MORGAN
GRENFELL
INVESTMENT
TRUST
----------------------------
SEMI-ANNUAL
REPORT
[GRAPHIC OF GLOBE AND CUBES OMITTED]
Unaudited
APRIL 30, 1998
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Dear Fellow Shareholder:
The Board of Trustees of the Morgan Grenfell Investment Trust and the employees
of Morgan Grenfell would like to thank you for your investments in our family of
mutual funds. The performance summaries and financial statements for each of our
funds for the semi-annual period ending April 30, 1998 are included in the
following pages.
Our U.S. fixed income team was recognized by Morningstar as "Fixed Income
Manager of the Year" for 1997. The team is headed by David Baldt and includes
Gary Bartlett, Warren Davis, Tom Flaherty, Chris Gagnier and Timothy Vile. This
honor was given for the performance and consistency of returns of the fixed
income and municipal bond funds.
Our group of specialized investment teams and our range of fund offerings was
expanded when Curtiss Barrows joined Morgan Grenfell following a distinguished
career at Phoenix Duff and Phelps. With Curtiss' arrival we opened our High
Yield Bond Fund.
Additionally, we are pleased to announce that five of our funds have received
four stars by Morningstar for their performance1. For the overall and three year
periods ended April 30, 1998, the Emerging Markets Debt Fund received five
stars, Morningstar's highest rating, in the International Bond category of 1,418
funds. For the same quarter end overall, three year and five year time frames,
the Municipal Bond Fund also received five stars in the Municipal National
Intermediate category of 1,547 and 809 funds, respectively and the Short-Term
Municipal Bond Fund received five stars in the Municipal Short category of 1,547
funds for the three year period. The Fixed Income Fund received a four star
rating for the overall, 3 year, and five year periods in the Intermediate-Term
Bond category of 1,418 and 856 funds, respectively and the Short-Term Fixed
Income Fund received four stars in the Short-Term Bond Category of 1,418 funds
for the three year period.
We are pleased with the growth and performance of our funds. Our goal is to
provide you with strong investment performance across a broad range of
specialized mutual funds. We continue to appreciate your support and trust.
Sincerely,
S/Signature
James E. Minnick
President,
Morgan Grenfell Investment Trust
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1 Morningstar ratings reflect historical risk-adjusted performance. They are
subject to change every month and are calculated from the Fund's three year
average annual return in excess of 90-day T-bill returns. The top 10% of the
funds in the investment category receive five stars and the next 22.5% receive
a four star rating.
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TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND
PERFORMANCE......................................................... 1
STATEMENT OF NET ASSETS................................................ 12
STATEMENT OF OPERATIONS................................................ 68
STATEMENT OF CHANGES IN NET ASSETS..................................... 70
FINANCIAL HIGHLIGHTS................................................... 73
NOTES TO FINANCIAL STATEMENTS.......................................... 75
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
TAX EXEMPT BOND FUNDS
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, 1998, the Fund's Institutional Shares provided
a total return of 2.84%. For comparison, the Lehman Brothers Five Year General
Obligation Bond Index posted a return of 1.92% over the same period.
We continue to believe that bonds with sinking fund retirements and
mortgage prepayment calls continue to offer attractive investment opportunities.
The average credit rating of the portfolio is AA quality.
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, 1998, the Fund's Institutional Shares generated a total return of
2.24%. For comparison, the IBC Financial All Tax-Free Average posted a return of
1.51%. 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.
TAXABLE FIXED INCOME FUNDS
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
municipals and tax exempt municipals 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, 1998, the Fund's Institutional
Shares provided a total return of 3.34%. For comparison, the Lehman Brothers
Aggregate Bond Index posted a return of 3.58% over the same period. During the
period, interest rates declined modestly as U.S. inflation rate indicators
slowed. Yields of five year U.S. Treasury Notes fell from 5.7% to 5.6%, causing
bond prices to fall.
The credit quality of the portfolio is strong with 75% of the portfolio
rated AAA. We continue to exercise caution in the corporate and mortgage-backed
sectors, being concerned about narrow yield spreads over the U.S. Treasury
bonds. A significant position in AAA-rated asset-backed securities was
accumulated 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, 1998 (UNAUDITED)
SHORT-TERM FIXED INCOME FUND
Morgan Grenfell Short-Term Fixed Income Fund commenced operations on March
13, 1995. Since that time, we have been purchasing short-term investment grade
securities. For the six month period ended April 30, 1998, the Fund generated a
return of 2.74%. For comparison, the Merrill Lynch 6-month Treasury Bill Index
posted a return of 2.67% 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.
HIGH YIELD BOND FUND
The Morgan Grenfell High Yield Bond Fund commenced investment activities on
March 16, 1998. The Fund attempts to provide shareholders with a competitive
dividend as well as an improving net asset value. The Fund invest in domestic as
well as international corporate high yield securities. Our goal is to identify
attractive sectors in the high yield universe and invest in high yield companies
in these sectors. Investments offer attractive yields and show improvement in
credit fundamentals.
For the six weeks ended April 30, 1998, the Fund provided a total return of
1.28%. For comparison, the CS First Boston High Yield Index posted a return of
0.97% for the comparable time frame. The overall high yield market performed
well over the period, with strength in the telecommunications sector, which is
the Fund's largest sector allocation.
Looking forward, the high yield market has exhibited some weakness due to a
heavy supply of new high yield issues. We believe that this will be a short term
problem. Given our view for moderate growth in the economy, we regard the high
yield market as offering good relative value.
SMALLER CAPITALIZATION EQUITY FUNDS
SMALLER COMPANIES FUND
The Morgan Grenfell Smaller Companies Fund had net assets of $7.1 million
as of April 30, 1998. The primary investment objective of this Fund is to
maximize capital appreciation by investing in equity securities of small
capitalization growth companies located primarily in the United States. Small
capitalization companies are defined as those companies ranked in the bottom 20%
of the U.S. equity market according to market capitalization.
For the six month period ended April 30, 1998, the Fund's Institutional
Shares returned 9.65% versus the benchmark S&P SmallCap 600 Index which returned
13.05%. Large capitalization companies continued to outperform small
capitalization companies during the period. The S&P 500 Index, which is
representative of large capitalization companies, returned 22.47% for the
period.
The Fund utilizes a team approach with sector-specialist portfolio
co-managers researching the small cap universe for the best growth investment
ideas. The Fund is a concentrated investment portfolio diversified across the
main sectors of the U.S. economy. As of April 30, 1998, there were 90 holdings
across nine economic sectors. The Consumer, Credit Sensitive, Energy, Health
Care, and Technology sectors accounted for approximately 75% of the Fund.
Among the Fund's major sectors, the Consumer sector of the Fund benefited
from high consumer confidence. Consumers have accelerated their spending
patterns in this low inflation and high employment economic environment.
Specifically, the Fund benefited from the trend toward spending on one's home
through investments in furniture, carpeting,
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and home furnishing stocks. This low interest rate environment has sparked
continued consolidation in the Credit Sensitive sector, which has boosted stock
prices in this area. The account's Technology sector benefited from being
positioned in the software and services components of that sector.
MICROCAP FUND
The Morgan Grenfell Microcap Fund had net assets of $8.6 million as of
April 30, 1998. 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 six month period ended April 30, 1998, the Fund's Institutional
Shares returned 15.40% versus the Russell 2000 Index which returned 13.81%. The
S&P 500 Index, which is representative of large capitalization companies,
returned 22.47% for the period.
The Fund utilizes a team approach with sector-specialist portfolio
co-managers researching the micro cap universe for the best growth investment
ideas. The Fund is a concentrated investment portfolio diversified across the
main sectors of the U.S. economy. As of April 30, 1998, there were 70 holdings
across nine economic sectors. The Consumer, Credit Sensitive, Energy, Health
Care, and Technology sectors accounted for approximately 70% of the Fund.
Among the Fund's major sectors, the Technology sector benefited from being
positioned in software and service companies, and largely avoided the
commodity-driven Technology companies that are feeling pressure from low-priced
Asian imports. The Consumer sector of the Fund benefited from high consumer
confidence. Consumers have accelerated their spending patterns in retail stores
in this low inflation and high employment economic environment. The Health Care
sector benefited from stock selection focused on new product innovation in that
field.
SMALL CAPITALIZATION OUTLOOK
Although domestic equity market valuations are high by historic standards, it is
generally agreed that three of the major "pillars" of this bull market should
remain in place for some time. They are: a healthy domestic economy, low
interest rates, and liquidity. Among individual securities, earnings
disappointments continue to present the primary investment risk.
The structure of the U.S. economy, with its high level of entrepreneurial
activity and venture capital backing, is expected to continue to provide
investors with many attractive investment opportunities as early stage private
companies shift to public ownership. Restructuring and consolidation trends
create many opportunities for smaller company investors.
INTERNATIONAL EQUITY FUNDS
INTERNATIONAL EQUITY FUND
International markets enjoyed variable but strong overall returns during
the period under review. The MSCI EAFE index rose by 15.44% in U.S Dollar terms
in the period, somewhat lagging a return of 22.85% for the MSCI U.S. index.
European and UK markets rose sharply driven by strong economic data and good
corporate earnings. By contrast, the turmoil in Asia led to volatile returns as
some markets and currencies rallied from 1997 lows while others continued to
languish. The slowdown in the Japanese economy, the impact of the Asian Crisis
and an unsatisfactory response from the government caused early gains in the
market to be eroded. The Morgan Grenfell International
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
Equity Fund achieved a positive return against the benchmark index, returning
15.91%. Value was added through asset allocation and the benefits of a yen hedge
but a mild underweighting in European bank stocks and cash held in a rising
market impacted performance.
The Japanese markets have experienced a volatile six months. 1997 saw major
bankruptcies at Yamaichi Securities and Hokkaido-Takashoku Bank and investors
feared that further significant bankruptcies would occur in the financial sector
and that the resultant financial meltdown would lead to the failure of numerous
companies that had previously enjoyed the assistance of the bank sector as they
struggled to emerge from their bad debts of the bubble period. In January, the
government announced that it would commit up to Y30tn ($230bn) of public money
to a rescue package for troubled banks. The market rallied sharply as fears of
bankruptcies receded. Outperformance was most marked in areas of the market that
had been most vulnerable, notably construction and domestic cyclical companies.
Yet it remained apparent that the Japanese economy was very weak; consumer
spending was slow, the impact of the Asian Crisis was beginning to be fully felt
and corporate profits were being revised down. Against this background, the
government and bureaucrats spoke at great length on the need for a support
package of public spending to pump-prime the economy. Areas discussed included
public works and spending on technology as well as extending into 1998 tax cuts
for individuals. As the quarter progressed it became apparent that the economy
needed more than a "quick-fix" in order to regain upwards momentum. Government
prevarication and a stream of gloomy economic data impacted investor sentiment
and dragged the market down. As a result, in the period under review, Japan
underperformed the EAFE index significantly and fell by 9.99% in U.S Dollar
terms.
Portfolio construction continues with the same themes of earnings stability
- -- at a time when market earnings are forecast to fall in 1998 -- and companies
with leading global market shares. We continue to remain cautious on the outlook
for the Japanese market: it seems fairly underpinned by domestic investors
toward the lower end of the recent trading range but it is difficult to see what
could drive the market strongly upwards unless decisive government action is
formulated.
The Australian market is continuing to illustrate a dichotomy between the
sheltered and exposed sectors of the economy. Generally, the market is paying a
premium for defensive/ earnings certainty stocks. Within the industrial sector,
cyclical sectors such as the chemicals and building materials. In contrast,
defensive sectors such as retail and banks. The resource stocks have bounced
since January after reaching a value floor. During the period under review, the
market achieved a return of 8.45%. Economic data released this quarter may show
the first indications of a slowing economy after a period of strong expansion.
GDP had expanded by 3.6% year on year in the final quarter of last year. Within
this, domestic demand rose by 5.3% year on year, following a 5.6% increase in
the previous quarter. The major risk to the growth outlook continues to be the
contagion effects from Asia. First round impacts are already evident and
expectations are that it could reduce economic growth in Australia for 1998 by
as much as one percent. Inflation is now at a cyclical low and is expected to
rise modestly to a peak around 3% this cycle although this could be lower if oil
prices remain depressed. There is scope for further rate cuts, however, if
strong domestic demand and employment growth continue, together with a rising
current account deficit, the central bank is likely to wait until the impact of
the Asian Crisis is more apparent. The softer commodity prices
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will lead to an increasing current account deficit, forecast to approach 6% of
GDP this cycle.
The outlook for the Australian market is neutral. The recent strength of
the market has been based on positive economic data, a strong company reporting
period and reasonable valuation. In the short term, the positive outlook for
interest rates and strong global liquidity will remain supportive of the
markets, however, the team remains concerned that the markets are beginning to
become complacent about the potential second and third round impacts from Asia
on the domestic economy.
The Australian team remains overweight the financial sector and is
investing in the broader cyclical stocks on pure valuation criteria. The
Portfolio has moved to an underweight stance the more defensive sectors after
strong performance and retains a neutral resource sector weighting.
The period under review was particularly difficult for investors in the Far
East. Hong Kong fell by 9.62%, Malaysia by 14.13% and Singapore by 3.18%.
Extreme volatility in exchange rates was the key focus. Many currencies hit new
lows against the U.S dollar in early January, prompted by the failure of the
Indonesian authorities to comply with IMF conditionalities in their first draft
of the budget for 1998-1999 and the collapse of Peregrine, the investment bank
in Hong Kong. Sentiment then quickly turned positive when a significant portion
of Korea's foreign debts was renegotiated at better than expected rates of
interest. Equities in the region, dragged by the wide fluctuations in the
foreign exchange markets and the tight liquidity conditions, performed poorly in
the last six months and the outlook remains challenging. With the financial
panic witnessed in late 1997 and early 1998 now largely behind us, investors are
beginning to focus on the economic adjustment process. In some instances, policy
reform initiatives have met with resistance. For example, labor unrest in Korea
has risen markedly as a result of the reform measures to de-unionize the
nation's work force and pave the way for large scale redundancies. Similarly,
the removal of the subsidy on petrol and diesel prices has spared riots in
Indonesia. However, we are encouraged by the successful recapitalization of two
of the largest banks in Thailand, which represents the first step to inject
liquidity into the economy. In Malaysia, the authorities indicated that they are
willing to consider allowing foreigners to take a majority stake in
telecommunication companies, albeit perhaps on a temporary basis. The currency
markets, meanwhile, are likely to remain volatile. The direction of the yen and
the reform progress in China, as well as economic developments in the region,
will be closely followed by investors.
EUROPEAN EQUITY FUND
In the six-month period under review, European markets have been volatile,
but have again delivered strongly positive returns overall. The benchmark MSCI
Europe index returned + 29.07 over the period, mainly reflecting a very strong
rally in Q1 1998. The benchmark returns were not quite matched by the European
Equity Fund, which produced a return of +25.45% over the same period. The
performance of the Fund is discussed in more detail below.
INTERNATIONAL AND EUROPEAN
EQUITY FUNDS' OUTLOOK
Many of the features of the previous review period were again apparent in the
past six months. The principal feature was the exceptionally strong performance
of the peripheral markets in Continental Europe. Spain (+54.96%), Italy (+46.9%)
and Finland (+42.67%) all delivered exceptionally strong returns, due
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
in large measure to the marked fall in interest rates (specifically bond yields)
during the course of the year in the run-up to European Monetary Union. We have
commented on the likely impact of the introduction of the Euro, the common
European currency, in previous reports. The convergence in bond yields in the
region has certainly been a key driver of performance in the review period,
helping to boost the shares of companies in the financial sector, in particular.
Less well anticipated was the speed at which management in a number of sectors,
particularly in the financial sector, would respond to the harmonization of
currencies by seeking to acquire or merge with competitors. The banking sector
in particular was hugely boosted by a series of large-scale corporate deals, the
most notable of which was the surprise announcement of a merger between UBS and
SBC in Switzerland to create Europe's largest bank.
Although the portfolios had considerable exposure to the quality end of the
financial sector in Continental Europe during the review period, it was mildly
underweighted in the sector as a whole, and this weighed considerably on
relative performance. In the peripheral European markets described above, record
levels of liquidity from domestic mutual funds also provided momentum as
investors fled low yielding fixed income and cash assets and bought equity funds
in some style.
In the core markets, France (+36.5%) also benefited from domestic liquidity
together with strong results from banking and financial stocks. Germany
(+30.87%) performed broadly in line with the European index in the period,
helped by the financial sector. Notable underperformers were Holland (+20.9%),
Sweden (+24.9%) and Denmark (+21.0%). Investors in Norway (-0.59%) were badly
hit by lower oil prices and negative sentiment towards forestry stocks. In the
UK (+23.4%), the continued strength of Sterling had a negative impact on
earnings forecasts, particularly in the manufacturing and export sectors.
Looking forward, we remain broadly positive on the outlook for European
markets. Looking first at the economic outlook, the picture remains somewhat
ambiguous. Generally, data on economic activity has been stronger than expected.
Even Italy, which was thought to lag the European business cycle due to tight
monetary and fiscal policies, posted GDP growth of 2.8% in Q4. French consumer
and business indicators were also stronger than anticipated. Germany's growth is
still moderate but, even there, the recent data on industrial production and
order intake continue to point to stronger growth ahead. The peripheral
countries have posted strong GDP growth, based not only on investment and
exports but also on private consumption which benefits from considerable growth
in employment and real household income. Inflation remains benign in all
countries, benefiting from the drop in oil and commodity prices and the moderate
acceleration of domestic demand. Growth in the UK economy remains robust, with
GDP growing by 2.9% year-on-year in the fourth quarter. However, the slowdown in
the manufacturing and export side of the economy has started to become a drag on
GDP growth. Interest rates are now at a five-year high, although the Bank of
England Monetary Policy Committee is split on the next move. The strength of
sterling and subdued exports have depressed recent inflation data, however the
domestic economy remains strong and warning signs on inflation are now more
evident.
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INTERNATIONAL SMALL CAP EQUITY FUND
The International Small Cap Equity Fund commenced operations on January 3,
1994 and had total net assets of $42.3 million as of April 30, 1998.
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 companies listed on the stock exchange and any stock
listed on a secondary market.
The Fund outperformed its benchmark (the NATWest Markets ("NWM") Euro
Pacific Small Cap Index) rising 9.97% as against a rise of 8.09% for the
benchmark index in the six month period ended April 30, 1998.
Overall asset allocation was positive. The Fund benefited in particular
from underweights in the poorly performing markets of Japan and Malaysia, and
overweights in the strongly performing markets of France and Italy. Overall
stock selection was also positive with the good stock selection from Continental
Europe, Japan and the Far East ex Japan outweighing poor UK and Australian stock
selection.
International small cap equities underperformed large cap stocks in the
period under review with the NWM benchmark index rising 8.09% and the MSCI EAFE
Large Cap index rising 15.44% in the period. This was despite strong rebounds in
Asian smaller companies during January and February.
Our favored small cap markets remain those of Europe. In Continental
Europe, there is a clear case for small cap outperformance. The
domestically-biased smaller companies will benefit more immediately from
economic recovery in the region, and are showing faster earnings growth both
over the short and medium term. In addition, strong domestic mutual fund flows
are now beginning to favor small and mid cap stocks, in particular in Italy. In
the UK, smaller companies rebounded strongly in March and April, due to a
combination of relatively attractive small cap valuations, and the poor
performance of Banks, Oils and Pharmaceuticals, sectors in which UK small cap is
relatively underweight. In the short term, we believe that this outperformance
will continue, with the exception of the manufacturing stocks, which will
continue to be affected by the strength of Sterling.
We remain cautious on the outlook for small caps in Asia, despite their
strong performance in the first quarter. We expect the volatility experienced by
the Japanese market in March to continue. Under these circumstances there seems
to be little scope for continued small cap outperformance, especially as a
series of downward earnings revisions has resulted in less attractive small cap
valuations. In addition, any improvement in the economic situation, a
prerequisite for sustained outperformance of the more domestically biased small
cap stocks, continues to appear unlikely. For similar reasons, we also remain
negative on the smaller markets of the Far East. Despite the relatively strong
performance of these markets during the quarter we believe that this performance
is merely the result of a technical rebound, and that any sustained recovery in
the markets will be led by large cap stocks. We therefore intend to maintain our
underweighting in these markets until there are clear signs of a sustained
economic recovery in the region.
In Australia, whilst we still expect small cap outperformance over the long
term, based on increasingly attractive small cap valuations, and the greater
exposure of small caps to the
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MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
strengthening domestic economy, it is becoming increasingly difficult to predict
when this outperformance will begin.
EUROPEAN SMALL CAP EQUITY FUND
The European Small Cap Equity Fund commenced operations on November 1, 1994
and had total net assets of $3.1 million as of April 30, 1998.
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% of the companies listed on
a stock exchange, or any stock listed on a secondary market.
The Fund underperformed its benchmark (the Nat West Markets ("NWM")
European Small Cap Index) producing a return of 20.01% relative to a benchmark
return of 24.06%. Overall asset allocation was negative, with portfolio
performance hurt in particular by the overweight in the poorly performing
Norwegian market. Overall stock selection was positive, with poor UK stock
selection outweighed by good Continental European stock selection.
During the period, European small caps, as represented by the NWM index
rose in aggregate 24.06% as against a performance of 29.07% for the MSCI Europe
Large Cap index. Much of this underperformance was due to strong domestic fund
flows in Continental Europe, which indiscriminately favored larger companies at
the expense of their smaller counterparts.
We believe that in the near term small caps should outperform relative to
large caps in Europe. In Continental Europe, although strong domestic mutual
fund liquidity flows continue to favor large cap stocks, there are an increasing
number of instances where large cap valuations are assuming earnings growth
which has yet to be proven. In contrast, many small cap stocks have posted
results which have been ahead of expectations. In the UK, smaller companies
rebounded strongly in March and April, due to a combination of relatively
attractive small cap valuations, and the poor performance of Banks, Oils and
Pharmaceuticals, sectors in which UK small cap is relatively underweight. With
the exception of the manufacturing sector, which will continue to be held back
by the continued strength of Sterling, we believe that this small cap
outperformance will continue in the near term.
EMERGING MARKETS EQUITY FUND
The inception date for the Morgan Grenfell Emerging Markets Fund was
February 2, 1994. On April 30, 1998 the Fund had net assets of $124.3 million.
During the six month period ended April 30th 1998, the Fund's performance was
8.12%, which was 5.46% ahead of the benchmark's performance of 2.66% (the Fund's
benchmark is the Morgan Stanley MSCI Emerging Markets Free Index). The
investment objective of the Fund is to maximize capital appreciation by
investing in equity securities of issuers located in countries which have yet to
reach the level of maturity associated with developed foreign stock markets.
The six month period under review started with the second stage of the
Asian economic crisis, which has had a significant impact on emerging equity
market returns. Following the initial crisis in Asia that was sparked off by the
devaluation of the Thai Baht in July 1997, a secondary crisis was unleashed in
late October by further currency weakness throughout the region, leading to
severe economic and political crises in a number of Asian countries.
The abrupt transition from a fixed exchange rate regime to a period in
which most regional currencies went into free fall has had a number of dramatic
consequences for the region, both short term and long term in nature. The short
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term effect was an immediate credit squeeze and debt crisis, the result of the
fact that large proportions of corporate and sovereign debt in the region was
U.S. Dollar denominated. Many corporations in the region, which had high levels
of U.S. Dollar debt on their balance sheets, have seen their entire capital base
destroyed through the appreciation of the U.S Dollar, and the continued weakness
of Asian currencies has left many corporations unable to service their debt. The
debt crisis has in turn necessitated IMF-sponsored structural recovery programs
in many countries in the region: the countries that have seen their stock
markets and currencies start to recover in February 1998 are those which are
perceived by investors as showing the greatest willingness to accommodate the
measures demanded by the IMF. The long term effects of the crisis will be the
enforced introduction of improvements in corporate governance and corporate
return on equity, if foreign investors are to be enticed back to the market to
finance the major recapitalization program that will be required to nurse the
region back to economic health.
Outside Asia, the economic fundamentals have largely remained strong, but
markets in most areas have suffered from an Asian contagion effect, with Latin
America in particular posting disappointing returns. With the exception of
Brazil, which, as a result of continued fiscal austerity measures, will almost
certainly see its economy contract in the first half of 1998, the other major
markets of Mexico and Argentina are enjoying a favorable scenario of positive
growth and improving monetary and fiscal conditions: the Asian crisis has,
however, heightened investors' concerns over the sustainability of the region's
exchange rate regimes, and sentiment needs to improve for markets to reflect the
region's continuing strong economic and corporate performance.
In Europe, most markets have successfully shrugged off the effects of the
Asian crisis. The Greek equity market behaved particularly strongly following
the announcement of Greece's entry into the ERM as a pre-condition of full EMU
membership. We remain concerned by the over-valuation of the Russian equity
market, and the Fund has had only limited exposure to Russia throughout the six
month period. In South Africa, despite weak gold and commodity prices, the
market has remained remarkably resilient, boosted by the twin benefits of
demutualization and corporate restructuring.
EMERGING MARKET EQUITY FUND OUTLOOK
Following 1997's problems, the investment prospects for emerging markets have
improved, even though we believe that the dramatic rally in Asian markets in the
first quarter was an over-reaction in the short-term. Investors are, however,
starting to look through at least two years of economic slow-down or decline to
an economic region that could start to benefit again from a devalued cost base
at the turn of the century. The risk to this optimism remains centered in the
precarious state of both governmental and corporate balance sheets -- in order
to recapitalize Asia's economies and the companies contained in them,
significant capital inflows are required, and it remains to be seen if
sufficient demand exists to meet this supply of paper. Outside Asia, we continue
to see significant opportunity, with Latin American and European markets looking
particularly attractive at current valuation levels.
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
INTERNATIONAL FIXED
INCOME FUNDS
GLOBAL FIXED INCOME FUND
The Fund's total return for the six month period ended April 30, 1998 was
1.43%, compared to 0.52% for the Fund's benchmark, the Salomon World Government
Bond Index (unhedged).
The most important factor for bond markets over the period was events in
Asia. The size and speed of the falls in currencies and stock markets in the
region resulted in IMF intervention to reinstate stability. The ensuing effect
of slowing world growth was a positive background for fixed income.
The U.S. market performed well at the end of 1997 as the economy continued
to show no inflationary pressures. In 1998 the ever tighter labor market has led
to a bias towards a rate rise in the second half of the year and the U.S. market
has performed poorly. The anticipated slow down in the U.S. growth due to Asian
events has not yet been significant and focus has returned to the strength of
U.S. domestic activity.
European markets have faired well, although the strength of the U.S. dollar
has subdued returns for U.S. investors. In Europe bond yields continued to fall
as the commencement of European Monetary Union (EMU) came into the horizon. Bond
markets priced in the entry of eleven first round participants to EMU,
commencing in January 1999, and yield spreads of first round entrants,
particularly Spain and Italy continued to converge on German yields.
The creation of EMU should lead to a low inflationary environment within
Europe and the long end of European markets should benefit extensively. Some of
the most attractive markets remain the non participants in the first round of
EMU, Denmark, Sweden and the UK. As the UK economy slows, the gilt market will
rally, encouraged by the prospect of EMU entry at some point and therefore
significant yield convergence on Euro rates.
The Japanese market has been a poor performer. The lack of effective policy
action by the authorities and the weakness in the banking sector has been of
concern. Events in Asia have also led to further dents in both business and
consumer confidence. The general prospects for the economy look bleak and the
fund continued to hold an underweight position in the market.
The U.S. dollar appreciated over the six month period ending April 30,
1998, against both the DM and the Japanese Yen. The most powerful story was that
of the weakness of Japanese currency, which we think will continue.
European currencies now look more fairly valued against the U.S. dollar.
The Fund benefited from the overweight position in the U.S. currency held over
the period.
INTERNATIONAL FIXED INCOME FUND
The Fund returned 0.12% for the six month period ended April 30, 1998,
compared to -1.01% for the Fund's benchmark, the Salomon Non U.S. Government
Bond Index (unhedged).
The most important factor for bond markets over the period was events in
Asia. The size and speed of the falls in currencies and stock markets in the
region resulted in IMF intervention to reinstate stability. The ensuing effect
of slowing world growth was a positive background for fixed income.
The Canadian and Australian markets performed very well over the period.
The Australian market was one of our favored markets, as expectations of low
growth due to Asia led to anticipation of rate cuts in the second half of 1998.
The Fund benefited from its overweight position in both markets.
In Europe bond yields continued to fall as the commencement of European
Monetary Union (EMU) came into the horizon. Bond markets priced
10
<PAGE>
================================================================================
in the entry of eleven first round participants to EMU, commencing in January
1999, and yield spreads of first round entrants, particularly Spain and Italy,
continued to converge on German yields.
The creation of EMU should lead to a low inflationary environment within
Europe and the long end of European markets should benefit extensively. Some of
the most attractive markets remain the non participants in the first round of
EMU, Denmark, Sweden and the UK. As the UK economy slows, the gilt market will
rally, encouraged by the prospect of EMU entry at some point and therefore
significant yield convergence on Euro rates.
The Japanese market has been a poor performer. The lack of effective policy
action by the authorities and the weakness in the banking sector has been of
concern. Events in Asia have also led to further dents in both business and
consumer confidence. The general prospects for the economy look bleak and the
fund continued to hold an underweight position in the market.
The U.S. dollar appreciated over the six month period ending April 30,
1998, against both the DM and the Japanese Yen. The most powerful story was that
of the weakness of Japanese currency, which we think will continue. European
currencies now look more fairly valued against the U.S. dollar. The Fund
benefited from the overweight position in the U.S. currency held over the
period.
EMERGING MARKETS DEBT FUND
The Emerging Markets Debt Fund commenced operations on August 4, 1994 and
had a total net assets of $296.2 million as of April 30, 1998.
The investment objective of this Fund is to maximize total return. The Fund
invests primarily in fixed income securities of issuers located in countries
with emerging securities markets.
The total return for the six month period ended April 30, 1998 was 9.38%
(Institutional Shares) against 14.28% for the Fund's benchmark (the J.P. Morgan
Emerging Market Bond Index Plus).
Emerging debt markets have experienced price volatility over the past six
months due to continuing uncertainty over the Asian crisis. Investors have
focused on different countries' responses to global risk reduction. Most
attention has focused on Brazil, where authorities have tightened monetary and
fiscal policy to protect the currency regime, and Russia, which has suffered due
to banking sector worries and political confusion. The Fund has increased
Brazilian positions due to the clear policy response from the Brazilian
authorities. The Fund has maintained a diversified investment approach
throughout the last six months, maintaining positions in markets such as
Algeria, Jordan, and Nigeria. The Fund also has maintained a position in South
African rand bonds, believing that inflation will decline and interest rates
will fall.
EMERGING MARKETS DEBT FUND OUTLOOK
The outlook for emerging debt remains positive. Authorities in emerging debt
countries have responded correctly to a reduction in emerging market liquidity
and therefore remain on track as improving credits. This means spreads can
tighten from current index levels of around 500 bps points over U.S. Treasuries.
The systemic risk to emerging market debt remains a potential devaluation of the
Chinese remnimbi, which could create pressure on all fixed rate currency regimes
in emerging markets. We believe that the Chinese economy will remain strong
enough for this scenario to be avoided.
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 98.7%
ALABAMA -- 0.8%
Alabama State Housing Finance
Authority RB, Series 1,
Club Apartments
5.650%, 06/01/08 $2,500 $ 2,644
Birmingham, Baptist Medical
Center RB, ETM
8.250%, 07/01/05 30 35
Birmingham, Medical Clinic
Board RB, ETM
8.300%, 07/01/08 443 522
Lauderdale & Florence Counties,
Public Hospital RB, ETM
7.000%, 07/01/07 380 446
Morgan County, Decatur General
Hospital RB, Pre-Refunded
@ 102 (D)
7.875%, 03/01/99 445 468
--------
4,115
--------
ARIZONA -- 1.7%
Coconino County School
District AMBAC
5.000%, 07/01/01 1,000 1,021
Gila County, Industrial Development
Authority RB, Inspiration
Consolidated Copper,
Pre-Refunded @ 100 (D)
11.250%, 02/15/01 500 586
Maricopa County, Industrial
Development Authority RB,
John C. Lincoln Hospital, FSA
7.000%, 12/01/00 780 808
Maricopa County, Hospital
Revenue Authority RB, Phoenix
Baptist Hospital, ETM
7.125%, 10/01/02 70 73
Maricopa County, Hospital Revenue
Authority RB, Samaritan Health
Services, ETM
6.750%, 01/01/04 25 27
Maricopa County, Sun City
Inter-Community Healthcare
RB, ETM
8.625%, 01/01/10 190 233
Pinal County Community College
RB, AMBAC
5.250%, 07/01/05 525 545
5.400%, 07/01/05 385 404
5.250%, 07/01/06 895 931
5.300%, 07/01/06 405 423
5.200%, 07/01/07 400 415
5.250%, 07/01/07 945 984
5.250%, 07/01/08 995 1,039
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
4.750%, 07/01/09 $ 375 $ 374
4.800%, 07/01/09 695 695
--------
8,558
--------
ARKANSAS -- 2.0%
Arkansas State Housing Development
Agency RB, ETM
8.375%, 07/01/10 150 188
Drew County, Public Facilities
Board RB, Single Family
Mortgage, Series A-2, FNMA
7.900%, 08/01/11 307 334
Fayetteville, Public Facilities
Board RB, Single Family Mortgage,
Refunding Series 1993
7.250%, 04/01/11 910 983
Jefferson County, Health Care &
Residential Facilities Board RB,
Single Family Mortgage, 1978
Conventional Series, ETM, FSA
7.400%, 12/01/10 130 150
Lonoke County, Residential Housing
Facilities RB, Single Family
Mortgage, Series 1993 B
7.375%, 04/01/11 207 223
Mississippi County, Public Facilities
Board RB, Mortgage, Series 1
7.200%, 07/15/10 795 880
North Little Rock, Residential
Housing Facilities RB, Capital
Appreciation, Series 1991-1 (A)
0.000%, 12/01/10 7,730 3,353
Rogers County, Sales & Use Tax RB
5.350%, 11/01/11 2,500 2,597
Saline County, Residential Housing
Facilities RB, Single
Family Mortgage
7.875%, 03/01/11 675 727
Stuttgart, Public Facilities Board RB,
Single Family Mortgage, Series B
7.750%, 09/01/11 265 284
--------
9,719
--------
CALIFORNIA -- 6.0%
Atwater Redevelopment Agency
Tax Allocation ACA
5.500%, 06/01/99 55 56
5.500%, 06/01/00 105 107
5.500%, 06/01/01 65 66
5.500%, 06/01/02 60 61
5.500%, 06/01/03 70 72
5.500%, 06/01/04 70 72
5.500%, 06/01/05 75 77
4.900%, 06/01/06 80 79
12
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
5.000%, 06/01/07 $ 85 $ 84
5.050%, 06/01/08 80 79
5.100%, 06/01/09 90 89
5.150%, 06/01/10 95 94
5.200%, 06/01/11 105 103
5.300%, 06/01/12 110 108
5.300%, 06/01/13 110 108
5.300%, 06/01/14 120 117
5.400%, 06/01/15 125 123
5.400%, 06/01/16 135 132
5.400%, 06/01/17 140 136
5.400%, 06/01/18 145 141
5.500%, 06/01/19 155 152
5.500%, 06/01/20 165 162
5.500%, 06/01/21 175 171
5.500%, 06/01/22 185 181
Delta County Home Mortgage
Finance Authority MBIA,
Stepping Coupon to 6.700% (C)
5.500%, 06/01/24 1,000 1,079
Emeryville, Redevelopment
Agency RB, Residential
Mortgage, ETM
7.500%, 09/01/11 230 269
Fairfield, Certificate of Participation,
Pre-Refunded @ 100 (D)
10.750%, 08/01/00 110 125
Fresno, Housing Authority RB,
AMT, FNMA
5.150%, 08/01/07 500 509
Fresno, Multi-Family Housing RB,
Woodlands Apartments Project,
Series A 1997, GNMA, AMT
6.650%, 05/20/08 500 549
Los Angeles, Community
Redevelopment Agency RB,
Angelus Plaza Project,
Series A, FNMA
7.400%, 06/15/10 3,875 4,408
Los Angeles, Community
Redevelopment Agency RB,
Monterey Hills Project B
8.650%, 12/01/22 330 382
Los Angeles, Earthquake
Rehabilitation RB, Series A,
Mandatory Put @ 100, (B),
AMT, FNMA
5.700%, 12/01/06 2,000 2,082
Los Angeles, Earthquake
Rehabilitation RB, Series C,
AMT, FNMA
4.850%, 07/01/02 3,000 3,030
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Los Angeles, Multi-Family Housing
RB, Earthquake Rehabilitation
Projects, Series B, Mandatory
Put @ 100, AMT, FNMA (B)
5.850%, 12/01/07 $4,650 $ 4,999
Los Angeles, Regional Airports
Lease RB
10.000%, 01/01/01 260 297
Napa, Housing Facility RB,
Multi-Family Housing, Napa Park
Apartments, Series A, GNMA
10.283%, 06/20/00 278 278
Pleasant Hill, Multi-Family
Housing RB, Ellinwood Apartments
Project, Series A, Mandatory
Put @ 100, (B), FNMA
5.300%, 10/01/05 3,165 3,315
Sacramento, Municipal Utility
District RB, ETM
8.750%, 04/01/03 105 117
San Jose, Multi-Family Housing RB,
Alamaden Lake Village Project,
Series B, Mandatory Put @ 100,
FGIC, AMT (B)
5.150%, 03/01/01 2,000 2,012
Santa Clara County, Housing
Authority RB, GNMA (C)
10.960%, 06/20/00 337 337
Southern California Home
Finance RB, GNMA, FNMA, AMT
6.900%, 10/01/24 205 217
Vista, Multi-Family Housing
Authority RB, Pepperwood
Apartment Project, Series 1995A,
Mandatory Put @ 100, FNMA (B)
5.700%, 06/01/05 3,210 3,391
--------
29,966
--------
COLORADO -- 2.0%
Arvada Wanco Project, AMT, RB, LOC
5.600%, 12/01/12 325 327
5.800%, 12/01/17 475 478
Boulder County, Boulder
Community Hospital, RB, ETM
7.000%, 07/01/09 90 99
Castle Rock Ranch, Public
Improvements Authority, RB
5.900%, 12/01/03 1,000 1,064
Commerce City, Single Family
Mortgage RB, Series A
6.875%, 03/01/12 375 396
Denver County, Housing RB, Buerger
Brothers, Series 1997A, AMT, FHA
5.100%, 11/01/07 270 273
13
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Denver Garden Court Community
Multi-Family Mortgage RB, FHA
4.700%, 07/01/08 $ 520 $ 514
State Housing Finance Authority,
RB, Single Family, Series C 1997
5.000%, 05/01/05 250 253
State Housing Finance Authority,
RB, AMT
5.750%, 11/01/04 175 181
5.200%, 12/01/05 955 968
State Housing Finance Authority,
RB, Series A
4.750%, 11/01/05 250 250
State Housing Finance Authority,
RB, Series A-3
6.500%, 05/01/16 1,000 1,095
State Student Loan RB,
Series C, AMT
7.150%, 09/01/06 960 1,043
Vail, Single Family Mortgage RB,
Series 1992 A
8.125%, 06/01/10 370 395
Westminster, Multi-Family
Housing RB, Semper Village
Apartments, Mandatory Put
@ 100, AXA (B)
5.950%, 09/01/06 2,225 2,350
--------
9,686
--------
CONNECTICUT -- 0.9%
Waterbury Housing Authority
NSA I, Series A, AMBAC, FHA
4.850%, 07/01/09 2,100 2,079
Waterbury Housing Authority
NSA II, Series A, AMBAC, FHA
4.850%, 07/01/09 2,180 2,172
--------
4,251
--------
DELAWARE -- 0.5%
New Castle County, Single Family
Mortgage RB
10.250%, 11/01/05 95 98
State Economic Development
Authority RB, Peninsula United
4.600%, 05/01/98 325 325
6.000%, 05/01/09 40 42
State Economic Development
Authority RB, Wilmington
Friends School Project
6.300%, 07/01/00 50 51
6.300%, 07/01/01 55 57
6.300%, 07/01/02 60 62
6.300%, 07/01/03 60 63
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
6.300%, 07/01/04 $ 65 $ 68
6.300%, 07/01/05 70 74
6.300%, 07/01/06 75 79
6.300%, 07/01/07 80 84
6.300%, 07/01/08 85 89
6.300%, 07/01/09 90 95
6.300%, 07/01/10 95 100
6.300%, 07/01/11 100 105
6.300%, 07/01/12 110 115
6.300%, 07/01/13 115 120
State Housing Authority RB,
Multi-Family Mortgage, HUD
6.600%, 07/01/01 65 68
State Housing Authority RB,
Single Family Mortgage
8.750%, 06/01/17 830 830
--------
2,525
--------
FLORIDA -- 4.2%
Altamonte Springs, Health Facility
Authority RB, ETM
8.750%, 10/01/09 220 272
Charlotte County Utility
Pre-Refunded @ 100 RB, FGIC (D)
6.200%, 05/28/98 1,000 1,002
Dade County Midway Phase I,
Multi-Family Mortgage RB,
Mandatory Put @ 100 (B),
AMT, FNMA
5.900%, 06/01/06 1,050 1,104
Dade County, Certificate of
Participation, Government Leasing
Corporation, Series B
8.500%, 04/01/07 45 48
Dade County, Certificate of
Participation, Government Leasing
Corporation, Series C
9.000%, 04/01/20 300 322
Dunedin, Health Facility Authority
RB, Mease Hospital Incorporated,
ETM
7.600%, 10/01/08 605 693
Duval County, Housing Finance
Authority RB, Single Family
Mortgage, FGIC, GNMA
7.650%, 09/01/10 130 139
Fernando Apartments, Elderly
Housing RB, Section 8 Assistance,
Series B
9.750%, 10/01/11 738 810
Housing Finance Agency,
Multi-Family RB, Series I, LOC,
Mandatory Put @ 100 (B)
4.850%, 12/01/99 2,095 2,095
14
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Housing Finance Agency,
Multi-Family RB, Series J, LOC,
Mandatory Put @ 100 (B)
4.850%, 12/01/99 $2,370 $ 2,383
Housing Finance Agency,
Multi-Family RB, Series K, LOC,
Mandatory Put @ 100 (B)
4.850%, 12/01/99 1,925 1,945
Jacksonville, Health Facility
Authority RB, Saint Catherine
Laboure Manor Incorporated, ETM
9.125%, 01/01/03 290 326
Jacksonville, Health Facility
Authority RB, Elderly Housing,
Saint Vincent's Medical Center
Incorporated, ETM
9.125%, 01/01/03 515 579
Miami Beach, Housing Authority
RB, Section 8 1995
6.625%, 01/15/09 1,200 1,287
Miramar, Water Improvement
Assessment RB, FGIC
5.125%, 10/01/20 5,340 5,413
Palm Beach County Airport
Systems RB, MBIA
7.500%, 10/01/00 370 399
Pinellas County, Housing Finance
Authority RB, Single Family
Mortgage, Series A, AMT, GNMA
6.850%, 03/01/29 1,500 1,635
St. John's County Pro Golf Hall of
Fame Project, 144A , MBIA
5.500%, 03/01/17 250 253
--------
20,705
--------
GEORGIA -- 1.3%
Augusta, Housing Rehabilitation
Agency RB, Bon Air Project, Series C
7.000%, 09/01/05 1,000 1,096
Clayton County Housing, Pointe
South Apartments RB, AMT, FNMA
5.750%, 01/01/13 105 110
De Kalb, Private Hospital
Authority RB, Wesley Services
Incorporated Project, LOC
8.250%, 09/01/15 500 512
Fulton County, Housing Authority
RB, Single Family Mortgage,
Series 1995 A, AMT, GNMA
6.200%, 03/01/13 340 357
Marietta, Housing Authority RB,
Multi-Family Housing, Ridge
Pointe Apartments, Series A,
Mandatory Put @ 100, FNMA (B)
5.700%, 06/01/05 2,525 2,676
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Marietta, Housing Authority
RB, Series A, Mandatory
Put @ 100, New England
Mutual Life Guaranty (B)
6.000%, 06/01/01 $1,000 $ 1,011
Saint Mary's, Housing Authority
RB, Multi-Family, Cumberland
Oaks Apartments, Series A,
FNMA
7.250%, 09/01/05 565 600
Saint Mary's, Housing Authority
RB, Multi-Family, Pines
Apartments, Series C, FNMA
7.250%, 10/01/05 240 253
--------
6,615
--------
HAWAII -- 0.1%
Honolulu, Housing Authority RB,
Multi-Family Mortgage Authority,
Waipahu Towers Project,
Series A, AMT, GNMA
6.900%, 06/20/05 335 360
--------
IDAHO -- 1.1%
Bingham County, Idaho Supreme
Potatoes, Private Placement
RB, AMT, LOC
4.600%, 11/01/00 50 50
4.750%, 11/01/01 200 201
4.850%, 11/01/02 70 71
4.950%, 11/01/03 320 324
5.050%, 11/01/04 340 344
5.150%, 11/01/05 360 364
5.200%, 11/01/06 385 389
5.300%, 11/01/07 410 415
5.400%, 11/01/08 435 439
5.500%, 11/01/09 465 470
5.600%, 11/01/10 85 86
5.700%, 11/01/11 90 91
5.800%, 11/01/12 95 96
Idaho State Housing Agency RB,
Single Family Mortgage, Series C1
7.650%, 07/01/10 305 319
Idaho State Housing Agency RB,
Single Family Mortgage,
Series F, AMT
5.800%, 07/01/07 900 971
Idaho State Housing & Finance
Association RB, Series B, AMT
5.650%, 07/01/09 475 505
Idaho State Housing & Finance
Association RB, Series C, AMT
5.250%, 07/01/11 350 349
--------
5,484
--------
15
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
ILLINOIS -- 5.0%
Alton, Hospital Facilities RB, Alton
Memorial Hospital Project, ETM
7.000%, 07/01/05 $ 600 $ 658
Bethany, Home & Hospital RB, First
Mortgage Methodist Church,
Pre-Refunded @ 100 (D)
7.750%, 04/01/00 215 227
Bolingbrook, Hospital Authority RB,
Hinsdale Sanitarium Hospital
Project, ETM
7.250%, 08/01/08 1,300 1,472
Bolingbrook, Mortgage RB, Capital
Appreciation Series 1 (A)
0.000%, 01/01/11 5,805 2,387
Chicago, Housing RB, Bryn Mawr
Project, AMT, GNMA
4.950%, 06/01/05 150 152
5.250%, 06/01/08 175 178
5.350%, 06/01/09 175 178
5.450%, 06/01/10 185 189
5.500%, 06/01/11 195 199
5.550%, 06/01/12 200 204
City of Fairfield, Economic
Development RB, Wayne County
Center Project
6.000%, 12/15/05 545 572
Des Plains, Hospital Facilities RB,
Holy Family Hospital Project,
ETM, FGIC
7.000%, 01/01/07 370 405
Des Plains, Hospital Facilities RB,
Holy Family Hospital Project,
ETM, MBIA
7.000%, 01/01/07 220 241
Development Finance Authority
Multi-Family Mortgage, Series A,
MBIA, FHA
5.200%, 07/01/08 200 202
Development Finance Authority RB,
Catholic Health, Series A,
Connie Lee Insured
5.150%, 02/15/06 1,010 1,037
Development Finance Authority RB,
Debt Restructure, East Saint Louis,
Moral Obligation
6.050%, 11/15/99 325 333
6.875%, 11/15/05 875 960
Development Finance Authority RB,
Fund For Child Care Facilities
Project, Series A
7.400%, 09/01/04 2,100 2,307
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Greater Peoria, Airport Authority
RB, GO, AMT, AMBAC
6.500%, 12/01/05 $ 100 $ 110
6.600%, 12/01/06 575 637
6.700%, 12/01/07 250 277
Health Facilities Authority RB,
Lutheran Social Services
6.125%, 08/15/10 850 867
Health Facilities Authority RB,
Mercy Health Center, ETM
7.100%, 06/01/09 850 976
7.500%, 09/01/09 340 396
Health Facilities Authority RB,
Sydney R. Forkosh Memorial
Hospital, Pre-Refunded @ 100 (D)
7.000%, 07/01/02 475 507
Health Facilities RB, Michael Reese
Hospital, ETM
6.750%, 12/01/08 390 431
Health Facilities RB, Northwestern
Memorial Hospital, ETM
6.375%, 05/01/03 230 241
Quincy, Single Family Mortgage RB
6.875%, 03/01/10 490 526
Rockford, Housing RB, Faust
Landmark Apartments, AMT,
MBIA, FHA
5.625%, 07/01/07 535 557
Rockford-Concord Commons,
Housing Finance Authority RB,
Series A, FHA
5.550%, 11/01/06 560 591
Rockford-Concord Commons,
Housing Finance Authority RB,
Series A, HUD Section 8
Assisted, FHA
6.150%, 11/01/22 1,845 1,937
Southwestern Development
Authority RB, Wood River
Township Hospital Project, ETM,
Moral Obligation
6.875%, 08/01/03 200 218
Upper Illinois River Valley,
Solid Waste Disposal RB, AMT
6.500%, 02/01/04 1,585 1,629
Village of Buffalo Grove, Economic
Development Project RB,
Country Line Partners
5.450%, 08/15/02 1,365 1,382
Village of Graylake, Multi-Family
Housing RB, Country Squire
Village Apartments, Series A, FHA
6.000%, 06/01/05 1,185 1,250
16
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Western Illinois University RB,
Series A, ETM
7.400%, 04/01/09 $ 155 $ 177
--------
24,610
--------
INDIANA -- 2.3%
Bond Bank Special Program Waste
Water Treatment RB, Series 1997C
5.100%, 08/01/05 250 255
5.200%, 08/01/07 100 102
5.300%, 08/01/08 290 302
5.400%, 08/01/09 255 268
Indianapolis, Economic Development
RB, Knob in the Woods Project,
Mandatory Put @ 100, AMT,
FNMA (B)
6.375%, 12/01/04 3,445 3,759
Lawrence Multi-Family Housing,
Pinnacle Apartments Project,
AMT, RB, GNMA Mandatory
Put @ 100 (B)
5.150%, 11/01/08 2,145 2,153
Monroe County, Hospital
Authority RB, Bloomington
Project, MBIA
4.750%, 05/01/06 1,000 1,000
State Health Facilities, Floyd
Memorial Hospital RB
4.850%, 02/15/06 670 666
4.800%, 02/15/07 350 345
4.850%, 02/15/08 335 330
4.950%, 02/15/09 325 320
State Health Facilities, Kings
Daughters Hospital RB,
Asset Guaranty
5.000%, 08/15/05 260 267
5.100%, 02/15/06 385 396
5.100%, 08/15/06 395 407
5.250%, 02/15/08 400 413
5.350%, 08/15/09 440 453
Vigo County, Hospital
Authority RB, ETM
6.875%, 04/01/04 95 103
--------
11,539
--------
IOWA -- 0.7%
Des Moines, Lutheran
Hospital RB, ETM, MBIA
9.500%, 11/15/02 1,715 1,940
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
State Finance Authority RB, Small
Business Development, Terrance
Center Association, L.P. Project,
Guaranty Agreement with
Central Life Assurance Company
7.500%, 03/01/22 $1,550 $ 1,711
--------
3,651
--------
KANSAS -- 0.9%
Labette & Cowley Counties, Single
Family Mortgage RB, Series A
9.500%, 04/01/13 70 75
Labette County, Single Family
Mortgage, Series 1998 A-2, GNMA
7.650%, 12/01/11 450 481
Manhattan, Central Business District
Redevelopment Tax Increment RB,
Series A, AMT, Asset Guaranty
5.000%, 12/01/02 665 669
5.200%, 12/01/03 500 506
Reno County, Single Family Mortgage
Revenue Refunding Bond, Series B
8.700%, 09/01/11 310 333
Saline County, Single Family
Mortgage RB, Series A
9.500%, 10/01/11 150 160
State Development Authority RB,
Four Seasons Apartments, AMT,
Mandatory Put @ 100 (B) LOC (C)
5.300%, 10/01/07 365 372
5.600%, 10/01/07 1,035 1,054
Wichita, Hospital RB, ETM
7.000%, 03/01/06 435 477
Wichita, Single Family Mortgage
RB, Series A
7.100%, 09/01/09 240 258
--------
4,385
--------
KENTUCKY -- 0.8%
Ashland, Environmental Import RB,
Allied Chemical Project, ETM
5.800%, 03/01/03 1,255 1,302
Greater Kentucky Housing
Assistance Corporation RB,
HUD Section 8 Assisted, Series A,
FHA, MBIA
7.625%, 01/01/25 420 437
Greater Kentucky Housing Assistance
Corporation RB, HUD Section 8
Assisted, Series C, FHA, MBIA
5.350%, 07/01/07 540 548
Lakeland, Wesley Village
Incorporated Housing RB, HUD
Section 8 Assisted, FHA
7.125%, 11/01/02 275 292
17
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Owensboro, Electric, Light &
Power RB, ETM
10.500%, 01/01/04 $ 410 $ 486
State Turnpike Authority RB, ETM
7.100%, 07/01/02 380 402
6.125%, 07/01/07 352 374
6.625%, 07/01/08 235 255
--------
4,096
--------
LOUISIANA -- 3.1%
Housing Finance Authority RB,
Malta Square Project,
AMT, GNMA
6.450%, 09/01/27 630 670
6.500%, 09/01/38 1,615 1,716
Housing Finance Authority RB,
Single Family Housing,
AMT, GNMA
8.050%, 11/01/14 370 380
Iberia, Single Family Mortgage,
Series 1993 RB
7.375%, 01/01/11 870 954
Jefferson Parish, Hospital Service
District # 001 RB, ETM
7.125%, 01/01/02 260 275
Lafourche Parish, Home Mortgage
Authority RB, Single Family
Mortgage, ETM
7.400%, 07/01/10 85 99
Public Facilities Authority RB,
Beau Terre Project, Mandatory
Put @ 100, FNMA (B)
5.800%, 06/01/05 750 792
Public Facilities Authority RB,
Edgewood Apartments,
Mandatory Put @ 100, FNMA (B)
5.800%, 06/01/05 5,155 5,445
Public Facilities Authority RB,
Oakleigh Apartment Project, AXA
5.750%, 03/15/03 295 310
5.850%, 03/15/04 315 331
5.950%, 03/15/05 330 347
Public Facilities Authority RB,
Series A1, Mandatory
Put @ 100, AMBAC (B)
5.000%, 06/01/02 1,600 1,622
Public Facilities Authority RB,
Single Family Mortgage, Series A
7.375%, 10/01/12 510 528
Public Facilities Authority RB,
Single Family Mortgage, Series C
8.450%, 12/01/12 589 631
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Public Facilities Authority RB,
Southern Baptist Hospital, ETM
8.000%, 05/15/12 $1,040 $ 1,258
--------
15,358
--------
MAINE -- 0.0%+
State Health & Higher Education
Facilities Authority RB, Cedar
Nursery, Pre-Refunded
@ 102 (D), FHA
7.900%, 02/01/00 130 140
--------
MARYLAND -- 1.1%
Cecil County, Economic Development
RB, Northeast Plaza Association,
Series A
6.875%, 01/15/08 1,760 1,962
Cecil County, Economic
Development RB, Northeast
Plaza Association, Series B
6.875%, 01/15/10 525 585
Frederick County, Economic
Development RB, Mortgage
Revenue Refunding Bond,
Series A, FHA
5.900%, 02/01/05 305 318
State Economic Development,
Crescent Cities Health Care
Project, GNMA
5.400%, 12/20/27 1,130 1,130
5.450%, 12/20/37 1,650 1,650
--------
5,645
--------
MASSACHUSETTS -- 2.5%
Boston Industrial Development
Finance Authority RB, FHA
6.450%, 08/01/37 2,000 2,187
Dartmouth Housing, Crossroads
Apartments RB, MBIA
4.850%, 07/01/09 650 643
New England Education Loan
Marketing Corporation RB,
Student Loans, Series C, GTD
4.750%, 07/01/98 1,000 1,001
State Health & Education
Authority RB, Beth Israel
Hospital, ETM
5.750%, 07/01/06 100 104
State Health & Education Authority
RB, Massachusetts Institute
of Technology
8.000%, 07/01/00 65 70
18
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
State Housing Finance Authority
RB, AMT, MBIA
6.125%, 12/01/11 $ 500 $ 526
State Industrial Finance Agency,
Draper Place Assisted Living
Project, GNMA, AMT
5.400%, 08/20/12 425 423
6.450%, 08/20/39 7,160 7,634
--------
12,588
--------
MICHIGAN -- 1.2%
Battle Creek, Economic
Development RB, Kellogg Project
5.125%, 02/01/09 480 481
Detroit, Water Supply Systems
RB, ETM
8.875%, 01/01/05 880 1,020
Dickinson County Economic RB,
Champion International Corporation
6.550%, 03/01/07 750 794
Petoskey, Hospital Finance
Authority RB, ETM
6.700%, 03/01/07 535 585
Saginaw, Hospital Finance Authority
RB, St. Lukes Hospital, ETM
7.500%, 11/01/10 275 324
State Building Authority RB,
ETM, MBIA
7.400%, 04/01/01 75 78
State Hospital Finance Authority RB,
Henry Ford Hospital, ETM
9.000%, 05/01/04 285 337
State Hospital Finance Authority RB,
Mount Carmel Mercy Hospital, ETM
7.500%, 08/01/05 60 67
State Hospital Finance Authority RB,
St. Joseph Mercy Hospital
Project, ETM
7.000%, 07/01/05 365 401
State Hospital Finance Authority RB,
St. Lawrence Hospital Project, ETM
7.500%, 05/01/07 795 898
State Hospital Finance Authority RB,
William Beaumont Project, ETM
6.200%, 01/01/03 55 58
State Housing RB, Series D, AMT,
AMBAC
5.050%, 12/01/07 100 101
5.150%, 12/01/08 100 101
5.250%, 12/01/09 100 101
5.350%, 12/01/10 100 101
State Strategic Fund Obligation,
Oxford Institute, Series A, RB, ETM
7.875%, 08/15/05 340 383
--------
5,830
--------
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MINNESOTA -- 0.6%
Cambridge, Mortgage Revenue,
Health Care Center RB, Series A,
GNMA
5.400%, 11/20/05 $ 600 $ 628
City of Fridley, Community
Development RB, Fridley Business
Plaza, Mandatory Put @ 100,
LOC (B)
5.375%, 09/01/01 1,225 1,251
Dakota County, Housing &
Redevelopment Authority RB,
Single-Family Mortgage, AMT,
FNMA, GNMA
5.550%, 10/01/02 120 124
5.750%, 10/01/04 140 146
Monticello, Pollution Control RB,
Northern States Power
5.375%, 02/01/03 440 442
Rochester, St. Mary's Hospital
RB, ETM
5.750%, 10/01/07 470 498
--------
3,089
--------
MISSISSIPPI -- 1.3%
Mississippi Home Corporation RB,
Single-Family Mortgage, Series I,
AMT, GNMA, FNMA
7.375%, 06/01/28 3,055 3,548
Mississippi Home Corporation RB,
Single-Family, Mortgage Access
Program, Series 1994A, AMT,
GNMA
5.000%, 06/01/04 515 534
State Business Finance Industrial
Development RB, AMT, LOC
5.450%, 09/01/01 285 291
5.600%, 09/01/02 305 313
5.800%, 09/01/04 340 353
5.900%, 09/01/05 360 373
State Single Family Housing
Authority, Series A,
GNMA, FNMA
5.125%, 12/01/17 1,000 996
--------
6,408
--------
MISSOURI -- 5.6%
Joplin Industrial Development,
Tri-State Hospital, Pre-Refunded
@ 102, RB (D)
8.250%, 12/15/01 8,320 9,568
19
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Kansas City, Industrial Development
Authority RB, Coves North
Duplexes, FNMA, Mandatory
Put @ 100 (B)
5.600%, 09/01/05 $4,480 $ 4,603
Kansas City, Industrial Development
Authority Housing RB,
Royal Woods Apartments,
Mandatory Put @ 100,
FNMA (B) (C), AMT
5.600%, 01/01/10 7,620 7,877
Pacific & Franklin Counties,
Clayton Corporation Project RB,
AMT, LOC
5.450%, 05/01/02 810 826
5.950%, 05/01/07 900 938
6.200%, 05/01/12 900 939
6.450%, 05/01/17 900 938
Saint Louis County, Convention &
Sports Center RB, Series B
6.500%, 08/15/01 775 821
Saint Louis, Airport RB, ETM
12.000%, 07/01/03 50 67
Saint Louis, Land Clearance
Redevelopment Authority RB,
Westminster Place Apartments,
Mandatory Put @ 100, FNMA (B)
5.950%, 04/01/07 600 643
State Housing Development,
Mortgage Backed Security, RB,
GNMA, AMT
6.625%, 12/01/17 415 440
--------
27,660
--------
MONTANA -- 0.1%
Missoula County, Community
Hospital RB, ETM, AMBAC
7.125%, 06/01/07 445 494
--------
NEBRASKA -- 0.6%
Hall County, Hospital Authority
RB, ETM
8.000%, 01/01/07 310 354
Investment Finance Authority RB,
Multi-Family Housing,
Old Cheney Apartments, Series A,
Mandatory Put @ 100, FNMA (B)
5.500%, 12/01/05 2,000 2,090
Investment Finance Authority RB,
Tara Hills Villas, FNMA (C)
4.875%, 01/01/08 750 753
--------
3,197
--------
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
NEVADA -- 0.6%
State Housing Division RB, Austin
Crest Project, FNMA, AMT
5.500%, 10/01/09 $ 480 $ 483
State Housing Division RB,
Multi-Family Mortgage, Saratoga
Palms Project, AMT, FNMA
5.900%, 04/01/06 700 730
State Housing Division RB,
Single Family Mortgage, Series B,
AMT, FHA, VA
6.450%, 10/01/07 795 848
State Housing Division RB,
Single Family Mortgage, Series C1,
5.450%, 04/01/10 500 508
State Housing Division RB, Single
Family Mortgage, Series E, AMT
6.000%, 10/01/09 500 523
--------
3,092
--------
NEW HAMPSHIRE -- 1.4%
State Higher Education & Health
Facilities Authority RB, Franklin
Pierce College Academy, ACA
4.900%, 10/01/08 665 648
5.000%, 10/01/09 495 483
5.100%, 10/01/10 845 824
State Higher Education & Health
Facilities Authority RB, Crotched
Mountain Rehabilitation Center,
Pre-Refunded @ 102 (D)
7.500%, 01/01/00 110 118
State Higher Education & Health
Facilities Authority RB, Kendal
at Hanover, LOC
5.200%, 10/01/06 830 840
5.300%, 10/01/07 625 633
State Higher Education & Health
Facilities Authority RB, Riverwoods
At Exeter, Series B, Mandatory
Put @ 100 (B), LOC
5.050%, 03/01/03 3,200 3,380
--------
6,926
--------
NEW JERSEY -- 1.7%
Church Street Corporation RB,
Keansburg Elderly Housing, Series
1994, HUD Section 8 Assistance
5.000%, 03/01/01 170 171
Deptford Township, GO,
Fire District # 1
5.600%, 10/15/06 190 202
5.850%, 10/15/07 200 216
20
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Economic Development Authority
RB, National Westminster,
Series H-2, AMT, LOC
5.000%, 10/01/05 $ 690 $ 707
Education Facilities Authority RB,
Caldwell College, Series A
7.250%, 07/01/25 1,195 1,289
Sayreville Housing, RB, FHA
6.000%, 02/01/23 2,800 2,922
State Health Care Facility Finance
Authority RB, Community
Memorial Hospital, Series C
8.000%, 07/01/14 205 210
State Health Care Facility Finance
Authority RB, Hackensack
Hospital, ETM
8.750%, 07/01/09 170 203
State Highway Authority RB, Garden
State Parkway, ETM
6.500%, 01/01/11 180 201
State Housing & Mortgage RB,
Presidential Plaza, FHA
6.950%, 05/01/13 640 688
State Housing & Mortgage RB,
Rogers Gardens Apartments,
FHA (A)
0.000%, 11/01/98 220 216
State Turnpike Authority RB, ETM
10.375%, 01/01/03 1,060 1,228
--------
8,253
--------
NEW MEXICO -- 1.3%
Albuquerque, Class B-2, CMO,
FGIC (A)
0.000%, 05/15/11 8,325 3,382
Albuquerque, Residential
Mortgage RB, Series A, ETM
7.000%, 03/01/04 640 702
Bernalillo County, Multi-Family
Housing RB, Sunchase Apartments,
Series A, Mandatory
Put @ 100, AXA (B)
5.800%, 11/01/06 1,500 1,599
Roswell Airport and Marina
Improvement RB, AMT
8.500%, 11/01/98 70 70
Santa Fe, Single Family Mortgage
Authority RB, Series 1991
8.450%, 12/01/11 136 146
State Mortgage RB, FHLMC,
FNMA, GNMA
5.500%, 07/01/17 225 226
5.600%, 07/01/28 500 503
--------
6,628
--------
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
NEW YORK -- 8.0%
Amherst, Industrial Development
Agency RB, Multi Surface Rink
Complex, LOC
4.750%, 10/01/02 $ 210 $ 210
5.180%, 10/01/06 360 361
Capital District, Youth Center
Lease RB, LOC
6.000%, 02/01/17 500 516
Nassau County, General
Improvement GO, Series X,
AMBAC
5.000%, 11/01/05 500 511
5.000%, 11/01/06 500 507
New York City, Housing Authority
RB, Series A, AMBAC, HUD
5.450%, 07/01/08 1,655 1,744
New York City, Industrial
Development Agency RB,
Series C, Mandatory Put @ 100,
AMT, LOC (B)
7.625%, 11/01/99 2,835 2,846
New York City, Series B, GO,
AMBAC
7.250%, 08/15/07 7,770 9,169
Oneida County, Industrial
Development Agency, Mohawk
Valley, Series A, FSA
4.550%, 02/01/04 840 842
4.650%, 02/01/05 715 718
4.700%, 02/01/06 915 918
5.200%, 02/01/13 1,000 988
State Dormitory Authority RB,
ETM, FSA (A)
0.000%, 07/01/04 110 81
State Dormitory Authority RB,
Hunts Point Multi-Service
Center, SONYMA
5.625%, 07/01/22 3,000 3,034
State Dormitory Authority RB,
Long Island University,
Asset Guaranty
6.000%, 09/01/08 3,450 3,717
State Dormitory Authority RB,
St Mary's Hospital, MBIA
5.250%, 05/01/05 1,335 1,387
State Medical Care Facilities Finance
Agency RB, Hospital & Nursing
Home, Series A, Partially
Pre-Refunded @ 102, FHA (D)
7.900%, 08/15/98 50 51
State Mortgage Agency RB,
AMT, FHA
7.700%, 10/01/21 2,690 2,821
21
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
State Power Authority RB,
Series C, ETM
9.500%, 01/01/01 $ 280 $ 296
State Urban Development
Authority RB, AMBAC
5.625%, 01/01/07 5,000 5,300
Syracuse, Housing Authority RB,
Loretto Rest Homes, FHA
5.000%, 08/01/07 2,400 2,439
UFA Development Corporation,
Mortgage RB, Loretto Utica
Project, FHA
5.150%, 07/01/03 1,400 1,440
--------
39,896
--------
NORTH CAROLINA -- 0.1%
Martin County, Pollution Control
Finanace Authority, Weyerhauser, RB
8.500%, 06/15/99 110 115
Vance County, Industrial Facilities
Authority RB, AMT, LOC,
Optional Put @ 100 (B)
4.700%, 09/01/98 600 601
--------
716
--------
OHIO -- 4.4%
Cuyahoga County, Deaconess
Hospital Project RB, ETM
6.750%, 11/01/09 534 588
Cuyahoga County, Multi-Family
Housing RB, Water Street
Association, AMT, FHA, GNMA
6.250%, 12/20/36 1,300 1,385
Franklin County Housing RB,
Rosewind Project, AMT
4.900%, 01/01/02 800 807
Hancock County Housing RB,
Crystal Glen, AMT, FHLB
5.050%, 01/01/10 1,215 1,200
Jefferson County GO,
Asset Guaranty
6.625%, 12/01/05 400 426
Lorain County Hospital Finance RB,
Humility of Mary Health Care
Pre-Refunded @ 100 (D)
5.900%, 06/15/05 5,900 6,328
Lorain County Hospital Finance RB,
Humility of Mary Health
Care, ETM
7.125%, 12/15/06 1,095 1,200
7.200%, 12/15/11 1,000 1,101
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Lorain County, Health Care Facilities
RB, Kendal At Oberlin, Series B,
Optional Put @ 100 (B)
4.750%, 02/01/02 $1,565 $ 1,551
Lucas-Palmer, Housing
Development Corporation RB,
Palmer Gardens Section 8, Series A,
FHA, MBIA
5.900%, 07/01/07 295 312
Miami County, Hospital Facilites RB,
Pre-Refunded @ 102, MBIA (D)
6.625%, 05/01/99 90 94
Ohio Capital Housing Corporation
Mortgage RB, Section 8, FHA, MBIA
4.500%, 01/01/03 310 310
5.700%, 01/01/05 435 455
5.100%, 07/01/09 2,095 2,098
State Building Authority RB, Toledo
Government Office Building,
Pre-Refunded @ 100 (D)
10.125%, 04/01/03 1,115 1,323
State Mortgage RB, FHA
5.600%, 08/01/06 490 509
State Pollution Control RB,
General Motors
6.500%, 03/01/06 250 251
State Water Development
Authority RB, ETM
9.375%, 12/01/10 330 415
Youngstown State University,
General Receipt RB, Series A
6.200%, 12/15/16 1,580 1,779
--------
22,132
--------
OKLAHOMA -- 1.0%
Cleveland County, Home Loan
Authority RB, Single Family
Mortgage, Series 1992
8.375%, 08/01/12 1,935 2,092
Grand River, Dam Authority
RB, ETM
6.250%, 11/01/08 105 112
McAlester, Public Works
Authority RB, FSA
8.250%, 12/01/04 125 151
8.250%, 12/01/05 750 918
8.250%, 12/01/06 185 230
Payne County, Housing Finance
Authority RB, Single Family
Mortgage, Series A
8.625%, 03/01/11 355 378
State Housing Finance Agency RB,
Northpark and Meadowlane
Project, FNMA
5.100%, 12/01/07 980 980
22
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Tulsa, Industrial Development
Authority RB, Doctors Medical
Center, Pre-Refunded @ 100 (D)
6.625%, 10/01/03 $ 165 $ 176
--------
5,037
--------
OREGON -- 0.1%
State Health, Housing and Education,
Cedarwest, AMT, LOC
4.650%, 01/01/08 640 629
--------
PENNSYLVANIA -- 14.6%
Aliquippa, Beaver County, RB, ETM
8.250%, 09/15/01 940 1,000
Allegheny County, Hospital
Development Authority, RB
7.750%, 08/01/20 300 324
Allegheny County, Industrial
Development Authority RB, Integra
Bank of Pittsburgh, AMT, LOC
6.000%, 10/01/04 1,000 1,001
Allegheny County, Residential
Finance Authority RB, GNMA
6.500%, 11/01/14 525 554
Allentown, Hospital Authority RB,
Sacred Heart Hospital of
Allentown, Series A
6.200%, 11/15/03 620 660
Bucks County, Saint Mary's Hospital
Authority RB, ETM
6.625%, 07/01/04 80 86
Cambria County, GO, FGIC
5.000%, 08/15/08 385 394
Dauphin County School Project,
General Authority RB,
WW15 Term, Mandatory
Tender @ 100 (B)
6.850%, 06/01/09 700 750
Delaware River, Port Authority RB,
ETM, GO, LOC
6.500%, 01/15/11 105 116
Delaware County, Housing RB,
Dunwoody Village
5.625%, 04/01/09 170 174
Downingtown Municipal Water
Authority RB, FSA
4.750%, 09/01/10 350 345
Erie, Higher Education RB,
Mercyhurst College
5.750%, 03/15/12 120 123
5.850%, 03/15/17 435 445
Falls Township, Hospital
Authority RB, Delaware Valley
Medical Center, FHA
6.900%, 08/01/11 3,495 3,814
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Fayette County, Hospital
Authority RB, Uniontown
Hospital, Connie Lee Insured
5.200%, 06/15/04 $ 280 $ 289
5.400%, 06/15/06 1,120 1,169
5.450%, 06/15/07 600 629
5.550%, 06/15/08 1,420 1,500
5.650%, 06/15/09 1,505 1,595
Geisinger, Health Systems
Authority RB
7.375%, 07/01/02 200 211
Greene County Industrial
Development Authority,
Monongahela Power, RB
4.750%, 02/01/07 1,000 991
5.100%, 02/01/12 1,325 1,310
Greene County Industrial
Development Authority,
West Penn Power, RB
4.750%, 02/01/07 6,135 6,081
Harrisburg, GO, ETM, MBIA
9.750%, 04/15/99 40 41
Hazleton, School District GO,
Series A, FGIC
4.500%, 03/01/05 150 150
4.650%, 03/01/07 615 613
4.750%, 03/01/08 850 850
4.900%, 03/01/09 895 905
5.000%, 03/01/10 735 746
5.000%, 03/01/11 585 586
Jefferson County, Municipal
Authority RB, ETM, MBIA, GTD
7.000%, 12/01/02 30 32
Kennett Square, GO
4.500%, 02/01/99 400 402
Kennett Square, Sewer
Authority RB, FSA
5.300%, 12/15/27 2,565 2,578
Lancaster, Sewer Authority
RB, ETM
6.000%, 04/01/12 5 5
Lehigh County, General Purpose
RB, Muhlenberg Continuing
Care, Mandatory Put @ 100,
LOC (B)
7.800%, 03/15/02 2,320 2,453
Lehigh County, Muhlenberg
Hospital Center RB
4.800%, 07/15/00 1,685 1,716
Manheim Township, School
Authority RB, Series 1978,
Pre-Refunded @ 100 (D)
6.625%, 12/01/05 505 563
23
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Metropolitan Lancaster Water
Project Notes
4.250%, 02/15/00 $3,100 $ 3,092
Monroeville, Hospital Authority
RB, East Suburban Health Center,
Pre-Refunded @ 100 (D)
7.600%, 07/01/04 740 828
Montgomery County Higher
Education, Waverly Heights
Project, RB
5.000%, 01/01/03 300 300
Montgomery County Industrial
Development Authority RB,
BMHR Associate Project, LOC
6.750%, 11/15/04 250 260
Montgomery County Industrial
Development Authority RB,
Emergency Care Research
Institute Project
6.400%, 06/01/03 535 562
Montgomery County Industrial
Development Authority RB,
Meadowood Project
Pre-Refunded @ 102 (D)
10.250%, 12/01/00 2,500 2,903
Morrisville, School District RB, GTD
5.500%, 09/01/98 100 101
Mount Lebanon Hospital
Authority RB, ETM
7.000%, 07/01/06 35 39
Penn Cambria School District GO,
Asset Guaranty
4.000%, 08/15/99 275 275
Pennsylvania Housing Finance RB,
FNMA, HUD
6.500%, 07/01/23 5,150 5,491
Philadelphia Hospitals & Higher
Education RB, Series 1996
5.050%, 07/01/98 1,280 1,282
Philadelphia Hospitals & Higher
Education, Series A FHA
5.375%, 01/01/28 3,500 3,439
Philadelphia Industrial Development
Authority RB, Convention Project,
Series 1989, AMBAC, ETM
7.000%, 07/01/99 610 622
Philadelphia Industrial Development
Authority RB, Elmira Jeffries
Memorial Home, FHA
4.750%, 02/01/08 660 653
Philadelphia Industrial Development
Authority RB, Jeanes Physician's
Office, Series A
9.375%, 07/01/10 930 942
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Philadelphia Industrial Development
Authority RB, National Board of
Medical Examiners Project
6.750%, 05/01/12 $ 550 $ 596
Philadelphia United Hospitals
Project, RB (A) Pre-Refunded
@ 100 (D)
10.875%, 07/01/05 450 578
Philadelphia, St. Agnes
Hospital RB, ETM
6.750%, 08/15/01 310 322
Pittsburgh Urban Redevelopment
Authority RB, Series C, AMT,
FNMA, GNMA
5.950%, 10/01/29 250 258
Pittsburgh Urban Redevelopment
Authority RB, Center Triangle,
Private Placement Tax Increment,
Series A, LOC
5.125%, 06/01/00 1,030 1,042
Pittsburgh Urban Redevelopment
Authority RB, Oliver Garage, FGIC
5.200%, 06/01/11 405 409
Pottsville, Hospital Authority RB,
Pottsville Hospital & Warner Clinic
7.250%, 07/01/24 605 670
Scranton & Lackawanna Counties,
Health & Welfare Authority RB
6.625%, 04/15/07 265 268
Scranton GO, Series 1997,
Asset Guaranty
4.000%, 08/01/98 365 365
Seneca Valley School District, GO,
Series A, FGIC
5.250%, 07/01/07 1,775 1,848
Somerset County, Hospital
Authority RB, Asset Guaranty,
Series 1997-B
5.200%, 03/01/10 605 608
5.300%, 03/01/11 145 146
Southeastern Pennsylvania, Greene
School District GO, ETM
9.375%, 07/01/03 10 11
State General Obligation
4.800%, 06/15/99 1,000 1,009
5.300%, 07/01/99 1,000 1,015
State Higher Education Facilities
Authority RB, Gwynedd-Mercy
College, GO
5.000%, 11/01/08 1,490 1,464
State Higher Education Facilities
Authority RB, University of the
Arts, Series 1997, Asset Guaranty
4.750%, 03/15/05 165 165
4.850%, 03/15/06 270 269
24
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
5.100%, 03/15/09 $ 310 $ 311
5.200%, 03/15/10 325 326
5.250%, 03/15/11 345 345
5.300%, 03/15/12 345 345
State Higher Education Facilities
Authority RB, Ursinus College
5.000%, 01/01/02 160 162
5.100%, 01/01/03 180 183
5.200%, 01/01/04 195 199
5.300%, 01/01/05 220 225
5.400%, 01/01/06 245 251
5.850%, 01/01/17 1,275 1,299
State Housing Authority RB, Rental
Housing, FNMA, FHA
5.150%, 07/01/03 400 414
State Housing Authority RB,
Single Family Mortgage, AMT
7.000%, 10/01/05 230 246
State Participation Certificates,
Series A, AMBAC
5.400%, 07/01/09 175 178
York, Housing RB
6.875%, 11/01/09 1,245 1,281
--------
72,798
--------
RHODE ISLAND -- 0.4%
Central Falls, GO, Pre-Refunded
@ 103 (D)
9.250%, 11/15/00 180 206
State Housing & Mortgage Finance
Corporation RB, Home Ownership,
Series 3B, AMT
8.050%, 04/01/22 290 293
State Industrial Facilities RB, Crystal
Thermoplastics Project, Series A,
AMT, IRBA
6.900%, 08/01/14 380 405
West Warwick, GO, Series A,
Asset Guaranty
7.300%, 07/15/08 910 1,041
--------
1,945
--------
SOUTH CAROLINA -- 1.2%
State Housing Finance Authority RB,
Hunting Ridge Apartments,
Mandatory Put @ 100, AMT (B)
6.750%, 06/01/10 1,000 1,068
State Housing Finance Authority
RB, Multi-Family Housing, Bryton
Point Apartments, Mandatory
Put @ 100, FNMA (B)
5.700%, 06/01/05 3,050 3,286
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
State Housing Finance
Authority RB, Multi-Family
Housing, Runaway
Bay Apartments
5.500%, 12/01/05 $1,000 $ 1,048
State Housing Finance
Authority RB, Multi-Family
Housing, Westbury Place, FHA
6.050%, 07/01/27 470 487
--------
5,889
--------
SOUTH DAKOTA -- 0.2%
State Building Authority, Partially
Pre-Refunded @ 100 (D)
10.500%, 09/01/00 130 145
State Housing Development
Authority RB, Series B,
HUD Section 8
7.000%, 04/01/12 1,000 1,071
--------
1,216
--------
TENNESSEE -- 1.2%
Greeneville, Health & Education
Facility Board RB, Southern
Advent Hospital, ETM
8.700%, 10/01/09 375 458
Nashville & Davidson Counties
Health & Education Board RB,
CI Homes Project, Pre-Refunded
@ 105 (D)
9.000%, 10/01/07 250 335
Nashville & Davidson Counties
Health & Education Board RB,
Richland Place, Asset Guarantee
5.500%, 05/01/23 850 855
Nashville & Davidson Counties
Health & Education Board RB,
Welch Bend Apartments, Series A,
Mandatory Put @ 100, FNMA (B)
5.500%, 01/01/07 2,130 2,223
Shelby County Health Education &
Housing RB, Asset Guaranty
6.500%, 10/01/07 1,325 1,414
Shelby County Health Education &
Housing RB, Windsor Apartments,
Asset Guaranty
6.750%, 10/01/17 490 526
--------
5,811
--------
TEXAS -- 7.1%
Austin, Water, Sewer & Electric
Authority RB
14.000%, 11/15/01 875 1,039
25
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Bell County, Health Facility
Development Corporation RB,
Central Texas Pooled Health,
Investment Agreement Sun Life
Series A, Mandatory
Put @ 100 (B)
4.750%, 10/01/98 $ 740 $ 742
Bexar County, Housing Finance
Corporation Residual Bond,
Capital Appreciation (A)
0.000%, 03/01/15 1,765 596
Brazos, Higher Education
Authority RB, AMT, GTD
6.500%, 06/01/04 175 187
Bryon, Higher Education Authority
RB, Allen Academy, Series A
6.500%, 12/01/06 400 417
7.300%, 12/01/16 1,750 1,840
Capital Area Housing, IDK Partners,
1997-A Pass Through Certificates,
144A, AMT, GNMA
6.500%, 11/01/19 3,716 3,870
Collin County, Housing Finance
Corporation RB, Multi-Family
Mortgage, Preston Bend
Apartments Project, AXA,
Mandatory Put @ 100 (B)
6.500%, 09/01/03 1,000 1,029
De Soto, Housing RB, Colonies
Apartments Project, Mandatory
Put @ 100, FNMA (B)
5.125%, 10/01/07 3,725 3,776
Del Rio GO, Certificates of
Obligation, Asset Guaranty
7.500%, 04/01/03 125 139
7.500%, 04/01/04 200 226
7.500%, 04/01/08 100 116
7.500%, 04/01/09 200 232
6.500%, 04/01/10 100 107
5.550%, 04/01/11 50 50
5.650%, 04/01/13 100 100
5.750%, 04/01/16 50 50
5.750%, 04/01/17 250 250
Denison, Hospital Authority RB,
Texoma Medical Center, ETM
7.125%, 07/01/08 160 182
Gregg County, Housing Finance
Corporation RB, Summer Lake
Project, Series A, AXA, Mandatory
Put @ 100 (B)
6.400%, 03/01/06 500 532
Gulf Coast, Pollution Control RB,
Pre-Refunded @ 100 (D)
6.500%, 08/01/03 155 166
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Harris County Toll Road General
Obligation, MBIA (A)
0.000%, 08/15/01 $1,140 $ 989
Harris County, Housing Finance
Corporation RB, Multi-Family
Housing, Colonial House
Apartments Project, Mandatory
Put @ 100, LOC (B)
5.600%, 09/01/99 230 234
Harris County, Housing Finance RB,
Series 1996, AMT, FSA
5.700%, 06/01/06 280 292
Houston, Housing Finance
Corporation RB, Series 1996-A1
8.000%, 06/01/14 2,150 2,354
Houston, Housing Finance
Corporation RB, Series 1996-A2 (A)
0.000%, 06/01/14 1,830 563
Houston, Port Authority RB,
Airport and Marina Improvement
5.750%, 05/01/02 310 316
Houston, Sewer System RB, ETM
5.400%, 10/01/04 50 53
6.375%, 10/01/08 85 97
McAllen Development Sales
Tax RB, FSA
4.700%, 02/15/08 250 249
4.800%, 02/15/09 250 250
Northeast Hospital Authority
RB, ETM
8.000%, 07/01/08 585 678
Odessa, Single Family Mortgage
RB, Series A, FNMA
8.450%, 11/01/11 265 286
Panhandle Plains, Higher Education
Authority RB, Series D, AMT, GTD
5.100%, 09/01/03 210 215
5.250%, 03/01/05 185 190
Panhandle, Housing Finance
Corporation RB, Single Family
Mortgage, Series A, AMT, GNMA
7.500%, 05/01/24 440 461
Southeast Hospital Financing
Agency RB, Memorial Hospital
System Project, ETM
8.500%, 12/01/08 365 441
7.500%, 12/01/09 1,090 1,258
State Department of Housing &
Community Affairs RB, Meadow
Ridge Apartment Project,
AMT, FNMA
5.050%, 08/01/08 1,575 1,577
26
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
State Department of Housing &
Community Affairs RB,
Volente Project, FNMA, AMT
5.000%, 07/01/08 $1,170 $ 1,169
Tarrant County, Housing RB,
Summit Project, Mandatory
Put @ 100 (B), FNMA
5.080%, 09/01/07 2,000 2,023
Texarkana, Housing Finance
Corporation RB, Summerhill,
Series A, GNMA
5.550%, 01/20/07 230 239
Travis County, Housing Finance RB,
Series 1996, AMT, FSA
5.700%, 06/01/06 955 994
Webb County, Certificate of
Participation, Asset Guaranty
5.100%, 10/01/07 750 767
5.200%, 10/01/08 775 797
5.300%, 10/01/09 800 826
Willow Fork, Drain District General
Obligation, AMBAC
4.600%, 09/01/05 85 85
4.600%, 09/01/06 240 241
4.650%, 09/01/07 430 431
4.700%, 09/01/08 285 285
4.800%, 09/01/09 415 416
4.900%, 09/01/10 435 436
4.900%, 09/01/11 515 511
--------
35,369
--------
UTAH -- 1.4%
Brigham City, Special Assessment
Bond, District # 22
9.000%, 08/01/04 270 302
Hilldale, Electric Bonds GO, AMT
7.500%, 12/15/03 405 440
Provo, Housing Authority RB,
Lookout Pointe Apartments, GNMA
6.000%, 07/20/08 650 698
Salt Lake City, Industrial
Development Authority RB,
Hermes Associates Project, LOC
5.900%, 09/01/99 200 204
State Housing Finance Agency RB,
Single Family Mortgage, FHA, VA
5.500%, 07/01/16 420 422
State Housing Finance Agency RB,
Single Family Mortgage,
Issue F-1, AMBAC
5.850%, 07/01/07 850 916
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
State Housing Finance Agency RB,
Single Family Mortgage,
Series 1998 A-2, AMT
5.400%, 07/01/16 $1,000 $ 983
State Housing Finance Agency RB,
Single Family Mortgage,
Series 1998 A-3, AMT
5.200%, 07/01/11 500 494
State Housing Finance Agency RB,
Single Family Mortgage,
Series 1998 B-2, AMT
5.250%, 07/01/11 550 549
State Housing Finance Agency
RB, Single Family Mortgage,
Series B-2, AMT, FHA
7.600%, 01/01/22 170 179
State School District Finance
Cooperative RB, Financing Pool,
Mandatory Put @ 100, LOC (B)
8.375%, 02/15/01 535 541
Weber County, Municipal Building
Authority RB, Series 1994,
Asset Guaranty
6.750%, 12/15/04 1,275 1,422
--------
7,150
--------
VIRGINIA -- 1.5%
Alexandria, Redevelopment &
Housing Authority RB, Multi-Family
Housing, United Dominion-Parkwood
Court, Mandatory Put @ 100,
AMT (B)
6.625%, 05/01/06 2,990 3,147
King George County, Industrial
Development Authority RB, King
George County Elementary School
Notes, Series A
4.875%, 08/01/98 305 305
Newport News, Industrial
Development Authority RB,
Mennonwood Communities,
Series 1996, GNMA
7.250%, 08/01/16 1,185 1,309
Richmond, Metro Authority
Expressway RB, Partially
Pre-Refunded @ 102,
AMBAC (D), ETM
7.000%, 10/15/00 1,595 1,796
State Housing Development
Authority RB, Multi-Family
Housing, Series D
6.800%, 11/01/09 800 863
--------
7,420
--------
27
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
WASHINGTON -- 2.0%
Chelan County Public Utility
District #1, Series A, Mandatory
Put @ 100, AMT
4.850%, 07/01/07 $1,325 $ 1,335
Grays Harbor County Public
Utility District #1, RB, ETM
5.375%, 01/01/06 425 436
King County, Housing Authority
RB, Elderly Housing, Section 8
Assisted, Series B
7.000%, 08/01/03 225 235
King County, Housing Authority RB,
Multi-Family Mortgage, Section 8
Assisted Housing, Series A
7.000%, 08/01/03 750 794
Seattle, Low Income Housing
Assistance Authority RB, Kin On
Project, Series A, GNMA
7.400%, 11/20/36 1,497 1,688
Spokane Housing Authority RB,
Valley 206 Apartments, Series A
5.625%, 04/01/28 1,000 966
Spokane Housing Authority RB,
Valley 206 Apartments, Series B,
Standby LOC
5.750%, 04/01/28 600 592
State Health Care Facilities
Authority RB, Sisters of
Providence, Pre-Refunded @ 102 (D)
7.875%, 10/01/99 940 1,003
State Housing Finance Commission
RB, Series A, FNMA
7.000%, 07/01/99 85 86
State Housing Finance Commission
RB, Series B, FNMA, GNMA
6.900%, 07/01/16 2,635 2,790
--------
9,925
--------
WEST VIRGINIA -- 1.9%
Beckley, Nursing Facility RB, Beckley
Health Corporation, LOC
5.550%, 09/01/08 245 251
5.700%, 09/01/09 205 211
Harrison County, Single Family
Mortgage RB, Series B, CMO,
AMBAC (A)
0.000%, 10/20/10 2,822 1,178
Marshall County, Capital
Appreciation RB, MBIA (A)
0.000%, 05/01/14 3,000 904
Mason County, First Mortgage RB,
Point Pleasant Haven, LOC
6.200%, 12/01/05 850 891
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Preston County, Monongahela
Pollution Control RB
4.500%, 03/01/03 $5,350 $ 5,330
Raleigh, Fayette, & Nicholas
Counties, Single Family
Mortgage RB, Series B, CMO,
AMBAC (A)
0.000%, 06/20/10 2,167 864
--------
9,629
--------
WISCONSIN -- 1.3%
Oshkosh, Hospital Facilities
Authority RB, Mercy Medical
Center, Pre-Refunded @ 100 (D)
7.375%, 07/01/07 225 255
Pewaukee, Lake Country Industrial
Development RB, AMT, LOC
5.800%, 06/01/04 105 109
5.900%, 06/01/05 110 115
6.000%, 06/01/06 140 148
State Health & Education Faciliteis
Authority RB, Viterbo College
Project, LOC
5.250%, 02/01/04 115 116
5.400%, 02/01/05 100 102
5.750%, 02/01/12 525 533
6.000%, 02/01/17 540 554
State Health & Education Facilities
Authority RB, Sisters of
Sorrowful Mother, MBIA
5.100%, 08/15/07 1,135 1,165
5.200%, 08/15/08 1,670 1,724
5.300%, 08/15/09 1,185 1,229
West Bend, GO
6.400%, 02/01/05 150 161
Whitewater, Waterworks System RB
7.500%, 07/01/16 250 287
--------
6,498
--------
WYOMING -- 0.9%
City of Cheyenne, Federal Mineral
Royalty RB, Second Lien
6.200%, 06/01/09 1,000 1,055
Community Development Authority
Housing RB, AMT
5.700%, 12/01/07 200 211
Community Development Authority
Housing RB, Series B, AMT
8.125%, 06/01/21 475 498
Teton County Hospital RB,
St. John's, ACA
5.000%, 12/01/03 330 333
28
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000)/SHARES (000)
- --------------------------------------------------------------------------------
Teton County, School
District #1, MBIA
5.000%, 06/01/05 $2,300 $ 2,349
--------
4,446
--------
Total Municipal Bonds
(Cost $481,071) 492,079
--------
TAX-EXEMPT ASSET-BACKED SECURITIES -- 0.9%
Bridlewood Village Apartments,
Participation Certificate,
Class A, FHA 221
5.600%, 09/01/21 1,850 1,850
FHA Insured Trust, Series 1996-1,
Class A-2, Private Placement
6.750%, 02/01/13 607 605
FHA Insured Trust, Series 1996-1,
Class A-3, Private Placement
7.000%, 02/01/22 1,713 1,709
--------
Total Tax-Exempt
Asset-Backed Securities
(Cost $4,170) 4,164
--------
CASH EQUIVALENT -- 0.0%+
SEI Institutional Tax Free Portfolio
(Cost $197) 197 197
--------
Total Investments -- 99.6%
(Cost $485,438) 496,440
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.4% 2,120
--------
Total Net Assets -- 100.0% $498,560
========
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization -- $0.001
par value) based on 44,548,599
outstanding shares of beneficial interest $485,428
Capital shares of Service Shares
(unlimited authorization -- $0.001
par value) based on 122,945
outstanding shares of beneficial interest 1,377
Undistributed net investment income 8
Accumulated net realized gain on investments 745
Net unrealized appreciation on investments 11,002
--------
Total Net Assets $498,560
========
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $11.16
========
Net Asset Value, Offering and Redemption
Price Per Share -- Service Shares $11.16
========
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
+ LESS THAN 0.05%
(A) ZERO COUPON SECURITY
(B) MANDATORY PUT/TENDER SECURITY. THE MANDATORY PUT/TENDER DATE IS SHOWN AS
THE MATURITY DATE ON THE STATEMENT OF NET ASSETS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT AS OF APRIL 30, 1998.
(D) 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
CMO COLLATERALIZED MORTGAGE OBLIGATION
ETM ESCROWED TO MATURITY
GO GENERAL OBLIGATION
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT 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.
ACA ACA INSURANCE
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 ASSURANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
GTD GUARANTEED STUDENT LOANS
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.
29
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 16.3%
American United Life
Insurance, 144A
7.750%, 03/30/26 $ 9,050 $ 9,276
BankAmerica Institutional-B, 144A
7.700%, 12/31/26 5,015 5,134
BFC Finance, GSA Lease
7.375%, 12/01/17 7,975 8,463
Executive Risk Capital Trust, 144A
8.675%, 02/01/27 5,480 6,049
Farmers Insurance Exchange, 144A
8.625%, 05/01/24 9,000 10,474
First American Financial
7.550%, 04/01/28 8,335 8,314
Florida Property, 144A
7.375%, 07/01/03 5,435 5,693
General Motors Acceptance
Corporation
7.125%, 05/01/01 18,000 18,473
Heller Financial Fuji Bank
6.440%, 10/06/02 15,000 14,963
Hong Kong Shanghai Bank
7.000%, 11/01/06 13,800 14,111
Hong Kong Shanghai
Bank America, 144A
7.808%, 12/15/26 8,325 8,169
Jackson National Life
Insurance, 144A
8.150%, 03/15/27 15,650 17,403
Lehman Brothers
8.750%, 03/15/05 2,445 2,748
11.625%, 05/15/05 4,735 6,067
Life Reinsurance Capital
Tier I, 144A
8.720%, 06/15/27 5,290 5,673
World Financial Center, 144A,
Tower D
6.950%, 09/01/13 5,000 5,127
Ohio National Life Insurance,
144A
8.500%, 05/15/26 4,000 4,517
Paine Webber
6.750%, 02/01/06 10,400 10,491
Paine Webber Group MTN
6.790%, 10/04/04 3,500 3,531
Prudential Funding, 144A
6.750%, 09/15/23 2,000 1,873
Prudential Insurance, 144A
6.875%, 04/15/03 11,795 11,972
7.650%, 07/01/07 8,125 8,673
Republic of Marshall Islands,
Private Placement
7.600%, 10/15/01 6,808 6,902
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Union Central Life Insurance, 144A
8.200%, 11/01/26 $10,790 $ 11,437
----------
Total Corporate Obligations
(Cost $197,170) 205,533
----------
ASSET-BACKED SECURITIES -- 11.0%
Banc One Credit Card Master
Trust, Series 1995-A
6.150%, 07/15/02 13,510 13,600
Barnett Auto Trust, Series 1997-A,
Class A4
6.180%, 09/15/02 16,900 16,980
California Infrastructure SCE-1,
Series 1997-1, Class A4
6.220%, 03/24/04 1,780 1,796
California Infrastructure Sce-1,
Series 1997-1, Class A5
6.280%, 09/25/05 2,100 2,124
California Infrastructure, Series
1997-1, Class A7
6.420%, 09/25/08 4,210 4,276
California Infrastructure,
Series 1997-1, Class A5
6.250%, 06/25/04 5,000 5,049
Chase Manhattan Credit Card
Trust, Series 1996-3, Class A
7.040%, 02/15/05 5,330 5,494
Chase Manhattan Credit Card
Trust, Series 1997-2, Class A
6.300%, 08/15/03 11,849 11,983
Chemical Master Credit Card
Trust 1, Series 1996-3, Class A
7.090%, 02/15/09 8,905 9,503
Chemical Master Credit Card
Trust, Series 1995-3, Class A
6.230%, 04/15/05 9,074 9,166
Chemical Master Credit Card
Trust, Series 1996-1, Class A
5.550%, 09/15/03 4,021 3,987
First Omni Bank Credit Card
Master Trust, Series 1996-A,
Class A
6.650%, 09/15/03 14,855 15,155
First USA Credit Card Master
Trust, Series 1997-6, Class A
6.420%, 03/17/05 12,952 13,137
Union Acceptance, Series 1997-C,
Class A3
6.490%, 01/10/05 20,000 20,154
30
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
World Omni Automobile Lease
Securitization Trust III,
Series 1997-B, Class A4
6.200%, 11/25/03 $ 6,781 $ 6,807
----------
Total Asset-Backed Securities
(Cost $137,948) 139,211
----------
MORTGAGE-BACKED OBLIGATIONS -- 23.3%
Access Financial Manufactured
Housing Contract Trust,
Series 1995-1, Class A3
7.100%, 05/15/21 740 756
Access Financial Manufactured
Housing Contract Trust,
Series 1996-1, Class A4
7.300%, 11/15/26 300 310
Associates Manufactured Housing,
Series 1996-1, Class A4
7.300%, 03/15/27 2,960 3,080
Associates Manufactured Housing,
Series 1996-1, Class A5
7.600%, 03/15/27 4,200 4,451
Associates Manufactured Housing,
Series 1997-1, Class A5
6.675%, 03/25/28 10,775 10,875
BankAmerica Manufactured
Housing Contract Series 1996-1,
Class A4
7.300%, 10/10/26 14,068 14,580
Chase Mortgage Finance,
Series 1993-F1, Class 1A2
5.750%, 04/25/09 284 282
Chase Mortgage Finance,
Series 1994-B, Class A1
6.750%, 02/25/25 1,211 1,206
Chase Mortgage Finance,
Series 1994-G, Class A3
6.750%, 04/25/25 9,333 9,322
Countrywide Mortgage Backed
Securities, Series 1994-C, Class A8
6.500%, 03/25/24 1,265 1,173
General Electric Capital Mortgage
Services, Series 1994-14, Class A1
6.500%, 04/25/24 304 303
General Electric Capital Mortgage
Services, Series 1993-14, Class A7
6.500%, 11/25/23 1,925 1,761
General Electric Capital Mortgage
Services, Series 1994-10, Class A10
6.500%, 03/25/24 2,746 2,671
General Electric Capital Mortgage
Services, Series 1997-7, Class A7
7.500%, 08/25/27 3,788 3,852
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Green Tree Financial, Series
1994-6, Class A5
8.250%, 01/15/20 $ 5,000 $ 5,289
Green Tree Financial,
Series 1996-2, Class A4
7.200%, 04/15/27 7,000 7,242
Green Tree Financial,
Series 1996-2, Class B1
7.550%, 04/15/27 6,950 6,971
Green Tree Financial,
Series 1996-4, Class A6
7.400%, 06/15/27 4,925 5,156
Green Tree Financial,
Series 1996-5, Class A5
7.450%, 07/15/27 4,450 4,698
Green Tree Financial,
Series 1996-8, Class A6
7.600%, 09/25/26 3,900 4,213
Green Tree Financial,
Series 1997-3, Class B1
7.510%, 07/15/28 7,000 7,324
Green Tree Financial,
Series 1997-5, Class A6
6.820%, 05/15/29 12,010 12,164
Green Tree Financial,
Series 1997-6, Class B1
7.170%, 01/15/29 10,950 11,148
Green Tree Financial,
Series 1998-2, Class B1
7.360%, 10/01/20 10,000 9,944
Green Tree Financial,
Series 1998-3, Class B1
7.290%, 09/01/21 150 150
Green Tree Home Improvement
Loan Trust, Series 1996-F,
Class HEA3
6.900%, 01/15/28 5,350 5,469
Green Tree Home Improvement
Loan Trust, Series 1997-D,
Class HEA3
6.390%, 09/15/28 7,762 7,783
J.P. Morgan Commercial Mortgage
Finance, Series 1997-C5, Class A2
7.069%, 09/15/29 12,815 13,270
Merrill Lynch Mortgage Investors,
Series 1990-C, Class B, 144A
9.700%, 06/15/10 10,000 10,600
Merrill Lynch Mortgage Investors,
Series 1991-1, Class A
7.650%, 01/15/12 1,007 1,015
Merrill Lynch Mortgage Investors,
Series 1995-C1, Class A (C) 144A
7.137%, 05/25/15 7,331 7,544
31
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
FIXED INCOME FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Series 1996-C1, Class A1
7.150%, 04/25/28 $ 9,467 $ 9,686
Norwest Asset Securities,
Series 1996-2, Class A6
7.000%, 09/15/11 9,000 9,075
Norwest Asset Securities,
Series 1997-14, Class A2
6.750%, 10/25/27 18,469 18,631
Oakwood Mortgage Investors,
Series 1996-B, Class A3
7.100%, 10/15/26 3,830 3,957
Oakwood Mortgage Investors,
Series 1996-B, Class A4
7.350%, 10/15/26 5,400 5,691
Paine Webber Mortgage Acceptance,
Series 1995-M1, Class A, 144A
6.700%, 01/15/07 20,000 20,277
PNC Mortgage Securities,
Series 1997-6, Class A2
6.600%, 07/25/27 3,467 3,491
Prudential Home Mortgage
Securities, Series 1993-1, Class A1
7.500%, 02/25/23 868 866
Prudential Home Mortgage
Securities, Series 1993-61, Class A1
6.500%, 12/25/08 380 379
Prudential Home Mortgage
Securities, Series 1993-9, Class A9
6.700%, 03/25/08 368 367
Prudential Home Mortgage
Securities, Series 1994-12, Class A7
6.050%, 04/25/24 3,999 3,559
Prudential Home Mortgage
Securities, Series 1994-17, Class A5
6.250%, 04/25/24 5,700 5,291
Residential Accredit Loans,
Series 1996-QS4, Class AI4
7.500%, 08/25/26 8,000 8,011
Residential Accredit Loans,
Series 1997-QS4, Class A2
7.250%, 05/25/27 2,000 2,004
Residential Asset Securitization
Trust, Series 1996-A5, Class A3
7.750%, 09/25/26 3,369 3,376
Residential Asset Securitization
Trust, Series 1997-A4, Class A3
7.250%, 06/25/27 13,391 13,499
Residential Asset Securitization
Trust, Series 1997-A6, Class A4
7.250%, 09/25/12 9,598 9,714
Residential Funding Mortgage
Securities I, Series 1992-S36,
Class A2
5.700%, 11/25/07 138 137
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
UCFC Home Equity Loan, Series
1996-B1, Class A2
7.075%, 04/15/10 $ 650 $ 653
----------
Total Mortgage-Backed Obligations
(Cost $287,649) 293,266
----------
TAXABLE MUNICIPAL BONDS -- 11.9%
Allegheny County,
Pennsylvania RB (A), FHA 223F
0.000%, 08/01/28 9,125 947
Atlanta, Georgia, Urban
Redevelopment Finance
Authority RB, FNMA (A)
0.000%, 10/01/16 21,000 5,093
Baltimore, Maryland, Mayor &
City Council GO, FGIC
8.100%, 10/15/10 1,775 1,995
8.700%, 10/15/15 1,875 2,173
Bell County, Texas Health Facility,
Southern Healthcare RB, LOC (C)
5.900%, 12/01/19 350 350
Belmont, California, Redevelopment
Agency Tax Allocation Bond, MBIA
7.550%, 08/01/11 895 918
California State Housing Finance
Agency RB, AMBAC
7.900%, 08/01/07 7,580 7,874
8.240%, 02/01/14 1,435 1,526
Cameron County, Texas, Housing
Finance RB, CMO, Series 1990A,
Class 1B, FGIC
10.210%, 09/01/10 1,503 1,559
Cameron County, Texas, Housing
Finance RB, CMO, Series 1990A,
Class 1C, FGIC
10.450%, 09/01/11 945 1,083
Chattahoochee Valley, Alabama,
Water Supply RB, Asset Guaranty
8.600%, 10/01/07 200 226
City of Morgantown, Kentucky,
Southern Healthcare LOC (C)
5.900%, 12/01/99 100 100
Connecticut State Health &
Education RB, Nursing
Home Program
8.450%, 11/01/99 470 484
Connecticut State Health &
Education RB, Sheridan
Woods Center
7.950%, 11/01/05 1,755 1,880
8.730%, 11/01/17 1,150 1,305
32
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Dade County, Florida, Aviation
RB, AMBAC
8.650%, 10/01/03 $1,000 $ 1,115
Delaware State Housing Authority
RB, AMBAC
6.750%, 07/01/14 955 967
Erie County, New York, Industrial
Development Authority RB,
Journeys End Project LOC
9.750%, 01/01/15 1,765 1,808
Fresno, Multi-Family Housing
RB, LOC (C)
6.260%, 12/01/26 385 385
Fulton, Missouri, Imperial District
Golf Course GO, MBIA
7.500%, 07/01/07 1,135 1,209
Harrisburg, Pennsylvania,
Resource Recovery
Authority RB, MGG
6.000%, 09/01/98 110 110
6.875%, 09/01/03 515 509
7.750%, 09/01/13 3,145 3,224
Harristown, Pennsylvania RB,
Development Special Obligations,
Private Placement, ETM
6.150%, 02/01/16 4,355 4,208
Hofstra University,
New York RB, MBIA
7.700%, 07/01/15 3,895 4,148
Huntingdon, West Virginia, CMO
9.050%, 01/15/12 949 1,047
Iowa State Financial
Authority RB, GNMA
7.125%, 10/20/15 1,980 2,049
Kanawha & Putnam Counties,
West Virginia RB, AMBAC (A)
0.000%, 12/01/16 4,485 1,200
Lake Mills, Iowa, Mercy Health
Center First Mortgage RB,
Series 1995, Private Placement
7.450%, 11/01/99 250 251
7.600%, 11/01/00 280 281
7.600%, 11/01/01 360 362
7.750%, 11/01/02 385 387
7.850%, 11/01/03 410 411
7.850%, 11/01/04 410 408
7.900%, 11/01/05 450 445
8.000%, 11/01/06 590 587
8.000%, 11/01/07 610 604
Los Angeles County,
California RB, LOC
10.500%, 06/01/15 400 404
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Manatee County, Florida,
Single Family Housing RB,
GNMA, FNMA
7.300%, 11/01/12 $1,300 $ 1,383
Maury County, Tennessee, Health
Facility RB, Southern
Healthcare, LOC (C)
5.900%, 12/01/00 250 250
Mississippi State Home, Single
Family Home RB, Series G,
Class 1, FNMA, GNMA
6.450%, 11/01/07 2,805 2,823
Mississippi State Home, Single
Family Home RB, Series H,
Class 2, FNMA, GNMA
6.610%, 12/01/12 2,245 2,256
Mississippi State Home RB,
Single Family Mortgage,
GNMA, FNMA
7.750%, 07/01/24 2,850 2,850
Mississippi State Home
Residential RB, FHA (A)
0.000%, 12/01/08 65 32
0.000%, 12/01/12 9,000 3,195
Monroe County, New York,
Nationwide Precision Products
Facilities, LOC (C)
6.000%, 12/01/04 1,675 1,675
Montgomery County, New York
Industrial Development
Authority RB, LOC (C)
5.800%, 05/01/25 970 970
Montgomery, Alabama, Industrial
Development Authority RB,
LOC, (C)
5.800%, 05/01/25 3,705 3,705
New Jersey State Economic
Development Authority RB,
State Contract
7.100%, 09/15/02 2,345 2,386
New Mexico State Mortgage
Financial Authority, CMO,
Series 1997-C1
7.430%, 07/01/29 3,325 3,487
New Orleans, Louisiana,
Single Family Mortgage
Authority RB, Series A, MBIA, (A)
0.000%, 10/01/15 4,540 1,078
New York City GO, Pre-Refunded
@ 102 (A) (D)
0.000%, 11/15/01 260 216
New York City GO, Pre-Refunded
@ 102 (D)
10.500%, 11/15/01 615 710
33
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
FIXED INCOME FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
New York City GO, Pre-Refunded
@ 103 (A) (D)
0.000%, 08/01/01 $ 50 $ 43
New York City GO, Pre-Refunded
@ 103 (D)
10.000%, 08/01/01 355 403
New York City, Industrial
Development Authority RB,
Civic Facility, Series B, MBIA
8.100%, 09/01/06 1,735 1,928
New York City, Mortgage Loan
Trust 1996-A2, 144A
6.750%, 06/25/11 4,570 4,660
New York City, Mortgage Loan
Trust 1996-A3, 144A
6.750%, 09/25/19 9,250 9,036
New York State Housing Finance
Authority RB, Series 1996-C, FHA
8.110%, 11/15/38 2,965 3,013
North Greenbush, New York,
Industrial Development
Authority RB (C), LOC
5.850%, 11/01/08 6,000 6,000
North Miami, Florida, Pension
Funding Special Obligation, FHA
6.850%, 07/01/05 255 261
7.000%, 07/01/08 335 345
Ohio State Capital For Housing RB,
Georgetown Village Project,
Series 1996-C, FHA
7.625%, 07/01/22 1,250 1,270
Oklahoma City, Oklahoma, Airport
Trust RB, 17th Series
8.300%, 10/01/12 1,000 1,059
Oklahoma City, Oklahoma, Airport
Trust RB, Federal Bureau
Prisons Project
9.800%, 11/01/14 2,650 3,120
Oklahoma County, Oklahoma,
Home Finance Authority RB (A)
0.000%, 07/01/12 3,450 1,095
Panhandle, Texas, Regional
Housing Finance RB,
Series 1996 (A)
0.000%, 10/01/11 1,460 575
Pima & Maricopa Counties,
Arizona, Industrial Development
Authority RB, Series 1993B, FNMA
6.500%, 01/01/06 620 636
Plymouth County, Massachusetts,
Correctional Facility Certificate
of Participation
10.400%, 04/01/22 5,100 5,706
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Quad Cities, Illinois, Regulated
Economic Development Auth,
Heritage Place Project,
Private Placement
9.750%, 08/01/16 $ 500 $ 546
Rhode Island Port Authority
Economic Development RB,
Central Falls Detention
Center, Series A
8.200%, 01/15/08 1,105 1,209
Sand Creek, Idaho, Multi-Family
Housing RB, Limited Partnership
8.250%, 12/01/18 3,545 3,563
Sedgewick & Shawnee Counties,
Kansas, Single Family Housing
RB, GNMA
8.375%, 06/01/18 11,240 12,083
Sedgewick & Shawnee Counties,
Kansas, Single Family Housing
RB, Series A3, GNMA
6.520%, 12/01/12 6,710 6,895
Shawnee, Kansas, Housing RB,
Pinegate West Apartments, LOC (C)
5.000%, 02/01/24 425 425
Southwestern Illinois Development
Authority RB, Sports Facility
Project, 144A
9.200%, 02/01/13 2,250 2,441
Southwestern Illinois Development
Authority, Gateway International
Motorsports, Private Placement
9.250%, 02/01/17 1,000 1,170
Tarrant County, Texas, Housing
Finance RB, Single Family
Mortgage, MBIA
6.650%, 07/15/16 455 474
Texas State Department of Housing &
Community Affairs RB, NHP
Foundation, Asmara Project,
Series B
6.400%, 11/01/99 50 50
Utah State Housing Finance
Agency RB, Series D-1
9.850%, 07/01/10 215 228
York, Pennsylvania GO,
Series A, FGIC
6.250%, 02/01/05 1,000 996
----------
Total Taxable Municipal Bonds
(Cost $144,547) 149,878
----------
34
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED OBLIGATIONS -- 12.3%
Dade County, Florida, Housing
Finance Agency RB,
GNMA (C), AMT
5.600%, 04/01/27 $3,996 $ 4,316
Drexel Burnham Lambert Trust,
Series T, Class 3
8.450%, 01/20/19 1,731 1,768
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1163, Class HA
7.950%, 12/15/19 26 26
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1178, Class G
6.750%, 05/15/06 27 27
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1324, Class VD
7.000%, 06/15/05 825 835
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1392, Class AB
6.250%, 09/15/18 58 58
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1411, Class G
6.500%, 07/15/18 4,500 4,517
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1462, Class PT
7.500%, 01/15/03 4,756 4,871
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1482, Class D
6.000%, 03/15/14 6 6
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1496, Class KB
6.500%, 05/15/08 2,100 2,097
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1547, Class PD
5.750%, 01/15/14 57 57
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1557, Class B
5.000%, 08/15/98 28 28
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1562, Class J
7.000%, 05/15/10 9,650 9,905
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1633, Class PE
5.750%, 10/15/17 $ 1,500 $ 1,492
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1667, Class PC
5.500%, 06/15/04 2,206 2,203
Federal Home Loan Mortgage
Corporation, REMIC,
Series 70, Class C
9.000%, 09/15/20 577 610
Federal Home Loan Mortgage
Corporation/Government
National Mortgage Association,
REMIC, Series 32, Class PD
6.350%, 03/25/15 2,000 1,996
Federal National Mortgage
Association, Pool #303387
8.000%, 07/01/02 2,146 2,184
Federal National Mortgage
Association, REMIC,
Series 1989-74, Class J
9.800%, 10/25/19 1,759 1,902
Federal National Mortgage
Association, REMIC,
Series 1989-79, Class D
9.000%, 11/25/19 1,350 1,448
Federal National Mortgage
Association, REMIC,
Series 1991-108, Class H
7.500%, 04/25/20 24 23
Federal National Mortgage
Association, REMIC,
Series 1992-100M
8.500%, 06/25/05 8,000 8,255
Federal National Mortgage
Association, REMIC,
Series 1992-20, Class PG
7.000%, 05/25/05 40 40
Federal National Mortgage
Association, REMIC,
Series 1992-43, Class E
7.500%, 04/25/22 3,420 3,498
Federal National Mortgage
Association, REMIC,
Series 1993-174, Class C
5.750%, 12/25/03 576 574
Federal National Mortgage
Association, REMIC,
Series 1993-174, Class EA
6.150%, 10/25/07 4,000 4,001
35
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
FIXED INCOME FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Federal National Mortgage
Association, REMIC,
Series 1993-192, Class E
5.950%, 11/25/07 $ 1,000 $ 994
Federal National Mortgage
Association, REMIC,
Series 1993-194, Class PE
5.350%, 09/25/02 258 257
Federal National Mortgage
Association, REMIC,
Series 1993-31, Class G
7.000%, 01/25/03 3,940 3,992
Federal National Mortgage
Association, REMIC,
Series 1994-34, Class PD
5.500%, 10/25/04 855 851
Federal National Mortgage
Association, REMIC,
Series 1994-92, Class DE
7.500%, 07/25/07 6,268 6,539
Federal National Mortgage
Association, REMIC,
Series 1995-2, Class H
8.500%, 06/25/10 18,200 19,789
Federal National Mortgage
Association, REMIC,
Series 1996-12, Class C
6.500%, 03/25/23 6,575 6,474
Federal National Mortgage
Association, REMIC,
Series 1996-23, Class D
6.500%, 10/25/23 2,650 2,609
Federal National Mortgage
Association, REMIC,
Series 1996-40, Class D
3.725%, 09/25/22 1,000 869
Federal National Mortgage
Association, REMIC,
Series 1997-13, Class CB
7.000%, 09/18/03 5,273 5,355
Federal National Mortgage
Association, REMIC,
Series 1997-32A, Class PB
6.500%, 03/25/15 13,759 13,834
Federal National Mortgage
Association, REMIC,
Series 1997-40, Class PE
6.750%, 07/18/19 5,290 5,350
Federal National Mortgage
Association, REMIC,
Series 1997-M2, Class B (C)
7.350%, 02/17/08 20,800 21,751
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Federal National Mortgage
Association, REMIC,
Series G-26, Class F (C)
6.200%, 12/25/20 $ 63 $ 63
Federal National Mortgage
Association, REMIC,
Series G92-24, Class E
6.500%, 11/25/20 4 4
Federal National Mortgage
Association, REMIC,
Series G92-39, Class Q
7.000%, 03/25/01 3,000 3,020
Federal National Mortgage
Association, REMIC,
Series X-19C, Class G
7.500%, 08/25/21 720 737
Federal National Mortgage
Association, Series 1995-M2,
Class B
6.700%, 05/25/28 3,961 4,015
Government National Mortgage
Association, Pool # 413221
8.250%, 05/15/10 1,541 1,619
----------
Total U.S. Government Agency
Mortgage-Backed Obligations
(Cost $151,006) 154,859
----------
U.S. TREASURY OBLIGATIONS -- 23.7%
U.S. Treasury Bonds
6.500%, 11/15/26 81,840 87,161
U.S. Treasury Notes
6.500%, 05/31/01 128,422 131,535
7.875%, 11/15/04 71,351 79,596
----------
Total U.S. Treasury Obligations
(Cost $298,929) 298,292
----------
REPURCHASE AGREEMENT -- 0.7%
J.P. Morgan Securities
5.52%, dated 04/30/98,
matures 05/01/98, repurchase
price $8,427,158 (collateralized
by U.S. Treasury Note, par value
$8,277,000, due 02/29/00,
market value $8,573,925)
(Cost $8,405) 8,405 8,405
----------
Total Investments -- 99.2%
(Cost $1,225,654) 1,249,444
----------
OTHER ASSETS AND LIABILITIES, NET -- 0.8% 10,335
----------
Total Net Assets -- 100.0% $1,259,779
==========
36
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization -- $0.001
par value) based on 117,668,264
outstanding shares of beneficial interest $1,228,807
Capital shares of Service Shares (unlimited
authorization -- $0.001 par value)
based on 51,017 outstanding shares of
beneficial interest 547
Undistributed net investment income 129
Accumulated net realized gain on investments 6,506
Net unrealized appreciation on investments 23,790
----------
Total Net Assets $1,259,779
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $10.70
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Service Shares $10.70
==========
(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) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON APRIL 30, 1998.
(D) 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.
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.
MTN MEDIUM TERM NOTE
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
MGG MUNICIPAL GOVERNMENT GUARANTEED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SHORT-TERM
MUNICIPAL BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 98.3%
ALABAMA -- 0.2%
Birmingham, Baptist Medical
Clinic RB, ETM
8.125%, 07/01/99 $ 45 $ 46
Hartselle, Medical Clinic Board
Hospital RB, ETM
6.250%, 10/01/02 25 27
-------
73
-------
ALASKA -- 0.2%
Valdez Marine, ARCO Pipe Line
Project RB, Pre-Refunded @100 (D)
6.000%, 08/01/03 55 58
-------
ARIZONA -- 0.9%
Maricopa County, Hospital Revenue
Authority RB, Phoenix Baptist
Hospital & Medical Center, ETM
7.125%, 10/01/02 205 213
Maricopa County, Hospital Revenue
Authority RB, Sun Health ETM
7.875%, 04/01/02 45 48
-------
261
-------
ARKANSAS -- 3.1%
City of Rogers, Sales & Use Tax RB,
Series 1996
5.000%, 11/01/15 450 442
Crossett Industrial Development
RB, Georgia Pacific Project,
Prerefunded @100 (D)
6.000%, 06/01/01 180 189
Little Rock Residential Housing &
Public Facility Board RB, FSA, (A)
0.000%, 07/15/11 320 138
Little Rock, Sewer RB
4.300%, 02/01/99 50 50
Mississippi County, Hospital
Authority RB, AMBAC, ETM
7.250%, 11/01/02 35 37
Pulaski County, Akond Health
Facility Hospital RB, Pre-Refunded
@ 100, MBIA (D)
9.750%, 09/01/99 50 53
10.000%, 09/01/99 5 5
-------
914
-------
CALIFORNIA -- 2.2%
Los Angeles, Housing Redevelopment
Agency RB, Monterey Hills
Redevelopment Project B
5.500%, 12/01/05 55 58
37
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
SHORT-TERM
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
San Diego, Mercy Hospital and
Medical Center RB, ETM
8.400%, 02/01/99 $ 35 $ 36
Santa Clara, Amberwood
Apartments RB, FNMA
4.750%, 10/01/07 280 280
State Housing Finance Agency (A)
0.000%, 02/01/99 120 115
0.000%, 08/01/99 180 166
-------
655
-------
COLORADO -- 2.3%
El Paso County, Capital
Appreciation RB, Series C,
AMT (A)
0.000%, 07/10/14 1,000 299
Lafeyette, GO, AMBAC
4.600%, 12/01/98 25 25
Logan County, Single Family
Mortgage RB, Series A
8.500%, 11/01/11 205 216
State Housing Finance
Authority RB
6.500%, 08/01/98 55 55
State Housing Finance Authority RB,
Series E, AMT
6.250%, 12/01/09 80 82
-------
677
-------
CONNECTICUT -- 0.7%
State GO
5.250%, 07/01/02 80 80
State Health & Education Facilities
Authority RB, ETM
7.250%, 07/01/04 75 82
State Resource Recovery RB,
Bridgeport Project A
7.625%, 01/01/09 55 57
-------
219
-------
DELAWARE -- 0.4%
Dover, Water & Sewer RB,
Series B, MBIA
7.200%, 07/01/01 20 20
State Economic Development
Authority RB, Wilmington
Friends School
6.300%, 07/01/98 45 45
6.300%, 07/01/99 50 51
-------
116
-------
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
DISTRICT OF COLUMBIA -- 0.4%
Housing Finance Agency RB,
Single-Family Housing,
Series E-2, AMT, GNMA
7.100%, 12/01/98 $ 130 $ 132
-------
FLORIDA -- 5.5%
State Housing Finance Authority,
Multi-Family RB,
Mandatory Put @100, LOC (B)
4.850%, 12/01/99 1,000 1,010
Alacha County, Shands Hospital &
Clinics RB, ETM
7.000%, 12/01/01 10 11
Dade County, Guaranteed
Entitlement RB, Pre-Refunded
@ 103, AMBAC (D)
9.750%, 02/01/00 485 532
Lee County, Justice Center
Complex RB, MBIA, ETM
10.750%, 01/01/01 15 17
Orange County, Housing
Authority RB, Series A, CMO,
GNMA, AMT
7.250%, 09/01/11 75 81
-------
1,651
-------
GEORGIA -- 1.4%
Clarke County, Hospital
Authority, MBIA, ETM
9.750%, 01/01/02 95 105
Cobb County, Kennestone Hospital
Authority, ETM
10.250%, 02/01/02 60 66
Crisp County, Industrial RB,
Colonial Stores, ETM
6.300%, 07/01/02 224 240
-------
411
-------
IDAHO -- 2.9%
Boise City, Western Trailer
Project, LOC, Private
Placement, AMT
4.750%, 12/15/02 650 656
Idaho State Housing
Agency RB, Series C1
7.650%, 07/01/10 210 219
-------
875
-------
ILLINOIS -- 3.9%
Addison, Alton, Pekin, & Granite
City, CMO Series 1989-B, FSA
7.580%, 11/01/09 125 125
38
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Chicago Multi-Family Housing,
Madison Park Apartments,
Series A, Mandatory Put
@ 100, LOC (B)
7.000%, 07/01/99 $ 50 $ 51
Chicago, School Financial
Authority GO, MBIA
7.500%, 06/01/00 65 66
Homewood GO, MBIA
5.700%, 12/01/01 20 21
Illinois Education Facility
Authority, Loyola, Series A,
Pre-Refunded @ 60.293, (A) (D)
0.000%, 07/01/99 100 58
Macomb, Elderly
Housing RB, HUD
7.250%, 09/01/98 15 15
Palatine County, Clover Ridge
East Apartment, Mandatory
Put @ 100, LOC (B)
4.750%, 12/15/02 400 408
Saint Charles, Industrial RB,
Covington County Project,
Mandatory Put @ 100, LOC (B)
5.500%, 09/01/98 185 185
State Health Facility Authority RB,
Pre-Refunded @ 100 (D)
6.600%, 08/01/01 105 110
State Housing Development
Authority
5.250%, 08/01/00 45 46
State Toll & Highway RB,
Pre-Refunded @ 100 (D)
6.750%, 07/01/06 75 82
-------
1,167
-------
INDIANA -- 1.2%
Mishawaka-Lasalle, School
District RB
4.000%, 07/05/99 50 50
Monroe County, Bloomington
Hospital RB, BIGI
6.800%, 05/01/99 50 51
North Adams, Community Schools
Certificate of Participation, MBIA
4.700%, 07/15/99 55 55
Reid Memorial Hospital RB, ETM
6.250%, 05/01/00 160 165
Shelbyville Middle School RB, ETM
7.150%, 07/15/99 40 42
-------
363
-------
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
IOWA -- 0.0%+
Clinton, Industrial Development RB
5.500%, 08/01/98 $ 10 $ 10
-------
KANSAS -- 0.9%
Saline County, Single Family
Mortgage RB, Series A
9.500%, 10/01/11 60 64
Wichita, Hospital RB, MBIA, ETM
10.000%, 04/01/02 155 176
Wichita, Public Building RB,
Pre-Refunded @ 102 (D)
8.375%, 10/01/98 20 21
-------
261
-------
KENTUCKY -- 0.3%
Ashland Industrial Building,
Whayne Supply RB, MBIA
7.375%, 06/01/99 70 71
McCracken County,
Hospital RB, ETM
8.250%, 03/01/99 15 15
-------
86
-------
LOUISIANA -- 0.4%
East Baton Rouge Parish,
Hospital RB, Service District
Number 2, ETM
6.200%, 10/01/02 50 52
State Public Facility Authority,
Pre-Refunded @ 102 (D), BIGI
7.900%, 12/01/98 55 57
-------
109
-------
MASSACHUSETTS -- 4.2%
Boston City Hospital, FHA
Pre-Refunded @ 100 & 102 (D)
7.625%, 08/15/00 170 186
Boston, City Hospital Project RB,
Pre-Refunded @ 102 (D)
7.650%, 08/18/00 260 284
Industrial Finance Agency, LOC,
Mandatory Put @ 100 (B)
5.350%, 09/01/00 165 169
Industrial Finance Agency RB
5.550%, 04/01/09 225 229
State Health & Education RB,
Pre-Refunded @ 102 (D)
9.500%, 10/01/99 100 109
State Housing Finance Agency RB,
Single Family Home Project,
Series 21, AMT
6.500%, 12/01/10 95 101
39
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
SHORT-TERM
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
State Housing Finance Agency RB,
Single Family Home Project,
Series 8
7.000%, 06/01/99 $180 $ 184
-------
1,262
-------
MICHIGAN -- 1.1%
Detroit, Sewage Disposal RB, ETM
6.900%, 12/15/99 100 103
Kalamazoo, Hospital Finance
Authority RB, ETM
7.000%, 07/01/01 135 141
State Building Authority RB,
Series 2, ETM, MBIA
7.400%, 04/01/01 80 83
-------
327
-------
MINNESOTA -- 0.4%
St. Paul, Port Authority RB, Energy
Park, Pre-Refunded @ 102 (D)
8.000%, 12/01/98 70 73
Western Minnesota Municipal Power
Agency, Pre-Refunded
@ 100 (D), MBIA
10.125%, 01/01/99 35 36
-------
109
-------
MISSOURI -- 2.3%
State Housing Development
RB, GNMA, AMT
6.625%, 12/01/17 325 345
St. Louis County, Single Family
Housing RB, AMBAC
9.250%, 10/01/16 45 49
St. Louis, Airport RB, ETM
12.000%, 07/01/99 80 87
12.100%, 07/01/00 135 157
12.100%, 07/01/01 30 37
-------
675
-------
NEBRASKA -- 1.1%
Buffalo County, Good Samaritan
Hospital Project RB, ETM
7.400%, 11/01/00 45 47
Douglas County, Immanuel
Medical Center RB, ETM
6.250%, 10/01/00 120 123
State Investment Finance
Authority RB, AMT, GNMA
7.500%, 03/15/15 145 153
-------
323
-------
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
NEVADA -- 0.9%
Henderson, Local Improvement RB
6.700%, 04/01/00 $ 55 $ 57
Reno, Saint Mary's Hospital RB,
Pre-Refunded @ 102, BIGI (D)
7.750%, 01/01/00 35 38
Reno, Saint Mary's Hospital RB,
Series C, Pre-Refunded
@ 102, BIGI (D)
7.750%, 01/01/00 25 27
State General Obligation
# 18 & 19, ETM
8.300%, 09/01/00 100 109
State Housing RB, Multi-Unit
Housing Division, AMT, FNMA
6.450%, 10/01/04 35 37
-------
268
-------
NEW HAMPSHIRE -- 1.4%
State Higher Education RB,
Pre-Refunded @ 102 (D), LOC
8.000%, 10/01/99 100 107
State Housing Finance Authority RB
7.550%, 07/01/09 55 57
State Housing Finance
Authority RB, Single-Family,
Exchangeable Yearly, AMT, LOC
6.125%, 01/01/18 265 267
-------
431
-------
NEW JERSEY -- 13.1%
Mercer County, State Justice
Complex RB, ETM
6.000%, 01/01/99 45 46
Health Care Facilities RB,
St Elizabeth Hospital,
Pre-Refunded @ 102 (D)
8.250%, 07/01/00 110 121
State Education Facility RB
5.000%, 04/30/02 640 638
State Education Facility, Fairleigh
Dickinson University,
Series C, ETM
7.750%, 07/01/01 2,405 2,561
State Turnpike Authority RB,
MBIA, ETM
10.375%, 01/01/03 485 562
-------
3,928
-------
NEW MEXICO -- 2.5%
Albuquerque, CMO
Class B-1, FSA
7.650%, 08/15/07 75 80
40
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Albuquerque, CMO
Class B-2, FGIC (A)
0.000%, 05/15/11 $1,400 $ 569
Sandoval County, Gross
Receipts Tax RB, Intel
6.000%, 11/01/98 105 106
-------
755
-------
NEW YORK -- 1.0%
State Dormitory Authority, FSA (A)
0.000%, 07/01/04 340 257
State Housing Finance
Agency RB, ETM
7.375%, 11/01/98 40 40
State Housing Finance Agency RB,
Hospital & Nursing Home, FHA
6.700%, 08/15/01 10 10
-------
307
-------
NORTH CAROLINA -- 0.3%
Rockingham County, GO
7.200%, 02/01/99 100 101
-------
OHIO -- 6.5%
Barberton, Hospital
Improvement RB, ETM
6.500%, 07/15/00 60 62
Clermont County, Hospital
Facilities RB, ETM
7.375%, 06/01/99 25 26
Hamilton, Hospital Facilities
RB, ETM
7.625%, 02/15/01 65 71
Lucas County, Riverside Hospital
Project RB, ETM
6.950%, 08/01/04 35 38
Lucas County, Toledo Hospital,
Pre-Refunded @ 102, MBIA (D)
6.750%, 11/15/99 80 84
Miami County, Hospital Facilites RB,
Pre-Refunded @ 102, MBIA (D)
6.625%, 05/01/99 100 105
Middletown, Hospital
Improvements RB, ETM
6.250%, 04/01/99 15 15
Montgomery County, Miami Valley
Hospital Society RB, ETM
10.125%, 01/01/00 30 31
State Capital Corporate Housing RB,
Series A, FHA, MBIA
4.500%, 01/01/03 1,100 1,099
Stark County, Hospital RB, ETM
6.875%, 12/01/06 110 120
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
State Housing Finance Agency RB,
Single Family Mortgage, BIGI (C)
5.750%, 04/01/16 $305 $ 310
-------
1,961
-------
OKLAHOMA -- 1.4%
Bryan County, Single Family
Mortgage RB, Series A
8.600%, 07/01/10 85 89
State Industrial Authority RB,
Baptist Medical Center, ETM
7.000%, 07/01/03 155 165
Tulsa, Airport Improvement RB,
ETM, FGIC
6.200%, 06/01/00 160 163
-------
417
-------
OREGON -- 0.3%
State GO, AMT
7.100%, 01/01/02 100 101
-------
PENNSYLVANIA -- 16.1%
Allegheny County, Industrial
Development RB, Commercial
Development Parkway Center, LOC
5.500%, 12/01/04 15 15
Allegheny County, Presbyterian
Health Center RB, Series B, MBIA
4.875%, 11/01/98 50 50
Beaver County, Hospital
Authority RB, St. Francis
Hospital, ETM
7.750%, 07/15/01 160 164
Beaver County, Housing
Authority RB, MBIA
7.875%, 07/01/99 235 235
Bensalem Township, Water &
Sewer Authority RB, ETM
5.700%, 11/01/02 25 26
Cambria County, GO, ETM
8.250%, 06/01/00 10 10
Chester County, Health & Education
Authority RB, Series 1996 B,
LOC, Mandatory Put @100 (B)
4.900%, 08/01/99 300 303
Chester County, Hospital
Authority RB, ETM
7.500%, 07/01/09 15 17
Chester County, Hospital
Authority Special GO, ETM
5.750%, 02/01/03 5 5
Chester Upland, School District
Authority RB
5.200%, 09/01/98 25 25
41
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
SHORT-TERM
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Dauphin County, General Authority,
Mandatory Put @ 100 (B)
6.400%, 06/03/02 $200 $ 212
Delaware County, White Horse
Village Project RB, ETM
9.000%, 07/01/99 100 103
Doylestown, Doylestown
Hospital RB, Series C,
AMBAC, ETM
6.700%, 07/01/98 30 30
East Pennsboro GO, ETM
6.000%, 03/01/02 145 151
Emmaus, General Authority RB,
Mandatory Tender @ 100, BIGI (B)
7.900%, 03/15/99 35 36
Emmaus, General Authority RB,
Mandatory Tender @ 100 (B), BIGI
7.900%, 03/15/99 40 41
Emmaus, General Authority RB,
Series F, BIGI, Mandatory
Tender @ 100
7.900%, 03/15/99 60 62
Erie County, Hospital
Authority RB, Manchester
Presbyterian Project, LOC
7.500%, 09/15/06 50 50
Erie, Higher Education
Building Authority RB,
Mercyhurst College
4.800%, 03/15/00 225 226
Fox Chapel, Sanitation
Sewer Authority RB
5.900%, 05/01/05 195 195
Harrisburg, Public Improvements
GO, ETM, MBIA
9.750%, 04/15/99 15 15
Interboro, School District
Authority RB, ETM, MBIA
6.400%, 09/01/01 100 106
Lackawanna, Multi-Purpose
Stadium RB, Pre-Refunded @ 103 (D)
8.625%, 08/15/98 45 47
Metropolitan Lancaster, Water Project
4.250%, 02/15/00 570 569
Montgomery County, Higher
Education RB, ETM
8.000%, 07/01/98 10 10
Northeastern Pennsylvania,
Wilkes-Barre General Hospital RB,
Pre-Refunded @ 102 (D)
7.650%, 07/01/99 140 148
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Pennsylvania State Energy
Development Authority,
Piney Creek, Series B, LOC
7.200%, 12/01/00 $ 15 $ 16
Pennsylvania State
Intergovernmental Co-op,
FGIC, AMT, ETM
6.000%, 06/15/02 50 53
Pennsylvania State GO
6.650%, 05/15/98 115 116
5.000%, 07/01/98 5 5
5.500%, 10/15/98 80 80
Pennsylvania State Highway GO
5.000%, 07/01/98 75 75
Philadelphia, St. Agnes
Hospital RB, ETM
6.750%, 08/15/01 285 296
Pittsburgh Urban Redevelopment
Authority RB, Series C, AMT
5.000%, 04/01/00 170 172
Pocono Mountain School District
GO, MBIA, ETM
9.100%, 03/01/02 15 16
Rochester Penn Area School District
GO, MBIA, (A)
0.000%, 10/01/00 55 50
Sayre Boro, Hospital Authority RB,
ETM, AMBAC
6.900%, 11/01/02 185 197
Scranton-Lackawanna Health &
Welfare Authority, Moses Taylor
Hospital, Series A, ETM
8.250%, 07/01/01 100 107
Uniontown Area School
Authority RB, ETM
6.300%, 10/01/02 90 94
Upper St. Clair Township, School
Building Authority RB, ETM
6.500%, 02/15/04 10 11
Valley View, Pennsylvania School
Building Authority RB, ETM
6.250%, 02/01/02 45 47
6.050%, 02/01/02 40 41
Wayne Pike, Joint School
Authority RB, ETM, MBIA
6.000%, 12/01/07 515 543
York County, Fox Ridge Personal
Care Facility, Series A,
Pre Refunded @100 (D)
9.500%, 10/01/02 50 60
-------
4,830
-------
42
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
SOUTH CAROLINA -- 2.4%
Charleston, Waterworks &
Sewer RB, ETM
10.125%, 01/01/02 $ 75 $ 84
South Carolina Medical University,
Harborview Office,
Certificate of Participation
7.375%, 01/01/04 500 550
State Housing Authority RB, FHA
6.250%, 07/01/98 100 100
-------
734
-------
SOUTH DAKOTA -- 0.2%
State Housing Development
Authority RB
5.600%, 05/01/01 50 51
-------
TENNESSEE -- 5.4%
Bristol, Health & Education
Facilities RB, ETM
6.900%, 01/01/07 60 66
Fayetteville & Lincoln Counties,
Industrial Development
Board RB LOC
4.500%, 06/01/98 330 330
5.000%, 06/01/01 340 344
Mount Pleasant, Industrial
Development Board RB, ETM
7.375%, 03/01/00 90 93
Shelby County Health
Educational & Housing
Facility RB, Asset Guaranty
6.000%, 10/01/02 550 576
Shelby County, Windsor
Apartments RB, Asset Guaranty
6.500%, 10/01/07 100 107
State Housing Development
Agency RB, AMT
7.375%, 07/01/23 100 105
-------
1,621
-------
TEXAS -- 8.2%
Bell County, Health Facility
Development Corporation RB,
Investment Agreement Sun Life,
Mandatory Put @ 100 (B)
4.750%, 10/01/98 100 100
Brazos County RB, FNMA, GNMA
5.050%, 03/01/07 340 341
Coastal, Industrial Water
Authority RB, MBIA, ETM
7.200%, 12/15/08 45 48
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Collin County Community
College RB, AMBAC
5.150%, 02/01/07 $ 25 $ 26
Fort Worth, Housing Financial
Mortgage Services Program RB,
Series A, AMT, GNMA
7.900%, 06/01/01 50 52
Grand Prairie, Housing RB,
AMT, GNMA
8.000%, 07/01/19 190 196
Harris County Utility District
Number 154, FSA
4.000%, 10/01/98 90 90
Harris County Utility District
Number 255, AMBAC
4.000%, 09/01/99 50 50
Harris County, Fresh Water
Supply RB, MBIA
6.900%, 03/01/99 100 101
Houston, Housing Finance
Corporation RB, Series 1996-A1
8.000%, 06/01/14 600 657
Montgomery County, Health
Facilities Development, Woodlands
Medical Center Project RB,
Pre-refunded @102 (D)
8.850%, 08/15/99 85 91
South Plains, Regional Housing
Authority RB, Series A, Section 8
Assistance Project, HUD
6.000%, 08/01/00 115 117
Southeast Texas Housing Finance
Residual RB, Series B (A)
0.000%, 12/01/16 1,100 275
Texoma Housing Finance RB,
FNMA, GNMA, AMT
5.050%, 09/01/07 320 321
-------
2,465
-------
VIRGINIA -- 0.2%
State Housing RB
6.125%, 11/01/09 60 61
-------
WASHINGTON -- 0.2%
Clark County, Public Utility RB,
District 001, ETM
10.250%, 01/01/99 25 26
King & Snohomish County,
Northshore School District GO
4.100%, 06/15/98 25 25
State Public Power Supply RB,
Nuclear Project # 2
14.375%, 07/01/01 15 18
-------
69
-------
43
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
SHORT-TERM
MUNICIPAL BOND FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT/ VALUE
DESCRIPTION SHARES (000) (000)
- --------------------------------------------------------------------------------
WEST VIRGINIA -- 0.5%
State Board of Regents RB,
ETM, MBIA
6.000%, 04/01/04 $ 75 $ 79
Wheeling Parking RB, ETM
7.125%, 03/01/02 55 58
-------
137
-------
WISCONSIN -- 1.5%
Milwaukee, Public Facility GO
4.500%, 12/01/98 25 25
State Health Facilities
Authority RB, MBIA
9.125%, 07/01/05 325 326
State Housing & Economic
Development Authority RB,
Series B, AMT
6.625%, 09/01/20 15 15
State Health Facility, Sisters
Sorrowful Mother, Series B,
Pre-Refunded @ 102, MBIA (D)
6.900%, 10/01/99 75 79
-------
445
-------
WYOMING -- 0.2%
State Community Development
Authority RB, AMT
8.000%, 06/01/08 45 48
-------
Total Municipal Bonds
(Cost $29,190) 29,464
-------
CASH EQUIVALENT -- 0.9%
SEI Institutional Tax Free Portfolio
(Cost $250) 250 250
-------
Total Investments -- 99.2%
(Cost $29,440) 29,714
-------
OTHER ASSETS AND LIABILITIES, NET -- 0.8% 251
-------
Total Net Assets -- 100.0% $29,965
=======
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization -- $0.001 par
value) based on 2,878,971 outstanding shares
of beneficial interest $29,337
Capital shares of Service Shares
(unlimited authorization -- $0.001 par value)
based on 38,024 outstanding shares of
beneficial interest 391
Accumulated net realized loss on investments (37)
Net unrealized appreciation on investments 274
-------
Total Net Assets $29,965
=======
- --------------------------------------------------------------------------------
DESCRIPTION VALUE
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $10.27
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Service Shares $10.27
=======
+ LESS THAN 0.05%
(A) ZERO COUPON SECURITY
(B) MANDATORY PUT/TENDER SECURITY. THE MANDATORY PUT/TENDER DATE IS SHOWN
AS THE MATURITY DATE ON THE STATEMENT OF NET ASSETS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT AS OF APRIL 30, 1998.
(D) 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.
CMO COLLATERALIZED MORTGAGE OBLIGATION
ETM ESCROWED TO MATURITY.
GO GENERAL OBLIGATION.
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT 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
BIGI BOND INVESTORS GUARANTY INSURANCE
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.
44
<PAGE>
================================================================================
SHORT-TERM
FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 0.0%+
Premier Auto Trust,
Tranche 1993-5, Class A2
4.220%, 03/02/99
(Cost $5) $ 5 $ 5
-------
CORPORATE OBLIGATIONS -- 2.8%
ACC Consumer Finance
10.250%, 12/01/03 60 66
Paine Webber Group
7.310%, 08/09/00 334 341
-------
Total Corporate Obligations
(Cost $408) 407
-------
MORTGAGE-BACKED OBLIGATIONS -- 10.2%
General Electric Capital Mortgage
Services, Series 1994-18,
Class A2 CMO
7.000%, 08/25/24 1 1
Green Tree Financial,
Series 1995-6, Class A3
6.650%, 09/15/26 170 172
Green Tree Financial,
Series 1996-2, Class A1
6.100%, 04/15/27 541 542
Green Tree Financial,
Series 1997-3, Class A2
6.490%, 07/15/28 218 220
Green Tree Home Improvement
Loan Trust, Series 1996-C,
Class HIA2
6.900%, 07/15/21 169 170
Merrill Lynch Mortgage Investors,
Series 1990-F, Class A
9.650%, 09/15/10 359 376
-------
Total Mortgage-Backed Obligations
(Cost $1,463) 1,481
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.6%
Federal National Mortgage
Association, Variable
Inflation Linked (B)
3.500%, 03/13/02
(Cost $95) 95 92
-------
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 16.5%
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1094, Class J
7.000%, 11/15/19 $ 87 $ 87
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1133, Class G
7.000%, 02/15/20 13 13
Federal Home Loan Mortgage
Corporation, REMIC,
Series 1296, Class G (B)
5.399%, 07/15/99 713 704
Federal Home Loan Mortgage
Corporation, REMIC, CMO
Series 1763, Class C
7.500%, 09/15/14 110 110
Federal Home Loan Mortgage
Corporation/Government
National Mortgage Association,
REMIC, Series 32, Class PD
6.350%, 03/25/15 1,000 998
Federal National Mortgage
Association, REMIC,
Series 1988-17, Class B
9.400%, 10/25/17 206 208
Federal National Mortgage
Association, REMIC,
Series 1991-59, Class K
8.000%, 05/25/16 18 18
Federal National Mortgage
Association, REMIC,
Series 1993-194, Class PE
5.350%, 09/25/02 258 257
-------
Total U.S. Government
Mortgage-Backed Obligations
(Cost $2,397) 2,395
-------
TAXABLE MUNICIPAL BONDS -- 68.3%
Alaska State Housing Financial
Corporation RB, MBIA/FHA
7.400%, 01/01/02 160 164
Baltimore County, Maryland,
Cross Creek Mortgage
RB, GNMA
7.000%, 01/20/00 20 20
Boston, Massachusetts, Industrial
Development Financial
Authority RB, FHA
6.310%, 02/01/02 120 121
Bryon, Texas, Higher Education
Authority RB, Series B,
Allen Academy
6.500%, 12/01/99 50 51
45
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
SHORT-TERM
FIXED INCOME FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Chemung County, New York,
United Cerebral Palsy &
Handicapped Children
Association RB, FHA
6.750%, 02/01/99 $ 40 $ 40
Comanche County, Oklahoma,
Home Financial Authority
RB, FNMA, FHA
6.150%, 12/01/00 150 150
Cuyahoga County, Ohio,
Mortgage RB, Maple Care,
GNMA
7.350%, 08/20/00 240 245
Dartmouth, Massachusetts,
Housing Development
Corporation RB, Crossroads
Apartments, MBIA/FHA
6.000%, 01/01/01 250 248
Denver, Colorado, City and
County Housing RB, FHA
6.750%, 05/01/01 80 81
Erie County, New York, Water
Authority RB, AMBAC
5.875%, 12/01/03 140 137
Fairfax County, Virginia,
Redevelopment and Housing
Authority RB, GNMA
7.875%, 09/20/99 55 56
Florida State, Housing Finance
Authority RB, Windwood
Oaks, Series R-2, AXA
6.650%, 06/01/01 165 167
Fresno, California,
Housing RB, GNMA
7.250%, 11/20/02 325 340
Greater Kentucky Housing
Assistance RB, MBIA/FHA
6.500%, 07/01/00 265 269
6.500%, 01/01/01 165 168
6.500%, 07/01/02 160 164
Illinois State Health Facilities
Authority RB, MBIA
10.300%, 08/15/03 439 445
Independence, Michigan,
Economic Development
RB, FHA
6.750%, 08/01/99 45 46
Indianapolis, Indiana, Industrial
Economic Devlopment
Authority RB, Castle Dore,
Series B, FHA
6.750%, 12/01/00 50 50
Indianola, Mississippi, Housing
Development RB, Section 8 Eastover
Apartments, MBIA/FHA
6.600%, 01/01/99 25 25
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Kansas City, Missouri, Industrial
Development Authority RB,
Hilltop Village Apartments,
Series B, FNMA
6.700%, 10/01/02 $155 $ 158
Kenton County, Kentucky, Industrial
Development RB, FHA
6.875%, 12/01/98 80 80
King County, Washington, Low
Income Housing Authority RB,
Fred Lind Manor, GNMA
7.250%, 06/20/00 90 92
Lake Mills, Iowa, Lake Mills
Investors Ltd, First Mortgage
Bonds, Mercy Health Center,
Series 1995, Private Placement
7.150%, 11/01/98 235 236
Maricopa County, Arizona,
Industrial Development
Authority RB, Arcadia
Apartments Project B, LOC (B)
6.090%, 09/01/03 200 200
Minneapolis, Minnesota, Single
Family Mortgage RB, Home
Ownership Program
6.500%, 04/01/99 465 467
Mississippi Home Corporation,
Residential RB, Series 1993 B (A)
0.000%, 12/01/08 290 143
Moline, Illinois, Housing
Development Mortgage
RB, Highland Manor,
FNMA FHA
7.200%, 03/01/00 145 147
Moorhead, Mississippi, Housing
Development RB, Section 8
Moorhead Manor,
Series A, MBIA
6.600%, 07/01/98 30 30
6.600%, 07/01/99 35 35
North Slope Boro, Alaska,
Supplemental Interest
Offering GO, MBIA (A)
0.000%, 06/30/98 486 482
Ohio Capital Housing
Corporation Mortgage RB,
Section 8, FHA/MBIA
6.375%, 01/01/01 450 452
Ohio Capital Housing
Corporation Mortgage RB,
Bella Vista, FHA
6.300%, 02/01/03 370 371
Ohio Housing Financial
Agency RB, Ravenwood
Project, FHA
6.125%, 03/01/04 180 177
46
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Oshkosh, Wisconsin GO
5.900%, 12/01/99 $ 45 $ 45
Palm Beach County, Florida,
Housing Financial Authority
CMO, MBIA (A)
0.000%, 02/20/13 855 856
Pima County, Arizona, Industrial
Development Authourity RB,
Western Winds, HUD Section 8
6.550%, 06/01/01 315 315
Pittsburgh, Pennsylvania, Urban
Redevelopment Authority Tax
Allocation RB, AMBAC
5.500%, 10/01/99 205 203
Prince Georges County,
Maryland, Housing
Fox Glenn RB, GNMA
6.250%, 11/20/04 310 307
Prince Georges County,
Maryland, Housing Timber
Ridge RB, GNMA
5.500%, 06/20/98 55 55
5.750%, 10/20/98 55 55
Rockford, Illinois, Mortgage RB,
Faust Landmark Apartments,
MBIA, FHA
7.450%, 01/01/03 415 434
San Francisco, California,
Redevelopment Agency RB,
Series 1995-C, MBIA/FHA
6.375%, 01/01/00 15 15
Shawnee, Kansas, Housing RB,
Haverford West
Apartments, FNMA
6.750%, 06/01/02 100 102
Syracuse, New York, Industrial
Development Agency RB,
Series B, Pre-Refunded @ 105
10.625%, 06/01/00 300 339
Tarrant County, Texas, Health
Facilities Development
Corporation RB, South
Central Nursing Homes,
MBIA/FHA
6.750%, 01/01/37 375 376
Tarrant County, Texas, Housing
Finance Corporation RB, FNMA
6.550%, 09/01/02 270 273
Texas State Department of Housing &
Community Affairs RB
7.250%, 07/01/99 150 152
6.400%, 01/01/99 110 110
- --------------------------------------------------------------------------------
FACE AMOUNT (000)/ VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Wilmington, Delaware, Multi-Family
Rent RB, Prestwyck Apartments,
Series B, FHA
6.625%, 11/01/03 $235 $ 236
-------
Total Taxable Municipal Bonds
(Cost $9,854) 9,930
-------
CASH EQUIVALENT -- 2.9%
SEI Daily Income Trust
Government II Fund
(Cost $415) 415 415
-------
Total Investments -- 101.3%
(Cost $14,637) 14,725
-------
OTHER ASSETS AND LIABILITIES, NET -- (1.3%) (192)
-------
Total Net Assets -- 100.0% $14,533
=======
NET ASSETS:
Capital shares (unlimited authorization --
$0.001 par value) based on 1,447,003
outstanding shares of beneficial interest $14,456
Undistributed net investment income 3
Accumulated net realized loss on investments (14)
Net unrealized appreciation on investments 88
-------
Total Net Assets $14,533
=======
Net Asset Value, Offering and Redemption
Price Per Share $10.04
=======
+ LESS THAN 0.05%
(A) ZERO COUPON SECURITY
(B) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT AS OF APRIL 30, 1998. THE MATURITY DATE
SHOWN IS THE NEXT RESET DATE.
GO GENERAL OBLIGATION
LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT BY A MAJOR
COMMERCIAL BANK.
RB REVENUE BOND
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE 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
HUD HOUSING AND URBAN DEVELOPMENT
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
47
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
CORPORATE BONDS -- 97.7%
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 5.2%
Fox Kids Worldwide (A)
0.000%, 11/01/07 $1,000 $ 637
Fox/Liberty Networks (A)
0.000%, 08/15/07 1,000 684
-------
1,321
-------
CABLE -- 10.8%
Globo Communicacoes
Partners 144A
10.625%, 12/05/08 500 507
Multicanal, Series A
10.500%, 04/15/18 250 251
Poland Communication
Incorporated , Series B
9.875%, 11/01/03 1,000 990
Satelites Mexicanos 144A
10.125%, 11/01/04 1,000 1,019
-------
2,767
-------
ELECTRICAL GENERATION -- 3.8%
AES China Generating
10.125%, 12/15/06 1,000 965
-------
ENVIRONMENTAL SERVICES -- 2.4%
Allied Waste Industries
0.000%, 06/01/07 850 623
-------
FOOD, BEVERAGE & TOBACCO -- 7.7%
Fage Dairy Industries, Series A
9.000%, 02/01/07 1,000 967
Rabent Enterprises 144A
10.500%, 05/01/05 1,000 1,000
-------
1,967
-------
GAMING -- 4.2%
Boyd Gaming
9.500%, 07/15/07 1,000 1,063
-------
HEALTH SERVICES -- 4.9%
Fountain View 144A
11.250%, 04/15/08 250 255
Pharmerica 144A
8.375%, 04/01/08 1,000 998
-------
1,253
-------
INFRASTRUCTURE -- 3.9%
Cathay International 144A
13.000%, 04/15/08 1,000 1,000
-------
MACHINERY -- 5.9%
Alliance Laundry Systems 144A
9.625%, 05/01/08 1,000 1,000
Columbus McKinnon 144A
8.500%, 04/01/08 500 499
-------
1,499
-------
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
PAPER & PAPER PRODUCTS -- 4.0%
Riverwood International
10.875%, 04/01/08 $1,000 $ 1,010
-------
PETROLEUM & FUEL PRODUCTS -- 17.8%
Benton Oil & Gas 144A
9.375%, 11/01/07 500 500
Chesapeake Energy,
Series B
8.500%, 03/15/12 1,000 945
Forcenergy , Series B
8.500%, 02/15/07 1,000 1,010
Kelley Oil & Gas
10.375%, 10/15/06 1,000 1,037
Nuevo Energy
9.500%, 04/15/06 1,000 1,058
-------
4,550
-------
TELEPHONES &
TELECOMMUNICATION -- 23.4%
IXC Communications 144A
9.000%, 04/15/08 250 248
International Cable &
Telephone 144A
0.000%, 04/01/08 1,000 634
McLeodusa 144A
8.375%, 03/15/08 1,000 1,015
Netia Holdings BV 144A (A)
0.000%, 11/01/07 1,000 711
Pathnet Unit
12.250%, 04/15/08 1,000 1,025
RCN 144A
0.000%, 02/15/08 1,500 939
Sprint Spectrum (A)
0.000%, 08/15/06 1,000 830
Teligent 144A (A)
0.000%, 03/01/08 1,000 570
-------
5,972
-------
TRANSPORTATION -- 3.7%
Motor Coach Industries
0.000%, 11/15/02 1,000 945
-------
Total Corporate Bonds
(Cost $25,008) 24,935
-------
REPURCHASE AGREEMENT -- 5.1%
J.P. Morgan Securities
5.52%, dated 04/30/98,
matures 05/01/98, repurchase
price $1,321,367 (collateralized
by U.S. Treasury Note, par value
$1,302,000, due 12/31/01,
market value $1,342,473)
(Cost $1,316) 1,316 1,316
-------
48
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Total Investments -- 102.8%
(Cost $26,324) $26,251
-------
OTHER ASSETS AND LIABILITIES, NET -- (2.8%) (725)
-------
Total Net Assets -- 100.0% $25,526
=======
NET ASSETS:
Capital shares (unlimited authorization --
$0.001 par value) based on 2,544,795
outstanding shares of beneficial interest $25,450
Overdistributed net investment income (1)
Accumulated net realized gain on investments 150
Net unrealized depreciation on investments (73)
-------
Total Net Assets $25,526
=======
Net Asset Value, Offering and Redemption
Price Per Share $10.03
=======
(A) STEP BOND -- THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS IS THE RATE
IN EFFECT ON APRIL 30, 1998. THE INITIAL COUPON ON A STEP BOND CHANGES ON A
SPECIFIC DATE, TO A PREDETERMINED HIGHER RATE.
SMALLER COMPANIES FUND
COMMON STOCKS -- 92.2%
ADVERTISING -- 0.2%
Marketing Services Group* 3,400 $ 12
-------
AIR TRANSPORTATION -- 1.6%
ASA Holdings 2,150 82
Skywest 700 28
-------
110
-------
BUILDING & MAINTENANCE
SERVICES -- 1.2%
Consolidation Capital* 3,900 86
-------
CAPITAL GOODS -- 0.3%
Brunswick Technologies* 1,400 20
-------
COMPUTERS & SERVICES -- 1.9%
Insight Enterprises* 2,700 108
Scansource Inc* 1,200 24
-------
132
-------
CONSUMER -- 13.5%
Bally Total Fitness Holding* 3,400 105
Damark International* 6,500 69
Factory Card Outlet* 3,100 38
Garden Ridge* 7,835 150
Micro Warehouse* 12,600 197
Mohawk Industries* 3,900 120
Petsmart* 6,000 70
Viking Office Products* 4,700 114
WestPoint Stevens* 2,700 90
-------
953
-------
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
CREDIT SENSITIVE -- 12.6%
Bank Plus* 2,200 $ 31
Bank United, Class A 1,500 78
DR Horton 3,500 65
Dime Bancorp 5,900 181
First Alliance* 4,400 73
Freedom Securities* 600 13
Golden State Bancorp* 2,300 90
Independence Community Bank* 2,900 53
Lennar 5,300 145
Long Island Bancorp 500 33
Triangle Pacific* 3,050 133
-------
895
-------
DRUGS -- 1.7%
CV Therapeutics* 1,800 17
Nanogen* 2,400 23
Pathogenesis* 900 36
Sangstat Medical* 1,300 44
-------
120
-------
ELECTRICAL SERVICES -- 1.4%
Idaho Power 900 32
LG&E Energy 1,300 34
Orange and Rockland Utility 800 33
-------
99
-------
ENERGY -- 7.4%
BJ Services* 2,800 105
Camco International 700 47
Devon Energy 3,600 144
Lomak Petroleum 4,900 68
Marine Drilling Company* 3,600 87
Seagull Energy* 4,100 70
-------
521
-------
HOUSEHOLD FURNITURE &
FIXTURES -- 2.2%
Furniture Brands International* 5,400 159
-------
MEDICAL PRODUCTS &
SERVICES -- 13.9%
ATL Ultrasound* 2,100 102
Collagen 5,400 102
Cytyc* 1,200 17
Henry Schein* 2,500 97
Integrated Health Services 4,400 170
Lincare Holdings* 500 41
Mentor Corporation 2,000 54
Molecular Biosystems* 2,800 26
Owens & Minor 5,500 98
QuadraMed* 2,700 77
Sonosight* 800 7
49
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
SMALLER COMPANIES FUND, CONTINUED
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Steris* 800 $ 47
Trigon Healthcare* 4,700 143
------
981
------
OFFICE FURNITURE & FIXTURES -- 0.4%
COMPX International* 1,100 28
------
PROCESS INDUSTRIES -- 3.1%
Bowater 1,300 73
Carbo Ceramics 100 3
NuCo2* 1,750 19
PH Glatfelter 4,100 74
Rayonier 1,000 50
------
219
------
REAL ESTATE -- 1.4%
LNR Property 3,700 99
------
RETAIL -- 4.0%
Cost Plus 1,400 45
Finish Line 4,000 99
Just For Feet* 3,700 81
Tractor Supply* 2,400 62
------
287
------
SECURITY EQUIPMENT & SERVICES -- 1.3%
Checkpoint Systems* 3,670 69
Kroll-O'Gara * 1,000 21
------
90
------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.1%
ATMI* 2,300 64
Intest Corp.* 2,100 15
------
79
------
SERVICE -- 4.7%
American Radio Systems* 2,245 149
Daisytek International* 800 19
Equity International* 3,000 74
Envoy* 2,200 93
------
335
------
TECHNOLOGY -- 12.0%
Avant!* 3,800 110
Cognex* 1,400 34
Harbinger 2,000 73
Intuit* 1,300 69
Mercury Interactive* 1,800 73
Micrel* 2,400 94
Pinnacle Systems* 2,100 84
Preview Travel* 2,300 66
Symantec* 7,300 212
Xylan* 1,300 37
------
852
------
- --------------------------------------------------------------------------------
SHARES/ VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- --------------------------------------------------------------------------------
TELEPHONES &
TELECOMMUNICATION -- 4.0%
Comsat 3,000 $ 121
Dycom Industries 4,100 108
LCC International* 2,600 53
------
282
------
TRANSPORTATION SERVICES -- 2.3%
Dynamex* 700 9
Royal Caribbean Cruises 500 34
US Freightways 3,300 118
------
161
------
Total Common Stocks
(Cost $5,008) 6,520
------
COMMERCIAL PAPER -- 8.3%
The Northern Trust Company
5.511%, 05/01/98
(Cost $586) $586 586
------
Total Investments -- 100.5%
(Cost $5,594) 7,106
------
OTHER ASSETS AND LIABILITIES, NET -- (0.5%) (32)
------
Total Net Assets -- 100.0% $7,074
======
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization -- $0.001
par value) based on 486,735
outstanding shares of beneficial interest $5,463
Capital shares of Service Shares
(unlimited authorization -- $0.001 par
value) based on 10,407 outstanding shares
of beneficial interest 130
Accumulated net investment loss (13)
Accumulated net realized loss on investments (18)
Net unrealized appreciation on investments 1,512
------
Total Net Assets $7,074
======
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $14.23
======
Net Asset Value, Offering and Redemption
Price Per Share -- Service Shares $14.20
======
* NON-INCOME PRODUCING SECURITY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
50
<PAGE>
================================================================================
MICROCAP FUND
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 88.8%
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 1.9%
Marketing Services Group* 45,000 $ 162
------
CAPITAL GOODS -- 1.0%
Brunswick Technologies* 6,300 88
------
COMMUNICATIONS EQUIPMENT -- 1.8%
Optek Technology* 6,700 152
------
COMPUTERS & SERVICES -- 1.8%
Scansource* 7,700 156
------
CONSUMER -- 3.0%
Damark International* 7,700 82
Garden Ridge* 5,500 105
Krauses Furniture* 18,500 69
------
256
------
CONSUMER PRODUCTS -- 6.1%
Recovery Engineering* 6,600 203
Rocky Shoes* 11,100 187
Vans* 11,100 131
------
521
------
CREDIT SENSITIVE -- 7.6%
Bankunited Financial * 13,400 218
Cowlitz Bancorp 5,000 69
Crusader Holdings* 7,200 128
Fidelity National* 2,000 28
Pennfed Financial Services 2,800 50
R & G Financial, Class B 1,940 79
Republic Security Financial 6,600 84
------
656
------
DRUGS -- 4.7%
Arqule* 4,200 73
CV Therapeutics* 2,200 20
Collagen 5,000 94
Nanogen* 2,200 21
Scios Nova* 12,400 146
Supergen* 4,100 53
------
407
------
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
MEDICAL PRODUCTS & SERVICES -- 6.3%
Cholestech* 3,000 $ 45
Monarch Dental* 9,150 150
Novametrix Med System* 8,700 71
QuadraMed* 2,300 65
Resmed* 5,400 214
------
545
------
MISCELLANEOUS BUSINESS SERVICES-- 1.9%
Credit Management Solutions* 6,800 50
Da Consulting Group* 6,500 115
------
165
------
OFFICE FURNITURE & FIXTURES -- 1.4%
Compx International* 4,900 123
------
PETROLEUM & FUEL PRODUCTS -- 5.2%
Basin Exploration* 6,000 119
Magnum Hunter Resources* 17,900 122
Mallon Resources* 11,800 142
Virginia Gas 9,000 63
------
446
------
REAL ESTATE -- 1.7%
DR Horton 1,900 35
Engle Homes 6,200 95
Lasalle Partners* 500 17
------
147
------
RETAIL -- 11.1%
Bombay* 24,400 119
Factory Card Outlet* 19,100 232
Insight Enterprises 3,100 124
Marks Brothers Jewelers* 8,900 161
Micro Warehouse* 4,600 72
Total Entertainment Restaurant* 8,800 66
Tractor Supply* 7,100 183
------
957
------
SERVICE -- 3.2%
Globecomm Systems* 12,900 161
Lodgenet Entertainment* 4,400 54
Saga Communications, Class A 2,725 62
------
277
------
51
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
MICROCAP FUND, CONTINUED
- --------------------------------------------------------------------------------
SHARES/ VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- --------------------------------------------------------------------------------
SPECIALTY MACHINERY -- 2.2%
International Comfort Products* 16,800 $ 185
------
TECHNOLOGY -- 17.1%
AFC Cable Systems 2,100 73
Ansoft* 6,000 81
Aspec Technology* 16,000 222
Dendrite International* 5,200 166
Hagler Bailly* 6,600 175
IVI Publishing* 22,300 167
Intelligent Electronics* 13,900 104
Intest* 5,400 40
Made2Manage Systems* 7,700 111
Pegasus Systems* 3,900 104
Pinnacle Systems* 900 36
Preview Travel* 2,800 80
Tier Technologies* 5,400 109
------
1,468
------
TELEPHONES & TELECOMMUNICATION -- 3.5%
E.Spire Communications* 5,600 106
LCC International* 2,600 53
Verilink* 16,900 143
------
302
------
TRANSPORTATION SERVICES -- 5.4%
Dynamex* 16,600 205
International Aircraft Investors* 1,600 16
Providence & Worcester 10,600 180
Smithway Motor Express, Class A* 3,700 62
------
463
------
WHOLESALE -- 1.9%
Tyler Del 15,500 164
------
Total Common Stocks
(Cost $6,799) 7,640
------
COMMERCIAL PAPER -- 18.7%
Northern Trust 5.51%
5.511%, 05/01/98
(Cost $1,607) $1,607 1,607
------
Total Investments -- 107.5%
(Cost $8,406) 9,247
------
OTHER ASSETS AND LIABILITIES, NET -- (7.5%) (645)
------
Total Net Assets -- 100.0% $8,602
======
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization -- $0.001 par
value) based on 538,616 outstanding
shares of beneficial interest $6,425
Capital shares of Service Shares (unlimited
authorization -- $0.001 par value)
based on 77,780 outstanding shares of
beneficial interest 1,049
Accumulated net investment loss (17)
Accumulated net realized gain on investments 304
Net unrealized appreciation on investments 841
------
Total Net Assets $8,602
======
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $13.96
======
Net Asset Value, Offering and Redemption
Price Per Share -- Service Shares $13.94
======
* NON-INCOME PRODUCING SECURITY.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL
EQUITY FUND
FOREIGN COMMON STOCKS -- 94.3%
AUSTRALIA -- 2.4%
Goodman Fielder 21,100 $ 33
Mayne Nickless 6,400 35
Oil Search 14,700 32
Westpac Banking 5,200 35
------
135
------
DENMARK -- 0.9%
Novo Nordisk, Series B 310 50
------
FINLAND -- 1.3%
Nokia, Series A 1,140 76
------
FRANCE -- 9.2%
Accor 320 87
Alcatel Alsthom 380 70
AXA 750 88
Credit Commerce France 690 55
SGS-Thomson Microelectronics* 670 57
Total, Compaigne Series B 940 112
Valeo 600 60
------
529
------
52
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
GERMANY -- 5.6%
Adidas 450 $ 75
Allianz 130 40
Allianz - New 3 1
BMW 40 44
Mannesmann 90 71
SGL Carbon 370 39
VEBA 760 50
------
320
------
HONG KONG -- 1.7%
Cheung Kong Holdings 3,000 20
China Light & Power 2,000 10
Hang Seng Bank 2,100 18
Hong Kong Telecommunications 6,800 13
Hutchison Whampoa 6,000 37
------
98
------
ITALY -- 2.5%
Istituto Banca San Paolo 3,400 49
Telecom Italia SPA 10,100 53
Telecom Italia Mobile SPA 7,780 44
------
146
------
JAPAN -- 14.6%
Bank of Tokyo-Mitsubishi 3,000 37
Bridgestone 1,000 23
Canon 1,000 24
DDI 5 13
Familymart 600 22
Fuji Photo Film 1,000 36
H.I.S. 1,000 16
Hitachi 4,000 29
Ito Yokado 1,000 52
Kajima 5,000 14
Mabuchi Motor 600 35
Matsushita Electric 1,000 16
Matsushita Electric Works 3,000 27
Minebea 3,000 33
Mitsubishi Estate 4,000 39
Mitsubishi Trust & Banking 2,000 19
Nippon Telegraph & Telephone 7 61
NKK 11,000 10
Nomura Securities 3,000 37
NSK 5,000 18
Sankyo 2,000 50
Secom 1,000 59
Sekisui House 1,000 8
Shin Etsu Chemical 1,000 19
Sony 500 42
Sony Music Entertainment 700 27
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Sumitomo Electric 2,000 $ 24
Suzuki Motor 2,000 17
Tokio Marine & Fire Insurance 3,000 33
------
840
------
MALAYSIA -- 0.7%
Berjaya Sports Toto 5,000 12
Malayan Banking 3,000 9
Telekom Malaysia 7,000 21
------
42
------
NETHERLANDS -- 10.4%
Aegon 1,119 145
Ahold 1,580 49
Akzo Nobel 340 69
ASM Lithography 770 70
Getronics 1,200 53
IHC Caland 600 35
Phillips Electronics 1,100 97
Royal Dutch Petroleum 700 39
Wolters Kluwer 300 39
------
596
------
SINGAPORE -- 0.6%
Overseas Chinese Banking `F' 5,360 28
Singapore International
Airlines `F' 1,000 6
------
34
------
SPAIN -- 3.2%
Acerinox 360 58
Banco Popular Espana 720 59
Telefonica de Espana 1,527 64
------
181
------
SWEDEN -- 9.0%
Astra AB, Series A 2,130 44
Ericsson LM, Series B 2,580 136
Hennes & Mauritz 780 41
Nordbanken Holding AB 9,800 72
Securitas, Series B 1,620 60
Skandia Forrestry 930 65
SSAB, Series A 2,000 38
Volvo, Series B 2,110 62
------
518
------
SWITZERLAND -- 7.2%
Clariant 50 54
Credit Suisse Group 400 88
53
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
INTERNATIONAL
EQUITY FUND, CONTINUED
- --------------------------------------------------------------------------------
SHARES/ VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- --------------------------------------------------------------------------------
Nestle, Registered 30 $ 58
Novartis, Registered 69 114
Roche Holding 5 51
Zurich Insurance 80 49
------
414
------
UNITED KINGDOM -- 25.0%
Barclays Bank 2,800 81
BICC 9,439 26
British Petroleum 3,820 60
British Telecommunications 6,990 76
Centrica* 27,020 47
Diageo 4,752 57
Flextech* 3,180 26
General Cable* 12,340 38
General Electric 7,302 60
Glaxo Wellcome 2,280 64
Great Universal Stores 1,870 28
HSBC Holdings 2,300 73
J Sainsbury 5,170 40
Kingfisher 2,446 44
Lasmo 9,940 44
National Power 11,000 107
Railtrack Group 4,190 77
Rolls Royce 24,000 112
Securicor 7,540 50
SmithKline Beecham 8,001 95
Standard Chartered Bank 4,987 76
Sun Alliance Group 3,360 37
Unilever 5,590 60
Vodafone Group 2,360 26
Zeneca 806 35
------
1,439
------
Total Foreign Common Stocks
(Cost $4,463) 5,418
------
FOREIGN PREFERRED STOCKS -- 1.3%
GERMANY -- 1.3%
SAP
(Cost $25) 155 77
------
DEMAND DEPOSIT -- 1.9%
UNITED STATES -- 1.9%
Northern Trust
3.400%, 05/01/98
(Cost $108) $108 108
------
Total Investments -- 97.5%
(Cost $4,596) 5,603
------
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- 2.5% $ 146
------
Total Net Assets -- 100.0% $5,749
======
NET ASSETS:
Capital shares (unlimited authorization --
$0.001 par value) based on 450,962
outstanding shares of beneficial interest $4,741
Accumulated net investment loss (10)
Accumulated net realized loss on investments (7)
Net unrealized appreciation on forward
foreign currency contracts, foreign currency,
and translation of other assets and liabilities
in foreign currency 18
Net unrealized appreciation on investments 1,007
------
Total Net Assets $5,749
======
Net Asset Value, Offering and Redemption
Price Per Share $12.75
======
* NON-INCOME PRODUCING SECURITY.
F FOREIGN SHARES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EUROPEAN
EQUITY FUND
FOREIGN COMMON STOCKS -- 99.3%
DENMARK -- 2.1%
Danisco 7,939 $ 499
Novo Nordisk, Series B 3,250 527
-------
1,026
-------
FINLAND -- 3.2%
Nokia, Series A 11,000 738
Orion-Yhtymae, Series B 8,500 264
Pohjola 10,500 583
-------
1,585
-------
FRANCE -- 15.9%
Accor 2,600 709
Alcatel Alsthom 3,500 649
AXA 5,000 587
Banque Nationale Paris, Series A 7,500 632
Cap Gemini Sogeti 5,000 649
Carrefour 330 189
54
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Casino Guichard Perrachon 7,500 $ 503
Cie de Saint Gobain 2,855 476
Elf Aquitaine 3,000 394
Grand Optical-Photoservice* 5,200 209
Imetal 3,500 455
Lagardere Groupe 15,000 574
Paribas 3,800 405
Sanofi 4,000 485
SGS-Thomson Microelectronics* 3,500 299
Total, Series B 5,500 654
-------
7,869
-------
GERMANY -- 7.1%
Allianz 1,500 462
Bayerische Vereinsbank 9,500 723
BMW 630 696
Mannesmann 780 619
Siemens 7,500 439
VEBA 8,700 575
-------
3,514
-------
ITALY -- 3.5%
Credito Italiano 140,000 736
Telecom Italia 60,000 449
Telecom Italia Mobile 100,000 570
-------
1,755
-------
NETHERLANDS -- 10.8%
Aegon 5,000 649
Ahold 24,106 752
Akzo Nobel 3,000 611
ASM Lithography Holding 5,200 472
Getronics 11,000 487
ING Groep 10,262 667
Koninklijke PTT Nederland 12,000 620
Phillips Electronics 4,500 397
Royal Dutch Petroleum 12,000 663
-------
5,318
-------
SPAIN -- 5.4%
Banco Bilbao Vizcaya 16,500 850
Banco Popular 7,000 575
Endesa 22,000 535
Telefonica de Espana 16,500 689
Telefonica de Espana Rights* 16,500 13
-------
2,662
-------
SWEDEN -- 9.9%
Assa Abloy, Series B 20,900 729
Astra AB, Series A 29,000 596
Astra AB, Series B 13,333 265
Ericsson LM, Series B 16,000 844
Granges 32,000 583
Nordbanken Holding AB 72,000 530
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Securitas, Series B 8,800 $ 324
SSAB, Series A 20,000 380
Volvo, Series B 21,000 613
-------
4,864
-------
SWITZERLAND -- 8.7%
Compagnie Financiere Richemont 350 502
Credit Suisse Group 3,650 803
Nestle, Registered 280 543
Novartis, Registered 730 1,207
Roche Holding 75 760
Union Bank of Switzerland 300 483
-------
4,298
-------
UNITED KINGDOM -- 32.7%
Abbey National 23,000 432
Associated British Foods 28,000 263
Barclays Bank 17,000 490
Bass 19,160 364
BAT Industries 26,850 253
BBA Group 43,318 356
BG PLC 62,544 334
BICC 23,090 65
Blue Circle Industries 51,000 303
British Aerospace 10,262 343
British Airways 15,650 163
British Telecommunications 89,900 976
BTR 63,000 209
Diageo 30,736 366
Emap 12,000 245
General Cable* 55,500 169
General Electric 52,000 430
Glaxo Wellcome 39,500 1,116
Granada Group 21,500 370
Great Universal Stores 21,000 320
Hammerson 43,000 377
HSBC Holdings 21,224 670
J Sainsbury 26,000 204
Kingfisher 18,474 335
Lasmo 89,000 391
National Power 19,294 188
Next 28,000 232
Prudential 30,000 425
Railtrack Group 11,000 201
Rank Group 33,000 214
Reuters 16,467 178
Rolls Royce 56,500 264
Securicor 51,845 344
Sedgwick Group 81,520 210
Shell Transportation & Trading 130,000 967
Smithkline Beecham 54,700 652
Smiths Industries 12,510 180
Standard Chartered Bank 16,000 245
Sun Alliance Group 44,605 498
55
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
EUROPEAN
EQUITY FUND, CONTINUED
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Tate & Lyle 28,000 $ 228
Tomkins 63,000 371
Unilever 33,000 351
United News & Media 21,000 285
Vodafone Group 39,000 427
Wolseley 16,000 112
-------
16,116
-------
Total Foreign Common Stocks
(Cost $34,709) 49,007
-------
Total Investments -- 99.3%
(Cost $34,709) 49,007
-------
OTHER ASSETS AND LIABILITIES, NET -- 0.7% 334
-------
Total Net Assets -- 100.0% $49,341
=======
NET ASSETS:
Capital shares (unlimited authorization --
$0.001 par value) based on 3,361,624
outstanding shares of beneficial interest $33,388
Undistributed net investment income 169
Accumulated net realized gain on investments 1,487
Net unrealized depreciation on forward
foreign currency contracts, foreign currency,
and translation of other assets and liabilities
in foreign currency (1)
Net unrealized appreciation on investments 14,298
-------
Total Net Assets $49,341
=======
Net Asset Value, Offering and Redemption
Price Per Share $14.68
=======
*NON-INCOME PRODUCING SECURITY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
INTERNATIONAL SMALL
CAP EQUITY FUND
FOREIGN COMMON STOCKS -- 87.9%
AUSTRALIA -- 2.7%
Australian National 208,000 $ 149
Caltex Australia 55,000 143
Pasminco 226,000 239
Rothmans Holdings 20,000 134
Seven Network Limited 87,000 313
Stockland Trust Group 63,000 157
-------
1,135
-------
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
AUSTRIA -- 1.4%
Radex* 12,000 $ 607
-------
DENMARK -- 1.5%
Sondagsavisen 4,200 197
Topdanmark* 1,500 274
William Demant Holdings 2,640 142
-------
613
-------
FINLAND -- 0.7%
Tamro Oy J 42,500 305
-------
FRANCE -- 6.8%
Altran Technologies 3,700 590
Brioche Pasquier 2,500 279
Deveaux 2,700 390
Genset ADR* 19,300 581
Hachette Filipacchi Media 1,100 296
Imetal 1,000 130
Manutan 5,180 405
Stedim 2,000 181
-------
2,852
-------
GERMANY -- 5.7%
Berliner Kraft Und Licht 10,000 495
Cewe Color Holding 2,150 554
GEA 938 419
Henkel KGAA* 4,570 357
Qiagen* 4,600 301
SGL Carbon 2,700 285
-------
2,411
-------
HONG KONG -- 0.7%
China Resources Beijing Land 68,000 36
Dao Heng Bank Group 18,000 53
HKR International 94,800 57
Johnson Electric Holdings 28,000 95
Television Broadcasts* 27,000 69
-------
310
-------
ITALY -- 5.0%
Banca Popolare di Bergamo 12,600 306
Banca Popolare di Brescia 19,000 290
Ciga* 280,000 266
Gruppo Editoriale L'espresso 35,000 291
Industrie Natuzzi ADR 9,340 240
Saipem 24,000 138
Seat Di Risp* 590,000 291
Simint* 28,000 293
-------
2,115
-------
56
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
JAPAN -- 20.2%
Aiwa 7,000 $ 209
Chubu Sekiwa Real Estate 25,870 123
Circle K 7,370 303
Disco 13,000 373
Fuji Machine Manufacturing 13,000 371
Fujimi 5,540 222
Heiwa Real Estate 55,000 167
Ibiden 26,000 410
Ito En 10,400 304
Kaneshita Construction 20,000 104
Kurita Water Inds 26,000 286
Meitec 12,000 394
Ministop 50 1
Misumi 14,400 255
Mitsui High Tec 15,000 357
NGK Spark Plugs 11,000 86
Nichiha 15,200 125
Nichii Gakkan 12,000 390
Nidec 2,000 107
Nitto Boseki 105,000 242
OSG 58,000 342
Otsuka Kagu 6,600 302
Riso Kagaku Corporation 1,600 84
Sanyo Chem 19,000 159
Shima Seiki Manufacturing 11,200 376
Shimamura 11,000 273
Shinko Electric 8,200 357
Sumitomo Bakelite 50,000 347
Sumitomo SP Metals 10,000 224
Tokyo Seimitsu 15,000 441
Tomoegawa Paper 65,000 194
World 11,000 256
Yamato Kogyo 33,000 246
Yasunaga 18,000 114
-------
8,544
-------
MALAYSIA -- 0.2%
Johor Port Berhad 103,000 37
United Plantations Berhad 24,000 29
-------
66
-------
NETHERLANDS -- 4.9%
Baan* 11,900 521
de Boer Unigro 6,100 299
Fugro 11,700 463
IHC Caland 5,500 320
Wolters Kluwer* 3,490 456
-------
2,059
-------
NORWAY -- 1.6%
Ekornes 10,000 101
NCL Holdings* 38,300 184
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Tomra Systems 12,100 $ 390
-------
675
-------
SINGAPORE -- 0.4%
GP Batteries International 24,000 66
Venture Manufacturing 32,000 116
-------
182
-------
SPAIN -- 2.7%
Azkoyen 2,700 372
Baron de Ley* 25,307 775
-------
1,147
-------
SWEDEN -- 3.0%
Assa Abloy, Series B 21,000 733
Cardo 1,000 28
Europolitan Holdings 8,400 521
-------
1,282
-------
SWITZERLAND -- 8.0%
Ciba Specialty Chemicals 3,600 436
Compagnie Financiere Richemont 270 387
Disetronic 100 282
Hilti 340 279
Holderbank Financiere Glarus 330 349
Kudelski* 70 569
Sairgroup* 300 392
Selecta-Gruppe* 700 118
Valora Holdings 2,195 574
-------
3,386
-------
UNITED KINGDOM -- 22.4%
Aegis Group 141,099 216
Associated British Ports 18,134 107
Barratt Developments 45,716 245
BBA Group 52,663 433
Bunzl 101,600 499
Capita Group 14,687 123
Capital Shopping 31,830 237
Cattles 9,997 107
Charter 12,662 142
Close Brothers Group 12,255 156
Daily Mail & General Trust,
Series A 10,956 464
Dennis Group 52,382 276
Devro International 52,982 482
EMAP 12,443 254
Fairey Group 29,739 275
Forth Ports 38,099 405
General Cable* 78,925 240
Glynwed InternatioNAL 27,778 142
HENLYS 36,874 338
INCHCAPE 63,675 237
57
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
INTERNATIONAL SMALL
CAP EQUITY FUND, CONTINUED
- --------------------------------------------------------------------------------
SHARES/ FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
Laird Group 50,800 $ 376
London Clubs 79,391 275
MFI Furniture 96,596 145
Pillar Property Investment 89,148 482
SIG 106,934 391
Sage Group 13,345 280
Scapa Group 52,151 165
Scottish Hydro-Electric 24,222 239
Securicor 67,689 449
Stagecoach Holdings 21,737 439
TI Group 26,524 238
United Assurance Group 29,174 273
UPF Group 52,205 58
Vitec Group 22,590 256
-------
9,444
-------
Total Foreign Common Stocks
(Cost $34,262) 37,133
-------
FOREIGN PREFERRED STOCKS -- 4.4%
GERMANY -- 3.4%
Boss (Hugo) 280 515
Marschollek Lauten 1,850 722
Rhoen Klinikum 2,000 206
-------
1,443
-------
SWITZERLAND -- 1.0%
Saurer 430 434
-------
Total Foreign Preferred Stocks
(Cost $1,051) 1,877
-------
FOREIGN CONVERTIBLE BONDS -- 0.8%
Heiwa Real Estate
2.500%, 03/29/02 5,000 38
Nippon Densan
1.000%, 09/30/03 12,000 171
Sanwa Shutter
0.900%, 03/31/06 20,000 135
-------
Total Foreign Convertible Bonds
(Cost $294) 344
-------
DEMAND DEPOSIT -- 7.8%
UNITED STATES -- 7.8%
Northern Trust
3.400%, 05/01/98
(Cost $3,297) $3,297 3,297
-------
- --------------------------------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
Total Investments -- 100.9%
(Cost $38,904) $42,651
-------
OTHER ASSETS AND LIABILITIES, NET -- (0.9%) (390)
-------
Total Net Assets -- 100.0% $42,261
=======
NET ASSETS:
Capital shares (unlimited authorization --
$0.001 par value) based on 4,414,257
outstanding shares of beneficial interest $43,758
Accumulated net investment loss (14)
Accumulated net realized loss on investments (5,224)
Net unrealized depreciation on forward
foreign currency contracts, foreign currency,
and translation of other assets and liabilities
in foreign currency (6)
Net unrealized appreciation on investments 3,747
-------
Total Net Assets $42,261
=======
Net Asset Value, Offering and Redemption
Price Per Share $9.57
=======
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EUROPEAN SMALL
CAP EQUITY FUND
FOREIGN COMMON STOCKS -- 91.3%
AUSTRIA -- 2.3%
Radex* 1,400 $ 71
-------
DENMARK -- 1.7%
Sondagsavisen 449 21
Topdanmark* 100 18
William Demant Holdings 280 15
-------
54
-------
FINLAND -- 1.1%
Cultor Oy, Series 2 40 2
Tamro Oy J 4,600 33
-------
35
-------
58
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
FRANCE -- 10.0%
Altran Technologies 400 $ 64
Brioche Pasquier 280 31
Deveaux 250 36
Filipacchi Medias 140 38
Genset ADR* 2,000 60
Imetal 200 26
Manutan 400 31
Stedim 275 25
-------
311
-------
GERMANY -- 7.6%
Berliner Kraft Und Licht 1,300 65
Cewe Color Holding 150 39
GEA 80 36
Henkel KGAA* 450 35
Qiagen* 500 33
SGL Carbon 280 29
-------
237
-------
IRELAND -- 1.1%
Anglo Irish 12,500 33
-------
ITALY -- 8.3%
Banca Popolare di Bergamo 1,300 32
Banca Popolare di Brescia 3,500 53
Ciga* 15,000 14
Gruppo Editoriale L'espresso 3,800 32
Industrie Natuzzi ADR 600 15
Saes Getters Di Risp 2,500 30
Saipem 2,600 15
Seat Di Risp* 70,000 35
Simint* 3,000 31
-------
257
-------
NETHERLANDS -- 7.3%
Aalberts Industries 300 9
Baan* 1,500 66
Fugro 1,500 59
IHC Caland 570 33
Koninklijke Van Ommeren 50 2
Wolters Kluwer* 450 59
-------
228
-------
NORWAY -- 1.4%
NCL Holdings* 2,000 10
Tomra Systems 1,100 35
-------
45
-------
SPAIN -- 2.5%
Baron de Ley* 2,500 77
-------
SWEDEN -- 7.1%
Assa Abloy, Series B 2,400 84
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Europolitan Holdings 1,250 $ 78
Hoganas AB, Series B 1,500 60
-------
222
-------
SWITZERLAND -- 11.4%
Ciba Specialty Chemicals 510 62
Disetronic 15 42
Holderbank Financiere Glarus 60 64
Kudelski* 6 49
Sairgroup* 40 52
Selecta-Gruppe* 100 17
Valora Holdings 260 68
-------
354
-------
UNITED KINGDOM -- 29.5%
Aegis Group 32,928 50
Barratt Developments 3,893 21
BBA Group 3,441 28
Bradford Properties 4,253 21
Bunzl 12,216 60
Capita Group 3,122 26
Capital Shopping 1,728 13
Cattles 2,065 22
Charter 1,771 20
Close Brothers Group 826 10
Daily Mail & General Trust,
Series A 933 40
Dennis Group 4,328 23
Devro International 4,575 42
Emap 1,060 22
Fairey Group 2,885 27
Forth Ports 2,407 26
General Cable* 9,543 29
Glynwed International 4,319 22
Henlys 3,116 29
Inchcape 5,618 21
Laird Group 4,631 34
London Clubs 4,890 17
MFI Furniture 7,980 12
Pillar Property Investment 7,592 41
SIG 6,891 25
Sage Group 1,093 23
Scapa Group 6,594 21
Scottish Hydro-Electric 2,063 20
Securicor 7,646 51
Stagecoach Holdings 2,640 53
TI Group 2,259 20
United Assurance Group 2,707 25
UPF Group 6,472 7
Vitec Group 1,583 18
-------
919
-------
Total Foreign Common Stocks
(Cost $2,300) 2,843
-------
59
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
EUROPEAN SMALL
CAP EQUITY FUND, CONTINUED
- --------------------------------------------------------------------------------
SHARES/ VALUE
DESCRIPTION FACE AMOUNT (000) (000)
- --------------------------------------------------------------------------------
FOREIGN PREFERRED STOCKS -- 7.7%
GERMANY -- 7.7%
Boss (Hugo) 50 $ 92
Jil Sander 90 36
Marschollek Lauten 200 78
Rhoen Klinikum 320 33
-------
239
-------
Total Foreign Preferred Stocks
(Cost $165) 239
-------
DEMAND DEPOSIT -- 0.6%
UNITED STATES -- 0.6%
Northern Trust
3.400%, 05/01/98
(Cost $18) $18 18
-------
Total Investments -- 99.6%
(Cost $2,483) 3,100
-------
OTHER ASSETS AND LIABILITIES, NET -- 0.4% 11
-------
Total Net Assets -- 100.0% $ 3,111
=======
NET ASSETS:
Capital shares (unlimited authorization --
$0.001 par value) based on 220,492
outstanding shares of beneficial interest $ 370
Undistributed net investment income 12
Accumulated net realized gain on investments 2,112
Net unrealized appreciation on investments 617
-------
Total Net Assets $ 3,111
=======
Net Asset Value, Offering and Redemption
Price Per Share $14.11
=======
*NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
EQUITY FUND
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 90.4%
ARGENTINA -- 4.3%
Banco Galicia y Bueno ADR 20,513 $ 503
Perez Companc, Series B 182,900 1,107
Telecom Argentina ADR 50,600 1,822
YPF Sociedad Anonima ADR 55,600 1,939
-------
5,371
-------
BRAZIL -- 7.8%
Eletrobras 21,915,000 910
Light Servicos de Electricid 1,500,000 603
Telebras ADR 48,850 5,951
Unibanco GDR 25,800 1,026
Vale Rio Doce ADR 50,600 1,227
-------
9,717
-------
CANADA -- 0.4%
Atacama Minerals* 696,700 453
-------
CHILE -- 3.0%
Cia Telecomunicacion Chile ADR 49,500 1,241
Embotella Andina, Series A ADR 32,800 740
Enersis ADR 44,000 1,295
Quinenco ADR* 45,500 469
-------
3,745
-------
COLOMBIA -- 0.8%
Banco Ganadero ADR 31,400 598
Cadenalco ADR 76,300 448
-------
1,046
-------
CZECH REPUBLIC -- 0.4%
Elektrarny Opatovice 1,980 208
SPT Telecom* 1,300 189
Zivnobanka Investicni Fond* 4,060 55
-------
452
-------
GREECE -- 5.1%
Alpha Credit Bank 15,100 1,595
Attica Enterprises 48,360 809
Ergo Bank 16,028 1,512
Goody's 34,660 929
Titan Cement 16,960 1,454
-------
6,299
-------
HONG KONG -- 0.7%
China Resources Beijing Land 336,000 178
China Telecom (Hong Kong)* 230,000 437
Union Bank of Hong Kong 190,000 217
-------
832
-------
60
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
HUNGARY -- 3.5%
Magyor Tavkozlesi* 274,000 $ 1,600
North American Business
Industries* 17,200 408
OTP Bank 21,453 1,017
RABA* 15,500 242
Richter Gedeon 10,210 1,094
-------
4,361
-------
INDIA -- 7.6%
Asea Brown Boveri 32,333 488
Associated Cement Company 12,500 495
Bajaj Auto 40,325 605
Bharat Heavy Electricals 61,000 604
Bharat Petroleum 18,900 190
BSES Limited 6,000 28
East India Hotels 4,100 39
Hindustan Lever 28,500 1,132
Hindustan Petroleum 50,000 509
Industrial Credit & Investment 250,000 651
ITC Limited 50,000 993
Larsen & Toubro GDR 40,500 534
Mahanagar Telephone Nigam 112,000 711
Mahindra & Mahindra 43,000 313
NIIT Limited 10,000 355
Ranbaxy Laboratories 31,000 518
Reliance Industries 169,500 817
State Bank of India 71,000 515
Sterlite Industries 800 7
-------
9,504
-------
INDONESIA -- 0.8%
Astra International 850,000 169
PT Gudang Garam 200,000 242
PT Indah Kiat Pulp & Paper 1,100,000 306
Telekomunikasi Indonesia 650,000 259
-------
976
-------
ISRAEL -- 2.9%
Bank Leumi Le-Israel 723,000 1,322
Blue Square Chain
Investments & Properties* 70,000 769
Makhteshim Chemicals Work* 115,000 977
Tadiran ADR 15,000 576
-------
3,644
-------
MALAYSIA -- 4.5%
Berjaya Sports Toto 250,000 596
Genting Berhad 90,000 301
IOI 750,000 566
Lingkaran Trans Kota* 350,000 331
Magnum 600,000 404
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Malayan Banking 135,000 $ 400
Metroplex Berhad 800,000 222
MNI Holdings Berhad 350,000 590
Rothmans of Pall Mall 50,000 414
Tan Chong Motor Holdings
Berhad 500,000 361
Telekom Malaysia 210,000 634
Tenaga Nasional 350,000 703
United Engineers 160,000 129
-------
5,651
-------
MEXICO -- 16.4%
Cemex, Series B* 416,900 2,477
Cifra, Series V 837,064 1,470
Corporacion Geo GDS* 51,300 1,404
Desc, Series C 192,100 1,379
Desc ADR* 32,000 922
Femsa, Series B 312,300 2,408
Grupo Financiero Bancomer,
Series B 3,446,100 2,381
Grupo Modelo, Series C 118,500 1,122
Grupo Televisa GDR* 34,500 1,415
Kimberly Clark, Series A 219,200 1,076
Panamerican Beverage, Class A 11,300 451
Sigma Alimentos, Series B 87,900 1,430
Telefonos de Mexico ADR,
Series L 42,900 2,429
-------
20,364
-------
PAKISTAN -- 0.6%
Hub Power 26,000 26
Hub Power GDR 16,000 412
Pakistan State Oil 73,800 371
-------
809
-------
PERU -- 1.7%
Telefonica de Peru ADR 94,500 2,091
-------
PHILIPPINES -- 0.5%
Ayala Land 192,000 76
International Container
Terminal Services* 697,000 92
LA Tondena Distillers 139,000 108
Philippine Long Distance 8,400 225
SM Prime Holdings 475,000 85
-------
586
-------
POLAND -- 1.2%
Bank Przemyslowo-Handlowy 8,420 744
Elektrim Spolka Akeyjna 49,000 700
Exbud* 7,000 81
-------
1,525
-------
61
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
EMERGING MARKETS
EQUITY FUND, CONTINUED
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
PORTUGAL -- 0.0%+
Jeronimo Martins 30 $ 1
TVI - Televisao Industries (3)* 7,920 --
--------
1
--------
RUSSIA -- 2.0%
Lukoil Holdings ADR* 11,750 778
Mosenergo ADR 13,300 472
Mosenergo ADS* 12,600 447
Vimpel Communications ADR* 14,400 778
--------
2,475
--------
SOUTH AFRICA -- 10.0%
ABSA 120,200 1,041
Anglo American Gold Investment 12,700 673
Barlow 100,200 968
CG Smith Foods 29,050 454
De Beers Centenary Linked Units 41,150 1,067
Fedsure Holdings 35,300 590
Illovo Sugar 182,600 307
Liberty Life Association of Africa 26,900 910
McCarthy Retail Limited 79,100 122
Metropolitan Life 233,400 831
Minerals & Resources 41,300 809
Nampak 165,500 714
New Clicks Holdings 278,700 441
Rembrandt Group 109,700 998
Sasol 142,700 1,440
South Africa Breweries 32,100 1,077
--------
12,442
--------
SOUTH KOREA -- 3.9%
Daewoo Heavy Industries 104,500 517
Korea Electric Power 54,900 748
LG Electronics 36,400 434
Pohang Iron & Steel 18,546 999
Samsung Display Devices 12,600 628
Samsung Display Devices Rights 1,710 30
Samsung Electronics 26,039 1,443
Samsung Electronics GDR 249 6
--------
4,805
--------
TAIWAN -- 5.9%
Advanced Semiconductor
Engineering GDR* 57,620 1,124
Asia Cement GDR 153,585 1,647
Asustek Computer GDR* 42,240 866
China Steel GDR 38,527 491
Fuban Insurance GDS* 48,700 989
President Enterprises GDR* 47,436 498
Standard Foods Taiwan GDR* 42,800 578
Taiwan Semiconductor ADR* 44,420 1,091
--------
7,284
--------
- --------------------------------------------------------------------------------
SHARES/FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
THAILAND -- 2.1%
Bangkok Bank 'F' 126,300 $ 319
Bec World PLC 'F' 210,400 1,118
Cogeneration Public 'F' (3) 140,000 84
PTT Exploration 'F' 58,300 619
Thai Farmers Bank 'F' 166,000 455
--------
2,595
--------
TURKEY -- 3.6%
Ardem 2,750,000 267
Ford Otomotive Sanayii 364,000 262
Hurriyet Gazetesi 21,060,000 793
Tansas* 1,555,000 1,012
Turkiye Garanti Bankasi* 15,900,000 844
Vestel Elektronik Sanayi 3,000,000 402
Yapi Ve Kredi Bankasi 19,500,000 956
--------
4,536
--------
UNITED STATES -- 0.7%
Mauritius Fund* 64,000 576
Oryx Fund* 17,000 298
--------
874
--------
Total Foreign Common Stocks
(Cost $106,968) 112,438
--------
FOREIGN PREFERRED STOCKS -- 7.5%
BRAZIL -- 7.5%
Banco Bradesco 88,720,000 815
Cemig 51,479,700 2,499
CERJ* 840,000,000 624
Eletrobras B 33,603,000 1,510
Petrobras 10,564,100 2,679
Telemig, Series B 3,459,000 524
Telesp 1,894,000 644
--------
9,295
--------
Total Foreign Preferred Stocks
(Cost $8,420) 9,295
--------
FOREIGN CONVERTIBLE BONDS -- 2.1%
PORTUGAL -- 0.0%+
Jeronimo Martins* (3)(4)
0.000%, 12/30/04 4,887 27
--------
TAIWAN -- 2.1%
Delta Electronics
0.500%, 03/06/04 $ 48 57
Far East Department Stores
3.000%, 07/06/01 $845 782
62
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
Nan Ya Plastic
1.750%, 07/19/01 $1,038 $ 1,209
Yang Ming Marine
2.000%, 10/06/01 $ 428 490
--------
2,538
--------
Total Foreign Convertible Bonds
(Cost $2,656) 2,565
--------
DEMAND DEPOSIT -- 2.6%
UNITED STATES -- 2.6%
Northern Trust
3.400%, 05/01/98
(Cost $3,237) 3,237 3,237
--------
Total Investments -- 102.6%
(Cost $121,281) 127,535
--------
OTHER ASSETS AND LIABILITIES, NET -- (2.6%) (3,225)
--------
Total Net Assets -- 100.0% $124,310
========
NET ASSETS:
Capital shares (unlimited authorization --
$0.001 par value) based on 15,734,112
outstanding shares of beneficial interest $128,112
Accumulated net investment loss (580)
Accumulated net realized loss on investments (9,394)
Net unrealized appreciation on forward
foreign currency contracts, foreign currency,
and translation of other assets and liabilities
in foreign currency 50
Net unrealized appreciation on investments (2) 6,122
--------
Total Net Assets $124,310
========
Net Asset Value, Offering and Redemption
Price Per Share $7.90
========
* NON-INCOME PRODUCING SECURITY
+ LESS THAN 0.05%
ADR AMERICAN DEPOSITORY RECEIPT
ADS AMERICAN DEPOSITORY SHARES
F FOREIGN SHARES
GDR GLOBAL DEPOSITORY RECEIPT
GDS GLOBAL DEPOSITORY SHARES
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED
(2) NET OF $132,000 ACCRUED FOREIGN WITHHOLDING TAXES.
(3) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE
VALUATION COMMITTEE OF THE BOARD OF TRUSTEES.
(4) ZERO COUPON BOND.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
GLOBAL FIXED
INCOME FUND
- --------------------------------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
FOREIGN BONDS -- 55.2%
AUSTRALIA -- 9.7%
Government of Australia
9.500%, 08/15/03 5,500 $ 4,228
New South Wales Treasury
Corporation
7.000%, 04/01/04 6,200 4,267
--------
8,495
--------
CANADA -- 3.6%
Government of Canada
8.000%, 06/01/27 3,400 3,143
--------
DENMARK -- 3.0%
Kingdom of Denmark
7.000%, 12/15/04 10,500 1,689
8.000%, 03/15/06 5,600 966
--------
2,655
--------
GERMANY -- 8.7%
Deutschland Republic
6.500%, 07/04/27 (2) 12,000 7,620
--------
ITALY -- 8.6%
Government of Italy
10.000%, 08/01/03 3,150,000 2,194
7.750%, 11/01/06 8,030,000 5,339
--------
7,533
--------
JAPAN -- 5.2%
Japanese Development Bank
6.500%, 09/20/01 170,000 1,525
Export-Import Bank of Japan
2.875%, 07/28/05 250,000 2,072
European Investment Bank
2.125%, 09/20/07 120,000 940
--------
4,537
--------
SPAIN -- 2.9%
Government of Spain
8.800%, 04/30/06 310,000 2,533
--------
SWEDEN -- 4.8%
Kingdom of Sweden
6.000%, 02/09/05 31,400 4,244
--------
UNITED KINGDOM -- 8.7%
United Kingdom Treasury
7.500%, 12/07/06 1,330 2,464
63
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
GLOBAL FIXED
INCOME FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
UBS - Union Bank of Switzerland
8.000%, 01/08/07 1,340 $ 2,454
Lloyds Bank
7.750%, 06/18/07 1,500 2,698
-------
7,616
-------
Total Foreign Bonds
(Cost $47,609) 48,376
-------
SUPRANATIONAL -- 0.8%
UNITED STATES -- 0.8%
International Bank for
Reconstruction & Development
9.750%, 01/23/16
(Cost $644) 530 721
-------
CORPORATE OBLIGATIONS -- 2.0%
UNITED STATES -- 2.0%
General Electric Capital
8.125%, 02/23/07
(Cost $1,630) 1,540 1,733
-------
ASSET BACKED -- 10.5%
UNITED STATES -- 10.5%
Premier Auto Trust Series: 1996-4,
Series A, Class A3
6.200%, 11/06/00 2,100 2,105
Citibank Credit Card Master
Trust I, Series 1997-7, Class A
6.350%, 08/15/02 3,000 3,032
American Express Credit
Account Master Trust
6.400%, 04/15/05 4,000 4,066
-------
9,203
-------
Total Asset Backed
(Cost $9,155) 9,203
-------
U.S. TREASURY OBLIGATIONS -- 17.9%
U.S. Treasury Notes
6.750%, 06/30/99 2,750 2,787
7.125%, 09/30/99 1,000 1,021
6.000%, 08/15/00 1,300 1,311
6.250%, 01/31/02 1,850 1,886
U.S. Treasury Bonds
8.500%, 02/15/20 2,540 3,288
7.125%, 02/15/23 (2) 4,780 5,442
-------
Total U.S. Treasury Obligations
(Cost $15,300) 15,735
-------
- --------------------------------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
TIME DEPOSITS -- 10.9%
CANADA -- 4.8%
Bayerische Vereinsbank
4.590%, 05/01/98 3,013 $ 2,107
Swiss Bank Corp.
4.625%, 05/01/98 2,997 2,082
-------
4,189
-------
GERMANY -- 6.1%
Bank of Montreal
3.250%, 05/01/98 4,861 2,710
Dresdner Bank
3.437%, 05/05/98 4,809 2,682
-------
5,392
-------
Total Time Deposits
(Cost $9,581) 9,581
-------
DEMAND DEPOSIT -- 0.6%
Northern Trust
3.400%, 05/01/98
(Cost $557) 557 557
-------
Total Investments -- 97.9%
(Cost $84,476) 85,906
-------
OTHER ASSETS AND LIABILITIES, NET -- 2.1% 1,850
-------
Total Net Assets -- 100.0% $87,756
=======
NET ASSETS:
Capital shares (unlimited authorization --
$0.001 par value) based on 8,424,933
outstanding shares of beneficial interest $85,060
Accumulated net investment loss (78)
Accumulated net realized gain on investments 1,177
Net unrealized depreciation on forward
foreign currency contracts, foreign
currency, and translation of other assets
and liabilities in foreign currency 167
Net unrealized appreciation on investments 1,430
-------
Total Net Assets $87,756
=======
Net Asset Value, Offering and Redemption
Price Per Share $10.42
=======
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE FOREIGN CONTRACTS
WITH AN AGGREGATE MARKET VALUE OF $13,061,492.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
64
<PAGE>
================================================================================
INTERNATIONAL FIXED
INCOME FUND
- --------------------------------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
FOREIGN BONDS -- 82.9%
AUSTRALIA -- 13.6%
Government of Australia
9.500%, 08/15/03 1,280 $ 984
New South Wales Treasury
Corporation
7.000%, 04/01/04 1,600 1,102
Queensland Treasury Corporation
6.500%, 06/14/05 1,500 1,013
-------
3,099
-------
CANADA -- 3.4%
Government of Canada
8.000%, 06/01/27 840 776
-------
DENMARK -- 9.6%
Kingdom of Denmark
8.000%, 05/15/03 3,000 497
7.000%, 12/15/04 (2) 3,900 627
8.000%, 03/15/06 6,200 1,069
-------
2,193
-------
GERMANY -- 10.2%
Deutschland Republic
6.250%, 01/04/24 2,080 1,277
6.500%, 07/04/27 1,670 1,060
-------
2,337
-------
ITALY -- 14.9%
Istituto Mobiliare Italian Bank
7.500%, 12/10/01 1,700,000 1,035
Government of Italy
7.750%, 11/01/06 2,350,000 1,563
LKB Baden Wuerttenberg
Finance
7.800%, 11/12/03 1,250,000 797
-------
3,395
-------
JAPAN -- 10.7%
International Bank for
Reconstruction & Development
5.250%, 03/20/02 55,000 484
European Investment Bank
3.000%, 09/20/06 142,000 1,188
Republic of Austria
6.250%, 10/16/03 82,000 784
-------
2,456
-------
SPAIN -- 2.9%
Government of Spain
8.800%, 04/30/06 80,000 654
-------
- --------------------------------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
SWEDEN -- 5.3%
Kingdom of Sweden
6.000%, 02/09/05 8,900 $ 1,203
-------
UNITED KINGDOM -- 12.3%
United Kingdom Treasury
7.500%, 12/07/06 (2) 550 1,019
UBS - Union Bank of Switzerland
8.000%, 01/08/07 450 824
Lloyds Bank
7.750%, 06/18/07 530 953
-------
2,796
-------
Total Foreign Bonds
(Cost $18,706) 18,909
-------
TIME DEPOSITS -- 14.7%
CANADA -- 4.2%
Bayerische Vereinsbank
4.590%, 05/07/98 618 432
Morgan Guaranty Trust
4.550%, 05/07/98 759 531
-------
963
-------
GERMANY -- 10.5%
Bank of Montreal
3.250%, 05/07/98 1,852 1,033
Dresdner Bank
3.344%, 05/07/98 1,072 598
Swiss Bank Corp.
3.500%, 05/07/98 1,383 771
-------
2,402
-------
Total Time Deposits
(Cost $3,365) 3,365
-------
DEMAND DEPOSIT -- 0.2%
UNITED STATES -- 0.2%
Northern Trust
3.400%, 05/01/98
(Cost $38) 38 38
-------
Total Investments -- 97.8%
(Cost $22,109) 22,312
-------
OTHER ASSETS AND LIABILITIES, NET -- 2.2% 493
-------
Total Net Assets -- 100.0% $22,805
=======
65
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
INTERNATIONAL FIXED
INCOME FUND, CONTINUED
- --------------------------------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Capital shares (unlimited authorization --
$0.001 par value) based on 2,327,955
outstanding shares of beneficial interest $22,710
Accumulated net investment loss (256)
Accumulated net realized gain on investments 181
Net unrealized depreciation on forward
foreign currency contracts, foreign currency,
and translation of other assets and liabilities
in foreign currency (33)
Net unrealized appreciation on investments 203
-------
Total Net Assets $22,805
=======
Net Asset Value, Offering and Redemption
Price Per Share $9.80
=======
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
(2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE CONTRACTS WITH AN
AGGREGATE MARKET VALUE OF $1,646,177.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
EMERGING MARKETS
DEBT FUND
FOREIGN BONDS-- 85.9%
ALGERIA-- 4.6%
Algeria FRN Tranche
Unrestructured, Series A
7.250%, 09/04/06 14,530 $ 13,731
--------
ARGENTINA -- 15.5%
Government of Argentina
11.375%, 01/30/17 9,750 10,798
5.750%, 03/31/23 24,350 18,536
Government of Argentina Bocon
Proveedores 1
3.154%, 04/01/07 3,749 2,748
Government of Argentina FRN
6.625%, 03/31/05 7,410 6,808
Telefonica de Argentina
9.125%, 05/07/08 7,000 6,957
--------
45,847
--------
BRAZIL -- 19.0%
Government of Brazil
10.125%, 05/15/27 9,000 8,764
Government of Brazil C Bond
5.000%, 04/15/14 26,310 21,772
- --------------------------------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
Government of Brazil FRN
6.625%, 04/15/06 11,786 $ 10,519
6.688%, 04/15/12 10,250 8,110
6.625%, 04/15/24 6,900 5,692
Government of Brazil MYDFA
6.563%, 09/15/07 1,807 1,578
--------
56,435
--------
BULGARIA -- 4.2%
Government of Bulgaria FRN
6.563%, 07/28/24 15,100 12,382
--------
IVORY COAST -- 3.5%
Ivory Coast PDI
2.000%, 03/29/18 5,000 2,081
Ivory Coast FLIRB
2.000%, 03/29/18 5,000 1,812
Ivory Coast FLIRB, Series A
2.000%, 03/29/18 110,000 6,347
--------
10,240
--------
JORDAN -- 4.1%
Jordan Par
5.000%, 12/23/23 17 12,028
--------
MACEDONIA -- 0.9%
Macedonia FRN
3.500%, 07/02/12 4,521 2,690
--------
MEXICO -- 8.0%
Government of Mexico
11.500%, 05/15/26 3,650 4,398
Government of Mexico , Series A
6.250%, 12/31/19 1,850 1,563
Government of Mexico ,Series B
6.250%, 12/31/19 1,950 1,648
Government of Mexico FRN,
Series A
6.693%, 12/31/19 2,250 2,107
Government of Mexico FRN,
Series D
6.750%, 12/31/19 2,900 2,715
Government of Mexico Par/
Disc Rights (3)
0.000%, 06/30/03 614 --
Petroleos Mexicanos
9.000%, 06/01/07 6,150 6,217
9.250%, 03/30/18 5,000 4,915
--------
23,563
--------
66
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000) (1) (000)
- --------------------------------------------------------------------------------
PANAMA -- 4.5%
Government of Panama IRB
8.875%, 09/30/27 3,500 $ 3,413
Government of Panama PDI
4.000%, 07/17/16 12,016 9,973
--------
13,386
--------
PERU -- 1.9%
Republic of Peru FRB
3.250%, 03/07/17 9,000 5,558
--------
RUSSIA -- 15.8%
City of Moscow
9.500%, 05/31/00 4,500 4,416
Russian Government
10.000%, 06/26/07 9,000 8,640
6.719%, 12/15/20 39,350 24,938
Russian IAN FRN PIK, Series A
0.000%, 12/02/15 543 391
Russian IAN FRN, Series A
6.719%, 12/02/15 11,938 8,595
--------
46,980
--------
SOUTH AFRICA -- 3.9%
Republic of South Africa
13.000%, 08/31/10 10,000 1,977
13.500%, 09/15/15 47,500 9,629
--------
11,606
--------
VENEZUELA -- 0.0%+
Government of Venezuela
Warrants (3)
0.000%, 04/15/20 5,355 --
--------
Total Foreign Bonds
(Cost $255,558) 254,446
--------
LOAN PARTICIPATIONS -- 4.7%
MOROCCO -- 4.7%
Morocco R&C Loan FRN
(Participation: J.P. Morgan) (2)
6.656%, 01/01/09 15,500 13,795
--------
Total Loan Participations
(Cost $13,891) 13,795
--------
DEMAND DEPOSIT -- 9.5%
UNITED STATES -- 9.5%
Northern Trust
3.400%, 05/01/98
(Cost $28,217) 28,217 28,217
--------
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
Total Investments -- 100.1%
(Cost $297,666) $296,458
--------
OTHER ASSETS AND LIABILITIES, NET -- (0.1%) (247)
--------
Total Net Assets -- 100.0% $296,211
========
NET ASSETS:
Capital shares of Institutional Shares
(unlimited authorization -- $0.001
par value) based on 32,379,390
outstanding shares of beneficial interest $311,110
Capital shares of Service Shares (unlimited
authorization -- $0.001 par value)
based on 26,015 outstanding
shares of beneficial interest 313
Undistributed net investment income 2,501
Accumulated net realized loss on investments (16,444)
Net unrealized depreciation on forward
foreign currency contracts, foreign
currency, and translation of other assets
and liabilities in foreign currency (61)
Net unrealized depreciation on investments (1,208)
--------
Total Net Assets $296,211
========
Net Asset Value, Offering and Redemption
Price Per Share -- Institutional Shares $9.14
========
Net Asset Value, Offering and Redemption
Price Per Share -- Service Shares $9.13
========
+ LESS THAN 0.05%
FLIRB FRONT LOADED INTEREST REDUCTION BOND
FRB FLOATING RATE BOND
FRN FLOATING RATE NOTE
IAN INTEREST ARREARS NOTE
IRB INTEREST REVENUE BOND
MYDFA MULTI-YEAR DEPOSIT FINANCE AGREEMENT
PIK PAYMENT IN-KIND
PDI PAST DUE INCOME
(1) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED.
(2) PARTICIPATIONS WERE ACQUIRED THROUGH FINANCIAL INSTITUTIONS INDICATED
PARENTHETICALLY. SEE NOTE 6.
(3) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE
VALUATION COMMITTEE OF THE BOARD OF TRUSTEES.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
67
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS (000)
================================================================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED APRIL 30, 1998 (UNAUDITED)
------------- ---------- ----------- ------------ ------------ ----------- ----------
SHORT-TERM SHORT-TERM HIGH
MUNICIPAL FIXED MUNICIPAL FIXED YIELD SMALLER
BOND INCOME BOND INCOME BOND COMPANIES MICROCAP
FUND FUND FUND FUND FUND (1) FUND FUND
------------- ---------- ----------- ------------ ------------ ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $11,084 $38,995 $646 $505 $266 $ 14 $ 14
Dividends -- -- -- -- -- 11 1
Less: Foreign taxes withheld -- -- -- -- -- -- --
------- ------- ---- ---- ---- ---- ----
Total Investment Income 11,084 38,995 646 505 266 25 15
------- ------- ---- ---- ---- ---- ----
EXPENSES:
Investment advisory fees 822 2,318 50 31 16 31 32
Less: Waiver of investment
advisory fees (72) (213) (42) (29) (4) (31) (32)
Administration fees 172 487 30 30 2 30 27
Custodian fees 12 32 1 -- 1 -- --
Transfer agent fees 22 32 9 3 2 13 14
Professional fees 60 165 3 3 1 1 1
Registration & filing fees 36 194 6 2 2 3 4
Printing fees 23 102 2 -- -- 1 --
Servicing plan fee (2) 1 -- -- -- -- -- --
Trustee fees 11 34 1 1 -- -- --
Pricing fees 11 7 8 1 -- -- --
Other expenses 4 29 -- -- -- -- 1
------- ------- ---- ---- ---- ---- ----
Total expenses 1,102 3,187 68 42 20 48 47
Less: Reimbursement from Advisor -- -- -- -- -- (10) (15)
------- ------- ---- ---- ---- ---- ----
Total Net Expenses 1,102 3,187 68 42 20 38 32
------- ------- ---- ---- ---- ---- ----
NET INVESTMENT INCOME (LOSS) 9,982 35,808 578 463 246 (13) (17)
------- ------- ---- ---- ---- ---- ----
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions 751 6,806 (28) (2) 150 (5) 304
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 (65) (4,289) (8) (24) (73) 665 437
------- ------- ---- ---- ---- ---- ----
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $10,668 $38,325 $542 $437 $323 $647 $724
======= ======= ==== ==== ==== ==== ====
--------------- ------------- ----------------- ------------ ------------- ------------
INTERNATIONAL EUROPEAN EMERGING GLOBAL
INTERNATIONAL EUROPEAN SMALL CAP SMALL CAP MARKETS FIXED
EQUITY EQUITY EQUITY EQUITY EQUITY INCOME
FUND FUND FUND FUND FUND FUND
--------------- ------------- ----------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ -- $ 7 $ 33 $ 8 $ -- $2,584
Dividends 37 413 212 40 927 --
Less: Foreign taxes withheld (3) (23) (16) (2) (52) (10)
---- ------- ------ ------ ------- ------
Total Investment Income 34 397 229 46 875 2,574
---- ------- ------ ------ ------- ------
EXPENSES:
Investment advisory fees 18 150 216 42 509 229
Less: Waiver of investment
advisory fees (18) (97) (46) (42) (108) (61)
Administration fees 30 30 30 30 43 39
Custodian fees 14 82 44 11 120 19
Transfer agent fees 6 6 8 6 8 8
Professional fees 1 6 (2) 1 7 6
Registration & filing fees 4 7 7 1 12 12
Printing fees 1 4 6 1 9 10
Servicing plan fee (2) -- -- -- -- -- --
Trustee fees -- 2 2 -- 3 3
Pricing fees -- -- 3 3 -- 3
Other expenses 2 4 2 -- 34 7
---- ------- ------ ------ ------- ------
Total expenses 58 194 270 53 637 275
Less: Reimbursement from Advisor (34) -- -- -- -- --
---- ------- ------ ------ ------- ------
Total Net Expenses 24 194 270 53 637 275
---- ------- ------ ------ ------- ------
NET INVESTMENT INCOME (LOSS) 10 203 (41) (7) 238 2,299
---- ------- ------ ------ ------- ------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions (5) 1,488 1,881 2,202 (8,447) 1,177
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions 20 3 (11) 12 (605) (1,333)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency 7 (4) (20) (2) 27 (355)
Net change in unrealized appreciation
(depreciation) on investments 757 8,321 1,907 (858) 16,949* (476)
---- ------- ------ ------ ------- ------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $789 $10,011 $3,716 $1,347 $ 8,162 $1,312
==== ======= ====== ====== ======= ======
---------------- -------------
INTERNATIONAL EMERGING
FIXED MARKETS
INCOME DEBT
FUND FUND
---------------- -------------
<S> <C> <C>
INVESTMENT INCOME:
Interest $ 689 $ 9,102
Dividends -- --
Less: Foreign taxes withheld -- --
----- -------
Total Investment Income 689 9,102
----- -------
EXPENSES:
Investment advisory fees 66 784
Less: Waiver of investment
advisory fees (47) (145)
Administration fees 30 66
Custodian fees 8 111
Transfer agent fees 6 11
Professional fees 5 1
Registration & filing fees 3 (2)
Printing fees 2 10
Servicing plan fee (2) -- --
Trustee fees 1 3
Pricing fees -- 3
Other expenses 3 8
----- -------
Total expenses 77 850
Less: Reimbursement from Advisor -- --
----- -------
Total Net Expenses 77 850
----- -------
NET INVESTMENT INCOME (LOSS) 612 8,252
----- -------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss) on investments:
Security transactions 180 (16,335)
Net realized gain (loss) on forward
foreign currency contracts and
foreign currency transactions (656) (2,210)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency (147) (7)
Net change in unrealized appreciation
(depreciation) on investments (27) 20,357
----- -------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (38) $10,057
===== =======
<FN>
(1) HIGH YIELD BOND FUND COMMENCED OPERATIONS ON 03/16/98.
(2) APPLICABLE TO SERVICE SHARES ONLY.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
*NET OF $73,000 INCREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON NET UNREALIZED CAPITAL GAINS.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
68 & 69
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (000)
===========================================================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED APRIL 30, 1998 (UNAUDITED) AND THE PERIOD ENDED OCTOBER 31, 1997
------------------- ----------------------- ---------------- -----------------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED
BOND INCOME BOND INCOME
FUND FUND FUND FUND
------------------- ----------------------- ---------------- -----------------
1998 1997 1998 1997 1998 1997 1998 1997
-------- ------- --------- --------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 9,982 $ 15,269 $ 35,808 $ 58,355 $ 578 $ 830 $ 463 $ 763
Net realized gain (loss) from
security transactions 751 112 6,806 9,128 (28) (9) (2) 15
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 (65) 6,264 (4,289) 15,437 (8) 242 (24) 105
-------- -------- ---------- ---------- ------- ------- ------- -------
Net increase (decrease) in net assets
from operations 10,668 21,645 38,325 82,920 542 1,063 437 883
-------- -------- ---------- ---------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional shares (9,995) (15,243) (35,966) (58,276) (573) (828) (459) (764)
Service shares (17) (1) (5) -- (7) -- -- --
Net realized gains:
Institutional shares (106) (2,204) (8,592) -- -- (21) -- --
Service shares -- -- -- -- -- -- -- --
-------- -------- ---------- ---------- ------- ------- ------- -------
Total Distributions (10,118) (17,448) (44,563) (58,276) (580) (849) (459) (764)
-------- -------- ---------- ---------- ------- ------- ------- -------
CAPITAL TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 173,681 145,890 214,184 397,158 12,873 21,637 5,224 14,973
Shares issued in lieu of cash
distributions 8,352 13,868 36,167 47,532 531 727 81 331
Cost of shares repurchased (46,862) (54,645) (88,002) (124,216) (3,742) (11,760) (7,833) (5,091)
-------- -------- ---------- ---------- ------- ------- ------- -------
Increase (decrease) in net assets from
institutional share transactions 135,171 105,113 162,349 320,474 9,662 10,604 (2,528) 10,213
-------- -------- ---------- ---------- ------- ------- ------- -------
SERVICE SHARES:
Proceeds from shares issued 1,248 197 553 -- 407 -- -- --
Shares issued in lieu of cash
distributions 3 -- -- -- 7 -- -- --
Cost of shares repurchased (65) (6) (6) -- (23) -- -- --
-------- -------- ---------- ---------- ------- ------- ------- -------
Increase in net assets from
service share transactions 1,186 191 547 -- 391 -- -- --
-------- -------- ---------- ---------- ------- ------- ------- -------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL TRANSACTIONS 136,357 105,304 162,896 320,474 10,053 10,604 (2,528) 10,213
-------- -------- ---------- ---------- ------- ------- ------- -------
Net increase (decrease) in net assets 136,907 109,501 156,658 345,118 10,015 10,818 (2,550) 10,332
-------- -------- ---------- ---------- ------- ------- ------- -------
NET ASSETS:
Beginning of period 361,653 252,152 1,103,121 758,003 19,950 9,132 17,083 6,751
-------- -------- ---------- ---------- ------- ------- ------- -------
End of period $498,560 $361,653 $1,259,779 $1,103,121 $29,965 $19,950 $14,533 $17,083
======== ======== ========== ========== ======= ======= ======= =======
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 15,487 13,267 19,920 37,690 1,250 2,127 520 1,499
Shares issued in lieu of cash
distributions 745 1,263 3,373 4,510 51 71 8 33
Shares repurchased (4,181) (4,980) (8,190) (11,781) (363) (1,158) (779) (509)
-------- -------- ---------- ---------- ------- ------- ------- -------
Increase (decrease) in capital shares
from institutional share transactions 12,051 9,550 15,103 30,419 938 1,040 (251) 1,023
======== ======== ========== ========== ======= ======= ======= =======
SERVICE SHARES:
Shares issued 112 18 52 -- 39 -- -- --
Shares issued in lieu of cash
distributions -- -- -- -- 1 -- -- --
Shares repurchased (6) (1) (1) -- (2) -- -- --
-------- -------- ---------- ---------- ------- ------- ------- -------
Increase (decrease) in capital shares
from service share transactions 106 17 51 -- 38 -- -- --
======== ======== ========== ========== ======= ======= ======= =======
-------- ---------------- --------------- --------------- ----------------
HIGH
YIELD SMALLER INTERNATIONAL EUROPEAN
BOND COMPANIES MICROCAP EQUITY EQUITY
FUND (1) FUND FUND (2) FUND FUND
-------- ---------------- --------------- --------------- ----------------
1998 1998 1997 1998 1997 1998 1997 1998 1997
-------- ------- ------- ------- ------- ------- ------ ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 246 $ (13) $ (14) $ (17) $ (10) $ 10 $ 48 $ 203 $ 540
Net realized gain (loss) from
security transactions 150 (5) 692 304 143 (5) 165 1,488 2,749
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions -- -- -- -- -- 20 16 3 213
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency -- -- -- -- -- 7 11 (4) (2)
Net change in unrealized appreciation
(depreciation) on investments (73) 665 347 437 404 757 (43) 8,321 2,252
------- ------ ------ ------ ------ ------ ------ ------- -------
Net increase (decrease) in net assets
from operations 323 647 1,025 724 537 789 197 10,011 5,752
------- ------ ------ ------ ------ ------ ------ ------- -------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional shares (247) -- -- -- -- (99) (44) (750) (59)
Service shares -- -- -- -- -- -- -- -- --
Net realized gains:
Institutional shares -- (672) (354) (133) -- (166) (157) (2,750) (206)
Service shares -- (1) -- -- -- -- -- -- --
------- ------ ------ ------ ------ ------ ------ ------- -------
Total Distributions (247) (673) (354) (133) -- (265) (201) (3,500) (265)
------- ------ ------ ------ ------ ------ ------ ------- -------
CAPITAL TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 25,203 638 955 3,893 2,924 6 1,630 -- 15,743
Shares issued in lieu of cash
distributions 247 671 353 129 -- 265 201 3,500 265
Cost of shares repurchased -- (63) (370) (336) (185) -- (296) -- (67)
------- ------ ------ ------ ------ ------ ------ ------- -------
Increase (decrease) in net assets from
institutional share transactions 25,450 1,246 938 3,686 2,739 271 1,535 3,500 15,941
------- ------ ------ ------ ------ ------ ------ ------- -------
SERVICE SHARES:
Proceeds from shares issued -- 128 6 1,045 15 -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- 4 -- -- -- -- --
Cost of shares repurchased -- (4) -- (10) (5) -- -- -- --
------- ------ ------ ------ ------ ------ ------ ------- -------
Increase in net assets from
service share transactions -- 124 6 1,039 10 -- -- -- --
------- ------ ------ ------ ------ ------ ------ ------- -------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL TRANSACTIONS 25,450 1,370 944 4,725 2,749 271 1,535 3,500 15,941
------- ------ ------ ------ ------ ------ ------ ------- -------
Net increase (decrease) in net assets 25,526 1,344 1,615 5,316 3,286 795 1,531 10,011 21,428
------- ------ ------ ------ ------ ------ ------ ------- -------
NET ASSETS:
Beginning of period -- 5,730 4,115 3,286 -- 4,954 3,423 39,330 17,902
------- ------ ------ ------ ------ ------ ------ ------- -------
End of period $25,526 $7,074 $5,730 $8,602 $3,286 $5,749 $4,954 $49,341 $39,330
======= ====== ====== ====== ====== ====== ====== ======= =======
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 2,520 49 74 297 275 1 144 -- 1,363
Shares issued in lieu of cash
distributions 25 54 28 11 -- 24 17 291 23
Shares repurchased -- (5) (27) (29) (15) -- (23) -- (5)
------- ------ ------ ------ ------ ------ ------ ------- -------
Increase (decrease) in capital shares
from institutional share transactions 2,545 98 75 279 260 25 138 291 1,381
======= ====== ====== ====== ====== ====== ====== ======= =======
SERVICE SHARES:
Shares issued -- 10 -- 78 1 -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- -- -- -- -- -- --
Shares repurchased -- -- -- (1) -- -- -- -- --
------- ------ ------ ------ ------ ------ ------ ------- -------
Increase (decrease) in capital shares
from service share transactions -- 10 -- 77 1 -- -- -- --
======= ====== ====== ====== ====== ====== ====== ======= =======
------------------ --------------- ------------------
INTERNATIONAL EUROPEAN EMERGING
SMALL CAP SMALL CAP MARKETS
EQUITY EQUITY EQUITY
FUND FUND FUND
------------------ --------------- ------------------
1998 1997 1998 1997 1998 1997
-------- -------- ------- ------ -------- --------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ (41) $ 141 $ (7) $ 60 $ 238 $ 675
Net realized gain (loss) from
security transactions 1,881 (6,005) 2,202 (84) (8,447) 4,348
Net realized gain (loss) on forward
foreign currency contracts
and foreign currency transactions (11) 427 12 (23) (605) (1,113)
Net change in unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign currency,
and translation of other assets and
liabilities in foreign currency (20) 13 (2) 2 27 (16)
Net change in unrealized appreciation
(depreciation) on investments 1,907 (2,990) (858) (125) 16,949* (15,042)**
-------- -------- ------- ------ -------- --------
Net increase (decrease) in net assets
from operations 3,716 (8,414) 1,347 (170) 8,162 (11,148)
-------- -------- ------- ------ -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Institutional shares (539) (1,326) (34) (147) -- (53)
Service shares -- -- -- -- -- --
Net realized gains:
Institutional shares -- -- -- (301) (4,910) (2,255)
Service shares -- -- -- -- -- --
-------- -------- ------- ------ -------- --------
Total Distributions (539) (1,326) (34) (448) (4,910) (2,308)
-------- -------- ------- ------ -------- --------
CAPITAL TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 10,081 4,190 600 660 39,063 67,367
Shares issued in lieu of cash
distributions 539 1,253 34 448 4,910 2,308
Cost of shares repurchased (24,931) (49,017) (8,477) (705) (17,016) (50,397)
-------- -------- ------- ------ -------- --------
Increase (decrease) in net assets from
institutional share transactions (14,311) (43,574) (7,843) 403 26,957 19,278
-------- -------- ------- ------ -------- --------
SERVICE SHARES:
Proceeds from shares issued -- -- -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- -- -- --
Cost of shares repurchased -- -- -- -- -- --
-------- -------- ------- ------ -------- --------
Increase in net assets from
service share transactions -- -- -- -- -- --
-------- -------- ------- ------ -------- --------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL TRANSACTIONS (14,311) (43,574) (7,843) 403 26,957 19,278
-------- -------- ------- ------ -------- --------
Net increase (decrease) in net assets (11,134) (53,314) (6,530) (215) 30,209 5,822
-------- -------- ------- ------ -------- --------
NET ASSETS:
Beginning of period 53,395 106,709 9,641 9,856 94,101 88,279
-------- -------- ------- ------ -------- --------
End of period $ 42,261 $ 53,395 $ 3,111 $9,641 $124,310 $ 94,101
======== ======== ======= ====== ======== ========
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 1,076 456 45 53 5,104 7,353
Shares issued in lieu of cash
distributions 66 130 3 37 675 265
Shares repurchased (2,788) (5,236) (645) (59) (2,286) (5,414)
-------- -------- ------- ------ -------- --------
Increase (decrease) in capital shares
from institutional share transactions (1,646) (4,650) (597) 31 3,493 2,204
======== ======== ======= ====== ======== ========
SERVICE SHARES:
Shares issued -- -- -- -- -- --
Shares issued in lieu of cash
distributions -- -- -- -- -- --
Shares repurchased -- -- -- -- -- --
-------- -------- ------- ------ -------- --------
Increase (decrease) in capital shares
from service share transactions -- -- -- -- -- --
======== ======== ======= ====== ======== ========
<FN>
(1) HIGH YIELD BOND FUND COMMENCED OPERATIONS ON 03/16/98.
(2) MICROCAP FUND COMMENCED OPERATIONS ON 12/18/96.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
* NET OF $73,000 INCREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON NET UNREALIZED
CAPITAL GAINS.
** NET OF $16,000 INCREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON NET UNREALIZED
CAPITAL GAINS.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
70 & 71
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (000)
===========================================================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED APRIL 30, 1998 (UNAUDITED) AND THE PERIOD ENDED OCTOBER 31, 1997
------------------- ----------------- ------------------
GLOBAL INTERNATIONAL EMERGING
FIXED FIXED MARKETS
INCOME INCOME DEBT
FUND FUND FUND
------------------- ----------------- ------------------
1998 1997 1998 1997 1998 1997
--------- -------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 2,299 $ 6,274 $ 612 $ 1,169 $ 8,252 $ 10,173
Net realized gain (loss) from security transactions 1,177 2,051 180 267 (16,335) 24,233
Net realized gain (loss) on forward foreign currency
contracts and foreign currency transactions (1,333) (3,599) (656) (685) (2,210) 157
Net change in unrealized appreciation (depreciation) on
forward foreign currency contracts, foreign
currency, and translation of other assets and
liabilities in foreign currency (355) 1,375 (147) 265 (7) (49)
Net change in unrealized appreciation
(depreciation) on investments (476) (2,915) (27) (643) 20,357 (28,717)
-------- -------- ------- ------- -------- --------
Net increase (decrease) in net assets from operations 1,312 3,186 (38) 373 10,057 5,797
-------- -------- ------- ------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional shares (3,130) (5,886) (738) (1,179) (12,703) (7,732)
Service shares -- -- -- -- (28) --
NET REALIZED GAINS:
Institutional shares (2,048) (3,253) (262) (1,069) (23,973) (9,044)
Service shares -- -- -- -- (53) --
-------- -------- ------- ------- -------- --------
Total Distributions (5,178) (9,139) (1,000) (2,248) (36,757) (16,776)
-------- -------- ------- ------- -------- --------
CAPITAL TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from shares issued 16,738 9,513 3,758 10,502 260,246 230,139
Shares issued in lieu of cash distributions 4,869 8,013 771 2,079 36,380 16,515
Cost of shares repurchased (22,165) (69,310) (8,623) (3,924) (161,470) (150,664)
-------- -------- ------- ------- -------- --------
Increase (decrease) in net assets from
Institutional share transactions (558) (51,784) (4,094) 8,657 135,156 95,990
-------- -------- ------- ------- -------- --------
SERVICE SHARES:
Proceeds from shares issued -- -- -- -- 169 145
Cost of shares repurchased -- -- -- -- (1) --
-------- -------- ------- ------- -------- --------
Increase in net assets from service share transactions -- -- -- -- 168 145
-------- -------- ------- ------- -------- --------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL TRANSACTIONS (558) (51,784) (4,094) 8,657 135,324 96,135
-------- -------- ------- ------- -------- --------
Net increase (decrease) in net assets (4,424) (57,737) (5,132) 6,782 108,624 85,156
-------- -------- ------- ------- -------- --------
NET ASSETS:
Beginning of period 92,180 149,917 27,937 21,155 187,587 102,431
-------- -------- ------- ------- -------- --------
End of period $ 87,756 $ 92,180 $22,805 $27,937 $296,211 $187,587
======== ======== ======= ======= ======== ========
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares issued 1,577 907 390 1,061 28,083 18,219
Shares issued in lieu of cash distributions 479 757 81 205 4,097 1,455
Shares repurchased (2,132) (6,481) (894) (385) (15,482) (11,661)
-------- -------- ------- ------- -------- --------
Increase (decrease) in capital shares
from institutional share transactions (76) (4,817) (423) 881 16,698 8,013
======== ======== ======= ======= ======== ========
SERVICE SHARES:
Shares issued -- -- -- -- 15 11
Shares issued in lieu of cash distributions -- -- -- -- -- --
-------- -------- ------- ------- -------- --------
Increase (decrease) in capital shares from
service share transactions -- -- -- -- 15 11
======== ======== ======= ======= ======== ========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
72
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
====================================================================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED APRIL 30, 1998 (UNAUDITED) AND THE PERIODS ENDED OCTOBER 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
NET DISTRIBUTIONS
NET ASSET NET REALIZED DISTRIBUTIONS FROM RATIO OF
VALUE INVESTMENT AND FROM NET REALIZED NET ASSET NET ASSETS EXPENSES
BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------
MUNICIPAL BOND FUND:
- --------------------
Institutional Shares
1998** $11.12 $0.27 $0.04 $(0.27) $ -- $11.16 2.84% $497,192 0.54%
1997 10.99 0.57 0.22 (0.57) (0.09) 11.12 7.49 361,461 0.54
1996 10.86 0.60 0.13 (0.60) -- 10.99 6.90 252,152 0.55
1995 10.37 0.61 0.49 (0.61) -- 10.86 10.90 221,058 0.54
1994 11.36 0.60 (0.61) (0.60) (0.38) 10.37 (0.15) 165,677 0.54
1993 10.56 0.67 0.84 (0.67) (0.04) 11.36 14.68 148,022 0.55
1992(1) 10.00 0.60 0.56 (0.60) -- 10.56 13.42+ 94,700 0.55
Service Shares
1998** $11.11 $0.26 $0.05 $(0.26) $ -- $11.16 2.81% $ 1,368 0.79%
1997(2) 11.11 0.14 -- (0.14) -- 11.11 1.22+ 192 0.79
- ------------------
FIXED INCOME FUND:
- ------------------
Institutional Shares
1998** $10.76 $0.33 $0.02 $(0.33) $(0.08) $10.70 3.34% $1,259,233 0.55%
1997 10.51 0.68 0.25 (0.68) -- 10.76 9.22 1,103,121 0.55
1996 10.62 0.68 (0.04) (0.68) (0.07) 10.51 6.27 758,003 0.55
1995 9.93 0.70 0.69 (0.70) -- 10.62 14.53 494,221 0.54
1994 10.95 0.64 (0.91) (0.64) (0.11) 9.93 (2.58) 239,556 0.54
1993 9.92 0.64 1.03 (0.64) -- 10.95 17.28 147,917 0.55
1992(3) 10.00 0.06 (0.08) (0.06) -- 9.92 (1.61)+ 25,528 0.55
Service Shares
1998(4)** $10.75 $0.14 $(0.05) $(0.14) $ -- $10.70 0.63%+ $ 546 0.80%
- -------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -------------------------------
Institutional Shares
1998** $10.28 $0.24 $(0.01) $(0.24) $ -- $10.27 2.24% $29,574 0.54%
1997 10.13 0.52 0.16 (0.52) (0.01) 10.28 6.93 19,950 0.53
1996 10.13 0.54 0.04 (0.54) (0.04) 10.13 5.90 9,132 0.53
1995(5) 10.00 0.30 0.13 (0.30) -- 10.13 4.39+ 3,724 0.52
Service Shares
1998(6)** $10.28 $0.18 $(0.01) $(0.18) $ -- $10.27 1.69%+ $ 391 0.79%
- -----------------------------
SHORT-TERM FIXED INCOME FUND:
- -----------------------------
Institutional Shares
1998** $10.06 $0.29 $(0.02) $(0.29) $ -- $10.04 2.74% $14,533 0.54%
1997 10.00 0.58 0.06 (0.58) -- 10.06 6.61 17,083 0.53
1996 10.01 0.60 (0.01) (0.60) -- 10.00 6.09 6,751 0.53
1995(7) 10.00 0.37 0.01 (0.37) -- 10.01 3.82+ 4,140 0.52
- ---------------------
HIGH YIELD BOND FUND:
- ---------------------
Institutional Shares
1998**(8) $10.00 $0.10 $0.03 $(0.10) $ -- $10.03 1.28%+ $25,526 0.65%
- -----------------------
SMALLER COMPANIES FUND:
- -----------------------
Institutional Shares
1998** $14.72 $(0.02) $1.21 $ -- $(1.68) $14.23 9.65% $6,926 1.25%
1997 13.10 (0.03) 2.87 -- (1.22) 14.72 23.29 5,724 1.25
1996 10.55 (0.02) 2.61 (0.04) -- 13.10 24.58 4,115 1.25
1995(9) 10.00 0.03 0.52 -- -- 10.55 5.50+ 2,638 1.25
Service Shares
1998** $14.71 $ -- $1.17 $ -- $(1.68) $14.20 9.50% $ 148 1.50%
1997(10) 13.77 (0.03) 0.97 -- -- 14.71 7.45+ 6 1.50
- --------------
MICROCAP FUND:
- --------------
Institutional Shares
1998** $12.62 $(0.01) $1.84 $ -- $(0.49) $13.96 15.40% $7,517 1.49%
1997(11) 10.00 (0.04) 2.66 -- -- 12.62 26.20+ 3,276 1.63
Service Shares
1998** $12.62 $ -- $1.81 $ -- $(0.49) $13.94 15.23% $1,085 1.74%
1997(12) 12.12 (0.02) 0.52 -- -- 12.62 3.87+ 10 1.74
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
NET TO AVERAGE TO AVERAGE
INVESTMENT NET ASSETS NET ASSETS
INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO
TO AVERAGE EXPENSE EXPENSE TURNOVER
NET ASSETS LIMITATIONS) LIMITATIONS) RATE
==========================================================================
<S> <C> <C> <C> <C> <C>
- --------------------
MUNICIPAL BOND FUND:
- --------------------
Institutional Shares
1998** 4.85% 0.57% 4.82% 23%
1997 5.19 0.61 5.12 67
1996 5.50 0.61 5.44 66
1995 5.75 0.62 5.67 63
1994 5.60 0.67 5.47 94
1993 5.94 0.75 5.74 160
1992(1) 6.31 0.79 6.07 143
Service Shares
1998** 4.57% 0.82% 4.54% 23%
1997(2) 4.95 0.85 4.89 67
- ------------------
FIXED INCOME FUND:
- ------------------
Institutional Shares
1998** 6.17% 0.58% 6.14% 46%
1997 6.50 0.60 6.45 178
1996 6.52 0.61 6.46 176
1995 6.81 0.63 6.72 182
1994 6.22 0.66 6.10 251
1993 6.01 0.72 5.84 196
1992(3) 5.24 1.66 4.13 148
Service Shares
1998(4)** 5.92% 0.80% 5.92% 46%
- -------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- -------------------------------
Institutional Shares
1998** 4.63% 0.87% 4.30% 18%
1997 5.14 1.02 4.65 95
1996 5.34 1.58 4.29 129
1995(5) 4.60 2.16 2.96 62
Service Shares
1998(6)** 4.41% 1.12% 4.08% 18%
- -----------------------------
SHORT-TERM FIXED INCOME FUND:
- -----------------------------
Institutional Shares
1998** 5.90% 0.91% 5.53% 61%
1997 5.77 1.09 5.21 186
1996 6.00 1.29 5.24 124
1995(7) 5.86 2.84 3.54 90
- ---------------------
HIGH YIELD BOND FUND:
- ---------------------
Institutional Shares
1998**(8) 7.90% 0.78% 7.77% 73%
- -----------------------
SMALLER COMPANIES FUND:
- -----------------------
Institutional Shares
1998** (0.43)% 2.56% (1.74)% 49%
1997 (0.29) 2.63 (1.67) 122
1996 (0.23) 2.55 (1.53) 141
1995(9) 0.94 2.28 (0.09) 23
Service Shares
1998** (0.65)% 2.81% (1.96)% 49%
1997(10) (0.77) 2.79 (2.06) 122
- --------------
MICROCAP FUND:
- --------------
Institutional Shares
1998** (0.79)% 3.71% (3.01)% 59%
1997(11) (0.49) 3.39 (2.25) 272
Service Shares
1998** (0.88)% 3.96% (3.10)% 59%
1997(12) (1.15) 3.52 (2.93) 272
<FN>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) MUNICIPAL BOND FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 12/13/91. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) MUNICIPAL BOND FUND SERVICE SHARES COMMENCED OPERATIONS ON 7/31/97. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 9/18/92. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(4) FIXED INCOME FUND SERVICE SHARES COMMENCED OPERATIONS ON 2/11/98. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(5) SHORT-TERM MUNICIPAL BOND FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 3/6/95. ALL RATIOS FOR THE PERIOD HAVE
BEEN ANNUALIZED.
(6) SHORT-TERM MUNICIPAL BOND FUND SERVICE SHARES COMMENCED OPERATIONS ON 12/3/97. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(7) SHORT-TERM FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 3/13/95. ALL RATIOS FOR THE PERIOD HAVE
BEEN ANNUALIZED.
(8) HIGH YIELD BOND FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 3/16/98. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(9) SMALLER COMPANIES FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 6/30/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(10) SMALLER COMPANIES FUND SERVICE SHARES COMMENCED OPERATIONS ON 7/14/97. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(11) MICROCAP FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 12/18/96. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(12) MICROCAP FUND SERVICE SHARES COMMENCED OPERATIONS ON 8/22/97. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
** FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1998. 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.
73
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
====================================================================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE PERIOD ENDED APRIL 30, 1998 (UNAUDITED) AND THE PERIODS ENDED OCTOBER 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
NET DISTRIBUTIONS
NET ASSET NET REALIZED DISTRIBUTIONS FROM RATIO OF
VALUE INVESTMENT AND FROM NET REALIZED NET ASSET NET ASSETS EXPENSES
BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
Institutional Shares
1998** $11.62 $ 0.07 $1.68 $(0.23) $(0.39) $12.75 15.91% $5,749 0.90%
1997 11.88 0.16 0.28 (0.15) (0.55) 11.62 3.78 4,954 0.90
1996 10.95 0.11 1.25 (0.43) -- 11.88 12.70 3,423 0.90
1995(1) 10.00 0.08 0.87 -- -- 10.95 9.50+ 2,738 0.90
- ---------------------
EUROPEAN EQUITY FUND:
- ---------------------
Institutional Shares
1998** $12.81 $ 0.06 $2.95 $(0.24) $(0.90) $14.68 25.45% $49,341 0.90%
1997 10.60 0.25 2.11 (0.03) (0.12) 12.81 22.48 39,330 0.90
1996(2) 10.00 -- 0.60 -- -- 10.60 6.00+ 17,902 0.90
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
Institutional Shares
1998** $ 8.81 $ -- $0.86 $(0.10 $ -- $ 9.57 9.97% $ 42,261 1.25%
1997 9.96 0.10 (1.12) (0.13) -- 8.81 (10.40) 53,395 1.25
1996 9.40 0.03 0.57 (0.04) -- 9.96 6.43 106,709 1.25
1995 10.35 0.03 (0.72) (0.04) (0.22) 9.40 (6.67) 90,917 1.25
1994(3) 10.00 0.02 0.33 -- -- 10.35 3.50+ 68,798 1.25
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
Institutional Shares
1998** $11.80 $0.04 $ 2.31 $(0.04) $ -- $14.11 20.01% $3,111 1.25%
1997 12.54 0.04 (0.22) (0.18) (0.38) 11.80 (1.47) 9,641 1.25
1996 11.55 0.12 1.03 (0.12) (0.04) 12.54 10.06 9,856 1.25
1995(4) 10.00 0.12 1.44 (0.01) -- 11.55 15.66+ 9,336 1.25
- -----------------------------
EMERGING MARKETS EQUITY FUND:
- -----------------------------
Institutional Shares
1998** $7.69 $(0.02) $0.61 $ -- $(0.38) $ 7.90 8.12% $124,310 1.25%
1997 8.80 (0.03) (0.85) (0.01) (0.22) 7.69 (10.31) 94,101 1.25
1996 8.11 0.06 0.75 (0.03) (0.09) 8.80 10.02 88,279 1.25
1995 11.00 0.04 (2.29) (0.02) (0.62) 8.11 (21.00) 93,288 1.25
1994(5) 10.00 (0.01) 1.01 -- -- 11.00 10.00+ 56,892 1.36
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
Institutional Shares
1998** $10.84 $0.09 $0.05 $(0.34) $(0.22) $10.42 1.43% $ 87,756 0.60%
1997 11.26 0.35 0.01 (0.50) (0.28) 10.84 3.34 92,180 0.65
1996 10.99 0.59 0.12 (0.37) (0.07) 11.26 6.60 149,917 0.75
1995 9.85 0.35 0.99 (0.20) -- 10.99 13.88 139,337 0.78
1994(6) 10.00 0.25 (0.40) -- -- 9.85 (1.50)+ 53,915 0.85
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
Institutional Shares
1998** $10.16 $(0.03) $0.04 $(0.27) $(0.10) $ 9.80 0.12% $22,805 0.60%
1997 11.30 0.20 (0.11) (0.64) (0.59) 10.16 0.82 27,937 0.65
1996 11.34 0.86 (0.12) (0.66) (0.12) 11.30 6.82 21,155 0.75
1995 9.94 0.42 1.03 (0.05) -- 11.34 14.66 27,603 0.78
1994(7) 10.00 0.29 (0.35) -- -- 9.94 (0.60)+ 15,238 0.85
- ---------------------------
EMERGING MARKETS DEBT FUND:
- ---------------------------
Institutional Shares
1998** $11.95 $0.81 $0.20 $(1.32) $(2.50) $ 9.14 9.38% $295,974 1.08%
1997 13.36 1.05 0.40 (1.32) (1.54) 11.95 12.03 187,455 1.32
1996 10.55 1.21 2.60 (1.00) -- 13.36 38.42 102,431 1.50
1995 10.19 0.65 (0.17) (0.11) (0.01) 10.55 4.85 84,438 1.79
1994(8) 10.00 0.13 0.06 -- -- 10.19 1.90+ 16,248 1.90
Service Shares
1998** $11.95 $0.40 $0.60 $(1.32) $(2.50) $ 9.13 9.26% $ 237 1.34%
1997(9) 13.61 0.03 (1.69) -- -- 11.95 (12.20)+ 132 1.50
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
NET TO AVERAGE TO AVERAGE
INVESTMENT NET ASSETS NET ASSETS
INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO
TO AVERAGE EXPENSE EXPENSE TURNOVER
NET ASSETS LIMITATIONS) LIMITATIONS) RATE
=============================================================================
<S> <C> <C> <C> <C> <C>
- --------------------------
INTERNATIONAL EQUITY FUND:
- --------------------------
Institutional Shares
1998** 0.36% 2.91% (1.65)% 34%
1997 0.97 2.79 (0.92) 55
1996 0.72 3.59 (1.97) 39
1995(1) 1.55 2.73 (0.28) 19
- ---------------------
EUROPEAN EQUITY FUND:
- ---------------------
Institutional Shares
1998** 0.94% 1.35% 0.49% 26%
1997 1.71 1.17 1.44 45
1996(2) (0.41) 1.40 (0.91) 5
- ------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- ------------------------------------
Institutional Shares
1998** (0.19)% 1.46% (0.40)% 59%
1997 0.16 1.37 0.04 59
1996 0.35 1.38 0.22 47
1995 0.41 1.48 0.18 62
1994(3) 0.34 1.67 (0.08) 41
- -------------------------------
EUROPEAN SMALL CAP EQUITY FUND:
- -------------------------------
Institutional Shares
1998** (0.17)% 2.24% (1.16)% 30%
1997 0.58 2.12 (0.29) 44
1996 0.96 2.50 (0.29) 49
1995(4) 1.25 2.24 0.26 34
- -----------------------------
EMERGING MARKETS EQUITY FUND:
- -----------------------------
Institutional Shares
1998** 0.47% 1.46% 0.26% 38%
1997 0.68 1.44 0.49 94
1996 0.63 1.52 0.36 69
1995 0.44 1.55 0.14 49
1994(5) (0.12) 1.79 (0.55) 45
- -------------------------
GLOBAL FIXED INCOME FUND:
- -------------------------
Institutional Shares
1998** 5.02% 0.73% 4.89% 78%
1997 5.30 0.77 5.18 179
1996 5.39 0.79 5.35 223
1995 5.61 0.87 5.52 147
1994(6) 5.71 1.28 5.28 173
- --------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------
Institutional Shares
1998** 4.64% 0.95% 4.29% 88%
1997 5.00 1.06 4.59 174
1996 5.41 1.03 5.13 235
1995 5.51 1.15 5.14 187
1994(7) 5.66 1.42 5.09 130
- ---------------------------
EMERGING MARKETS DEBT FUND:
- ---------------------------
Institutional Shares
1998** 10.53% 1.27% 10.34% 305%
1997 7.15 1.47 7.00 472
1996 10.15 1.92 9.73 227
1995 10.97 2.05 10.71 266
1994(8) 7.04 2.60 6.34 52
Service Shares
1998** 8.44% 1.51% 8.27% 305%
1997(9) 18.65 1.71 18.44 472
<FN>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) INTERNATIONAL EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 5/15/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) EUROPEAN EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 9/3/96. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) INTERNATIONAL SMALL CAP EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 1/3/94. ALL RATIOS FOR THE PERIOD HAVE
BEEN ANNUALIZED.
(4) EUROPEAN SMALL CAP EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 11/1/94. ALL RATIOS FOR THE PERIOD HAVE
BEEN ANNUALIZED.
(5) EMERGING MARKETS EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 2/2/94. ALL RATIOS FOR THE PERIOD HAVE
BEEN ANNUALIZED.
(6) GLOBAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 1/3/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(7) INTERNATIONAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 3/15/94. ALL RATIOS FOR THE PERIOD HAVE
BEEN ANNUALIZED.
(8) EMERGING MARKETS DEBT FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 8/4/94. ALL RATIOS FOR THE PERIOD HAVE
BEEN ANNUALIZED.
(9) EMERGING MARKETS DEBT FUND SERVICE SHARES COMMENCED OPERATIONS ON 10/23/97. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
** FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1998. 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.
74
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (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 Total Return Bond Fund, Morgan Grenfell High Yield Bond 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 Core Global Fixed Income Fund,
Morgan Grenfell Global Fixed Income Fund, Morgan Grenfell International Fixed
Income Fund, Morgan Grenfell Emerging Markets Debt Fund and Morgan Grenfell
Emerging Local Currency Debt Fund (collectively the "International Funds"). The
Domestic Funds and International Funds are hereafter referred to each as the
"Fund" and collectively as the "Funds". At April 30, 1998, the Total Return Bond
Fund, Large Cap Growth Fund, Global Equity Fund, Pacific Basin Equity Fund,
Japanese Small Cap Equity Fund, Core Global Fixed Income Fund, and Emerging
Local Currency Debt 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
recently quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recently 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 quotations are not readily available or securities whose market
quotations do not, in the opinion of the applicable Advisor, reflect market
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 or Class, less its liabilities,
by the number of outstanding shares, of the Fund or Class.
75
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
CLASSES--Class-specific expenses, such as service plan fees, are borne by
that class. Income, expenses and realized and unrealized gains/losses are
allocated to the respective classes on the basis of relative daily net assets.
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 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 equity 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 or loss 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
76
<PAGE>
================================================================================
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. 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.
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,
DISTRIBUTION AND SERVICE 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: 0.10% up to $1 billion; 0.07% from $1
billion to $1.5 billion; 0.05% 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%
High Yield Bond Fund 0.50%
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%
77
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
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:
Institutional Service
Shares Shares
------------- -------
Municipal Bond Fund 0.55% 0.80%
Fixed Income Fund 0.55% 0.80%
Short-Term Municipal Bond Fund 0.55% 0.80%
Short-Term Fixed Income Fund 0.55% 0.80%
High Yield Bond Fund 0.65% 0.90%
Smaller Companies Fund 1.25% 1.50%
Microcap Fund 1.49% 1.74%
International Equity Fund 0.90% 1.15%
European Equity Fund 0.90% 1.15%
International Small Cap Equity Fund 1.25% 1.50%
European Small Cap Equity Fund 1.25% 1.50%
Emerging Markets Equity Fund 1.25% 1.50%
Global Fixed Income Fund 0.60%(1) 0.85%
International Fixed Income Fund 0.55%(2) 0.80%
Emerging Markets Debt Fund 1.00%(3) 1.25%
(1) 0.65% PRIOR TO JANUARY 1, 1998, 0.55% PRIOR TO MARCH 6, 1998
(2) 0.65% PRIOR TO JANUARY 1, 1998
(3) 1.25% PRIOR TO JANUARY 1, 1998
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator or Advisors.
SEI Investments Distribution Co. (the "Distributor" formerly SEIFinancial
Services Company) 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.
The Trust, on behalf of each Fund, has adopted a service plan pursuant to
which each Fund that offers Service Shares pays service fees at an aggregate
annual rate of up to 0.25% of the Fund's average daily net assets attributable
to service shares. Servicing plan fees are payable to Service Organizations that
have agreements with the Trust, and are intended to compensate Service
Organizations for providing personal services and/or account maintenance
services to their customers who invest in Service Shares.
During the period ended April 30, 1998, certain portfolios of the Trust
purchased securities from and sold securities to other portfolios of the Trust
or other accounts managed by the Advisors at market value.
4. FORWARD FOREIGN CURRENCY CONTRACTS
The International Funds enter into forward foreign currency 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.
78
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================================================================================
The following forward foreign currency contracts were outstanding at
April 30, 1998:
CURRENCY TO IN UNREALIZED
(DELIVER)/ EXCHANGE APPRECIATION
MATURITY RECEIVE FOR (DEPRECIATION)
DATE (000) (000) (000)
- --------------- ------------- -------- ------------
INTERNATIONAL EQUITY
- --------------------
FOREIGN CURRENCY SALES:
5/13/98 JY (29,062) $ 237 $ 17
=======
INTERNATIONAL SMALL CAP EQUITY FUND
- -----------------------------------
FOREIGN CURRENCY PURCHASES:
5/29/98 FF 167 $ (28) $ 0
=======
GLOBAL FIXED INCOME
- -------------------
FOREIGN CURRENCY SALES:
5/12/98 AU (13,170) $ 8,802 $ 214
7/7/98 CA (6,400) 4,504 23
7/6/98 DM (4,800) 2,623 (63)
5/4/98 DK (3,750) 545 (3)
5/12/98 UK (1,860) 3,045 (62)
7/7/98 JY (55,000) 411 (8)
7/7/98 SK (33,500) 4,230 (109)
-------
$ (8)
-------
FOREIGN CURRENCY PURCHASES:
7/6/98 DM 4,800 $(2,687) $ (1)
5/4/98 DK 3,750 (543) 5
5/12/98 UK 340 (571) (3)
7/6/98 GR 2,250,000 (6,919) 173
7/7/98 JY 740,000 (5,637) 4
-------
178
-------
$ 170
=======
INTERNATIONAL FIXED INCOME FUND
- -------------------------------
FOREIGN CURRENCY SALES:
7/6/98 AU (4,850) $ 3,143 $ (22)
7/6/98 CA (900) 629 (1)
7/6/98 DM (1,610) 884 (17)
7/6/98 UK (380) 638 8
7/6/98 SK (9,400) 1,213 (5)
-------
$ (37)
-------
FOREIGN CURRENCY PURCHASES:
6/5/98 DM 1,200 (671) $ 0
7/6/98 GR 560,000 (1,722) 43
7/6/98 JY 210,000 (1,639) (39)
-------
$ 4
-------
$ (33)
=======
EMERGING MARKETS DEBT FUND
- --------------------------
FOREIGN CURRENCY SALES:
7/30/98 FF (30,000) $(5,600) $ (9)
=======
CURRENCY LEGEND
- ---------------
AU Australian Dollar GR Greek Drachma
CA Canadian Dollar JY Japanese Yen
DM German Mark SK Swedish Krona
DK Danish Kroner UK British Pound Sterling
FF French Franc
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
year ended April 30, 1998, were as follows:
PURCHASES SALES
(000) (000)
----------- ----------
Municipal Bond Fund $218,031 $ 92,204
Fixed Income Fund 140,678 184,428
Short-Term Municipal Bond Fund 12,943 3,497
Short-Term Fixed Income Fund 3,814 3,155
High Yield Bond Fund 42,344 17,563
Smaller Companies Fund 3,292 2,856
Microcap Fund 5,933 2,421
International Equity Fund 1,758 1,732
European Equity Fund 12,980 10,914
International Small Cap Equity Fund 23,581 36,576
European Small Cap Equity Fund 2,183 9,619
Emerging Markets Equity Fund 62,129 38,210
Global Fixed Income Fund 64,383 76,407
International Fixed Income Fund 20,587 26,532
Emerging Markets Debt Fund 234,076 229,161
The cost of U.S. Government security purchases and the proceeds from the
sale of U.S. Government securities during the year ended April 30, 1998, were as
follows:
PURCHASES SALES
(000) (000)
----------- ----------
Fixed Income Fund $ 500,617 $ 293,503
Short-Term Fixed Income Fund -- 2,717
Global Fixed Income Fund 706 695
International Fixed Income Fund -- 463
For Federal income tax purposes, the cost of securities owned at April 30,
1998 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, 1998 for each Fund is as follows:
79
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Concluded)
================================================================================
MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1998 (UNAUDITED)
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES (DEPRECIATION)
(000) (000) (000)
----------- ----------- --------------
Municipal Bond Fund $12,017 $(1,015) $11,002
Fixed Income Fund 25,706 (1,916) 23,790
Short-Term Municipal
Bond Fund 302 (28) 274
Short-Term Fixed Income Fund 102 (14) 88
High Yield Bond Fund 95 (168) (73)
Smaller Companies Fund 1,631 (119) 1,512
Microcap Fund 1,096 (255) 841
International Equity Fund 1,210 (203) 1,007
European Equity Fund 14,551 (253) 14,298
International Small Cap
Equity Fund 5,597 (1,850) 3,747
European Small Cap
Equity Fund 701 (84) 617
Emerging Markets
Equity Fund 15,568 (9,446) 6,122*
Global Fixed Income Fund 2,112 (682) 1,430
International Fixed
Income Fund 478 (275) 203
Emerging Markets
Debt Fund 1,369 (2,577) (1,208)
* NET OF $132,000 ACCRUED FOREIGN WITHHOLDING TAXES.
At October 31, 1997 the following Funds had available realized capital losses to
offset future net capital gains:
EXPIRATION
(000) DATE
---------- ------------
Short-Term Municipal Bond $ 9 2005
Short-Term Fixed Income 11 2004
International Small Cap 6,862 2003-2005
European Small Cap 84 2005
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 disposing of Participations and Assignments because the market for
such instruments is not highly liquid.
7. CONCENTRATION OF RISKS
The Municipal Bond Fund and Short-Term Municipal Bond Fund invest primarily in a
diversified portfolio of municipal securities, including municipal bonds and
debentures. 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
80
<PAGE>
================================================================================
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. REVOLVING CREDIT AGREEMENT
During the period ended October 31, 1997, each of the Funds of the Trust entered
into a Revolving Credit Agreement (the "Agreement"), as amended, payable on
demand, with The Northern Trust Company (the "Lender"). The maximum aggregate
credit available to all the participating Funds under the Agreement is
$50,000,000. Interest payments on borrowings are payable by the borrowing Funds
on a monthly basis at the federal funds rate plus 0.50% per annum. The
participating Funds are also subject to a commitment fee of 0.10% per annum of
the unused portion of the maximum aggregate credit available under the
Agreement. During the period ended April 30, 1998, the participating Funds
incurred approximately $25,000 in commitment fees under the agreement which has
been allocated to each participating Fund based on their relative net assets
during the period. During the period ended April 30, 1998, the following Funds
borrowed under the agreement:
WEIGHTED
MAXIMUM INTEREST AVERAGE
FUND BORROWING DATE PAID RATE
- ------------- ------------ -------- -------- --------
Global Fixed 1/28/98-
Income $10,800,000 2/1/98 $9,045 6.03%
International 3/6/98-
Fixed Income $ 6,500,000 3/10/98 $5,357 5.93%
At April 30, 1998, there were no borrowings outstanding under the agreement.
81
<PAGE>
NOTES
<PAGE>
<PAGE>
MORGAN
GRENFELL
INVESTMENT
TRUST
- ------------------
SEMI-ANNUAL
REPORT
APRIL 30, 1998
TRUSTEES AND OFFICERS
James E. Minnick,
PRESIDENT, CHIEF EXECUTIVE OFFICER AND
CHAIRMAN OF THE BOARD OF TRUSTEES
Patrick W. 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
Joan A. Binstock,
VICE PRESIDENT AND SECRETARY
James H. Grifo,
VICE PRESIDENT
Martin A. Hall,
VICE PRESIDENT
Neil P. Jenkins,
VICE PRESIDENT
Ian D. Kelson,
VICE PRESIDENT
Tracie E. Richter,
TREASURER, CHIEF FINANCIAL OFFICER
James F. Volk,
ASSISTANT TREASURER
INVESTMENT ADVISORS
Morgan Grenfell Capital Management, Inc.
Morgan Grenfell Investment Services Limited
ADMINISTRATOR AND SHAREHOLDER SERVICING AGENT
SEI Financial Management Corporation
DISTRIBUTOR
SEI Investments Distribution Co.
CUSTODIANS
The Northern Trust Company
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 INVESTMENTS DISTRIBUTION CO., THE DISTRIBUTOR OF THE MORGAN
GRENFELL INVESTMENT TRUST, IS NOT AFFILIATED WITH ANY BANK.
MIT-F-009-04
