottsville Hospital & Warner
Clinic, RB
7.250%, 07/01/24 605 631
Saint Mary Hospital Authority,
Bucks County, RB, ETM
6.625%, 07/01/04 85 90
State Higher Education Facilities
Authority, Ursinus College, RB
5.000%, 01/01/02 160 158
5.100%, 01/01/03 180 178
5.200%, 01/01/04 195 193
5.300%, 01/01/05 220 217
5.400%, 01/01/06 245 241
State Highway, GO
5.500%, 10/01/97 775 780
State Housing Authority, Single
Family Mortgage, RB, AMT
7.000%, 10/01/05 230 243
Upper Gwynedd-Towamencin,
Municipal Authority, Water &
Sewer, RB, ETM, MBIA
5.700%, 10/15/97 20 20
Westtown Township, GO
4.500%, 03/01/99 1,500 1,498
--------
41,451
--------
23
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
RHODE ISLAND -- 1.0%
Central Falls, Pre-refunded
@ 103, GO (E)
9.250%, 11/15/00 $ 180 $ 210
Housing & Mortgage Finance
Corporation, Series 3B, RB, AMT
8.050%, 04/01/22 1,300 1,349
State Industrial Facilities, Crystal
Thermoplastics Project, Series A,
RB, IRBA, AMT
6.900%, 08/01/14 380 391
West Warwick, Series A, GO,
Asset Guaranty
7.300%, 07/15/08 910 1,026
--------
2,976
--------
SOUTH CAROLINA -- 1.4%
State Housing Finance & Development
Authority, Multi-Family Housing,
Runaway Bay Apartments
Project, RB
5.500%, 12/01/05 1,000 1,009
State Housing Finance Authority,
Multi-Family Housing,
RB, FNMA (B)
5.700%, 06/01/05 3,050 3,180
--------
4,189
--------
SOUTH DAKOTA -- 0.7%
State Housing Development Authority,
Multi-Family, Series B,
HUD Section 8, RB
7.000%, 04/01/12 1,000 1,054
Student Loan Assistance, Series A,
RB, GTD, AMT
7.600%, 08/01/04 510 538
7.700%, 08/01/07 500 528
--------
2,120
--------
TENNESSEE -- 1.6%
Greeneville, Health & Education
Facility Board, Southern Advent
Hospital, RB, ETM
8.700%, 10/01/09 370 438
Hamilton County, Industrial
Development, Ridgemont/Mountain
Brook Apartments, RB (LOC) (B)
6.250%, 10/01/97 840 842
Nashville & Davidson Counties,
Metropolitan Government Health
& Education Facilities Board,
Welch Bend Apartments,
Series A, RB, FNMA (B)
5.500%, 01/01/07 2,130 2,111
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Shelby County, Health & Housing
Board, RB, Asset Guaranty
6.500%, 10/01/07 $1,325 $ 1,381
--------
4,772
--------
TEXAS -- 7.1%
Bell County, Health Facility
Development Corporation,
Central Texas Pooled Health,
Sun Life Series A, RB (B)
4.750%, 10/01/98 100 100
Bexar County, Housing Finance
Corporation Residual Bond,
Capital Appreciation (A)
0.000%, 03/01/15 1,765 549
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%, 12/01/06 400 395
7.300%, 12/01/16 1,750 1,759
Collin County, Housing Finance
Corporation, Multi-Family
Mortgage, Preston Bend
Apartments Project, RB, AXA
6.500%, 09/01/22 1,000 1,033
Denison, Hospital Authority,
Texoma Medical Center, RB, ETM
7.125%, 07/01/08 125 138
Duncanville, Hospital Development
Authority, Methodist Hospital
Project, RB, ETM
9.000%, 01/01/10 690 817
Grand Prairie, Multi-Family
Mortgage, Project A, Sugar Creek
Apartments, RB
6.000%, 02/01/05 655 657
Gregg County, Housing Finance
Corporation, Multi-Family Housing,
Summer Lake Project, Series A,
RB, AXA
6.400%, 09/01/25 500 515
Harris County, Housing Finance
Corporation, Multi-Family
Housing, Colonial House Apartments
Project, RB, (LOC) (B)
5.600%, 09/01/99 235 238
Harris County, Housing Finance,
RB, Series 1996, AMT, FSA
5.700%, 06/01/06 280 280
Houston, Housing Finance
Corporation, 1996-A2, RB (A)
0.000%, 06/01/14 1,830 522
24
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Houston, Texas, Housing Finance
Corporation, 1996-A1, RB
8.000%, 06/01/14 $2,150 $ 2,314
Northeast Hospital Authority,
RB, ETM
8.000%, 07/01/08 495 557
Odessa, Housing Authority, Multi-
Family Mortgage, Section 8 Assist
Project, Series A, RB, HUD Section 8
5.875%, 10/01/03 810 799
Odessa, Housing Authority, Multi-
Family Mortgage, Section 8 Assist
Project, Series B, RB
5.875%, 10/01/03 1,575 1,553
6.375%, 10/01/11 2,735 2,626
Odessa, Single Family Mortgage,
Series A, RB, FNMA
8.450%, 11/01/11 312 325
Panhandle Plains, Higher Education
Authority, Series D, RB Guaranteed
Student Loans, AMT
5.100%, 09/01/03 245 244
5.250%, 03/01/05 215 213
Panhandle, Housing Finance
Corporation, Single Family
Mortgage, Series A, RB, AMT,
GNMA
7.500%, 05/01/24 440 460
Port Houston Authority, RB
5.750%, 05/01/02 345 353
South Plains, Regional Housing
Authority, Section 8 Assistance
Project, Series A, RB, HUD
6.000%, 08/01/00 65 66
South Plains, Regional Housing
Authority, Section 8 Assistance
Project, Series A, RB, HUD
6.500%, 08/01/05 325 330
6.900%, 08/01/09 500 509
Southeast Hospital Financing Agency,
Memorial Hospital System Project,
RB, ETM
8.500%, 12/01/08 380 445
Southeast Hospital Financing Agency,
Memorial Hospital System Project,
RB, ETM
7.500%, 12/01/09 1,030 1,148
Texarkana, Housing Finance
Corporation, Summerhill,
Series A, RB, GNMA
5.550%, 01/20/07 230 229
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Thomason, Health Facilities
Development Corporation,
El Paso County Hospital District,
GO, MBIA
7.200%, 08/15/98 $ 25 $ 25
Travis County, Housing Finance,
Series 1996, RB, AMT, FSA
5.700%, 06/01/06 955 955
--------
20,675
--------
UTAH -- 1.7%
Brigham City, Special Assessment
Bond, District Number 22
9.000%, 08/01/04 270 290
Hilldale, Electric Bonds, GO, AMT
7.500%, 12/15/03 455 484
Salt Lake City, Industrial
Development, Hermes Association
Project, RB, (LOC)
5.900%, 09/01/97 295 296
5.900%, 09/01/99 200 205
State Finance Agency, Single Family
Mortgage, Issue F-1, RB, AMBAC
5.850%, 07/01/07 985 1,012
State Housing Finance Agency, Single
Family Mortgage, Series B-2, RB,
FHA, AMT
7.600%, 01/01/22 255 266
State Municipal Finance Corporation,
Local Government, RB
7.300%, 12/01/03 500 516
State School District Finance
Cooperative, Financing Pool,
RB, (LOC) (B)
8.375%, 02/15/01 535 558
Weber County, Municipal Building
Authority, Series 1994, RB,
Asset Guaranty
6.750%, 12/15/04 1,275 1,382
--------
5,009
--------
VIRGINIA -- 2.2%
Alexandria, Redevelopment &
Housing Authority, Multi-Family
Housing, United Dominion-
Parkwood Court, RB, AMT (B)
6.625%, 05/01/24 2,990 3,087
King George County, Industrial
Development Authority, King
George County Elementary
School Notes, Series A, RB
4.875%, 08/01/98 305 304
25
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Loudon County, Industrial
Development Authority, RB, AMT
6.000%, 01/01/04 $1,000 $ 1,005
Newport News, Industrial
Development Authority,
Mennonwood Communities,
Series 1996, RB, GNMA
7.250%, 08/01/16 1,185 1,253
State Housing Development
Authority, Multi-Family Housing,
Series D, RB
6.800%, 11/01/09 800 850
--------
6,499
--------
WASHINGTON -- 2.9%
King County, Housing Authority,
Multi-Family Mortgages, Section 8
Assisted Housing, Series A, RB
7.000%, 08/01/03 750 797
King County, Housing Authority,
Elderly Housing, Section 8
Assisted, RB
7.000%, 08/01/03 225 234
Seattle, Low Income Housing
Assistance Authority, Kin On
Project, Series A, RB, GNMA
7.400%, 11/20/36 1,500 1,641
State Health Care Facilities
Authority, Sisters of Providence,
Pre-refunded @ 102, RB (E)
7.875%, 10/01/99 980 1,066
State Housing Finance Commission,
Series A, RB, FNMA
7.000%, 07/01/99 170 173
State Housing Finance Commission,
Series B, RB, GNMA, FNMA
6.900%, 07/01/16 4,345 4,530
--------
8,441
--------
WEST VIRGINIA -- 1.4%
Beckley, Nursing Facility, Beckley
Health Corp, RB (LOC)
5.550%, 09/01/08 245 241
5.700%, 09/01/09 205 202
Harrison County, Single Family
Mortgage, Series B, AMBAC (A)
0.000%, 10/20/10 2,822 1,094
Marshall County, Capital
Appreciation, RB, MBIA (A)
0.000%, 05/01/14 3,000 840
Mason County, First Mortgage,
Point Pleasant Haven, RB (LOC)
6.200%, 12/01/05 850 877
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Mercer County, Single Family
Housing Authority, RB, ETM
7.250%, 08/01/10 $ 115 $ 126
Raleigh, Fayette & Nicholas
Counties, Single Family Mortgage,
Series B, AMBAC (A)
0.000%, 06/20/10 2,167 802
--------
4,182
--------
WISCONSIN -- 1.9%
Oshkosh, Hospital Facilities Authority,
Mercy Medical Center,
Pre-refunded @ 100, RB (E)
7.375%, 07/01/07 95 104
State Health & Education Facilities
Authority, Viterbo College Project,
RB (LOC)
5.250%, 02/01/04 115 113
5.400%, 02/01/05 100 98
5.750%, 02/01/12 525 503
6.000%, 02/01/17 540 518
State Health & Education Facilities
Authority, Sisters of Sorrowful
Mother, RB, MBIA
5.100%, 08/15/07 1,135 1,114
5.200%, 08/15/08 1,670 1,637
5.300%, 08/15/09 1,185 1,160
Whitewater, Waterworks System, RB
7.500%, 07/01/16 250 278
--------
5,525
--------
WYOMING -- 0.4%
City of Cheyenne, Federal Mineral
Royalty, Second Lien, RB
6.200%, 06/01/09 1,000 1,026
--------
Total Municipal Bonds
(Cost $278,843) 282,254
--------
TAX-EXEMPT ASSET-BACKED SECURITIES -- 1.5%
Bridlewood Village Apartments,
Class A Participation Certificate,
FHA 221
5.600%, 09/01/21 1,881 1,882
FHA Insured Trust, Series 1996-1,
Class A-2, Private Placement
6.750%, 02/01/13 606 605
FHA Insured Trust, Series 1996-1,
Class A-2, Private Placement
7.000%, 02/01/22 1,713 1,709
--------
Total Tax-Exempt Asset-Backed Securities
(Cost $4,202) 4,196
--------
26
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
Total Investments -- 98.8%
(Cost $283,045) $286,450
--------
OTHER ASSETS AND LIABILITIES -- 1.2%
Investment securities purchased (12,078)
Investment securities sold 11,964
Interest receivable 4,184
Investment advisory fee payable (87)
Administration fee payable (25)
Other assets and liabilities (399)
--------
Total Other Assets and Liabilities, Net 3,559
--------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization -- $.001 par
value) based on 26,782,742 outstanding
shares of beneficial interest 287,066
Accumulated net realized loss
on investments (486)
Net unrealized appreciation on investments 3,405
Undistributed net investment income 24
--------
Total Net Assets-- 100.0% $290,009
========
Net Asset Value, Offering and Redemption
Price Per Share-- Institutional Shares $ 10.83
========
(A) ZERO COUPON BOND
(B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
(C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS SHOWN AS THE
MATURITY DATE ON THE STATEMENT OF NET ASSETS.
(D) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON APRIL 30, 1997.
(E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
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 STATEMENT OF NET ASSETS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
ASSET GUARANTY ASSET GUARANTY
AXA AXA REINSURANCE
FGIC FINANCIAL GUARANTY INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSISTANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GTD GUARANTEED STUDENT LOANS
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
HUD HOUSING & URBAN DEVELOPMENT
IRBA IRBA GUARANTY
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
VA VETERANS ADMINISTRATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
FIXED INCOME FUND
CORPORATE OBLIGATIONS -- 17.5%
American United Life
Insurance, 144A
7.750%, 03/30/26 $ 9,050 $ 8,383
Bank of New York, 144A (D)
7.780%, 12/01/26 4,360 4,126
Bankamerica Institutional-B, 144A
7.700%, 12/31/26 8,800 8,305
BFC Finance, GSA Lease
7.375%, 12/01/17 7,975 7,666
Chrysler
7.450%, 02/01/97 1,325 1,259
Constitution Capital, 144A
9.150%, 04/15/27 720 728
Executive Risk Capital Trust, 144A
8.675%, 02/01/27 6,000 5,926
General Motors Acceptance
7.125%, 05/01/01 18,000 18,090
Great Atlantic & Pacific Tea, 144A
7.750%, 04/15/07 7,850 7,860
Hong Kong Shanghai
Bank America, 144A
7.808%, 12/15/26 6,300 5,890
Jackson National Life
Insurance, 144A
8.150%, 03/15/27 13,000 12,883
Lehman Brothers
8.750%, 03/15/05 5,800 6,213
11.625%, 05/15/05 4,735 5,865
7.500%, 08/01/26 8,665 8,730
Metropolitan Life Insurance, 144A
7.700%, 11/01/15 4,330 4,227
Nationsbank Capital Trust II
7.830%, 12/15/26 11,000 10,587
Ohio National Life Insurance, 144A
8.500%, 05/15/26 4,000 4,052
Paine Webber
6.750%, 02/01/06 10,400 9,906
Prudential Funding
6.750%, 09/15/23 2,000 1,688
Union Central Life
Insurance, 144A
8.200%, 11/01/26 10,790 10,345
27
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Vesta Insurance Group
8.750%, 07/15/25 $ 7,960 $ 8,368
--------
Total Corporate Obligations
(Cost $152,436) 151,097
--------
ASSET-BACKED SECURITIY -- 0.7%
Chemical Master Credit Card
Trust 1, Series 1996-3A
7.090%, 02/15/09 6,135 6,162
--------
Total Asset-Backed Security
(Cost $6,300) 6,162
--------
MORTGAGE-BACKED OBLIGATIONS -- 15.9%
Access Financial Manufactured
Housing Contract Trust,
Series 1995-1, Class A3
7.300%, 11/15/26 300 303
Access Financial Manufactured
Housing Contract Trust,
Series 1996-1, Class A4
7.100%, 05/15/21 660 644
Associates Manufactured Housing,
Series 1996-1, Class A5
7.300%, 03/15/27 1,300 1,315
Associates Manufactured Housing,
Series 1996-1, Class A4
7.600%, 06/15/27 4,200 4,277
BankAmerica Manufactured
Housing Contract,
Series 1996-1, Class A4
7.300%, 10/10/26 14,068 14,267
Chase Mortgage Finance,
Series 1994-B, Class A1
6.750%, 02/25/25 323 318
Chase Mortgage Finance,
Series 1994-G, Class A3
6.750%, 04/25/25 8,796 8,783
Countrywide Mortgage
Backed Securities,
Series 1994-C, Class A8
6.500%, 03/25/24 1,265 1,077
First Boston Mortgage Securities,
REMIC, Series 1992-4, Class A4
7.500%, 10/25/22 2,400 2,412
General Electric Capital Mortgage
Services, Series 1993-14, Class A7
6.500%, 11/25/23 1,275 1,096
General Electric Capital Mortgage
Services, Series 1994-18, Class A2
7.000%, 08/25/24 564 564
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Green Tree Financial,
Series 1996-2, Class A4
7.200%, 04/15/27 $7,000 $6,892
Green Tree Financial,
Series 1996-2, Class B1
7.550%, 04/15/27 7,100 7,056
Green Tree Financial,
Series 1996-8, Class A6
7.600%, 09/25/26 3,900 3,863
Green Tree Financial,
Series 1994-6, Class A5
8.250%, 01/15/20 5,000 5,235
Green Tree Financial,
Series 1996-4, Class A6
7.400%, 06/15/27 3,150 3,128
Green Tree Financial,
Series 1996-5, Class A5
7.450%, 07/15/27 450 452
J.P. Morgan Commercial Mortgage
Finance, Series 1996-C2, Class A
6.470%, 11/25/27 255 248
Merrill Lynch Mortgage Investors,
Series 1991-1, Class A
7.650%, 01/15/12 1,674 1,689
Merrill Lynch Mortgage Investors,
Series 1995-C1, Class A, 144A,
ERISA Adjustable Rate (D)
7.037%, 05/25/15 8,137 8,122
Merrill Lynch Mortgage Investors,
Series 1996 C1, Class A1
7.150%, 04/25/28 9,901 9,951
Merrill Lynch World Financial
Center Tower D, 144A
6.950%, 09/01/13 5,000 4,839
Midland Realty Acceptance,
Series 1996-C1, Class A1
7.315%, 04/25/03 6,400 6,393
Norwest Asset Securitization,
Series 1996-2, Class A6
7.000%, 09/15/11 9,000 8,990
Oakwood Mortgage Investors,
Series 1996-B, Class A3
7.100%, 10/15/26 3,350 3,337
Oakwood Mortgage Investors,
Series 1996-B, Class A4
7.350%, 10/15/26 5,400 5,383
Prudential Home Mortgage,
Series 1993-1, Class A1
7.500%, 02/25/23 4,895 4,902
Prudential Home Mortgage,
Series 1993-61, Class A1
6.500%, 12/25/08 1,738 1,738
28
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Prudential Home Mortgage,
Series 1994-12, Class A7
6.050%, 04/25/24 $ 3,999 $ 3,255
Prudential Home Mortgage,
Series 1994-17, Class A5
6.250%, 04/25/24 5,700 4,908
Structured Asset Securities,
Series 1996-CFL, Class A1C
5.944%, 02/25/28 1,100 1,065
Vanderbilt Mortgage Finance,
Series 1994-A, Class A1
7.000%, 07/10/19 1,080 1,081
Vendee Mortgage Trust,
Series 1995-3, Class 1B
7.250%, 10/15/10 10,000 10,002
--------
Total Mortgage-Backed Obligations
(Cost $137,305) 137,585
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 26.7%
Drexel Burnham Lambert Trust,
Series T, Class 3
8.450%, 01/20/19 2,301 2,342
Federal Home Loan Bank (D)
6.177%, 02/15/02 31,865 31,540
Federal Home Loan Mortgage
Corporation, REMIC,
Pool # 1462, Class PT
7.500%, 01/15/03 5,000 5,044
Federal Home Loan Mortgage
Corporation, REMIC,
Pool # 1650, Class D
5.400%, 04/15/24 2,000 1,973
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1275, Class VB
7.000%, 05/15/99 752 755
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1324, Class VD
7.000%, 06/15/05 825 818
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1513, Class AA
6.500%, 11/15/00 4,001 3,994
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1528, Class A
6.500%, 12/15/00 6,304 6,293
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1577, Class PG
5.500%, 03/15/21 1,900 1,807
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1640, Class V
6.500%, 12/15/98 $ 507 $ 507
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1667, Class PC
5.500%, 06/15/04 3,000 2,974
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1803, Class A
6.000%, 12/15/08 5,500 5,049
Federal Home Loan Mortgage
Corporation, REMIC,
Series 33, Class C
8.000%, 09/15/18 1,163 1,162
Federal Home Loan Mortgage
Corporation, REMIC,
Series 70, Class C
9.000%, 09/15/20 713 746
Federal Home Loan Mortgage
Corporation, Series 1604, Class G
5.750%, 01/15/08 500 478
Federal Home Loan Mortgage
Corporation, Series 1661, Class PG
6.000%, 03/15/08 250 241
Federal Home Loan Mortgage
Corporation, Series 304016
8.000%, 02/01/08 5,586 5,672
Federal Home Loan Mortgage
Corporation, Series 1411, Class G
6.500%, 07/15/18 4,500 4,447
Federal Home Loan Mortgage
Corporation, Series 1562, Class J
7.000%, 05/15/10 9,650 9,434
Federal Home Loan Mortgage
Corporation, Series 1622, Class G
6.250%, 11/15/22 10,017 8,806
Federal Home Loan Mortgage
Corporation, Series 1633, Class PE
5.750%, 10/15/17 1,500 1,467
Federal Home Loan Mortgage
Corporation, CMO,
Series 1996, Class KB
6.500%, 05/15/08 2,100 1,988
Federal National Mortgage
Association, Series 1994-34,
Class PD
5.500%, 10/25/04 1,000 989
Federal National Mortgage
Association, Series G-92,
Class 39Q
7.000%, 03/25/01 3,000 3,000
29
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Federal National Mortgage
Association, CMO,
Series 1997-32A, Class PB
6.400%, 01/01/00 $13,759 $13,591
Federal National Mortgage
Association, CMO,
Series 1997-13, Class CB
7.000%, 09/18/03 5,273 5,294
Federal National Mortgage
Association, CMO,
Series G93-31, Class G
7.000%, 01/25/03 3,940 3,948
Federal National Mortgage
Association, REMIC,
Series 1997-M2, Class B
7.350%, 02/17/08 20,800 21,018
Federal National Mortgage
Association, REMIC,
Series 1989-74, Class J
9.800%, 10/25/19 2,391 2,565
Federal National Mortgage
Association, REMIC,
Series 1989-79D
9.000%, 11/25/19 1,350 1,431
Federal National Mortgage
Association, REMIC,
Series 1991-137, Class E
8.050%, 01/25/20 1,556 1,564
Federal National Mortgage
Association, REMIC,
Series 1992-100, Class M
8.500%, 06/25/05 8,000 8,387
Federal National Mortgage
Association, REMIC,
Series 1992-43, Class E
7.500%, 04/25/22 3,420 3,345
Federal National Mortgage
Association, REMIC,
Series 1993-174, Class C
5.750%, 12/25/03 750 745
Federal National Mortgage
Association, REMIC,
Series 1993-174, Class EA
6.150%, 10/25/07 4,000 3,904
Federal National Mortgage
Association, REMIC,
Series 1993-192, Class E
5.950%, 11/25/07 1,000 968
Federal National Mortgage
Association, REMIC,
Series 1994-33, Class C
5.000%, 10/25/03 1,616 1,606
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Federal National Mortgage
Association, REMIC,
Series 1995-2, Class H
8.500%, 06/25/10 $18,200 $19,010
Federal National Mortgage
Association, REMIC,
Series 94-92, Class DE
7.500%, 07/25/07 6,267 6,329
Federal National Mortgage
Association, REMIC,
Series G92-22, Class Z
7.500%, 06/25/18 765 763
Federal National Mortgage
Association, REMIC,
Series G92-42, Class C
7.000%, 09/25/19 887 886
Federal National Mortgage
Association, REMIC,
Series X-19C, Class G
7.500%, 08/25/21 720 707
Federal National Mortgage
Association, Series
1994-28, Class O
6.500%, 06/25/24 3,600 3,184
Federal National Mortgage
Association, Series
1996-12, Class C
6.500%, 03/25/23 6,575 6,104
Federal National Mortgage
Association, Series
1996-23, Class D
6.500%, 10/25/23 2,650 2,460
Federal National Mortgage
Association, Series
X-225B, Class VB
5.050%, 10/25/04 110 110
Federal National Mortgage
Association (D)
6.922%, 03/13/02 10,785 10,693
Government National Mortgage
Association, Pool # 413221
8.250%, 05/15/10 1,878 1,955
Republic of Marshall
Islands, Private Placement
7.600%, 10/15/01 8,456 8,541
--------
Total U.S. Government Agency Obligations
(Cost $231,080) 230,634
--------
TAXABLE MUNICIPAL BONDS -- 15.9%
Allegheny County, Pennsylvania
Residential RB, FHA 223F (A)
0.000%, 08/01/28 10,000 888
30
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Allegheny County, Pennsylvania
Sanitation Authority, Series A,
RB, MBIA
6.600%, 06/01/97 $ 975 $ 975
Atlanta, Georgia Urban
Redevelopment Finance Authority,
Series 1994, FNMA (A)
0.000%, 10/01/16 21,000 4,489
Beaumont Properties, Michigan
Series B, Pre-refunded @ 101, RB
10.500%, 01/01/99 3,000 3,214
Belmont, California Redevelopment
Agency, Tax Allocation Bond, MBIA
7.550%, 08/01/11 895 868
California Desert Hospital
Corporation, Series A, RB
8.700%, 07/01/08 200 209
California HFA, AMBAC, RB
8.240%, 02/01/14 1,505 1,531
California State Housing Finance
Authority, Single Family Housing,
Series 1995, RB, AMBAC
7.900%, 08/01/07 8,460 8,629
Cameron County, Texas Housing
Finance Corporation,
Series A, RB, FGIC
10.450%, 09/01/11 945 1,054
Cameron County, Texas Housing
Finance Corporation, Series 1990A,
Class 1-B, RB, FGIC
10.210%, 09/01/10 1,788 1,861
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 1,178 1,262
Connecticut State Health and
Education, Nursing Home Program,
AHF/Hartford Project, RB
8.450%, 11/01/99 675 695
Connecticut State Health and
Education, Sheridan Woods
Center Project, RB
7.950%, 11/01/05 1,755 1,803
County of Monroe, New York
Nationwide Precision Products,
Series 1994B, RB (LOC)
6.150%, 12/01/04 1,895 1,895
Dauphin County, Pennsylvania General
Authority, Tressler Project, Series B,
Optional Put 09/01/97 @ 100, RB
7.000%, 09/01/10 1,320 1,318
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Delaware State Housing Authority,
Series B, RB, AMBAC
6.750%, 07/01/14 $ 955 $ 922
Desert Hospital Corporation,
Series A, RB
8.400%, 07/01/03 2,655 2,768
Dove Valley, Arapahoe County,
Colorado, GO (LOC)
6.000%, 11/01/20 700 700
Erie County, New York Industrial
Development Agency, Journeys
End Project, Series A, RB (LOC)
9.750%, 01/01/15 1,800 1,859
Harrisburg Resource Recovery
Authority, Series 1993 B, RB
6.875%, 09/01/03 515 489
Harrisburg Resource Recovery
Authority, Series 1993 B, RB, MGG
7.750%, 09/01/13 3,145 3,074
Harrisburg, Pennsylvania
Resource Recovery Authority,
Series 1993 B, RB
6.000%, 09/01/98 215 212
Harristown Development Special
Obligations, Private Placement,
RB, ETM
6.150%, 02/01/16 1,500 1,298
Hofstra University, RB, MBIA
7.700%, 07/01/15 3,895 3,895
Kanawha and Putnam Counties,
West Virginia, Charleston and
Huntington, AMBAC (A)
0.000%, 12/01/16 6,340 1,659
La Follete Properties,
Multi-family Housing,
Georgia Limited Partnership,
La Follete Garden Apartment,
Physical Bond
9.600%, 12/01/08 945 914
Lake Mills, Iowa, Lake Mills
Investors Ltd, First Mortgage Bonds,
Mercy Health Center, Series 1995,
RB, Private Placement
7.450%, 11/01/99 250 248
7.600%, 11/01/00 280 277
7.600%, 11/01/01 360 355
7.750%, 11/01/02 385 378
7.850%, 11/01/03 410 399
7.850%, 11/01/04 410 396
7.900%, 11/01/05 450 431
8.000%, 11/01/06 590 565
8.000%, 11/01/07 610 579
31
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Los Angeles County, California,
Fairplex, RB (LOC)
10.500%, 06/01/15 $ 400 $ 407
Manatee County, Florida,
Single Family Housing,
GNMA/FNMA
7.300%, 11/01/12 1,325 1,335
Massachusetts State Housing
Finance Agency, Series C, RB, FHA
10.900%, 08/01/20 2,605 2,682
Mayor and City Council of
Baltimore, Maryland Public
Improvement, 1995A
Series B, GO, FGIC
8.100%, 10/15/10 1,775 1,933
Mayor and City Council
of Baltimore, Public Improvement,
1995A Series B, GO, FGIC
8.700%, 10/15/15 1,875 2,086
Mississippi Home, Series
1993 B, Residual, RB (A)
0.000%, 12/01/08 135 55
Mississippi Home Residential,
Series 1993 B, RB (A)
0.000%, 12/01/12 9,000 2,790
Montgomery County, New York
Industrial Development Authority,
Central National Bank
Project, RB (LOC)
5.850%, 05/01/25 3,750 3,750
New Jersey State Economic
Development Authority,
State Contract, RB
7.100%, 09/15/02 2,500 2,463
New Orleans, Louisiana,
Single Family Mortgage Authority,
RB, Series A, MBIA (A)
0.000%, 10/01/15 6,975 1,465
New York City Industrial
Development Authority,
Civic Facility, Series B, RB, MBIA
8.100%, 09/01/06 1,860 2,000
New York City Mortgage Loan
Trust, 1996-A2, 144A
6.750%, 06/25/11 4,570 4,339
New York City Mortgage Loan
Trust, 1996-A3, 144A
6.750%, 09/25/19 9,250 8,524
New York City, Pre-Refunded
@ 103, GO (A) (E)
0.000%, 08/01/01 50 38
New York City, Pre-Refunded
@ 102, GO (E)
10.500%, 11/15/01 615 709
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
New York City, Pre-Refunded
@ 102, GO (A) (E)
0.000%, 11/15/01 $ 260 $ 193
New York State Housing Finance
Authority, Series 1996-C, RB, FHA
8.110%, 11/15/38 2,965 2,846
New York, New York, Series D,
Pre-Refunded @ 103, GO (E)
10.000%, 08/01/01 355 402
Ohio, Capital For Housing,
Georgetown Village Project,
Series 1996-C, RB, FHA,
7.625%, 07/01/22 1,250 1,222
Oklahoma City, Oklahoma Airport
Trust, Federal Aviation Authority,
Senior Lien, Series 16, RB
9.875%, 07/01/12 1,005 1,060
Oklahoma City, Oklahoma Airport
Trust, Federal Bureau Prisons
Project, RB
9.800%, 11/01/14 2,650 2,938
Oklahoma County, Oklahoma
Home Finance Authority, RB (A)
0.000%, 07/01/12 3,450 906
Palm Springs, California Desert
Hospital, RB
9.000%, 07/01/13 5,945 6,213
Panhandle, Texas, Regional Housing
Finance, Series 1996 (A)
0.000%, 10/01/11 1,460 484
Pima & Maricopa Counties,
Arizona Industrial Development
Authority, Multi-Family Housing,
Series 1993B, RB, FNMA
6.500%, 01/01/06 680 665
Plymouth County Massachusetts
Correctional Facility, Certificate
of Participation
10.400%, 04/01/22 5,100 5,655
Port Authority, Ninetieth Series, RB
5.950%, 10/01/02 700 667
Rhode Island Port Authority
Economic Development
Corporation, Central Falls
Detention Center, Series A, RB
8.200%, 01/15/08 1,175 1,225
San Francisco, California
Redevelopment Agency,
Series 1995B, RB, MBIA/FHA
7.500%, 07/01/24 3,860 3,817
Sand Creek, Idaho Limited
Partnership, Multi-Family
Housing, RB
8.250%, 12/01/18 3,600 3,330
32
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Southwestern Illinois, Development
Authority, Sports Facility
Project, RB, 144A
9.200%, 02/01/13 $ 4,000 $ 4,095
State Health and Education,
Sheridan Woods Center Project, RB
8.730%, 11/01/17 1,150 1,229
Tarrant County, Texas Housing
Finance Authority, Single Family
Mortgage, Series 1993, RB, MBIA
6.650%, 07/15/16 550 547
Texas State Department of Housing
& Community Affairs, Single Family
Mortgage, Series 1994B, RB
9.500%, 03/01/16 11,960 12,304
Texas State Department of Housing
& Community Affairs, NHP
Foundation, Asmara Project,
Series B, RB,
6.400%, 11/01/99 100 100
Utah State Housing Authority,
Series D-1, RB
9.850%, 07/01/10 230 243
York Pennsylvania, Series A,
GO, FGIC
6.250%, 02/01/05 1,000 946
--------
Total Taxable Municipal Bonds
(Cost $136,861) 137,991
--------
U.S. TREASURY OBLIGATIONS -- 19.3%
U.S. Treasury Notes
6.125%, 08/31/98 31,400 31,402
6.250%, 04/30/01 64,360 63,756
7.250%, 08/15/04 68,835 71,056
U.S. Treasury Bond
6.750%, 08/15/26 600 580
--------
Total U.S. Treasury Obligations
(Cost $167,730) 166,794
--------
REPURCHASE AGREEMENT -- 3.0%
J.P. Morgan Securities
5.43%, dated 04/30/97, matures
05/01/97, repurchase price
$25,754,389 (collateralized by
U.S. Treasury Note, par value
$25,507,000, 6.375%, due 05/15/99,
market value $26,266,431) 25,751 25,751
--------
Total Repurchase Agreement
(Cost $25,751) 25,751
--------
CASH EQUIVALENT -- 0.0%
SEI Daily Income Trust
Government II Fund 15 15
--------
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
Total Cash Equivalent
(Cost $15) $ 15
--------
Total Investments -- 99.0%
(Cost $857,478) 856,029
--------
OTHER ASSETS AND LIABILITIES -- 1.0%
Investment securities purchased (18,971)
Investment securities sold 18,651
Interest receivable 9,456
Investment advisory fee payable (279)
Administration fee payable (74)
Other assets and liabilities (357)
--------
Total Other Assets and Liabilities, Net 8,426
--------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization --
$.001 par value) based on 83,150,744
outstanding shares of beneficial interest 861,343
Undistributed net investment income 471
Accumulated net realized gain
on investments 4,090
Net unrealized depreciation on investments (1,449)
--------
Total Net Assets-- 100.0% $864,455
========
Net Asset Value, Offering and Redemption
Price Per Share--Institutional Shares $ 10.40
========
(A) ZERO COUPON BOND
(B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
(C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS SHOWN AS THE
MATURITY DATE ON THE STATEMENT OF NET ASSETS.
(D) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON APRIL 30, 1997.
(E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
CMO COLLATERALIZED MORTGAGE OBLIGATION.
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
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE STATEMENT OF NET ASSETS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
ASSET GUARANTY ASSET GUARANTY
FGIC FINANCIAL GUARANTY INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
33
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
SHORT-TERM
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 96.6%
ARIZONA -- 0.5%
Maricopa County, Hospital
Revenue Authority, RB, ETM
7.125%, 10/01/02 $ 65 $ 69
--------
ARKANSAS -- 3.3%
City of Rogers, Sales and Use Tax,
Series 1996, RB
5.000%, 11/01/15 450 447
--------
CALIFORNIA -- 0.9%
Los Angeles, Housing
Redevelopment Agency,
Monterey Hills Redevelopment
Project B, RB
5.500%, 12/01/05 120 121
--------
COLORADO -- 4.9%
El Paso County, Capital Appreciation,
Series C, RB, AMT (A)
0.000%, 07/10/14 1,000 275
Housing Finance Authority,
Single Family Program,
Series E, RB, AMT
6.250%, 12/01/09 80 80
Logan County, Single Family
Mortgage, Series A, RB
8.500%, 11/01/11 290 298
--------
653
--------
CONNECTICUT -- 0.4%
State Resource
Recovery, Series A, RB
7.625%, 01/01/09 55 57
--------
DELAWARE -- 4.9%
Dover, Water & Sewer, Series A,
RB, MBIA
6.900%, 07/01/97 25 25
Dover, Water & Sewer, Series B,
RB, MBIA
7.200%, 07/01/01 20 20
State Economic Development
Authority, Wilmington
Friends School, RB
6.300%, 07/01/97 45 45
6.300%, 07/01/98 45 45
6.300%, 07/01/99 50 51
Sussex County, Economic
Development, Gateway Partnership
VI Project A, RB (LOC)
7.850%, 12/01/16 490 490
--------
676
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
DISTRICT OF COLUMBIA -- 1.0%
Housing Finance Agency Single
Family Housing, Series E-2, RB,
GNMA, AMT
7.100%, 12/01/98 $130 $ 133
--------
FLORIDA -- 4.0%
Dade County, Florida, GO
6.600%, 06/01/00 250 254
Dade County, Florida, Pre-refunded
@ 103, RB, AMBAC (E)
9.750%, 02/01/00 265 297
--------
551
--------
IDAHO -- 2.0%
Idaho State Housing Agency,
Series C1, RB
7.650%, 07/01/10 265 278
--------
ILLINOIS -- 1.4%
Addison, Alton, Pekin, Granite City,
Series 1989-B, FSA
7.580%, 11/01/09 110 111
Macomb, Elderly Housing RB, HUD
7.250%, 09/01/98 35 36
State Health Facility Authority,
Pre-refunded @ 100, RB (E)
6.600%, 08/01/01 40 42
--------
189
--------
INDIANA -- 2.4%
Reid Memorial Hospital, RB, ETM
6.250%, 05/01/00 130 134
State Health Facility Authority,
Pre-refunded @ 102, RB (E)
9.250%, 10/01/97 50 52
State Toll Road, Pre-refunded
@ 100, RB (E)
10.000%, 01/01/98 135 140
--------
326
--------
IOWA -- 0.1%
Clinton, Industrial Development, RB
5.500%, 08/01/98 15 15
--------
KANSAS -- 0.7%
Saline County, Single Family Mortgage,
Series A, RB
9.500%, 10/01/11 85 90
--------
KENTUCKY -- 0.2%
McCracken County Hospital, RB, ETM
8.250%, 03/01/99 25 26
--------
34
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MASSACHUSETTS -- 1.3%
State Housing Finance Agency,
Single Family, Series 8, RB
7.000%, 06/01/99 $180 $ 185
--------
MICHIGAN -- 1.2%
Kalamazoo, Hospital Finance
Authority, RB, ETM
7.000%, 07/01/01 85 89
State Building Authority, Series 2,
ETM, RB, MBIA
7.400%, 04/01/01 75 79
--------
168
--------
MINNESOTA -- 0.3%
St. Paul Port Authority Energy Park,
Pre-refunded @ 102, RB (E)
8.000%, 12/01/98 40 43
--------
MISSOURI -- 0.5%
St. Louis County, Single Family,
RB, AMBAC
9.250%, 10/01/16 60 63
--------
NEVADA -- 0.8%
Reno, Saint Mary's Hospital,
Series C, Pre-refunded
@ 102, RB, BIGI (E)
7.750%, 01/01/00 25 27
State Housing Division Multi Unit
Housing, AMT, RB, FNMA
6.450%, 10/01/04 35 36
State Housing Division Multi-Unit
Housing, AMT, RB, FNMA
5.700%, 10/01/97 50 50
--------
113
--------
NEW HAMPSHIRE -- 2.2%
State Housing Finance Authority,
Single Family, Exchangeable Yearly,
RB, AMT (LOC)
6.125%, 01/01/18 295 295
--------
NEW JERSEY -- 2.8%
Mercer County, State Justice
Complex, RB, ETM
6.000%, 01/01/99 95 97
State Turnpike Authority, RB, ETM
10.375%, 01/01/03 250 294
--------
391
--------
NEW MEXICO -- 4.5%
Albuquerque, Class B-1, FSA
7.650%, 08/15/07 171 179
Albuquerque, Class B-2, FGIC (A)
0.000%, 05/15/11 934 333
Sandoval County, Gross Receipts
Tax Revenue, RB, Intel
6.000%, 11/01/98 105 108
--------
620
--------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
NEW YORK -- 0.9%
New York City, Pre-refunded
@ 101.50, GO (E)
7.125%, 12/01/97 $ 25 $ 26
State Housing Finance
Agency, RB, ETM
7.375%, 11/01/98 75 77
State Medical Care Facility, Finance
Agency, Hospital & Nursing
Home, RB, FHA
6.700%, 08/15/01 15 15
--------
118
--------
NORTH CAROLINA -- 0.7%
Rockingham County, GO
7.200%, 02/01/99 100 101
--------
OHIO -- 8.7%
Barberton, Hospital
Improvement RB, ETM
6.500%, 07/15/00 85 88
Clermont County, Hospital
Facilities, RB, ETM
7.375%, 06/01/99 35 36
Housing Finance Agency,
Single Family, Adjustable
Rate, RB, BIGI (D)
5.750%, 04/01/16 305 306
Housing Finance Authority, Single
Family Mortgage, Series A,
RB, GNMA, AMT
8.400%, 02/01/20 675 702
Miami County, Upper Valley
Medical Center, Pre-refunded
5/1/97 @ 102, RB, BIGI (E)
8.250%, 05/01/97 20 20
Montgomery County, Miami Valley
Hospital Society, RB, ETM
10.125%, 01/01/00 35 37
--------
1,189
--------
OKLAHOMA -- 2.2%
State Housing Finance Agency,
Single Family, Class A, RB,
AMT, GNMA
7.997%, 08/01/18 35 36
State Industrial Authority, Baptist
Medical Center, RB, ETM
7.000%, 07/01/03 60 63
Tulsa, Airport Improvement,
ETM, FGIC
6.200%, 06/01/00 200 205
--------
304
--------
35
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
SHORT-TERM
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
OREGON -- 0.7%
State GO, AMT
7.100%, 01/01/02 $100 $ 101
--------
PENNSYLVANIA -- 19.6%
Allegheny County, Hospital
Development Authority,
St. Margaret Memorial Hospital,
Project A, RB
9.800%, 07/01/10 395 399
Beaver County, Hospital Authority,
St. Francis Hospital, RB, ETM
7.750%, 07/15/01 130 138
Beaver County, Housing Authority,
RB, MBIA
7.875%, 07/01/99 345 345
Chartiers Valley Industrial
Development Authority,
Mandatory Put @ 100, RB (LOC) (B)
5.625%, 12/01/97 30 30
Chester County, Health & Education
Authority, Series 1996 B, RB (LOC)
4.900%, 08/01/25 300 302
Chester County, Hospital Authority,
RB, ETM
7.500%, 07/01/09 10 11
Dauphin County, Hospital Authority,
RB, MBIA
5.000%, 07/01/97 40 40
Delaware County, Industrial
Development Authority, Resource
Recovery, Series A, RB (LOC)
7.900%, 12/01/05 10 10
Delaware County, White Horse
Village Project, RB, ETM
9.000%, 07/01/99 145 153
East Pennsboro, GO, ETM
6.000%, 03/01/02 50 51
Erie County, Hospital Authority
Health Center Facility, Manchester
Presbyterian Project, RB (LOC)
7.500%, 09/15/06 50 51
Harrisburg, GO, ETM, MBIA
9.750%, 04/15/99 15 16
Montgomery County Higher
Education, RB, ETM
8.000%, 07/01/98 20 21
Philadelphia Industrial
Development Authority,
Huff Paper Project, AMT
6.100%, 12/15/97 40 40
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Philadelphia, St. Agnes Hospital,
RB, ETM
6.750%, 08/15/01 $175 $ 180
Sayre Boro Hospital Authority,
RB, ETM, AMBAC
6.900%, 11/01/02 25 26
State Highway, GO
5.000%, 07/01/98 45 45
State Housing Finance Agency,
Single Family Mortgage,
Ser 1992-33, RB
5.700%, 04/01/98 135 136
Pennsylvania State, GO
6.650%, 05/15/98 115 115
5.000%, 07/01/98 5 5
Uniontown Area School
Authority, RB, ETM
6.300%, 10/01/02 40 41
Valley View, Pennsylvania School
Building Authority, RB, ETM
6.050%, 02/01/02 15 15
Wayne Pike, Joint School Authority,
RB, ETM, MBIA
6.000%, 12/01/07 520 530
--------
2,700
--------
SOUTH CAROLINA -- 0.6%
Charleston Waterworks & Sewer,
RB, ETM
10.125%, 01/01/02 70 79
--------
TENNESSEE -- 5.4%
Bristol Industrial Development, RB
4.200%, 03/01/98 70 70
Mount Pleasant Industrial
Development Board, RB, ETM
7.375%, 03/01/00 95 99
Shelby County Health Educational
and Housing Facility, RB, Asset Gty
6.000%, 10/01/02 550 565
--------
734
--------
TEXAS -- 11.7%
Bell County, Health Facility
Development Corporation, Sunlife
RB, Mandatory Put @ 100 (B)
4.750%, 10/01/98 100 100
Harris County, Fresh Water Supply,
RB, MBIA
6.900%, 03/01/99 100 101
Houston, Texas, Housing Finance
Corporation, 1996-A1, RB
8.000%, 06/01/14 600 646
36
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
North Central, Health Facility
Development Corporation,
Young Memorial Project, RB
5.000%, 02/15/98 $ 360 $ 360
South Plains, Regional Housing
Authority, Section 8 Assistance
Project, Series A, HUD
Section 8, RB
6.000%, 08/01/00 145 146
Southeast Texas, Housing
Finance Residual Revenue,
Series B, RB (A)
0.000%, 12/01/16 1,100 254
--------
1,607
--------
WASHINGTON -- 0.2%
Clark County, Public Utility
District 001, RB, ETM
10.250%, 01/01/99 25 26
--------
WEST VIRGINIA -- 0.3%
State Board of Regents, RB,
MBIA, ETM
6.000%, 04/01/04 45 46
--------
WISCONSIN -- 3.8%
State Health Facilities
Authority, RB, MBIA
9.125%, 07/01/05 325 328
State Housing & Economic
Development Authority,
Series B, RB, AMT
6.625%, 09/01/20 200 200
--------
528
--------
WYOMING -- 1.5%
Unita County School District #1,
GO, Asset Gty
3.900%, 06/01/97 205 205
--------
Total Municipal Bonds
(Cost $13,216) 13,247
--------
CASH EQUIVALENTS -- 0.1%
SEI Institutional Tax Free Portfolio 11 11
--------
Total Cash Equivalents
(Cost $11) 11
--------
Total Investments -- 96.7%
(Cost $13,227) 13,258
--------
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- 3.3%
Interest receivable $ 266
Administration fee payable (5)
Receivable due from advisor 2
Other assets and liabilities 191
-------
Other Assets and Liabilities, Net 454
-------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization --
$.001 par value) based on 1,353,599
outstanding shares of beneficial interest 13,675
Accumulated net realized gain on investments 6
Net unrealized appreciation on investments 31
-------
Total Net Assets-- 100.0% $13,712
=======
Net Asset Value, Offering and Redemption
Price Per Share--Institutional Shares $ 10.13
=======
(A) ZERO COUPON BOND
(B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
(C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS SHOWN AS THE
MATURITY DATE ON THE STATEMENT OF NET ASSETS.
(D) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON APRIL 30, 1997.
(E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
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 STATEMENT OF NETASSETS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
ASSET GUARANTY ASSET GUARANTY
AXA AXA REINSURANCE
BIGI BOND INVESTORS GUARANTY INSURANCE COMPANY
FGIC FINANCIAL GUARANTY INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSURANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING & URBAN DEVELOPMENT
INTEL INTEL GUARANTY
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
37
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
SHORT-TERM
FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 0.5%
Ford Credit Auto Lease Trust,
Series 1995-1, Class A2
6.350%, 10/15/98 $ 56 $ 57
Premier Auto Trust,
Tranche 1993-5, Class A2
4.220%, 03/02/99 21 21
--------
Total Asset-Backed Securities
(Cost $79) 78
--------
MORTGAGE-BACKED OBLIGATIONS -- 1.1%
General Electric Capital Mortgage
Services, Series 1994-18, Class A2
7.000%, 08/25/24 75 75
Green Tree Financial Corporation,
Series 1994-1, Class A1
5.600%, 04/15/19 5 5
Merrill Lynch Mortgage Investors,
Series 1993A, Class A2
6.100%, 02/15/20 32 32
Security Pacific Home Equity Loan,
Series1991-2, Class A
8.100%, 06/15/20 2 3
Vanderbilt Mortgage Finance,
Series 1994-A, Class A1
7.000%, 07/10/19 45 45
--------
Total Mortgage-Backed Obligations
(Cost $160) 160
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 21.6%
Federal Home Loan Bank,
Variable Inflation Linked (B)
6.177%, 02/15/02 305 302
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1094, Class J
7.000%, 11/15/19 368 369
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1133, Class G
7.000%, 02/15/20 100 100
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1215, Class E
6.750%, 02/15/04 26 27
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1296, Class G (B)
5.209%, 07/15/99 712 701
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1306, Class G
7.800%, 05/15/12 $ 28 $ 29
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1452, Class G
6.500%, 08/15/07 15 15
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1464, Class BC
6.100%, 04/15/14 224 224
Federal National Mortgage
Association, REMIC,
Series 1988-17, Class B
9.400%, 10/25/17 494 505
Federal National Mortgage
Association, REMIC,
Series 1989-85, Class D
7.600%, 05/25/18 16 16
Federal National Mortgage
Association, REMIC,
Series 1991-137, Class E
8.050%, 01/25/20 19 20
Federal National Mortgage
Association, REMIC,
Series 1991-165, Class H
7.500%, 04/25/20 19 20
Federal National Mortgage
Association, REMIC,
Series 1992-131, Class EA
6.500%, 03/25/17 24 25
Federal National Mortgage
Association, REMIC,
Series 1992-35, Class BA
4.000%, 01/25/18 127 126
Federal National Mortgage
Association, REMIC,
Series 1992-37, Class PC
6.000%, 03/25/15 29 29
Federal National Mortgage
Association, REMIC,
Series 1992-42, Class C
7.000%, 09/25/19 9 9
Federal National Mortgage
Association, REMIC,
Series 1993-194, Class PE
5.350%, 09/25/02 500 495
Federal National Mortgage
Association, Variable Inflation
Linked (B)
6.922%, 03/13/02 95 94
--------
Total U.S. Government Agency Obligations
(Cost $3,113) 3,106
--------
38
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
TAXABLE MUNICIPAL BONDS -- 41.5%
5th Ave Housing, Indiana
Development RB, FNMA
8.100%, 01/01/03 $ 35 $ 35
Baltimore County, Maryland,
Mortgage RB, GNMA
7.000%, 01/20/00 30 30
Bell County, Texas, RB Weekly
Floater (LOC) (B)
6.300%, 04/30/97 350 350
Bryon, Texas Higher Education
Authority, Allen Academy,
Series B, RB
6.500%, 12/01/99 50 50
City of Morgantown, Kentucky RB,
Weekly Floater (LOC) (B)
6.300%, 04/30/97 200 200
Dauphin County, General Authority,
Tressler Project, Series B, RB,
Optional Put 09/01/97 @ 100
7.000%, 09/01/10 260 260
Dove Valley, Arapahoe County,
Colorado GO Mandatory Put
@ 100 (LOC) (A)
6.000%, 11/01/97 300 300
Fairfax County, Virginia,
Redevelopment and Housing
Authority Bond, GNMA
7.875%, 09/20/99 105 107
Florida HFA, Windwood Oaks,
Series R-2, RB, AXA
6.000%, 12/01/97 25 25
Florida HFA, Windwood Oaks,
Series S-2, RB, AXA
6.650%, 06/01/01 200 197
Fresno, California Housing,
RB, GNMA
7.250%, 11/20/02 355 357
Fresno, California Housing,
RB, GNMA (B) (LOC)
6.300%, 12/01/26 385 385
Greater Kentucky Housing
Assistance, RB, MBIA/FHA
6.500%, 07/01/00 500 498
6.500%, 01/01/01 285 284
6.500%, 07/01/02 230 229
Independence, Michigan Economic
Development, RB, FHA
6.750%, 08/01/99 100 100
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Indianola, Mississippi Housing
Development, Section 8 Eastover
Apartments, MBIA/FHA
6.600%, 01/01/99 $ 55 $ 55
Kansas City, Kansas Sewer,
RB, AMBAC
8.375%, 05/01/01 100 102
Kenton County, Kentucky,
RB, FHA
6.875%, 12/01/98 125 125
Lake Mills, Iowa Lake Mills Investors
Ltd, First Mortgage Bonds Mercy
Health Center, Series 1995
7.050%, 11/01/97 215 215
7.150%, 11/01/98 235 233
Massachusetts State Housing
Finance Agency, Series C, RB,
FHA, Pre-refunded @ 102 (C)
10.900%, 08/01/97 345 355
Moorhead, Mississippi Housing
Development, Section 8 Moorhead
Manor, Series A, RB, MBIA
6.600%, 07/01/98 30 30
6.600%, 07/01/99 35 35
Moorhead, Mississippi Housing
Development, Section 8 Moorhead
Manor, Series A, RB, MBIA/FHA
6.600%, 07/01/97 30 30
Nebraska Finance Authority,
Amberwood Apartments,
RB, FNMA
6.300%, 02/01/98 145 145
Passaic County, New Jersey
Waste Utility, RB, MBIA
6.250%, 09/03/97 246 246
Prince Georges County, Maryland
Housing RB, GNMA
5.750%, 10/20/98 35 35
Prince Georges County, Maryland
Housing, RB, GNMA
5.500%, 06/20/98 160 158
Rome, New York Housing
Development Section 8, Series B,
RB, MBIA/FHA
7.750%, 07/01/01 30 30
San Francisco, California
Redevelopment Agency,
Series 1995-C, RB, MBIA/FHA
6.375%, 01/01/00 90 89
39
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
SHORT-TERM
FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Shawnee, Kansas Housing,
Haverford West Apartments,
RB, FNMA
6.750%, 06/01/02 $ 125 $ 123
Texas State Department of Housing
& Community Affairs, RB
6.400%, 11/01/99 220 220
7.250%, 07/01/99 260 261
United Cerebral Palsy &
Handicapped Children
Association of Chemung
County New York, RB, FHA
6.750%, 02/01/99 70 70
--------
Total Taxable Municipal Bonds
(Cost $5,969) 5,964
--------
U.S. TREASURY OBLIGATIONS -- 28.5%
U.S. Treasury Bond
6.125%, 05/15/98 4,100 4,106
--------
Total U.S. Treasury Obligations
(Cost $4,101) 4,106
--------
CASH EQUIVALENTS -- 5.4%
SEI Daily Income Trust
Government II Fund 700 700
SEI Daily Income Trust
Treasury II Fund 74 74
--------
Total Cash Equivalents
(Cost $774) 774
--------
Total Investments -- 98.6%
(Cost $14,196) 14,188
--------
OTHER ASSETS AND LIABILITIES -- 1.4%
Interest receivable 248
Administration fee payable (5)
Receivable due from advisor 1
Other assets and liabilities (46)
--------
Other Assets and Liabilities, Net 198
--------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization --
$.001 par value) based on 1,441,961
outstanding shares of beneficial interest 14,414
Accumulated net realized loss on investments (20)
Net unrealized depreciation on investments (8)
--------
Total Net Assets-- 100.0% $ 14,386
========
Net Asset Value, Offering and Redemption
Price Per Share--Institutional Shares $ 9.98
========
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
GO GENERAL OBLIGATION
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED
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 STATEMENT OF NET ASSETS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
AXA AXA REINSURANCE
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HFA HOUSING FINANCE AUTHORITY
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
(A) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE MATURITY
DATE ON THE STATEMENT OF NET ASSETS.
(B) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT AS OF APRIL 30, 1997.
(C) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY DATE
ON THE STATEMENT OF NET ASSETS.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALLER COMPANIES
FUND
COMMON STOCKS -- 82.6%
AIR TRANSPORTATION -- 1.1%
ASA Holdings 1,250 $ 27
Midwest Express Holdings* 500 21
--------
48
--------
BUILDING & CONSTRUCTION SUPPLIES-- 2.1%
DR Horton 6,100 59
Miller Industries* 2,402 29
--------
88
--------
COMMUNICATIONS EQUIPMENT -- 2.1%
Checkpoint Systems* 5,270 72
Ultrak* 1,700 18
--------
90
--------
CONSUMER -- 15.6%
Allwaste* 3,700 33
American Medserve* 2,850 31
Coldwater Creek * 3,300 46
Damark International* 4,600 43
Delia's* 800 14
Dreyer's Grand Ice Cream 500 16
Factory Card Outlet 2,500 22
Filene's Basement* 2,200 13
Garden Ridge* 4,235 34
Genesco * 1,610 19
40
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Mohawk Industries* 2,700 $ 60
Regal Cinemas* 1,800 49
Robert Mondavi, Class A* 700 26
Rock Bottom Restaurants* 1,400 15
Service Merchandise* 7,400 19
Sonic* 2,900 38
Sports Authority* 3,375 60
Viking Office Products* 1,400 19
WestPoint Stevens* 2,800 110
--------
667
--------
CREDIT SENSITIVE -- 10.5%
Bank Plus* 2,800 28
Bank United, Class A 1,500 46
Credit Acceptance* 1,100 12
Dime Bancorp* 5,900 95
First Alliance* 600 12
Glendale Federal Savings Bank* 1,700 42
Lennar 3,700 99
Long Island Bancorp 1,000 34
Triangle Pacific* 3,050 83
--------
451
--------
ENERGY -- 12.7%
Benton Oil & Gas* 2,565 38
BJ Services* 1,400 66
Devon Energy 3,900 129
Lomak Petroleum 4,000 68
Marine Drilling Company* 3,600 57
Parker & Parsley Petroleum 1,900 63
Seagull Energy* 3,400 58
Tidewater 750 30
United Meridian* 1,300 37
--------
546
--------
ENTERTAINMENT -- 1.1%
Rio Hotel and Casino * 100 1
Royal Caribbean Cruises 1,400 45
--------
46
--------
ENVIRONMENTAL SERVICES -- 0.3%
Philip Environment* 900 14
--------
HEALTHCARE -- 0.8%
Gensia Pharmaceutical* 5,500 19
Parexel International* 500 14
--------
33
--------
HOUSEHOLD FURNITURE & FIXTURES -- 1.9%
Furniture Brands International* 5,600 83
--------
MANUFACTURING -- 0.8%
Health Payment Review* 2,400 34
--------
- -------------------------------------------------------------------------------
SHARES/ MARKET VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- -------------------------------------------------------------------------------
ROCESS INDUSTRIES -- 4.8%
Bowater 1,300 $ 56
NuCo2* 3,350 46
PH Glatfelter 4,100 64
Rayonier 1,000 40
--------
206
--------
SERVICE -- 11.0%
American Radio Systems* 2,245 66
Daisytek International* 700 19
Equity International* 2,200 47
Henry Schein* 2,600 72
Mail Boxes Etc.* 3,720 69
Paging Network* 2,500 17
Premiere Technologies* 3,365 80
US Freightways 3,300 89
Vanguard Cellular Systems, Class A* 1,000 10
--------
469
--------
TECHNOLOGY -- 17.8%
Analog Devices* 2,433 65
Camco International 1,000 44
Envoy* 2,700 56
Geoworks* 3,055 22
Micrel* 2,300 101
PCD * 5,000 74
PRI Automation* 1,770 91
Rational Software* 6,900 95
Siebel Systems* 4,000 73
Sierra Semiconductor* 7,200 122
Speedfam International* 745 18
--------
761
--------
Total Common Stocks
(Cost $3,416) 3,536
--------
COMMERCIAL PAPER -- 16.8%
Northern Trust
5.351%, 05/01/97 $ 721 721
--------
Total Commercial Paper
(Cost $721) 721
--------
Total Investments -- 99.4%
(Cost $4,137) 4,257
--------
OTHER ASSETS AND LIABILITIES -- 0.6%
Administration fee payable (5)
Receivable due from advisor 1
Other assets and liabilities 28
--------
Other Assets and Liabilities, Net 24
--------
41
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
SMALLER COMPANIES
FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization --
$.001 par value) based on 376,920
outstanding shares of beneficial interest $ 4,046
Undistributed net investment loss (15)
Accumulated net realized gain on investments 130
Net unrealized appreciation on investments 120
--------
Total Net Assets-- 100.0% $ 4,281
========
Net Asset Value, Offering and Redemption
Price Per Share--Institutional Shares $ 11.36
========
* NON-INCOME PRODUCING SECURITY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
MICROCAP FUND
COMMON STOCKS -- 76.1%
BUILDING & CONSTRUCTION SUPPLIES -- 2.4%
DR Horton 4,900 $ 48
--------
CONSUMER -- 15.9%
Conso Products* 1,500 20
Culp Incoporated 700 12
Damark International* 3,000 28
Delia's* 2,500 43
Fresh America* 2,600 36
Garden Ridge* 6,100 50
Genesco* 1,900 22
Richey Electronics * 6,200 63
Sonic* 1,300 17
Sport-Haley* 1,500 24
--------
315
--------
CREDIT SENSITIVE -- 6.3%
American Business Financial* 100 2
Ameritrade Holding, Class A* 200 3
ISB Financial 2,000 45
Pennfed Financial Services 1,400 33
R & G Financial, Class B* 1,800 42
--------
125
--------
ENTERTAINMENT -- 0.0%
Rio Hotel and Casino* 100 1
--------
HOTELS & LODGING -- 1.5%
ShoLodge* 2,600 29
--------
MEDICAL PRODUCTS & SERVICES -- 5.8%
Accumed International* 10,800 34
New West Eyeworks* 1,700 9
Sabratek* 1,800 39
- --------------------------------------------------------------------------------
SHARES/ MARKET
DESCRIPTION FACE AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Thermedics Detection* 1,800 $ 18
Wesley Jessen* 1,100 15
--------
115
--------
PETROLEUM & FUEL PRODUCTS -- 7.6%
Basin Exploration* 4,800 32
Cairn Energy USA* 2,800 31
Lomak Petroleum 2,000 34
Numar 1,000 21
Wiser Oil 2,000 33
--------
151
--------
PROCESS INDUSTRIES -- 3.5%
NuCo2* 5,000 69
--------
SERVICE -- 11.8%
First Aviation* 2,400 20
Lodgenet Entertainment* 2,500 22
Mail Boxes Etc* 1,400 26
MDSI Mobile Data Solutions* 4,600 76
Saga Communications
Incorporated, Class A* 2,625 46
Smithway Motor Express, Class A* 1,700 15
World Access* 3,000 29
--------
234
--------
TECHNOLOGY -- 21.3%
AFC Cable Systems* 1,200 26
Aware* 5,500 58
BTG* 3,000 45
Ceradyne* 9,300 44
Channell Commercial* 1,200 13
Datum Inc* 1,300 30
ISG International Software* 2,500 26
Micrel* 700 31
PCD* 2,000 30
Specialty Teleconstructors* 5,900 58
Speedfam International* 1,500 36
V-One 5,100 26
--------
423
--------
Total Common Stocks
(Cost $1,654) 1,510
--------
COMMERCIAL PAPER -- 18.8%
Northern Trust
5.351%, 05/01/97 $ 372 372
--------
Total Commercial Paper
(Cost $372) 372
--------
Total Investments -- 94.9%
(Cost $2,026) 1,882
--------
42
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- 5.1%
Investment securities sold $ 106
Administration fee payable (1)
Receivable due from advisor 1
Other assets and liabilities (5)
--------
Other Assets and Liabilities, Net 101
--------
NET ASSETS:
Capital Shares--InstitutionalShares
(unlimited authorization --
$.001 par value) based on 214,300
outstanding shares of beneficial interest 2,194
Undistributed net investment loss (2)
Accumulated net realized loss on investments (65)
Net unrealized depreciation on investments (144)
--------
Total Net Assets-- 100.0% $ 1,983
========
Net Asset Value, Offering and Redemption
Price Per Share--Institutional Shares $ 9.25
========
* NON-INCOME PRODUCING SECURITY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL
EQUITY FUND
FOREIGN COMMON STOCKS -- 90.6%
AUSTRALIA -- 3.4%
Boral 15,500 $ 46
M.I.M. Holdings 31,000 40
North Limited 14,000 49
Mayne Nickless 6,000 37
--------
172
--------
DENMARK -- 1.0%
Novo Nordisk - B 520 51
--------
FRANCE -- 7.7%
Carrefour 105 66
Cetelem 275 32
Guilbert SA 155 24
Michelin "B" 852 48
SGS Thomson Micro Electronics 700 54
Synthelabo 420 50
Total Compaigne "B" 1,050 87
Usinor Sacilor 2,200 33
--------
394
--------
GERMANY -- 3.7%
Adidas 550 57
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BASF 2,200 $ 84
S G L Carbon 350 49
--------
190
--------
HONG KONG -- 6.1%
Cheung Kong Holdings 6,000 53
China Light & Power 6,000 27
Great Eagle Holdings 5,000 15
Guoco Group 7,000 33
Hong Kong Land 16,000 33
Hong Kong Telecommunications 22,800 39
HSBC Holdings 1,200 30
Hutchison Whampoa 7,000 52
Road King Infrastructure* 10,000 10
Wharf Holdings 6,000 23
--------
315
--------
ITALY -- 1.4%
Telecom Italia 22,000 69
--------
JAPAN -- 24.7%
Autobacs Seven 100 7
Bank of Tokyo-Mitsubishi 2,000 32
Canon 3,000 71
DDI 8 53
Familymart 880 32
Hitachi 7,000 63
Ito Yokado 1,000 48
Kawasaki Heavy Industries 9,000 36
Mabuchi Motor 900 46
Matsushita Electric 2,000 32
Minebea 5,000 42
Mitsubishi 5,000 47
Mitsubishi Estate 6,000 76
Mitsubishi Materials 7,000 26
Nippon Telegraph & Telephone 4 28
Nishimatsu Construction 6,000 34
NKK 23,000 50
Nomura Securities 4,000 45
NSK 6,000 36
Sankyo 3,000 80
Secom 1,000 59
Shin Etsu Chemical 3,000 61
Sony 600 44
Sony Music Entertainment 1,000 34
Sumitomo Electric 3,000 41
Suzuki Motor 3,000 32
Teijin 13,000 53
Tokio Marine & Fire Insurance 6,000 59
--------
1,267
--------
MALAYSIA -- 2.3%
Diversified Resource Berhad 3,000 7
Genting Berhad 1,000 5
43
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
INTERNATIONAL
EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
IOI 4,000 $ 5
Malayan Banking 2,000 20
Sungei Way Holdings 4,400 10
Tenaga Nasional Berhad 5,000 23
United Engineers 7,000 50
--------
120
--------
NETHERLANDS -- 6.2%
Aegon 1,708 121
Asm Lithography Holding 300 22
Elsevier 3,784 61
Gucci 1,120 78
Hunter Douglas 459 37
--------
319
--------
SINGAPORE -- 1.7%
City Developments 2,000 16
DBS Land 6,000 19
Overseas Chinese Banking Foreign 2,800 33
Parkway Holdings 2,000 8
Singapore International Airlines "F"1,000 9
--------
85
--------
SPAIN -- 3.6%
Acerinox S.A. 420 61
Banco Popular Espana 130 27
Gas Natural 225 48
Telefonica de Espana 1,900 49
--------
185
--------
SWEDEN -- 7.8%
Cardo 1,350 40
Ericsson LM, Series B 4,400 139
Hennes & Mauritz 350 51
Nordbanken 1,400 43
Scania AB "A" 1,675 44
Securitas AB, Series B 1,600 39
Skanska Free "B" 1,000 42
--------
398
--------
SWITZERLAND -- 5.1%
Nestle SA 45 55
Novartis, Registered 89 117
Roche Holdings 4 34
Zurich Insurance 170 56
--------
262
--------
UNITED KINGDOM -- 15.9%
British Biotech 8,000 31
British Telecommunications 10,900 80
Courtaulds 11,500 62
Dixons Group 9,000 74
General Electric 18,100 108
Glaxo Wellcome 5,000 98
National Power 11,000 96
- --------------------------------------------------------------------------------
SHARES/ MARKET
DESCRIPTION FACE AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
National Westminster 8,000 $ 95
Rolls Royce 24,000 94
Securicor 17,000 78
--------
816
--------
Total Foreign Common Stocks
(Cost $4,359) 4,643
--------
FOREIGN PREFERRED STOCKS -- 1.0%
GERMANY -- 1.0%
SAP 275 51
--------
Total Foreign Preferred Stocks
(Cost $45) 51
--------
DEMAND DEPOSIT -- 10.1%
UNITED STATES -- 10.1%
Northern Trust
3.500%, 11/01/96 $521 521
--------
Total Demand Deposit
(Cost $521) 521
--------
Total Investments -- 101.7%
(Cost $4,925) 5,215
--------
OTHER ASSETS AND LIABILITIES -- (1.7%)
Investment securities purchased (152)
Administration fee payable (5)
Receivable due from advisor 5
Other assets and liabilities 64
--------
Total Other Assets and Liabilities, Net (88)
--------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization -- $.001 par
value) based on 448,651 outstanding
shares of beneficial interest 4,755
Accumulated net realized gain on investments 56
Net unrealized appreciation on forward
foreign currency contracts, foreign currency
and translation of other assets and liabilities
in foreign currency 4
Net unrealized appreciation on investments 290
Undistributed net investment income 22
--------
Total Net Assets-- 100.0% $ 5,127
========
Net Asset Value, Offering and Redemption
Price Per Share--Institutional Shares $ 11.43
========
* NON-INCOME PRODUCING SECURITY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
44
<PAGE>
================================================================================
EUROPEAN
EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 94.5%
BELGIUM -- 0.8%
G.I.B Holdings 7,000 $ 304
--------
DENMARK -- 2.4%
Bang & Olufsen 4,600 265
Novo Nordisk, Series B 6,000 594
--------
859
--------
FINLAND -- 2.1%
Pohjola 10,000 285
UPM-Kymmene 21,000 481
--------
766
--------
FRANCE -- 12.2%
AXA 4,200 258
BIC 1,200 190
Carrefour 370 231
Castorama Dubois 1,600 237
Cetelem 3,100 361
Cie de Saint Gobain 2,800 375
Grand Optical-Photoservice 1,300 194
Imetal SA 2,700 371
Michelin, Series B 7,100 397
Scor 6,300 246
Seita 12,000 427
SGS-Thomson Microelectronics 3,600 278
Total, Series B 5,200 431
Usinor Sacilor 27,000 408
--------
4,404
--------
GERMANY -- 8.6%
Adidas 2,000 207
BASF 11,000 422
Bayerische Motoren Werke 640 521
Hoechst 11,000 432
SGL Carbon 2,500 351
VEBA 6,500 337
Volkswagen 1,300 825
--------
3,095
--------
ITALY -- 3.3%
ENI SPA 52,000 264
Parmalat Finanziaria 70,000 102
Pirelli 95,000 209
Seat SPA 10,000 3
STET 10,000 47
Telecom Italia 185,000 582
--------
1,207
--------
NETHERLANDS -- 9.6%
ABN-Amro Holdings 7,600 523
Aegon 6,000 425
Ahold 7,800 533
Akzo 3,500 451
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
ASM Lithography Holdings 2,100 $ 157
Elsevier 21,000 336
Hunter Douglas 2,000 163
ING Groep 10,000 393
Koninklijke PTT Nederland 7,500 267
Nutricia Vernide Bedrijven 1,430 217
--------
3,465
--------
NORWAY -- 0.3%
Unitor Ship Services 10,000 122
--------
SPAIN -- 4.5%
Banco Popular 2,200 467
Empresa Nacional de Electricidad 5,500 385
Gas Natural 1,600 340
Telefonica de Espana 16,500 423
--------
1,615
--------
SWEDEN -- 10.9%
Assa Abloy, Series B 19,000 372
Astra AB, Series B 5,000 199
Cardo 14,500 435
Ericsson LM, Series B 17,000 538
Mo Och Domsjo 17,000 508
Scania AB, Series A 16,000 413
Securitas, Series B 9,300 224
Skanska, Series B 3,900 166
Sparbanken Sverige AB, Series A 9,500 170
SSAB, Series A 27,000 482
Trygg-Hansa, Series B 24,000 416
--------
3,923
--------
SWITZERLAND -- 6.6%
Asea Brown Boveri 400 484
Ciba Speciality Chemicals 390 34
Novartis 650 857
Roche Holdings 65 549
Societe Generale de Surveillance 55 114
Winterthur 500 359
--------
2,397
--------
UNITED KINGDOM -- 33.2%
Abbey National 23,000 320
Albright & Wilson 22,500 58
Associated British Foods 31,000 268
Bass 12,500 161
BAT Industries 21,000 177
BBA Group 32,000 173
BICC 23,090 86
Blue Circle Industries 51,000 346
British Aerospace 15,722 334
British Airways 33,000 377
British Biotech 18,460 72
British Telecommunications 109,500 803
Commercial Union 18,562 205
45
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
EUROPEAN
EQUITY FUND
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Cortaulds 19,000 $ 102
De La Rue 25,000 224
Emap 16,000 198
General Cable 55,500 152
General Electric 47,000 279
Glaxo Wellcome 43,500 855
Granada Group 19,500 281
Grand Metropolitan 27,000 226
Guinness 35,000 289
Hammerson 43,000 314
HSBC Holdings 10,800 283
Lasmo 83,000 301
Logica 14,000 197
Medeva 43,000 209
Morrison Supermarket 32,760 84
Next 28,000 296
Prudential 33,000 321
Rank Group 27,000 186
Redland 51,500 292
Reuters 19,000 195
Rolls Royce 56,500 222
Scottish Power 19,970 121
Securicor 51,845 239
Sedgwick Group 81,520 165
Shell Transportation & Trading 40,000 706
Smiths Industries 11,500 141
Standard Chartered Bank 17,000 257
Sun Alliance Group 44,605 353
Tate & Lyle 28,000 208
Tomkins 63,000 272
Vendome Units 31,200 259
Vodafone Group 39,000 174
Wolseley 25,000 201
--------
11,982
--------
Total Foreign Common Stocks
(Cost $29,051) 34,139
--------
FOREIGN PREFERRED STOCKS -- 1.0%
FINLAND -- 0.9%
Nokia AB, Series A 5,000 312
--------
GERMANY -- 0.1%
Volkswagen 120 59
--------
Total Foreign Preferred Stocks
(Cost $340) 371
--------
DEMAND DEPOSIT -- 1.9%
UNITED STATES -- 1.9%
Northern Trust
3.500%, 05/01/97 $692 692
--------
Total Demand Deposit
(Cost $692) 692
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Total Investments -- 97.4%
(Cost $30,083) $ 35,202
--------
OTHER ASSETS AND LIABILITIES -- 2.6%
Foreign currency (Cost $724) 723
Investment advisory fee payable (16)
Administration fee payable (3)
Other assets and liabilities 237
--------
Total Other Assets and Liabilities, Net 941
--------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization -- $.001 par
value) based on 3,076,018 outstanding
shares of beneficial interest 29,955
Undistributed net investment income 217
Accumulated net realized gain on investments 821
Net unrealized appreciation on forward
foreign currency contracts, foreign currency
and translation of other assets and liabilities
in foreign currency 31
Net unrealized appreciation on investments 5,119
--------
Total Net Assets-- 100.0% $ 36,143
========
Net Asset Value, Offering and Redemption
Price Per Share--Institutional Shares $ 11.75
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
IINTERNATIONAL SMALL
CAP EQUITY FUND
FOREIGN COMMON STOCKS -- 94.5%
AUSTRALIA -- 3.2%
Adelaide Brighton 377,983 $ 542
Australian Vintage 250,000 585
Capral Aluminum 153,912 562
McPherson's 123,203 296
Savage Resources 748,277 729
Savage Resources Warrants* 21,548 5
--------
2,719
--------
AUSTRIA -- 1.2%
Wolford 9,656 995
--------
BELGIUM -- 0.2%
Quick Restaurants 3,576 177
--------
DENMARK -- 2.2%
Coloplast, Series B 5,860 425
Oticon Holding AS, Series A 9,000 1,461
--------
1,886
--------
46
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FINLAND -- 1.2%
Cultor Oy, Series 1 14,800 $ 803
Cultor Oy, Series 2 5,000 277
--------
1,080
--------
FRANCE -- 7.6%
Altran Technologies 1,950 678
Brioche Pasquier 3,886 452
CIPE France 5,600 787
Deveaux 9,562 1,398
Fininfo 2,891 371
Genset ADR* 26,902 453
Grand Optical-Photoservice 3,529 526
Guilbert 3,622 565
Imetal 4,400 604
Manutan 8,930 679
--------
6,513
--------
GERMANY -- 4.5%
Adidas 4,393 456
Boss (Hugo) 890 1,136
Cewe Color Holding 2,922 674
Eff-eff Fritz Fuss 4,962 198
Kiekert 17,608 661
Marschollek Lauten 3,509 710
--------
3,835
--------
HONG KONG -- 4.8%
China Resources Development 359,000 992
Chen Hsong Holdings 316,000 173
Gold Peak 1,059,000 711
Harbour Centre 197,000 263
HKR International 705,000 869
Hong Kong Aircraft Engineering 128,000 370
Wing Hang Bank 207,600 758
--------
4,136
--------
INDONESIA -- 0.5%
Fastfood Indonesia `F' 31,000 50
Panin Bank `F' 110,000 161
Tempo Scan Pacific `F' 37,500 75
Tigaraksa Satria `F' 72,000 96
Wicaksana Overseas `F' 80,000 92
--------
474
--------
ITALY -- 5.2%
De Rigo ADR* 23,880 158
Fila Holdings ADR 16,320 706
Gewiss 83,981 1,128
Industria Machine 64,506 273
Industrie Natuzzi Spa ADR 74,800 1,664
Saes Getters 18,761 266
Saes Getters Di Risp 28,557 259
--------
4,454
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
JAPAN -- 29.1%
Aderans 23,000 $ 518
Aichi 27,500 141
Aiwa 31,000 535
Arcland Sakamoto 39,000 375
Beltecno 31,000 169
Bridgestone 42,000 334
Cesar 21,000 78
Chubu Sekiwa Real Estate 43,200 371
Chuo Warehouse 21,000 137
Circle K 22,000 1,011
Forval 4,000 105
Fuji Machine Manufacturing 24,000 677
Fujimi 16,500 871
H.I.S. 9,000 379
Ines 42,000 543
Itoki Crebio 18,000 96
Kaneshita Construction 42,000 297
Kanto Seino Transportation 24,000 596
Kawasumi Labs 29,000 331
Maspro Denkoh 10,000 124
Meitec 40,200 805
Ministop 16,800 425
Misumi 18,000 309
Mitsui High Tec 31,000 669
Nichiha 36,000 479
Nichii Gakkan 15,000 675
Nidec 8,700 372
Nippon Denwa Shset 43,000 322
Nippon Thompson 89,000 600
Nitto Boseki 250,000 766
Nitto Electric Works 55,000 793
Nitto Kohki 22,000 622
Olympic 17,600 337
OSG 129,000 892
Otsuka Kagu 3,000 232
Ricoh Elemex 52,000 537
Sanyo Shinpan 8,250 405
Satori Electric 19,000 516
Sekiwa Real Estate 37,000 230
Shimachu 19,000 457
Sumitomo Bakelite 110,000 741
Sumitomo Sitix 45,000 847
Taiyo Yuden 28,000 377
Takuma 20,000 217
Tanseisha 16,000 85
Terumo 70,000 1,064
Tohoku Misawa Home 35,000 331
Tokai Carbon 70,000 257
Toshiba Ceramics 120,000 876
Trusco Nakayama 22,100 347
Tsudakoma 94,000 345
World 5,500 205
Xebio 17,700 416
Yamae Hisano 37,000 260
Yamato Kogyo 60,000 520
--------
25,019
--------
47
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
INTERNATIONAL SMALL
CAP EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MALAYSIA -- 1.9%
Cycle and Carr Bin 40,000 $ 266
MBM Resources 180,000 470
Public Finance `F' 135,250 207
RJ Reynolds Berhad 116,000 236
Road Builder 88,000 428
--------
1,607
--------
NETHERLANDS -- 4.6%
Aalberts Industries 20,194 464
Gucci 24,536 1,710
IHC Caland 18,387 908
Van Ommeren 23,170 903
--------
3,985
--------
NORWAY -- 4.6%
Ekornes ASA 58,000 428
Hitec AS* 114,781 532
NCL Holdings* 230,000 582
Norman Data Defence* 13,000 190
Sensonor AS* 28,124 182
System Etiketterin* 40,000 528
Tomra Systems 78,910 1,530
--------
3,972
--------
PHILIPPINES -- 0.1%
First Philippine Holdings 56,916 99
--------
SINGAPORE -- 1.4%
Amtek Engineering 159,000 275
GP Batteries International 80,000 236
Singap Tech Ship & Engine 142,000 204
Venture Manufacturing 163,000 462
--------
1,177
--------
SWEDEN -- 1.3%
Cardo 13,770 413
Elekta Instrument AB, Series B 10,544 302
Sintercast, Series A* 22,257 426
--------
1,141
--------
SWITZERLAND -- 0.8%
Kardex PC 2,447 731
--------
THAILAND -- 0.2%
Hana Microelectric `F' 10,000 59
Serm Suk `F' 5,640 112
--------
171
--------
UNITED KINGDOM -- 19.9%
Albright & Wilson 66,372 170
Allied Colloids 68,815 139
Alumasc Group 47,488 220
Amersham International 17,395 356
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Applied Distribution Group 93,280 $ 54
Argos 39,130 407
Associated British Ports 89,250 385
Azlan Group 12,487 119
Baynes (Charles) 130,592 233
BBA Group 113,737 616
Bunzl 133,808 460
Capita Group 72,221 279
Capital Shopping 61,453 375
Charter 16,324 219
Compass Group 45,133 497
Courtaulds Textile 30,316 142
Cowie Group 86,052 517
Daily Mail & General Trust A 19,026 473
Dalgety 31,940 163
Devro International 103,033 520
Fairey Group 48,286 406
Forth Ports 50,177 506
General Cable* 142,307 389
Glynwed International 65,804 278
Great Portland Estates 41,117 138
Henlys 48,562 369
Hepworth 66,372 289
Ibstock 387,170 442
Laird Group 66,903 424
London Clubs 83,020 521
MFI Furniture 153,044 338
Mirror Group 114,713 389
Misys 24,604 493
Pillar Property Investment 223,123 841
Rotork 90,101 416
Scapa Group 76,271 253
Securicor 97,206 448
Sheffield Insulation 140,833 749
Smith (David S) 77,237 279
Spirax-Sarco Engineering 44,248 505
Stagecoach Holdings 56,701 546
Trinity Holdings 76,676 372
United News & Media 23,880 291
Vickers 122,901 422
Vitec Group 35,376 365
Vosper Thornycroft 24,654 345
--------
17,158
--------
Total Foreign Common Stocks
(Cost $75,723) 81,329
--------
FOREIGN PREFERRED STOCKS -- 2.6%
GERMANY -- 2.6%
Berentzen - Gruppe 14,976 428
Fielmann 16,316 429
Mobel Wather 10,278 475
Puma 12,712 433
Rhone Klinikum 3,574 437
--------
Total Foreign Preferred Stocks
(Cost $2,391) 2,202
--------
48
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
SHARES/ MARKET
DESCRIPTION FACE AMOUNT (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCK -- 0.2%
UNITED STATES -- 0.2%
Pixtech 33,724 $ 148
--------
Total Common Stock
(Cost $339) 148
--------
FOREIGN CONVERTIBLE BONDS -- 0.6%
JAPAN -- 0.6%
Forval
1.350%, 09/30/03 28,000 207
Nippon Densan
1.000%, 09/30/03 280 323
--------
Total Foreign Convertible Bonds
(Cost $514) 530
--------
DEMAND DEPOSIT -- 4.8%
UNITED STATES -- 4.8%
Northern Trust
3.500%, 05/01/97 4,141 4,141
--------
Total Demand Deposit
(Cost $4,141) 4,141
--------
Total Investments -- 102.7%
(Cost $83,108) 88,350
--------
OTHER ASSETS AND LIABILITIES -- (2.7%)
Investment securities purchased (4,295)
Foreign currency (Cost $1,103) 1,100
Investment advisory fee payable (65)
Administration fee payable (7)
Other assets and liabilities 959
--------
Total Other Assets and Liabilities, Net (2,308)
--------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization -- $.001
par value) based on 9,518,709
outstanding shares of beneficial interest 90,382
Undistributed net investment income 75
Accumulated net realized loss on investments (9,721)
Net unrealized appreciation on forward
foreign currency contracts, foreign currency
and translation of other assets and liabilities
in foreign currency 64
Net unrealized appreciation on investments 5,242
--------
Total Net Assets-- 100.0% $ 86,042
========
Net Asset Value, Offering and Redemption
Price Per Share--Institutional Shares $ 9.04
========
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
F FOREIGN SHARES
PC PARTICIPATING CERTIFICATE
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EUROPEAN SMALL
CAP EQUITY FUND
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 88.0%
AUSTRIA -- 1.4%
Austria Mikro Systeme International 600 $ 45
Wolford 978 101
--------
146
--------
BELGIUM -- 0.3%
Quick Restaurants 722 36
--------
DENMARK -- 3.2%
Coloplast, Series B 1,305 95
Jamo 1,000 78
Oticon Holding AS, Series A 970 157
--------
330
--------
FINLAND -- 2.0%
Cultor Oy, Series 1 2,900 157
Cultor Oy, Series 2 990 55
--------
212
--------
FRANCE -- 10.8%
Airfeu 1,527 49
Altran Technologies 175 61
Brioche Pasquier 481 56
CIPE France 850 119
Deveaux 676 99
Fininfo 332 42
Genset ADR* 6,800 115
Grand Optical-Photoservice 1,155 172
Guilbert 830 129
Imetal 733 101
Manutan 1,860 139
Stedim 250 31
--------
1,113
--------
GERMANY -- 6.1%
Adidas 950 98
Cewe Color Holding 624 144
Eff-eff Fritz Fuss 1,170 47
Marschollek Lauten 792 160
Puma 5,367 183
--------
632
--------
ITALY -- 7.9%
De Rigo ADR* 3,825 25
Fila Holdings ADR 4,182 181
Gewiss 11,836 159
Industria Machine 17,000 72
Industrie Natuzzi Spa ADR 10,418 232
Saes Getters 6,350 90
Saes Getters Di Risp 4,000 36
Saes Getters Priv 1,500 16
--------
811
--------
49
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
EUROPEAN SMALL
CAP EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
NETHERLANDS -- 7.0%
Aalberts Industries 9,721 $ 223
Gucci 3,100 216
IHC Caland 1,000 49
Koninklijke Van Ommeren 6,078 237
--------
725
--------
NORWAY -- 7.2%
Ekornes ASA 11,230 83
Hitec AS* 20,000 93
NCL Holdings* 30,000 76
Norman Data Defence* 3,200 47
Sensonor AS* 5,846 38
System Etiketterin* 7,000 92
Tomra Systems 15,966 310
--------
739
--------
SPAIN -- 2.3%
Azkoyen SA 1,569 235
--------
SWEDEN -- 6.0%
Cardo 5,407 162
Elekta Instrument AB, Series B 2,311 66
Hoganas AB, Series B 6,187 185
Kalmar 7,590 126
Sintercast, Series A* 4,090 78
--------
617
--------
SWITZERLAND -- 1.1%
Kardex PC 380 113
--------
UNITED KINGDOM -- 32.7%
Albright & Wilson 20,000 51
Allied Colloids 32,142 65
Amersham International 3,400 70
Argos 8,480 88
Associated British Ports 6,700 29
BBA Group 16,053 87
Bradford Properties 12,900 61
Bunzl 37,050 127
Capita Group 12,450 48
Capital Shopping 13,430 82
Charter 5,371 72
Compass Group 7,750 85
Courtaulds Textile 7,500 35
Cowie Group 16,633 100
Daily Mail & General Trust A 3,850 96
Dalgety 12,500 64
Devro International 26,000 131
Fairey Group 8,750 74
Forth Ports 7,300 74
General Cable* 56,600 154
Glynwed International 13,250 56
Henlys 9,560 73
Hepworth 15,900 69
Ibstock 108,333 124
- --------------------------------------------------------------------------------
SHARES/ MARKET
DESCRIPTION FACE AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Laird Group 21,397 $ 136
London Clubs 19,500 122
MFI Furniture 30,900 68
Mirror Group 34,050 116
Misys 4,400 88
Pillar Property Investment 41,850 158
Rugby Group 10,000 18
Scapa Group 20,000 66
Securicor 23,191 107
Sheffield Insulation 20,900 111
Smith (David S) 15,650 57
Spirax-Sarco Engineering 7,647 87
Stagecoach Holdings 8,563 82
Trinity Holdings 18,400 89
Vickers 13,000 45
Vitec Group 4,800 50
Vosper Thornycroft 3,867 54
--------
3,369
--------
Total Foreign Common Stocks
(Cost $7,658) 9,078
--------
FOREIGN PREFERRED STOCKS -- 8.6%
GERMANY -- 8.6%
Berentzen - Gruppe 5,256 150
Boss (Hugo) 167 213
Fielmann 7,312 192
Jil Sander 140 80
Mobel Walther 2,240 104
Rhone Klinikum 1,172 143
--------
882
--------
Total Foreign Preferred Stocks
(Cost $914) 882
--------
COMMON STOCKS -- 0.3%
UNITED STATES -- 0.3%
Pixtech 60 26
--------
Total Common Stocks
(Cost $60) 26
--------
DEMAND DEPOSIT -- 3.9%
UNITED STATES -- 3.9%
Northern Trust
3.500%, 05/01/97 $ 407 407
--------
Total Demand Deposit
(Cost $407) 407
--------
Total Investments -- 100.8%
(Cost $9,039) 10,393
--------
50
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (0.8%)
Investment advisory fee payable $ (2)
Administration fee payable (5)
Other assets and liabilities (72)
--------
Total Other Assets and Liabilities, Net (79)
--------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization -- $.001 par
value) based on 876,002 outstanding
shares of beneficial interest 8,913
Undistributed net investment income 8
Accumulated net realized gain on
investments 41
Net unrealized depreciation on
forward foreign currency contracts,
foreign currency and translation of
other assets and liabilities in
foreign currency (2)
Net unrealized appreciation on investments 1,354
--------
Total Net Assets-- 100.0% $ 10,314
========
Net Asset Value, Offering and
Redemption Price Per Share $ 11.77
========
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
PC PARTICIPATING CERTIFICATE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
EQUITY FUND
FOREIGN COMMON STOCKS -- 89.7%
ARGENTINA -- 1.6%
Central Costanera, Series B 170,000 $ 605
Disco* 18,000 551
YPF SA ADR 19,000 525
--------
1,681
--------
BOTSWANA -- 0.8%
KYS 395,000 199
Sechaba Investment* 800,000 694
--------
893
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BRAZIL -- 6.3%
CIA Electricidade Da Bahia* 10,550,000 $ 838
Eletrobras 1,500,000 679
Elevadores Atlas 68,000 818
Light Participacoes 4,070,000 1,298
Makro Atacadista GDS 18,000 236
Siderurgica Nacional 32,300,000 1,154
Telecom Brasileiras ADR* 14,040 1,611
--------
6,634
--------
CANADA -- 0.9%
Black Swan Gold* 72,000 88
Black Swan Gold Warrants* 360,000 --
Boron Chemical* 750,000 833
Boron Chemical Warrants* 375,000 --
--------
921
--------
CHILE -- 2.9%
Cervecerias Unidas ADR 43,200 961
Cia Telecomunicacion Chile ADR 34,000 1,101
Enersis ADR 30,000 945
--------
3,007
--------
COLOMBIA -- 2.1%
Banco de Bogota 81,700 497
Cadenalco ADR 77,000 760
Suramericana 38,386 953
--------
2,210
--------
CROATIA -- 1.1%
Zagrebacka Banka GDR* 32,000 1,136
--------
CZECH REPUBLIC -- 0.2%
Elektrarny Opatovice* 580 82
Komercni Banka GDR 1,100 28
Zivnobanka Investicni Fond* 5,800 82
--------
192
--------
GREECE -- 0.3%
Ergo Bank 1,398 92
Goody's 9,800 214
--------
306
--------
HONG KONG -- 3.5%
China Overseas Land &
Investment 1,800,000 1,017
China Resources Development 300,000 829
China Travel International
Invesment 1,900,000 1,000
Cosco Pacific 220,000 308
Shanghai Industrial Holdings 97,000 546
--------
3,700
--------
51
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
EMERGING MARKETS
EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
HUNGARY -- 1.9%
Egis Gyogyszer EDR* 9,100 $ 569
OTP Bank 14,953 354
OTP Bank GDR* 13,000 304
Richter Gedeon 9,800 741
--------
1,968
--------
INDIA -- 6.4%
Asea Brown Boveri India 33,333 599
Bajaj Auto 25,750 657
East India Hotels 25,000 290
Grasim Industries 700 7
Gujarat Ambuja Cement 300 2
Hindalco Industries 26,500 695
Hindustan Lever 26,000 795
Hindustan Petroleum 50,000 584
Mahindra & Mahindra 50,000 517
Oriental Bank of Commerce 146,500 313
Ranbaxy Laboratories 22,000 399
Reliance Industries 49,000 422
State Bank of India 86,000 766
Sterlite Industries (India) 45,000 359
Videsh Sanchar Nigam GDR* 15,000 296
--------
6,701
--------
INDONESIA -- 6.2%
Bank Internasional Indonesia 906,000 653
Bank Negara Indonesia `F' 1,769,000 983
BDNI Capital `F' 1,014,000 1,012
Bimantara Citra `F' 245,500 334
Bukaka Teknik Utama `F' 280,000 176
Citra Marga Nusaphala `F' 66,000 58
Duta Pertiwi Nusan `F' 870,000 331
Duta Pertiwi Nusan `F' Rights* 870,000 72
Kalbe Farma `F' 470,000 464
Panin Bank `F' 197,000 288
PT Indah Kiat Pulp & Paper `F' 417,806 340
PT Indah Kiat Pulp &
Paper `F' Warrants* 9,049 4
PT Tempo Scan Pacific `F' 180,000 359
Sampoerna International
Finance `F' 125,000 503
Telekomunikasi `F' 648,000 940
Tjiwi Kimia `F' 26,353 27
--------
6,544
--------
ISRAEL -- 1.3%
Blue Square Stores* 100,000 1,002
Tadiran Telecommunications 20,500 400
--------
1,402
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MALAYSIA -- 14.2%
Amway (Malaysia)* 84,000 $ 539
Bandar Raya Developments 220,000 324
Berjaya Sports 298,000 1,425
Brisdale Holdings* 200,000 261
DCB Holdings 220,000 714
Diversified Resources 140,000 335
Gadek 120,000 751
IOI 419,000 521
Island & Peninsular 78,000 259
Magnum 555,000 880
Malayan Banking 135,000 1,344
Malaysian Assurance Alliance 100,000 538
Malaysian Resources 135,000 387
MBF Capital 686,000 1,017
Perusahaan Otomobil 181,000 1,082
Resorts World Berhad 96,000 354
RJ Reynolds Berhad 203,000 412
Telekom Malaysia 120,000 841
Tenaga Nasional 154,000 712
UMW Holdings Berhad 233,000 1,225
United Engineers 144,000 1,021
--------
14,942
--------
MEXICO -- 12.3%
Cemex, Series B 230,000 851
Cifra SA, Series A 64,822 97
Cifra SA, Series B 530,000 809
Corporacion Geo SA ADR* 8,750 163
Corporacion Geo SA GDS* 11,250 217
Empaques Ponderosa* 720,000 452
Empresas Ica Sociedad
Controladora ADR 71,000 1,056
Femsa, Series B 272,000 1,281
Grupo Industria
Saltillo, Series A 200,000 587
Grupo Mexico, Series B 215,000 724
Grupo Financiero Bancomer,
Series B* 2,465,000 869
Grupo Financiero Bancomer,
Series L* 50,555 15
Grupo Industria Bimbo,
Series A 105,000 656
Grupo Televisa GDR* 20,000 463
Industrias Campos Hermanos* 193,000 678
Nacional de Drogas, Series L 276,000 914
Nacional de Drogas, Series B 20,000 60
Sigma Alimentos, Series B 60,000 644
Telefonos de Mexico
ADR, Series L 57,000 2,351
--------
12,887
--------
52
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PAKISTAN -- 0.9%
Engro Chemicals 75,000 $ 282
Hub Power GDR* 14,000 322
Pakistan Telecom* 69,900 43
Pakistan Telecom GDS 5,000 305
--------
952
--------
PERU -- 1.7%
Banco Wiese ADR 144,300 938
Consorcio De Alimentos
Fabril Pacifico* 642,113 895
--------
1,833
--------
PHILIPPINES -- 1.7%
Belle Corporation* 2,100,000 502
DMCI Holdings* 400,000 205
First Philippine Holdings 207,300 362
Manila Electric 31,200 194
Metro Bank & Trust 16,260 333
Philippine National Bank* 31,625 208
--------
1,804
--------
POLAND -- 1.1%
Bank Przemyslowo 8,420 431
Bank Rozwoju Eksportu* 8,500 203
Bydgoska Fabryka Kabli* 32,500 247
Elektrim Spolka Akeyjna 32,000 287
--------
1,168
--------
PORTUGAL -- 1.6%
Banco Portugal de Invest 340 5
Cimentos de Portugal 9,890 213
Jeronimo Martins 7,999 478
Semapa 24,000 513
Telecel Comunicacaoes Pessoaia* 4,300 370
TVI - Televisao Industries* 31,680 84
--------
1,663
--------
SOUTH AFRICA -- 10.2%
AECI 175,000 1,043
Anglo American Gold Investment 16,100 1,082
Anglovaal, Series N 23,500 656
Cadbury Schwepes SA 33,500 618
DeBeers Centenary Linked Units 47,850 1,722
Ellerine Holdings 30,199 190
Fedsure Holdings 80,000 675
Foodcorp 24,275 177
Malbak 216,500 351
Metropolitan Life 290,000 572
New Clicks Holdings 81,750 94
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Rembrandt Group 79,000 $ 832
Rustenburg Platinum Holdings 32,900 531
Sasol 85,000 1,090
Smith Foods 40,750 777
South African Druggists 35,697 299
--------
10,709
--------
SOUTH KOREA -- 2.9%
Daesung Industrial 5,377 296
Dong-Ah Construction 6,659 126
Dong-Ah Construction EDR* 16,524 150
Hyundai Engineering 13,685 275
Korea Electric Power 15,500 463
LG Information &
Communication 1,600 158
Pohang Iron & Steel ADR 11,000 265
Samchully 2,000 156
Samsung Display Devices 2,600 122
Samsung Electronics GDR* 26,360 616
Samsung Electronics GDS* 1,579 74
Seoul City Gas 5,500 290
Sungmi Telecom 220 30
--------
3,021
--------
TAIWAN -- 2.4%
Asia Cement GDS 44,356 787
China Steel 42,025 899
President Enterprises GDS 47,530 832
--------
2,518
--------
THAILAND -- 2.0%
Advanced Info Service `F' 19,000 129
Cogeneration Public `F' 85,000 286
Electricity Generating `F' 138,000 370
PTT Exploration `F' 49,500 633
Thai Farmers Bank `F' 60,000 363
United Communication
Industry `F' 48,000 300
--------
2,081
--------
TURKEY -- 1.6%
Ardem 3,000,000 515
Hurriyet Gazetecilik 3,200,000 182
Kerevitas Gida Sanayii 2,600,000 132
Otosan Otomobil Sanayii 420,000 195
T Siemens 2,500,000 226
Tansas 1,450,000 251
Vakif Fin Kiralama 7,200,000 260
--------
1,761
--------
53
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
EMERGING MARKETS
EQUITY FUND
- --------------------------------------------------------------------------------
SHARES/ MARKET
DESCRIPTION FACE AMOUNT (000(1) VALUE (000)
- --------------------------------------------------------------------------------
VENEZUELA -- 0.6%
Cia Anonima Tele ADR* 19,750 $ 593
--------
UNITED STATES -- 1.0%
Mauritius Fund* 64,000 584
Oryx Fund* 35,000 486
--------
1,070
--------
Total Foreign Common Stocks
(Cost $86,415) 94,297
--------
FOREIGN PREFERRED STOCKS -- 7.9%
BRAZIL -- 7.9%
CIA Lorenz 15,750,000 487
CIA Paranaense De Energica 76,000,000 1,165
Dixie Toga 1,050,000 790
Eletrobras 1,500,000 700
OSA* 95,000,000 491
Petrol Brasileiros 5,140,000 1,090
Sider Paulista* 780,000 536
Telerj 8,626,000 1,448
Unibanco 22,846,000 844
Weg 1,700,000 743
--------
8,294
--------
Total Foreign Preferred Stocks
(Cost $6,254) 8,294
--------
FOREIGN CONVERTIBLE BONDS -- 1.9%
TAIWAN -- 1.9%
Far East Department Stores
3.000%, 07/06/01 $ 661,000 757
Nanya Plastic
1.750%, 07/19/01 $ 520,000 642
Yang Ming Marine
2.000%, 10/06/01 $ 520,000 592
--------
1,991
--------
Total Foreign Convertible Bonds
(Cost $1,812) 1,991
--------
Total Investments -- 99.5%
(Cost $94,481) 104,582
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- 0.5%
Foreign currency (Cost $1,293) $ 1,266
Investment advisory fee payable (86)
Administration fee payable (9)
Other assets and liabilities (683)
---------
Total Other Assets and Liabilities, Net 488
---------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization -- $.001 par
value) based on 11,445,793 outstanding
shares of beneficial interest 94,667
Undistributed net investment loss (363)
Accumulated net realized gain on
investments 733
Net unrealized appreciation on
forward foreign currency contracts,
foreign currency and translation of
other assets and liabilities in
foreign currency 20
Net unrealized appreciation on
investments (2) 10,013
--------
Total Net Assets-- 100.0% $105,070
========
Net Asset Value, Offering and Redemption
Price Per Share--Institutional Shares $ 9.18
========
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
EDR EUROPEAN DEPOSITORY RECEIPT
F FOREIGN SHARES
GDR GLOBAL DEPOSITORY RECEIPT
GDS GLOBAL DEPOSITORY SHARES
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED
(2) NET OF $88,000 ACCRUED FOREIGN WITHHOLDING TAXES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
54
<PAGE>
================================================================================
GLOBAL FIXED
INCOME FUND
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN BONDS -- 69.1%
CANADA -- 9.3%
Government of Canada
7.000%, 09/01/01 5,400 $ 4,025
8.750%, 12/01/05 7,600 6,218
--------
10,243
--------
DENMARK -- 13.7%
Kingdom of Denmark
9.000%, 11/15/00 27,800 4,769
7.000%, 12/15/04 25,200 3,989
8.000%, 03/15/06 38,200 6,357
--------
15,115
--------
FINLAND -- 2.7%
Republic of Finland
8.000%, 04/07/03 1,800 2,953
--------
GERMANY -- 14.8%
Bank America
6.000%, 11/15/05 7,500 4,430
Deutschland Republic
5.250%, 10/20/98 6,400 3,789
Trehandanstalt
7.125%, 01/29/03 7,000 4,447
Westdeutsche Landesbank
6.250%, 09/15/03 6,000 3,615
--------
16,281
--------
ITALY -- 12.1%
European Bank Reconstruction
& Development
9.750%, 07/28/00 6,800,000 4,280
European Investment Bank
9.600%, 01/26/01 6,800,000 4,350
Republic of Italy
10.000%, 08/01/03 7,100,000 4,664
--------
13,294
--------
JAPAN -- 8.0%
Export-Import Bank of Japan
2.875%, 07/28/05 (2) 600,000 4,896
Japanese Development Bank
6.500%, 09/20/01 405,000 3,847
--------
8,743
--------
UNITED KINGDOM -- 3.1%
United Kingdom Treasury
7.500%, 12/07/06 2,150 3,458
--------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
UNITED STATES -- 5.4%
International Bank for
Reconstruction & Development
9.750%, 01/23/16 530 $ 655
Minnesota Mining &
Manufacturing
5.000%, 10/15/01 8,950 5,246
--------
5,901
--------
Total Foreign Bonds
(Cost $80,849) 75,988
--------
CORPORATE OBLIGATION -- 2.3%
UNITED STATES -- 2.3%
General Electric Capital
8.125%, 02/23/07 2,370 2,530
--------
Total Corporate Obligation
(Cost $2,520) 2,530
--------
U.S. TREASURY OBLIGATIONS -- 25.0%
U.S. Treasury Bond
3.375%, 01/15/07 6,400 6,294
8.500%, 02/15/20 2,270 2,636
7.125%, 02/15/23 2,830 2,853
U.S. Treasury Notes
5.500%, 11/15/98 (2) 2,140 2,119
6.750%, 06/30/99 5,350 5,396
7.125%, 09/30/99 (2) 1,930 1,963
6.125%, 09/30/00 1,300 1,286
6.500%, 08/15/05 1,500 1,477
6.875%, 05/15/06 2,300 2,318
7.000%, 07/15/06 1,100 1,118
--------
Total U.S. Treasury Obligations
(Cost $27,518) 27,460
--------
DEMAND DEPOSIT -- 0.9%
UNITED STATES -- 0.9%
Northern Trust
3.500%, 05/01/97 965 965
--------
Total Demand Deposit
(Cost $965) 965
--------
Total Investments -- 97.3%
(Cost $111,852) 106,943
--------
55
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
GLOBAL FIXED
INCOME FUND
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- 2.7%
Interest receivable $ 2,505
Investment advisory fee payable (37)
Administration fee payable (10)
Other assets and liabilities 468
--------
Total Other Assets and Liabilities, Net 2,926
--------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization -- $.001 par
value) based on 10,834,312 outstanding
shares of beneficial interest 110,476
Undistributed net investment income 2,033
Accumulated net realized gain
on investments 1,860
Net unrealized appreciation on
forward foreign currency contracts,
foreign currency and translation
of other assets and liabilities
in foreign currency 409
Net unrealized depreciation on investments (4,909)
--------
Total Net Assets-- 100.0% $109,869
========
Net Asset Value, Offering and Redemption
Price Per Share--Institutional Shares $ 10.14
========
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE CONTRACTS
WITH AN AGGREGATE MARKET VALUE OF $8,978,421.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL FIXED
INCOME FUND
FOREIGN BONDS -- 96.6%
CANADA -- 7.5%
British Columbia
9.000%, 06/21/04 800 $ 650
Government of Canada
7.000%, 09/01/01 740 551
Province of Ontario
7.500%, 01/19/06 760 570
--------
1,771
--------
DENMARK -- 20.7%
Kingdom of Denmark
8.000%, 05/15/03 7,100 1,195
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
Kingdom of Denmark
9.000%, 11/15/00 6,900 $ 1,184
7.000%, 12/15/04 7,500 1,187
8.000%, 03/15/06 (2) 8,000 1,331
--------
4,897
--------
FRANCE -- 5.2%
Government of France
7.500%, 04/25/05 1,000 1,235
--------
GERMANY -- 21.3%
African Development Bank
7.250%, 10/21/99 600 372
Alg Hypbk
6.000%, 01/18/02 1,500 908
Bank America
6.000%, 11/15/05 (2) 1,500 886
Deutschland Rep
8.250%, 09/20/01 1,100 725
General Electric
7.250%, 02/03/00 1,100 685
LKB Baden Wurttenberg
6.625%, 08/20/03 1,100 677
Treuhandanstalt
6.625%, 07/09/03 1,250 775
--------
5,028
--------
ITALY -- 17.2%
Credit Local
9.000%, 06/14/01 1,300,000 812
European Bank
for Reconstruction
& Development
9.750%, 07/28/00 1,230,000 774
European Investment Bank
9.600%, 01/26/01 400,000 255
Republic of Italy
10.500%, 11/01/00 1,100,000 711
9.500%, 02/01/01 1,110,000 700
Westlb Curac
8.650%, 08/07/03 1,300,000 800
--------
4,052
--------
JAPAN -- 12.8%
Asian Development Bank
5.000%, 02/05/03 75,000 689
European Investment Bank
3.000%, 09/20/06 (2) 78,000 641
Export-Import Bank
4.375%, 10/01/03 75,000 671
56
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
World Bank
4.750%, 12/20/04 110,000 $ 1,015
--------
3,016
--------
UNITED KINGDOM -- 8.8%
British Telecom
7.125%, 09/15/03 410 648
Halifax
6.500%, 02/16/04 430 650
United Kingdom Treasury
7.500%, 12/07/06 480 772
--------
2,070
--------
UNITED STATES -- 3.1%
FNMA
2.000%, 12/20/99 (2) JY90,000 723
--------
Total Foreign Bonds
(Cost $24,095) 22,792
--------
DEMAND DEPOSIT -- 1.2%
UNITED STATES -- 1.2%
Northern Trust
3.500%, 05/01/97 281 281
--------
Total Demand Deposit
(Cost $281) 281
--------
Total Investments -- 97.8%
(Cost $24,376) 23,073
--------
OTHER ASSETS AND LIABILITIES -- 2.2%
Investment securities purchased (1,235)
Investment securities sold 988
Interest receivable 694
Administration fee payable (5)
Investment advisory fee payable (2)
Other assets and liabilities 90
--------
Other Assets and Liabilities, Net 530
--------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization -- $.001 par
value) based on 2,489,661 outstanding
shares of beneficial interest 24,244
Undistributed net investment income 438
Accumulated net realized gain
on investments 209
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
Netunrealized appreciation on forward
foreign currency contracts, foreign
currency and translation of other assets
and liabilities in foreign currency $ 15
Net unrealized depreciation on investments (1,303)
--------
Total Net Assets-- 100.0% $ 23,603
========
Net Asset Value, Offering and
Redemption Price Per Share $ 9.48
========
*NON-INCOME PRODUCING SECURITY.
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
JY JAPANESE YEN
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE CONTRACTS WITH AN
AGGREGATE MARKET VALUE OF $3,581,935.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
DEBT FUND
FOREIGN BONDS -- 76.5%
ALGERIA -- 1.4%
Republic of Algeria FRN
7.250%, 09/04/06 $ 2,000 $ 1,560
--------
ARGENTINA -- 22.0%
Government of Argentina
Bocon Proveedores 2
5.500%, 04/01/07 6,375 5,604
Government of Argentina
Bocon Previsional 2
5.500%, 04/01/01 2,324 2,197
Government of Argentina FRN
6.750%, 03/31/05 4,704 4,316
6.375%, 03/31/23 3,650 3,011
Government of Argentina
5.500%, 03/31/23 13,500 8,754
--------
23,882
--------
BRAZIL -- 16.6%
CIA Paranaense De Energica
9.750%, 05/02/05 2,500 2,490
Government of Brazil FRN
6.938%, 04/15/12 8,650 6,877
Government of Brazil MYDFA
6.547%, 09/15/07 2,426 2,156
Government of Brazil
4.000%, 04/15/14 5,219 3,954
57
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
EMERGING MARKETS
DEBT FUND
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
Petroleo Brazil FRN
10.000%, 10/17/06 $ 2,400 $ 2,466
--------
17,943
--------
BULGARIA -- 2.0%
Government of Bulgaria FRN
6.563%, 07/28/24 3,500 2,201
--------
COLOMBIA -- 1.5%
Republic of Colombia
7.625%, 02/15/07 1,750 1,655
--------
ECUADOR -- 4.3%
Government of Ecuador FRN
6.438%, 02/28/25 3,800 2,527
Government of Ecuador
3.500%, 02/28/25 5,000 2,175
--------
4,702
--------
MACEDONIA -- 2.2%
Macedonia FRN
3.500%, 07/02/12 3,479 2,384
--------
MEXICO -- 4.6%
Government of Mexico
11.500%, 05/15/26 4,650 4,938
--------
PANAMA -- 4.7%
Government of Panama FRB
3.500%, 07/17/14 7,000 5,110
--------
PERU -- 4.3%
Republic of Peru PDI
4.000%, 03/07/17 7,750 4,650
--------
POLAND -- 4.1%
Government of Poland FRN
6.938%, 10/27/24 1,840 1,785
Governement of Poland PDI
4.000%, 10/27/14 3,250 2,629
--------
4,414
--------
RUSSIA -- 4.3%
Republic of Russia
9.250%, 11/27/01 4,700 4,618
--------
VENEZUELA -- 4.5%
Government of Venezuela FRB,
Series B
6.750%, 03/31/07 714 639
Government of Venezuela FRN
6.500%, 12/18/07 1,500 1,322
Government of Venezuela FRB,
Series A
6.750%, 03/31/07 1,190 1,065
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)(1) VALUE (000)
- --------------------------------------------------------------------------------
Government of Venezuela
Discount, Series A
6.907%, 03/31/20 $ 2,250 $ 1,851
--------
4,877
--------
Total Foreign Bonds
(Cost $82,821) 82,934
--------
LOAN PARTICIPATIONS -- 11.4%
MOROCCO -- 1.5%
Morocco R&C Loan FRN
(Participation: J.P. Morgan) (3)
6.594%, 01/01/09 1,850 1,626
--------
RUSSIA -- 9.9%
Russian Loan Agreement (2)
(Participation: J.P. Morgan) (3) 13,300 10,773
--------
Total Loan Participations
(Cost $12,313) 12,399
--------
FOREIGN PROMISSORY NOTE -- 3.4% NIGERIA -- 3.4%
Government of Nigeria
8.000%, 05/01/10 7,300 3,714
--------
Total Foreign Promissory Note
(Cost $4,152) 3,714
--------
DEMAND DEPOSIT -- 9.3%
UNITED STATES -- 9.3%
Northern Trust
3.500%, 05/01/97 10,120 10,120
--------
Total Demand Deposit
(Cost $10,120) 10,120
--------
Total Investments -- 100.6%
(Cost $109,406) 109,167
--------
OTHER ASSETS AND LIABILITIES -- (0.6%)
Investment securities purchased (8,934)
Investment securities sold 6,784
Interest receivable 1,587
Investment advisory fee payable (78)
Administration fee payable (9)
Other assets and liabilities (34)
--------
Total Other Assets and Liabilities, Net (684)
--------
58
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Capital Shares--Institutional Shares
(unlimited authorization -- $.001
par value) based on 9,155,514
outstanding shares of beneficial interest $ 91,621
Undistributed net investment income 3,208
Accumulated net realized gain
on investments 13,865
Net unrealized appreciation on forward
foreign currency contracts, foreign
currency and translation of other assets
and liabilities in foreign currency 28
Net unrealized depreciation on investments (239)
--------
Total Net Assets -- 100.0% $108,483
========
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Class $ 11.84
========
FRB FLOATING RATE BOND
FRN FLOATING RATE NOTE
MYDFA MULTI-YEAR DEPOSIT FINANCE AGREEMENT
PDI PAST DUE INCOME
(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.
59
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED
APRIL 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
---------- --------- ---------- ---------- ---------- ---------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED SMALLER
BOND INCOME BOND INCOME COMPANIES MICROCAP
FUND FUND FUND FUND FUND FUND (1)
---------- --------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $7,851 $29,270 $ 416 $ 333 $ 16 $ 9
Dividends -- -- -- -- 6 1
Less: Foreign taxes withheld -- -- -- -- -- --
------ ------- ------ ------ ------ ------
Total Investment Income 7,851 29,270 416 333 22 10
------ ------- ------ ------ ------ ------
EXPENSES:
Investment advisory fees 538 1,623 29 21 21 10
Investment advisory fee reduction (112) (257) (29) (21) (21) (10)
Administration fees 140 423 30 30 30 6
Custodian fees 6 23 1 4 3 1
Transfer agent fees 7 21 6 6 7 4
Professional fees 47 151 3 2 1 --
Registration & filing fees 43 140 3 4 1 --
Printing fees 10 31 1 -- -- --
Trustee fees 11 32 -- -- -- --
Pricing fees 25 13 5 2 1 1
Other expenses 7 20 -- -- -- --
------ ------- ------ ------ ------ ------
Total expenses 722 2,220 49 48 43 12
Less: Reimbursement from Advisor -- -- (11) (21) (15) --
------ ------- ------ ------ ------ ------
Total Net Expenses 722 2,220 38 27 28 12
------ ------- ------ ------ ------ ------
NET INVESTMENT INCOME (LOSS) 7,129 27,050 378 306 (6) (2)
------ ------- ------ ------ ------ ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions (468) 4,713 6 7 139 (65)
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 (1,398) (14,091) (9) (15) (380) (144)
------ ------- ------ ------ ------ ------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $5,263 $17,672 $ 375 $ 298 $ (247) $ (211)
====== ======= ====== ====== ====== =======
(1) MICROCAP FUND COMMENCED OPERATIONS ON 12/18/96.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
------------- -------- ------------- --------- --------
INTERNATIONAL EUROPEAN EMERGING
INTERNATIONAL EUROPEAN SMALL CAP SMALL CAP MARKETS
EQUITY EQUITY EQUITY EQUITY EQUITY
FUND FUND FUND FUND FUND
------------- -------- ------------- --------- --------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 7 $ 36 $ 34 $ 7 $ 24
Dividends 34 286 569 82 805
Less: Foreign taxes withheld (4) (40) (67) (14) (38)
------ ----- ------- ----- ------
Total Investment Income 37 282 536 75 791
------ ----- ------- ----- ------
EXPENSES:
Investment advisory fees 15 82 484 51 489
Investment advisory fee reduction (15) (25) (80) (47) (152)
Administration fees 30 14 50 30 51
Custodian fees 7 9 105 14 169
Transfer agent fees 6 6 8 6 8
Professional fees 1 4 12 1 14
Registration & filing fees 1 6 8 1 15
Printing fees -- 1 3 -- 3
Trustee fees -- 1 4 -- 4
Pricing fees 6 7 7 6 7
Other expenses -- 1 4 2 3
------ ----- ------- ----- ------
Total expenses 51 106 605 64 611
Less: Reimbursement from Advisor (32) -- -- -- --
------ ----- ------- ----- ------
Total Net Expenses 19 106 605 64 611
------ ----- ------- ----- ------
NET INVESTMENT INCOME (LOSS) 18 176 (69) 11 180
------ ----- ------- ----- ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions 57 821 (8,621) 47 665
Option transactions -- -- -- -- --
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions 9 81 135 (7) (315)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency 4 26 63 (2) (19)
Net change in unrealized appreciation
(depreciation) on investments (3) 1,394 412 (246) 5,798*
------ ----- ------- ----- ------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 85 $2,498 $(8,080) $(197) $6,309
====== ====== ======= ===== ======
------ ------------- --------
GLOBAL INTERNATIONAL EMERGING
FIXED FIXED MARKETS
INCOME INCOME DEBT
FUND FUND FUND
------ ------------- --------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 3,842 $ 633 $ 4,951
Dividends -- -- --
Less: Foreign taxes withheld -- (8) --
------- ------- -------
Total Investment Income 3,842 625 4,951
------- ------- -------
EXPENSES:
Investment advisory fees 318 55 754
Investment advisory fee reduction (101) (53) (185)
Administration fees 66 30 59
Custodian fees 73 24 83
Transfer agent fees 8 7 8
Professional fees 21 (2) 30
Registration & filing fees 4 2 28
Printing fees 5 -- 6
Trustee fees 6 1 7
Pricing fees 9 7 8
Other expenses 5 -- 2
------- ------- -------
Total expenses 414 71 800
Less: Reimbursement from Advisor -- -- --
------- ------- -------
Total Net Expenses 414 71 800
------- ------- -------
NET INVESTMENT INCOME (LOSS) 3,428 554 4,151
------- ------- -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions 1,721 192 14,180
Option transactions 142 21 --
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions (806) (81) 198
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency 1,262 166 33
Net change in unrealized appreciation
(depreciation) on investments (9,730) (2,176) (7,391)
------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $(3,983) $(1,324) $11,171
======= ======= =======
<FN>
*NET OF $45,000 CHANGE IN ACCRUED FOREIGN WITHHOLDING TAXES.
</FN>
</TABLE>
60&61
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED APRIL 30, 1997
(UNAUDITED) AND THE PERIOD ENDED OCTOBER 31, 1996
<TABLE>
<CAPTION>
----------- ----------- ----------- -----------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED
BOND INCOME BOND INCOME
FUND FUND FUND FUND
----------- ----------- ----------- -----------
1997 1996 1997 1996 1997 1996 1997 1996
---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 7,129 $ 12,800 $ 27,050 $ 39,299 $ 378 $ 252 $ 306 $ 384
Net realized gain (loss) from
security transactions (468) 3,750 4,713 (617) 6 21 7 (27)
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 (1,398) (969) (14,091) 702 (9) 15 (15) --
-------- -------- -------- -------- ------- ------ ------- ------
Net increase (decrease) in net assets
from operations 5,263 15,581 17,672 39,384 375 288 298 357
-------- -------- -------- -------- ------- ------ ------- ------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (7,124) (12,782) (26,579) (39,300) (378) (252) (306) (384)
Net realized gains (2,204) -- -- (3,091) (21) (15) -- --
-------- -------- -------- -------- ------- ------ ------- ------
Total Distributions (9,328) (12,782) (26,579) (42,391) (399) (267) (306) (384)
-------- -------- -------- -------- ------- ------ ------- ------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 57,258 63,066 161,057 406,477 13,057 7,467 8,702 9,087
Shares issued in lieu of cash
distributions 7,398 10,998 22,020 40,193 383 219 189 331
Cost of shares repurchased (22,734) (45,769) (67,718) (179,881) (8,836) (2,299) (1,248) (6,780)
-------- -------- -------- -------- ------- ------ ------- ------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 41,922 28,295 115,359 266,789 4,604 5,387 7,643 2,638
-------- -------- -------- -------- ------- ------ ------- ------
Net increase (decrease) in net assets 37,857 31,094 106,452 263,782 4,580 5,408 7,635 2,611
-------- -------- -------- -------- ------- ------ ------- ------
NET ASSETS:
Beginning of period 252,152 221,058 758,003 494,221 9,132 3,724 6,751 4,140
-------- -------- -------- -------- ------- ------ ------- ------
End of period $290,009 $252,152 $864,455 $758,003 $13,712 $9,132 $14,386 $6,751
======== ======== ======== ======== ======= ====== ======= ======
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 5,239 5,794 15,350 39,016 1,287 740 873 908
Shares issued in lieu of cash
distributions 677 1,008 2,104 3,842 38 22 19 33
Shares repurchased (2,081) (4,200) (6,449) (17,233) (872) (228) (125) (679)
-------- -------- -------- -------- ------- ------ ------- ------
Net increase (decrease)
in capital shares 3,835 2,602 11,005 25,625 453 534 767 262
======== ======== ======== ======== ======= ====== ======= ======
<FN>
(2) MICROCAP FUND COMMENCED OPERATIONS ON 12/18/96.
(3) EUROPEAN EQUITY FUND COMMENCED OPERATIONS ON 9/03/96.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</FN>
----------- --------- ----------- --------------
SMALLER INTERNATIONAL EUROPEAN
COMPANIES MICROCAP EQUITY EQUITY
FUND FUND (2) FUND FUND (3)
----------- --------- ----------- --------------
1997 1996 1997 1997 1996 1997 1996
---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ (6) $ (8) $ (2) $ 18 $ 19 $ 176 $ (12)
Net realized gain (loss) from
security transactions 139 351 (65) 57 162 821 206
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions -- -- -- 9 30 81 31
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- -- -- 4 (9) 26 5
Net change in unrealized appreciation
(depreciation) on investments (380) 364 (144) (3) 158 1,394 775
------ ------ ------ ------ ------ ------- -------
Net increase (decrease) in net assets
from operations (247) 707 (211) 85 360 2,498 1,005
------ ------ ------ ------ ------ ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income -- (9) -- (44) (108) (59) --
Net realized gains (354) -- -- (157) -- (206) --
------ ------ ------ ------ ------ ------- -------
Total Distributions (354) (9) -- (201) (108) (265) --
------ ------ ------ ------ ------ ------- -------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 763 783 2,194 1,629 325 15,743 16,896
Shares issued in lieu of cash
distributions 354 9 -- 201 108 265 --
Cost of shares repurchased (350) (13) -- (10) -- -- --
------ ------ ------ ------ ------ ------- -------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 767 779 2,194 1,820 433 16,008 16,896
------ ------ ------ ------ ------ ------- -------
Net increase (decrease) in net assets 166 1,477 1,983 1,704 685 18,241 17,901
------ ------ ------ ------ ------ ------- -------
NET ASSETS:
Beginning of period 4,115 2,638 -- 3,423 2,738 17,902 1
------ ------ ------ ------ ------ ------- -------
End of period $4,281 $4,115 $1,983 $5,127 $3,423 $36,143 $17,902
====== ====== ====== ====== ====== ======= =======
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 60 64 214 144 28 1,362 1,690
Shares issued in lieu of cash
distributions 28 1 -- 17 10 24 --
Shares repurchased (25) (1) -- (1) -- -- --
------ ------ ------ ------ ------ ------- -------
Net increase (decrease)
in capital shares 63 64 214 160 38 1,386 1,690
====== ====== ====== ====== ====== ======= =======
-------------- -------------- -----------
INTERNATIONAL EUROPEAN EMERGING
SMALL CAP SMALL CAP MARKETS
EQUITY EQUITY EQUITY
FUND FUND FUND
-------------- -------------- -----------
1997 1996 1997 1996 1997 1996
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ (69) $ 399 $ 11 $ 100 $ 180 $ 627
Net realized gain (loss) from
security transactions (8,621) 2,740 47 295 665 2,393
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions 135 1,161 (7) 33 (315) (584)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency 63 (169) (2) 21 (19) 54
Net change in unrealized appreciation
(depreciation) on investments 412 3,160 (246) 521 5,798* 7,045**
-------- -------- ------- ------ -------- -------
Net increase (decrease) in net assets
from operations (8,080) 7,291 (197) 970 6,309 9,535
-------- -------- ------- ------ -------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (1,326) (479) (147) (99) (53) (332)
Net realized gains -- -- (301) (30) (2,255) (1,017)
-------- -------- ------- ------ -------- -------
Total Distributions (1,326) (479) (448) (129) (2,308) (1,349)
-------- -------- ------- ------ -------- -------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 4,168 52,024 655 518 10,938 33,310
Shares issued in lieu of cash
distributions 1,253 458 448 129 2,308 1,350
Cost of shares repurchased (16,682) (43,502) -- (968) (456)(47,855)
-------- -------- ------- ------ -------- -------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS (11,261) 8,980 1,103 (321) 12,790 (13,195)
-------- -------- ------- ------ -------- -------
Net increase (decrease) in net assets (20,667) 15,792 458 520 16,791 (5,009)
-------- -------- ------- ------ -------- -------
NET ASSETS:
Beginning of period 106,709 90,917 9,856 9,336 88,279 93,288
-------- -------- ------- ------ -------- -------
End of period $ 86,042 $106,709 $10,314 $9,856 $105,070 $88,279
======== ======== ======= ====== ======== =======
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 454 5,092 53 43 1,194 3,766
Shares issued in lieu of cash
distributions 130 47 37 12 265 165
Shares repurchased (1,775) (4,102) -- (78) (50) (5,393)
-------- -------- ------- ------ -------- -------
Net increase (decrease)
in capital shares (1,191) 1,037 90 (23) 1,409 (1,462)
======== ======== ======= ====== ======== =======
<FN>
* NET OF $45,000 CHANGE IN ACCRUED FOREIGN WITHHOLDING TAXES.
**NET OF $43,000 CHANGE IN ACCRUED FOREIGN WITHHOLDING TAXES.
</FN>
</TABLE>
62&63
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE SIX MONTH PERIOD ENDED APRIL 30,
1997 (UNAUDITED) AND THE YEAR ENDED OCTOBER 31, 1996
<TABLE>
<CAPTION>
--------------- ------------- --------------
GLOBAL INTERNATIONAL EMERGING
FIXED FIXED MARKETS
INCOME INCOME DEBT
FUND FUND FUND
--------------- ------------- --------------
1997 1996 1997 1996 1997 1996
--------- --------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 3,428 $ 8,155 $ 554 $ 1,593 $ 4,151 $ 7,665
Net realized gain (loss) from
security transactions 1,863 3,388 213 1,093 14,180 10,414
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions (806) (2,158) (81) (153) 198 (53)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency 1,262 (391) 166 (203) 33 57
Net change in unrealized appreciation
(depreciation) on investments (9,730) 209 (2,176) (354) (7,391) 7,275
-------- -------- ------- ------- -------- --------
Net increase (decrease) in net assets
from operations (3,983) 9,203 (1,324) 1,976 11,171 25,358
-------- -------- ------- ------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income (5,886) (5,023) (1,179) (1,587) (7,733) (6,316)
Net realized gains (3,253) (946) (1,069) (283) (9,043) --
-------- -------- ------- ------- -------- --------
Total Distributions (9,139) (5,969) (2,248) (1,870) (16,776) (6,316)
-------- -------- ------- ------- -------- --------
CAPITAL SHARE TRANSACTIONS (1):
Proceeds from shares issued 5,741 55,202 5,813 7,725 79,082 67,563
Shares issued in lieu of cash
distributions 8,014 5,007 2,079 1,681 16,515 6,316
Cost of shares repurchased (40,681) (52,863) (1,872) (15,960) (83,940) (74,928)
-------- -------- ------- ------- -------- --------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS (26,926) 7,346 6,020 (6,554) 11,657 (1,049)
-------- -------- ------- ------- -------- --------
Net increase (decrease) in net assets (40,048) 10,580 2,448 (6,448) 6,052 17,993
-------- -------- ------- ------- -------- --------
NET ASSETS:
Beginning of period 149,917 139,337 21,155 27,603 102,431 84,438
-------- -------- ------- ------- -------- --------
End of period $109,869 $149,917 $23,603 $21,155 $108,483 $102,431
======== ======== ======= ======= ======== ========
(1) CAPITAL SHARE TRANSACTIONS:
Shares issued 546 5,070 586 719 6,640 5,922
Shares issued in lieu of cash
distributions 757 463 205 155 1,455 587
Shares repurchased (3,787) (4,891) (173) (1,436) (6,608) (6,847)
-------- -------- ------- ------- -------- --------
Net increase (decrease) in capital shares (2,484) 642 618 (562) 1,487 (338)
======== ======== ======= ======= ======== ========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
64
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED APRIL 30, 1997
(UNAUDITED) AND THE PERIODS ENDED OCTOBER 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET DISTRIBUTIONS
NET ASSET NET REALIZED DISTRIBUTIONS FROM
VALUE INVESTMENT AND FROM NET REALIZED NET ASSET
BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL
OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------
MUNICIPAL BOND FUND:
- --------------------
1997** $10.99 $0.73 $(0.07) $(0.73) $(0.09) $10.83 2.03%
1996 10.86 0.60 0.13 (0.60) -- 10.99 6.90
1995 10.37 0.61 0.49 (0.61) -- 10.86 10.90
1994 11.36 0.60 (0.61) (0.60) (0.38) 10.37 (0.15)
1993 10.56 0.67 0.84 (0.67) (0.04) 11.36 14.68
1992(1) 10.00 0.60 0.56 (0.60) -- 10.56 13.42+
- ------------------
FIXED INCOME FUND:
- ------------------
1997** $10.51 $0.35 $(0.12) $(0.34) $ -- $10.40 2.21%
1996 10.62 0.68 (0.04) (0.68) (0.07) 10.51 6.27
1995 9.93 0.70 0.69 (0.70) -- 10.62 14.53
1994 10.95 0.64 (0.91) (0.64) (0.11) 9.93 (2.58)
1993 9.92 0.64 1.03 (0.64) -- 10.95 17.28
1992(2) 10.00 0.06 (0.08) (0.06) -- 9.92 (1.61)+
- -------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -------------------------------
1997** $10.13 $0.26 $0.01 $(0.26) $(0.01) $10.13 2.71%
1996 10.13 0.54 0.04 (0.54) (0.04) 10.13 5.90
1995(3) 10.00 0.30 0.13 (0.30) -- 10.13 4.39+
- -----------------------------
SHORT-TERM FIXED INCOME FUND:
- -----------------------------
1997** $10.00 $0.29 $(0.02) $(0.29) $ -- $ 9.98 2.78%
1996 10.01 0.60 (0.01) (0.60) -- 10.00 6.09
1995(4) 10.00 0.37 0.01 (0.37) -- 10.01 3.82+
- -----------------------
SMALLER COMPANIES FUND:
- -----------------------
1997** $13.10 $(0.01) $(0.51) $ -- $(1.22) $11.36 (4.85)%
1996 10.55 (0.02) 2.61 (0.04) -- 13.10 24.58
1995(5) 10.00 0.03 0.52 -- -- 10.55 5.50+
- --------------
MICROCAP FUND:
- --------------
1997(6) $10.00 $(0.01) $(0.74) $ -- $ -- $ 9.25 (7.50)%
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
1997** $11.94 $0.07 $0.12 $(0.15) $(0.55) $11.43 2.09%
1996 10.95 0.11 1.25 (0.43) -- 11.88 12.70
1995(7) 10.00 0.08 0.87 -- -- 10.95 9.50+
- ---------------------
EUROPEAN EQUITY FUND:
- ---------------------
1997** $10.60 $0.07 $1.23 $(0.03) $(0.12) $11.75 12.34%
1996(8) 10.00 -- 0.60 -- -- 10.60 6.00+
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
1997** $9.96 $(0.02) $(0.77) $(0.13) $ -- $ 9.04 (8.06)%
1996 9.40 0.03 0.57 (0.04) -- 9.96 6.43
1995 10.35 0.03 (0.72) (0.04) (0.22) 9.40 (6.67)
1994(9) 10.00 0.02 0.33 -- -- 10.35 3.50+
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
NET TO AVERAGE TO AVERAGE
RATIO OF INVESTMENT NET ASSETS NET ASSETS
NET ASSETS EXPENSES INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO AVERAGE
END OF TO AVERAGE TO AVERAGE EXPENSE EXPENSE TURNOVER COMMISSION
PERIOD (000) NET ASSETS NET ASSETS LIMITATIONS) LIMITATIONS) RATE RATE*
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------
MUNICIPAL BOND FUND:
- --------------------
1997** $290,009 0.54% 5.29% 0.56% 5.27% 45% N/A
1996 252,152 0.55 5.50 0.61 5.44 66 N/A
1995 221,058 0.54 5.75 0.62 5.67 63 --
1994 165,677 0.54 5.60 0.67 5.47 94 --
1993 148,022 0.55 5.94 0.75 5.74 160 --
1992(1) 94,700 0.55 6.31 0.79 6.07 143 --
- ------------------
FIXED INCOME FUND:
- ------------------
1997** $864,455 0.55% 6.66% 0.61% 6.60% 88% N/A
1996 758,003 0.55 6.52 0.61 6.46 176 N/A
1995 494,221 0.54 6.81 0.63 6.72 182 --
1994 239,556 0.54 6.22 0.66 6.10 251 --
1993 147,917 0.55 6.01 0.72 5.84 196 --
1992(2) 25,528 0.55 5.24 1.66 4.13 148 --
- -------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -------------------------------
1997** $13,712 0.52% 5.15% 1.07% 4.60% 58% N/A
1996 9,132 0.53 5.34 1.58 4.29 129 N/A
1995(3) 3,724 0.52 4.60 2.16 2.96 62 --
- -----------------------------
SHORT-TERM FIXED INCOME FUND:
- -----------------------------
1997** $14,386 0.52% 5.95% 1.33% 5.14% 115% N/A
1996 6,751 0.53 6.00 1.29 5.24 124 N/A
1995(4) 4,140 0.52 5.86 2.84 3.54 90 --
- -----------------------
SMALLER COMPANIES FUND:
- -----------------------
1997** $4,281 1.25% (0.29)% 2.91% (1.95)% 43% $0.0535
1996 4,115 1.25 (0.23) 2.55 (1.53) 141 0.0560
1995(5) 2,638 1.25 0.94 2.28 (0.09) 23 --
- --------------
MICROCAP FUND:
- --------------
1997(6) $1,983 1.75% (0.27)% 3.08% (1.60)% 26% $0.0077
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
1997** $5,127 0.90% 1.72% 3.10% (0.48)% 20% $0.0395
1996 3,423 0.90 0.72 3.59 (1.97) 39 0.0221
1995(7) 2,738 0.90 1.55 2.73 (0.28) 19 --
- ---------------------
EUROPEAN EQUITY FUND:
- ---------------------
1997** $36,143 0.90% 1.50% 1.11% 1.29% 15% $0.0302
1996(8) 17,902 0.90 (0.41) 1.40 (0.91) 5 0.0324
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
1997** $ 86,042 1.25% (0.14)% 1.41% (0.30)% 25% $0.0032
1996 106,709 1.25 0.35 1.38 0.22 47 0.0170
1995 90,917 1.25 0.41 1.48 0.18 62 --
1994(9) 68,798 1.25 0.34 1.67 (0.08) 41 --
<FN>
+ 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) MICROCAP FUND COMMENCED OPERATIONS ON 12/18/96. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED, EXCLUDING TOTAL RETURN.
(7) INTERNATIONAL EQUITY FUND COMMENCED OPERATIONS ON 5/15/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(8) EUROPEAN EQUITY FUND COMMENCED OPERATIONS ON 9/3/96 ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(9) INTERNATIONAL SMALL CAP EQUITY FUND COMMENCED OPERATIONS ON 1/3/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
* AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND SALES DURING THE PERIOD. PRESENTATION OF THE RATE
IS ONLY REQUIRED FOR FISCAL YEARS BEGINNING AFTER SEPTEMBER 1, 1995.
** FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1997. ALL RATIOS, EXCLUDING TOTAL RETURN, FOR THAT PERIOD HAVE BEEN ANNUALIZED.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
65
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE SIX MONTH PERIOD ENDED APRIL 30,
1997 (UNAUDITED) AND THE PERIODS ENDED OCTOBER 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET DISTRIBUTIONS
NET ASSET NET REALIZED DISTRIBUTIONS FROM
VALUE INVESTMENT AND FROM NET REALIZED NET ASSET
BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL
OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
1997** $12.54 $0.02 $(0.22) $(0.19) $(0.38) $11.77 (1.72)%
1996 11.55 0.12 1.03 (0.12) (0.04) 12.54 10.06
1995(1) 10.00 0.12 1.44 (0.01) -- 11.55 15.66+
- -----------------------------
EMERGING MARKETS EQUITY FUND:
- -----------------------------
1997** $8.80 $0.01 $0.60 $(0.01) $(0.22) $9.18 7.07%
1996 8.11 0.06 0.75 (0.03) (0.09) 8.80 10.02
1995 11.00 0.04 (2.29) (0.02) (0.62) 8.11 (21.00)
1994(2) 10.00 (0.01) 1.01 -- -- 11.00 10.00+
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
1997** $11.26 $0.41 $(0.75) $(0.50) $(0.28) $10.14 (3.33)%
1996 10.99 0.59 0.12 (0.37) (0.07) 11.26 6.60 1
1995 9.85 0.35 0.99 (0.20) -- 10.99 13.88 1
1994(3) 10.00 0.25 (0.40) -- -- 9.85 (1.50)+
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
1997** $11.30 $0.21 $(0.79) $(0.65) $(0.59) $9.48 (5.93)%
1996 11.34 0.86 (0.12) (0.66) (0.12) 11.30 6.82%
1995 9.94 0.42 1.03 (0.05) -- 11.34 14.66
1994(4) 10.00 0.29 (0.35) -- -- 9.94 (0.60)+
- ---------------------------
EMERGING MARKETS DEBT FUND:
- ---------------------------
1997** $13.36 $0.78 $0.56 $(1.32) $(1.54) $11.84 10.99%
1996 10.55 1.21 2.60 (1.00) -- 13.36 38.42
1995 10.19 0.65 (0.17) (0.11) (0.01) 10.55 4.85
1994(5) 10.00 0.13 0.06 -- -- 10.19 1.90+
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
NET TO AVERAGE TO AVERAGE
RATIO OF INVESTMENT NET ASSETS NET ASSETS
NET ASSETS EXPENSES INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO AVERAGE
END OF TO AVERAGE TO AVERAGE EXPENSE EXPENSE TURNOVER COMMISSION
PERIOD (000) NET ASSETS NET ASSETS LIMITATIONS) LIMITATIONS) RATE RATE*
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
1997** $10,314 1.25% 0.22% 2.17% (0.70)% 14% $0.0707
1996 9,856 1.25 0.96 2.50 (0.29) 49 0.0327
1995(1) 9,336 1.25 1.25 2.24 0.26 34 --
- -----------------------------
EMERGING MARKETS EQUITY FUND:
- -----------------------------
1997** $105,070 1.25% 0.37% 1.56% 0.06% 27% $0.0003
1996 88,279 1.25 0.63 1.52 0.36 69 0.0003
1995 93,288 1.25 0.44 1.55 0.14 49 --
1994(2) 56,892 1.36 (0.12) 1.79 (0.55) 45 --
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
1997** $109,869 0.65% 5.38% 0.81% 5.22% 89% N/A
1996 49,917 0.75 5.39 0.79 5.35 223 N/A
1995 39,337 0.78 5.61 0.87 5.52 147 --
1994(3) 53,915 0.85 5.71 1.28 5.28 173 --
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
1997** $23,603 0.65% 5.13% 1.13% 4.65% 80% N/A
1996 21,155 0.75 5.41 1.03 5.13 235 N/A
1995 27,603 0.78 5.51 1.15 5.14 187 --
1994(4) 15,238 0.85 5.66 1.42 5.09 130 --
- ---------------------------
EMERGING MARKETS DEBT FUND:
- ---------------------------
1997** $108,483 1.42% 7.44% 1.74% 7.12% 278% N/A
1996 102,431 1.50 10.15 1.92 9.73 227 N/A
1995 84,438 1.79 10.97 2.05 10.71 266 --
1994(5) 16,248 1.90 7.04 2.60 6.34 52 --
<FN>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) EUROPEAN SMALL CAP EQUITY FUND COMMENCED OPERATIONS ON 11/1/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) EMERGING MARKETS EQUITY FUND COMMENCED OPERATIONS ON 2/2/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) GLOBAL FIXED INCOME FUND COMMENCED OPERATIONS ON 1/3/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(4) INTERNATIONAL FIXED INCOME FUND COMMENCED OPERATIONS ON 3/15/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(5) EMERGING MARKETS DEBT FUND COMMENCED OPERATIONS ON 8/4/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
* AVERAGE COMMISSION RATE PAID PER SHARE FOR SECURITY PURCHASES AND SALES DURING THE PERIOD. PRESENTATION OF THE RATE IS
ONLY REQUIRED FOR FISCAL YEARS BEGINNING AFTER SEPTEMBER 1, 1995.
** FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1997. ALL RATIOS, EXCLUDING TOTAL RETURN, FOR THAT PERIOD HAVE BEEN ANNUALIZED.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
66
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (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 eighteen investment portfolios: Morgan Grenfell Municipal
Bond Fund, Morgan Grenfell Fixed Income Fund, Morgan Grenfell Short-Term
Municipal Bond Fund, Morgan Grenfell Short-Term Fixed Income Fund, Morgan
Grenfell Large Cap Growth Fund, Morgan Grenfell Smaller Companies
Fund and Morgan Grenfell Microcap Fund (collectively the "Domestic Funds");
Morgan Grenfell International Equity Fund, Morgan Grenfell European Equity Fund,
Morgan Grenfell Global Equity Fund, Morgan Grenfell Pacific Basin Equity Fund,
Morgan Grenfell International Small Cap Equity Fund, Morgan Grenfell European
Small Cap Equity Fund, Morgan Grenfell Japanese Small Cap Equity Fund, Morgan
Grenfell Emerging Markets Equity Fund, Morgan Grenfell Global Fixed Income Fund,
Morgan Grenfell International Fixed Income Fund and Morgan Grenfell 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, 1997, the Large Cap Growth Fund, Global Equity Fund, Pacific Basin
Equity Fund and Japanese Small Cap Equity Fund had not yet commenced operations.
The Funds' prospectuses provide a description of each Fund's investment
objectives, policies and strategies.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in accordance with generally accepted
accounting principles requires Trust management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates. 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. 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 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
67
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
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 Statement of Net Assets 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.
EXPENSES--Expenses that are directly related to a Fund are charged directly
to that Fund.
68
<PAGE>
================================================================================
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: 0.12% up to $1 billion; 0.08% from $1
billion to $1.5 billion; 0.06% from $1.5 billion to $2.5 billion; and 0.04% in
excess of $2.5 billion. Each Fund pays the Administrator a minimum annual fee of
$60,000 (after a one-year phase
in period).
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 (collectively referred to as "Advisors). 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%
Microcap Fund 1.50%
International Equity Fund 0.70%
European 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 1.00%*
*1.50% PRIOR TO MARCH 1, 1997.
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%
Microcap Fund 1.75%
International Equity Fund 0.90%
European 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 0.65%
International Fixed Income Fund 0.65%
Emerging Markets Debt Fund 1.25%*
*1.50% PRIOR TO MARCH 1, 1997.
69
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (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.
During the period ended April 30, 1997, certain portfolios of the Trust
purchased securities from and sold securities to other portfolios of the Trust
or other accounts managed by the Advisor at market value.
4. FORWARD FOREIGN CURRENCY CONTRACTS
The International Funds enter into forward foreign currency exchange contracts
for hedging against portfolio positions denominated in foreign currencies 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,
1997:
CURRENCY TO IN UNREALIZED
(DELIVER)/ EXCHANGE APPRECIATION
MATURITY RECEIVE FOR (DEPRECIATION)
DATE (000) (000) (000)
- --------------- ------------- -------- ------------
INTERNATIONAL EQUITY
- --------------------
FOREIGN CURRENCY SALES:
7/24/97 DM (261) $ 154 $ 2
7/24/97 FF (883) 154 2
-----
$ 4
=====
EUROPEAN EQUITY
- ---------------
FOREIGN CURRENCY SALES:
7/24/97 DM (1,831) $1,079 $ 15
7/24/97 FF (8,212) 1,433 18
-----
$ 33
=====
CURRENCY TO IN UNREALIZED
(DELIVER)/ EXCHANGE APPRECIATION
MATURITY RECEIVE FOR (DEPRECIATION)
DATE (000) (000) (000)
- --------------- ------------- -------- ------------
INTERNATIONAL SMALL CAP
- -----------------------
FOREIGN CURRENCY SALES:
7/24/97 DM (4,415) $ 2,602 $ 36
7/24/97 FF (14,969) 2,613 33
-----
$ 69
=====
GLOBAL FIXED INCOME
- -------------------
FOREIGN CURRENCY SALES:
6/20/97 CA (10,000) $ 7,364 $ 178
7/21/97-8/21/97 DM (38,450) 22,755 386
5/22/97-7/21/97 DK (70,600) 10,999 246
5/22/97-6/20/97 ES (772,000) 5,370 86
5/22/97 UK (2,871) 4,575 (72)
5/22/97-6/20/97 IL(18,300,000) 11,180 499
5/22/97-6/20/97 JY (492,000) 4,049 147
------
$1,470
------
FOREIGN CURRENCY PURCHASES:
6/20/97-7/21/97 DM 32,450 $19,231 $(403)
5/22/97-8/21/97 ES 1,260,000 8,768 (139)
5/22/97 UK 2,871 4,690 (43)
5/22/97-8/21/97 IL 12,090,000 7,090 (44)
5/22/97-6/20/97 JY 1,010,000 8,331 (335)
-----
(964)
-----
$ 506
=====
INTERNATIONAL FIXED INCOME
- --------------------------
FOREIGN CURRENCY SALES:
6/20/97 CA (900) $ 663 $ 16
5/22/97-8/21/97 DM (9,230) 5,487 129
5/22/97-7/21/97 DK (22,450) 3,472 54
5/22/97-6/20/97 ES (314,000) 2,190 41
5/22/97 UK (360) 571 (12)
5/22/97 IL (2,665,000) 1,628 72
-----
$300
-----
FOREIGN CURRENCY PURCHASES:
5/22/97-7/21/97 DM 7,850 $4,664 $(111)
5/22/97-8/21/97 ES 453,200 3,166 (63)
5/22/97-7/21/97 FF 6,800 1,183 (12)
5/22/97 UK 360 590 (7)
8/21/97 IL 680,000 398 (2)
5/22/97-6/20/97 JY 144,000 1,193 (50)
-----
(245)
-----
$ 55
=====
CURRENCY LEGEND
- ---------------
CA Canadian Dollar IL Italian Lira
DM German Mark JY Japanese Yen
DK Danish Kroner NG Netherlands Guilder
ES Spanish Peseta SK Swedish Krona
FF French Franc UK British Pound Sterling
70
<PAGE>
================================================================================
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, 1997, were as follows:
PURCHASES SALES
(000) (000)
---------- -----------
Municipal Bond Fund $133,288 $109,315
Fixed Income Fund 285,390 249,506
Short-Term Municipal Bond Fund 6,935 4,378
Short-Term Fixed Income Fund 4,217 3,412
Smaller Companies Fund 1,837 1,605
Microcap Fund 2,091 371
International Equity Fund 2,012 787
European Equity Fund 18,000 3,399
International Small Cap Equity Fund 23,690 34,581
European Small Cap Equity Fund 2,392 1,322
Emerging Markets Equity Fund 36,818 25,795
Global Fixed Income Fund 96,539 112,372
International Fixed Income Fund 20,255 16,875
Emerging Markets Debt Fund 111,846 151,190
The cost of U.S. Government security purchases and the proceeds from the
sale of U.S. Government securities during the six month period ended April 30,
1997, were as follows:
PURCHASES SALES
(000) (000)
---------- -----------
Fixed Income Fund $393,843 $368,116
Short-Term Fixed Income Fund 6,005 1,766
Global Fixed Income Fund 13,899 27,612
For Federal income tax purposes, the cost of securities owned at April 30,
1997 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, 1997 for each Fund is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
----------- ----------- --------------
Municipal Bond Fund $4,172 $ (767) $3,405
Fixed Income Fund 6,346 (7,795) (1,449)
Short-Term Municipal
Bond Fund 54 (23) 31
Short-Term Fixed Income Fund 13 (21) (8)
Smaller Companies Fund 540 (420) 120
Microcap Fund 77 (221) (144)
International Equity Fund 522 (232) 290
European Equity Fund 5,564 (445) 5,119
International Small Cap
Equity Fund 14,770 (9,528) 5,242
European Small Cap
Equity Fund 2,190 (836) 1,354
Emerging Markets
Equity Fund 18,268 (8,255) 10,013*
Global Fixed Income Fund 1,580 (6,489) (4,909)
International Fixed
Income Fund 378 (1,681) (1,303)
Emerging Markets
Debt Fund 1,089 (1,328) (239)
* NET OF $88,000 ACCRUED FOREIGN WITHHOLDING TAXES.
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 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 dispos-
71
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Concluded)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1997 (UNAUDITED)
ing 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. 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, the market value of which may change in response to
interest rate changes. 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 in a specific industry or region.
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 Fund,
International Fixed Income Fund 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.
8. SALE OF CERTAIN INVESTMENTS IN UNLISTED SECURITIES
On September 17, 1996, the International Small Cap Equity Fund and the European
Small Cap Equity Fund sold certain investments in unlisted securities to
Deutsche Bank AG, an indirect parent of the Advisors, at their value as of
August 30, 1996. Deutsche Bank had also agreed to indemnify each of the Funds
for any related loss, plus reasonable interest, if it was subsequently
determined based upon findings by a board-appointed independent third party that
there were irregularities in the purchase of the securities or if the August 30,
1996 valuation of the securities was found to be inadequate.
Although there were no findings by the appointed independent third parties
that there were irregularities in the purchase of the securities or that the
August 30, 1996 valuation of the securities was inadequate, Deutsche Bank
subsequently and voluntarily agreed to pay approximately $280,000 and $450,000
directly to shareholders of International Small Cap Equity Fund and European
Small Cap Equity Fund, respectively, who owned shares of the Funds at the time
the Funds were invested in the unlisted securities.
72
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
<PAGE>
MORGAN
GRENFELL
INVESTMENT
TRUST
- ---------------------
SEMI-ANNUAL
REPORT
APRIL 30, 1997
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
Martin A. Hall,
VICE PRESIDENT
Neil P. Jenkins,
VICE PRESIDENT
Ian D. Kelson,
VICE PRESIDENT
John G. Alshefski,
TREASURER, PRINCIPAL ACCOUNTING OFFICER,
CHIEF FINANCIAL OFFICER
Joan H. Binstock,
VICE PRESIDENT AND SECRETARY
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 LLP
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-009-03
