<PAGE>
Morgan Grenfell
Investment Trust
Annual Report October 31, 1999
[GRAPHIC]
<PAGE>
- --------------------------------------------------------------------------------
Dear Fellow Shareholder:
The Board of Trustees of the Morgan Grenfell Investment Trust and the employees
of Deutsche Asset Management, Inc. thank you for investing in our family of
mutual funds.
We are pleased to announce that several of the Funds continue to receive
favorable Morningstar-TM- Ratings based on their strong investment processes and
performance.(1) Most notably, our fixed income offerings for the Institutional
shares received Morningstar's top Overall Ratings-TM- based on their risk
adjusted performance.
As of October 31, 1999:
- The Morgan Grenfell Fixed Income Fund was rated 4 stars out of 1,598
taxable bond funds.
- The Morgan Grenfell Municipal Bond Fund was rated 5 stars out of 1,611
municipal bond funds.
- The Morgan Grenfell Short-Term Fixed Income Fund was rated 5 stars out of
1,598 taxable bond funds.
- The Morgan Grenfell Short-Term Municipal Bond Fund was rated 5 stars out
of 1,611 municipal bond funds.
In addition, two of our international equity funds climbed in the ranks. As of
October 31, 1999:
- The Morgan Grenfell International Select Equity Fund was rated 5 stars out
of 1,053 international equity funds.
- The Morgan Grenfell European Equity Growth Fund was rated 5 stars out of
1,053 international equity funds.
Our continuing goal is to provide you with high-quality investment management
services across a broad range of specialized mutual funds. In the pages that
follow, you will find a discussion of the Funds' investment performance as
written by the portfolio management teams. The analyses highlight key factors
influencing recent performance of the Funds and are followed by detailed
financial statements for the twelve month period ended October 31, 1999.
As always, we appreciate your continued support and confidence in Morgan
Grenfell Investment Trust.
Sincerely,
/s/ Richard T. Hale
Richard T. Hale
President,
Morgan Grenfell Investment Trust
- ------------------------
(1) Morningstar proprietary ratings reflect historical risk-adjusted performance
as of October 31, 1999. The ratings are subject to change every month. Past
performance is no guarantee of future results. Morningstar ratings are
calculated from the fund's three-, five-, and 10-year average annual returns
(if applicable) in excess of 90-day Treasury bill returns with appropriate
fee adjustments, and a risk factor that reflects fund performance below 90
day T-bill returns. The Fixed Income Fund was rated 4 stars among 1,598 and
1,176 taxable bond funds for the 3- and 5-year periods, respectively. The
Municipal Bond Fund was rated 5 stars among 1,611 and 1,300 municipal bond
funds for the 3- and 5-year periods, respectively. The top 10% of the funds
in a broad asset class receive 5 stars and the next 22.5% receive 4 stars.
<PAGE>
TABLE OF CONTENTS
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<TABLE>
<S> <C>
Management's Discussion and Analysis of Fund
Performance......................................... 1
Schedule of Investments................................. 24
Statement of Assets and Liabilities..................... 86
Statement of Operations................................. 88
Statement of Changes in Net Assets...................... 90
Financial Highlights.................................... 93
Notes to Financial Statements........................... 95
Report of Independent Accountants....................... 106
</TABLE>
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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TAXABLE FIXED INCOME FUNDS:
INVESTMENT GRADE
- - FIXED INCOME FUND
- - SHORT-TERM FIXED INCOME FUND
MARKET REVIEW
Overall, the US fixed income markets were driven by a dramatic increase in
interest rates during the twelve months ended October 31, 1999.
Stabilization of global markets and continued strong economic performance in
the US reduced concerns over international turmoil, leading to disappointing
returns from US Treasuries over the first half of the Funds' fiscal year and
increasing investor demand for the higher yields offered by other fixed income
sectors. The corporate, mortgage and asset-backed sectors rallied, as yield
spreads tightened substantially with the return of liquidity to the fixed income
markets. The mortgage and corporate bond sectors, in particular, reacted
favorably to three Federal Reserve Board easings.
During the second half of the Funds' fiscal year, virtually all of the US
fixed income sectors were impacted by higher interest rates, renewed inflation
fears, and a reversal in Federal Reserve Board policy. To guard against the
perceived risks of inflationary pressures brought on by an improving global
economy, a still strong US economy, and an extremely tight labor market, the
Federal Reserve Board raised the fed funds rate by 0.25% each on June 30 and
August 24. US Treasury yields continued to move sharply higher. The corporate,
mortgage, and asset-backed "spread sectors" were impacted to an even greater
degree, underperforming US Treasuries for the six months ended October 31, 1999.
FIXED INCOME FUND
The Morgan Grenfell Fixed Income Fund outperformed its benchmark index for
the twelve months ended October 31, 1999. We stayed true to our guiding
principle that regardless of the direction of interest rates, a focused
bottom-up approach to determining fundamental value in individual issues
provides superior risk-adjusted returns over the long term.
During the first half of the fiscal year, the Fund benefited from its higher
allocation to spread sectors. The high quality, short-duration nature of the
asset-backed securities owned in the Fund made these bonds particularly strong
performers. Mortgages benefited from slowing pre-payments and declining
volatility, while corporates owed their strong performance to the dissipation of
global angst and the consequent return of liquidity to the asset class. Taxable
municipal securities provided the Fund with a liquid trading vehicle during the
"global economic crisis" period, allowing us to capitalize on significant
relative value opportunities.
As the second half of the fiscal year began, prepayment fears increased, and
so we gradually sold mortgages, as their relative value in comparison with other
spread sectors diminished. We also sold taxable municipal bonds, as these
securities were trading at historically tight levels relative to their corporate
counterparts. The new issue corporates that were purchased at a concession to
the overall market and have since tightened fairly dramatically, along with the
taxable municipal bonds sold at rich levels to fund the purchases, were some of
the Fund's top-performing individual bonds. We also found value in auto and
equipment asset-backed bonds as well as REITs in the corporate sector.
1
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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Within the asset-backed sector we favored the longer-duration bonds wherein the
new issue spread concession enticement was most pronounced.
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FIXED INCOME FUND,
INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C> <C> <C>
Annualized Annualized Annualized
1 Year 3 Year 5 Year Inception
Return Return Return to Date*
Fixed Income Fund,
Institutional Shares 0.86% 6.06% 7.75% 7.35%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL FIXED INCOME FUND, LEHMAN AGGREGATE LIPPER INTERMEDIATE INVESTMENT GRADE
INSTITUTIONAL SHARES BOND INDEX BOND FUND INDEX
<S> <C> <C> <C>
9/18/1992* $250,000 $250,000 $250,000
10/92 $249,493 $247,060 $246,918
10/93 $292,725 $276,385 $275,758
10/94 $285,160 $266,242 $265,500
10/95 $326,709 $307,909 $303,015
10/96 $347,218 $325,922 $319,681
10/97 $379,354 $354,896 $346,438
10/98 $410,647 $388,043 $374,742
10/99 $414,178 $390,100 $375,829
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
----------------------------------------------
FIXED INCOME FUND, SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C>
1 Annualized
Year Inception
Return to Date*
Fixed Income Fund, Service Shares 0.65% 3.43%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL FIXED INCOME FUND, LEHMAN AGGREGATE LIPPER INTERMEDIATE INVESTMENT
SERVICE SHARES BOND INDEX GRADE BOND INDEX
<S> <C> <C> <C>
2/11/98 $250,000 $250,000 $250,000
10/98 $263,627 $266,146 $264,075
10/99 $265,340 $267,556 $264,841
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
SHORT-TERM FIXED INCOME FUND
The Morgan Grenfell Short-Term Fixed Income Fund purchases short-term
investment grade securities, providing a high level of income with limited price
volatility.
The Short-Term Fixed Income Fund generated solid investment performance,
closely tracking its benchmark, the Merrill Lynch 6-month Treasury Bill Index.
The Fund was able to take advantage of significant dislocations in the spread
sectors in what was a volatile market environment. This contributed positively
to performance.
More specifically, short-duration, high quality taxable municipal securities
were one of the stronger performers through the tumultuous first half of the
fiscal year. During the second half, these securities were sold
opportunistically in favor of mortgages, corporates, and asset-backed
securities, which underperformed, but whose fundamentals were
2
<PAGE>
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sound. We thus believe the Fund is well positioned for when equilibrium among
these sectors is restored.
----------------------------------------------
SHORT-TERM FIXED INCOME FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C> <C>
1 Annualized Annualized
Year 3 Year Inception
Return Return to Date*
Short-Term Fixed Income Fund 4.49% 6.02% 6.05%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL SHORT-TERM MERRILL LYNCH 6 MONTH LIPPER SHORT TERM INVESTMENT
FIXED INCOME FUND T-BILL INDEX GRADE DEBT FUNDS INDEX
<S> <C> <C> <C>
3/13/1995* $250,000 $250,000 $250,000
10/95 $259,572 $259,881 $265,948
10/96 $275,425 $274,167 $280,665
10/97 $293,670 $289,574 $299,122
10/98 $314,108 $306,126 $316,800
10/99 $328,211 $320,024 $327,223
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
MARKET OUTLOOK
We believe supply/demand technicals will continue to drive the market as we
approach the end of 1999, only in the opposite direction seen late in the Funds'
fiscal year. The much anticipated deluge of supply for the end of the third
calendar quarter never fully materialized, and Y2K looks to be a minimal event
in the US credit sectors. Still, it is likely that end of year liquidity
concerns and Y2K fears will drive benchmark US Treasury yields lower.
Fundamentally, the fixed income markets remain sound. At the same time, a
potentially more restrictive Federal Reserve Board, a recent downturn in bank
loan performance measures, and an increasing number of equity market earnings
landmines are reasons to remain alert. Thus while yield spreads may be volatile
near term, we are generally positive in our intermediate-term outlook for the
spread sectors and will look to take advantage of any technically-driven
volatility as opportunities arise.
TAX-EXEMPT FIXED INCOME FUNDS
- - MUNICIPAL BOND FUND
- - SHORT-TERM MUNICIPAL BOND FUND
MARKET REVIEW
Municipal bonds struggled along with other sectors of the fixed income
market over the twelve-month period ended October 31, 1999. The strong US
economy and rising energy prices caused investors to fear the possible effects
of inflation. To guard against the perceived risks of these pressures, the
Federal Reserve Board raised interest rates in both June and August 1999. Adding
to volatility in the municipal bond market was the absence of large
institutional players, such as insurance companies, as these traditional buyers
found higher yields in the taxable corporate bond market.
Still, municipal bonds were less volatile than other fixed income sectors
primarily because of their domestic investor base. Since October 31, 1998,
intermediate US Treasury bond yields rose over 1.50%, after reaching near record
lows. During the same twelve month period, intermediate municipal bond yields
rose approximately 0.90%.
One year ago, we highlighted the relative attractiveness of municipal bonds
to US Treasury bonds. We noted then that high global
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
demand for the superior credit quality of US Treasury bonds amidst an unsettled
economic environment in Asia, Russia and Latin America spurred a rally in the
US Treasury market. The municipal market did not participate in the strong rally
due to a period of excess supply of new issues.
That imbalance led us to increase the average maturity of our municipal bond
portfolios to take advantage of the historically high ratio of municipal bond
yields to US Treasury bond yields. We did not believe that we were incurring
additional maturity or duration risk, because an eventual return to a normal
tax-exempt/taxable yield relationship would not impact municipal bond prices
even if US Treasury bond yields rose. Additionally, if the normal yield
relationship was restored while US Treasury bond yields were stable, the
portfolios would benefit from the catch-up in rising municipal bond prices.
Over the course of the Funds' fiscal year, municipal bond yields in fact
rose in lockstep with US Treasury yields. The sharp rise in municipal yields
caused municipal bond prices to decrease. As a result, the relative value of
municipal bonds compared to US Treasury bonds remained very attractive on a
historic basis.
MUNICIPAL BOND FUND
Since the inception of the Morgan Grenfell Municipal Bond Fund 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 to obtain that high level of income.
In pursuit of this goal, we focused on purchasing issues with intermediate
maturities and early retirement features, such as sinking funds and prepayment
bond calls. We continue to believe that these issues offer attractive investment
opportunities.
Also, to take advantage of the extreme undervaluation of municipal bonds
relative to US Treasury bonds, we slightly extended the Fund's duration at the
end of 1998. Since that time, we kept the duration relatively constant in order
to allow the portfolio to benefit when the yield ratio returns to its historic
relationship.
----------------------------------------------
MUNICIPAL BOND FUND,
INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C> <C> <C>
Annualized Annualized Annualized
1 Year 3 Year 5 Year Inception
Return Return Return to Date*
Municipal Bond Fund,
Institutional Shares -0.78% 4.36% 6.15% 7.16%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL MUNICIPAL BOND FUND LEHMAN 5 YEAR LIPPER INTERMEDIATE MUNICIPAL
INSTITUTIONAL SHARES G.O. INDEX DEBT FUNDS INDEX
<S> <C> <C> <C>
12/31/1991* $250,000 $250,000 $250,000
10/92 $271,878 $263,497 $262,475
10/93 $311,837 $288,358 $293,027
10/94 $311,394 $286,764 $285,643
10/95 $345,433 $316,453 $316,892
10/96 $369,321 $331,663 $331,121
10/97 $396,960 $353,260 $354,034
10/98 $423,082 $376,284 $378,144
10/99 $419,782 $380,386 $373,493
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
4
<PAGE>
- --------------------------------------------------------------------------------
----------------------------------------------
MUNICIPAL BOND FUND,
SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C>
Annualized
1 Year Inception
Return to Date*
Municipal Bond Fund, Service Shares -1.01% 2.89%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL MUNICIPAL BOND, LEHMAN 5 YEAR LIPPER INTERMEDIATE
SERVICE SHARES G.O. INDEX MUNICIPAL DEBT
FUND INDEX
<S> <C> <C> <C>
7/30/1997* 250,000 250,000 250,000
10/97 253,038 252,454 251,875
10/98 269,275 268,908 269,028
10/99 266,555 271,839 265,719
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
SHORT-TERM MUNICIPAL BOND FUND
The Morgan Grenfell Short-Term Municipal Bond Fund is a diversified
portfolio of federally tax-exempt municipal securities with a dollar weighted
effective average maturity of no longer than three years. This very short
duration is intended to provide investors with an attractive investment
alternative to lower yield, tax-free money market funds. We seek to achieve
relative stability of principal in the Fund by investing in bonds with
short-term effective maturities and anticipated early redemptions.
During the annual period, we continued to add value through individual
selection of attractively priced bonds. The Fund particularly benefited from
ongoing investments in bonds with sinking fund retirements and mortgage
prepayment calls, which continue to offer attractive investment opportunities.
----------------------------------------------
SHORT-TERM MUNICIPAL BOND FUND,
INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C> <C>
Annualized Annualized
1 Year 3 Year Inception
Return Return to Date*
Short-Term Municipal Bond Fund,
Institutional Shares 1.33% 4.57% 5.16%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL SHORT-TERM FUND IBC ALL LIPPER
MUNICIPAL BOND, TAX-FREE SHORT TERM
INSTITUTIONAL AVERAGE MUNICIPAL DEBT
SHARES FUND INDEX
<S> <C> <C> <C>
3/6/1995* 250,000 250,000 250,000
10/95 259,104 254,888 258,943
10/96 274,418 262,567 269,172
10/97 293,491 270,601 281,823
10/98 309,665 278,714 295,632
10/99 313,784 286,100 302,343
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
----------------------------------------------
SHORT-TERM MUNICIPAL BOND FUND,
SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C>
Annualized
1 Year Inception
Return to Date*
Short-Term Municipal Bond Fund, Service Shares 1.08% 3.06%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL IBC ALL TAX-FREE LIPPER SHORT TERM MUNICIPAL
SHORT-TERM AVERAGE DEBT FUND INDEX
MUNICIPAL BOND FUND, SERVICE SHARES
<S> <C> <C> <C>
12/3/1997* $250,000 $250,000 $250,000
10/98 $260,329 $256,129 $259,925
10/99 $263,141 $262,917 $265,825
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
MARKET OUTLOOK
In our view, municipal bonds remain undervalued at current US Treasury bond
yield levels. We believe the yield ratio between Treasury and municipal bonds
should continue to trend downward until coming back into line with its
historical relationship.
The relative lack of supply, prompted by the inability of municipalities to
refund due to rising interest rates, as well as the level of participation by
large institutional players will likely drive municipal market conditions in the
months ahead.
We will continue to focus on the purchase of high-quality issues, such as
government-backed bonds, as investors are seldom rewarded for purchasing
lower-rated issues.
TAXABLE FIXED INCOME FUNDS:
HIGH YIELD
- - HIGH YIELD BOND FUND
MARKET REVIEW
After a very difficult year in 1998, high yield bonds outperformed US
Treasuries and most other fixed income investment sectors for the fiscal year
ended October 31, 1999. The CS First Boston High Yield Index posted a twelve
month return of 5.54%, while the Lehman Aggregate Bond Index returned just 0.53%
for the same time period. Still, the high yield market was impacted by rising
interest rates, a deluge of supply, Y2K liquidity fears, and a default rate that
continued to rise to a level of about 5.8%, the highest it had been since 1991.
In the last few months of the fiscal year, demand for high yield bonds
decreased, as investors questioned whether it was wise to be in this sector in a
rising interest rate environment. Contrary to this thinking, however, and as
evidenced by the last twelve months alone, the high yield sector actually
outperformed as interest rates rose. Furthermore, over the last ten years, high
yield debt tended to outperform during periods of rising interest rates, as the
higher yields historically provide sufficient cushion to absorb some price
declines. Plus, if interest rates are rising due to a strong economy, as is
currently the case, then the benefits to high yield performance from a healthy
economy often outweigh any negative effects of incrementally higher interest
payments. It is important to note that, at Deutsche Asset Management, Inc., we
do not forecast interest rates and that, on a duration basis, we generally keep
the Fund's portfolio within a half year of our benchmark.
HIGH YIELD BOND FUND
The Fund returned 16.54% for the twelve months ended October 31, 1999,
significantly outperforming its benchmark return of 5.54%. This strong
performance was primarily due to our issue specific credit analysis, especially
during the very difficult market conditions of the third quarter of 1998. We
believe when markets get weaker and investors move in the same direction, it is
typically an opportune time to be a contrarian with a long-term perspective and
to take advantage of cheaper prices that fundamental credit analysis suggests
are unwarranted. At that time, we focused on companies with strong credit
fundamentals that we believed would be survivors through a downturn and would do
well when a recovery emerged.
The Fund also benefited from our continuing belief in the theme of
globalization, particularly in the telecommunications and media sectors, which
were driven by brisk merger and acquisition activity. There were
6
<PAGE>
- --------------------------------------------------------------------------------
multiple "home runs" for the Fund in these sectors, including Global Crossing,
Metronet, and Fox/Liberty.
After the strong performance of the first five months of 1999, we became
concerned about the technicals of the market. Accordingly, in June, prior to the
weakness that developed in the third calendar quarter of 1999, we built a 4%
cash position in the Fund and held approximately a 10% position in attractive
short yield-to-call and yield-to-put paper. This strategy proved quite
effective, as it provided cushion during those months when yield spreads
widened. Yield spreads then widened to our targeted levels during September.
Thus, we reinvested the Fund's cash position in the high yield market and
diluted our percentage of yield-to-call and yield-to-put paper in favor of names
we believed had either become oversold or that were previously unavailable for
purchase at reasonable levels.
We also made several strategic moves to position the Fund for the end of
1999 and the start of the year 2000. Having witnessed a widening between BB and
B yield spreads, we increased the Fund's allocation to attractively priced,
fundamentally strong single B names. We also slightly increased the Fund's
European exposure, as we believe this region selectively offers some outstanding
values. We increased the Fund's exposure to zero coupon bonds as well, as these
securities became relatively more attractive toward the end of the fiscal year.
Finally, we increased the Fund's allocation to companies in the mobile
communications and energy sectors, as fundamentals continue to improve. On
October 31, 1999, the Fund's duration stood at 4.8 years.
----------------------------------------------
HIGH YIELD BOND FUND,
INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C>
Annualized
1 Year Inception
Return to Date*
High Yield Bond Fund, Institutional Shares 16.54% 4.48%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL CSFB HIGH YIELD LIPPER HIGH YIELD
HIGH YIELD BOND FUND, INDEX BOND FUND INDEX
INSTITUTIONAL SHARES
<S> <C> <C> <C>
3/16/1998* $250,000 $250,000 $250,000
10/98 $230,394 $232,686 $228,587
10/99 $268,501 $245,577 $245,456
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
----------------------------------------------
HIGH YIELD BOND FUND,
SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C>
Annualized
1 Year Inception
Return to Date*
High Yield Bond Fund, Service Shares 16.07% 14.42%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL CSFB HIGH LIPPER HIGH YIELD
HIGH YIELD BOND FUND, YIELD INDEX BOND FUND
SERVICE SHARES INDEX
<S> <C> <C> <C>
9/15/1998* $250,000 $250,000 $250,000
10/98 $247,050 $245,025 $244,325
10/99 $286,751 $258,599 $262,356
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
7
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
MARKET OUTLOOK
Looking ahead, while there may be continued volatility, we believe
volatility between now and year end will be less in this asset class than in US
Treasuries or stocks. In addition, there are several factors that lead us to
believe that the high yield market continues to be attractive for investment.
First, we believe yield spread levels have either hit or are very near to
hitting the bottom for the remainder of 1999. Our one concern here is that U.S.
Treasuries may have a technical rally into year end based on Y2K liquidity
concerns and still shaky emerging markets without a corresponding rally in high
yield bonds. However, even given this possibility, we do not expect any
significant price weakness in the high yield bond market versus US Treasuries to
result.
Further, while rising defaults have spooked some investors from the asset
class, Moody's models predict that defaults will peak in the latter half of next
year at 6.1% and begin declining thereafter. This is significant because based
on the projected default rate, yield spread levels still make the asset class
look undervalued. In addition, high yield spreads are certainly wider than would
be expected for such a healthy U.S. economy or relative to the high P/E ratios
that exist in the stock market. Given this scenario, the high yield market as an
asset class is that much more attractive for investment. Finally, high yield
market technicals remain sound.
We believe the Fund is well positioned in what we expect will be a rewarding
high yield bond market over the near to mid-term. Most importantly, we continue
to invest with a longer-term perspective in companies we believe to have either
improving credit fundamentals or that are trading at undervalued levels. We
continue to concentrate our intensive research on growth sectors such as
communications and on companies we believe strong enough to weather any economic
weakness that may develop.
8
<PAGE>
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUNDS
- - INTERNATIONAL SELECT EQUITY FUND
- - EUROPEAN EQUITY GROWTH FUND
- - INTERNATIONAL SMALL CAP EQUITY FUND
- - EMERGING MARKETS EQUITY FUND
MARKET REVIEW
At the start of the fiscal year in early November 1998, international equity
investors were still reeling from the effects of the Russian devaluation,
ongoing difficulties in Asia and Latin America, and the subsequent ripple
effects into the more developed markets worldwide. Concerns at that time were
centered around the possibility of a deflationary spiral prompted by a
combination of faltering business and consumer confidence, higher interest
rates, and turbulence in world markets. However, a series of more positive data
helped underpin the view that, in the developed economies at least, the
environment for both economic growth and interest rates was actually benign.
Also, the specter of emerging market collapse, which led to broad market
downturns in the fall of 1998, dissipated with appropriate intervention by the
International Monetary Fund and individual nation's central banks.
Equity markets rallied strongly, led by Japan where, after years of
stagnation, early signs of stabilization in the economy began to emerge. Asian
markets produced stunning returns, even though it was coming from previously low
levels. European markets were more mixed, as uncertainties over the speed of the
recovery persisted. For example, the UK was a reasonably solid performer for the
fiscal year, but Germany remained weak.
Emerging markets experienced great volatility, but also staged a broad
recovery from the sharp losses of the previous year, outperforming most
developed global markets for the twelve months ended October 31, 1999. More
specifically, Latin American markets fared well, even though Brazil's currency
devaluation in January, Ecuador's eurobond default in the last fiscal quarter,
and constant US interest rate concerns did overhang the region. The region's
strong performance was led by Mexico's gains, as export and domestic demand
improved, oil prices and the peso firmed, and free elections bolstered investor
demand south of the border. Emerging Europe rebounded soundly off lows, led by
Russia and Greece.
INTERNATIONAL SELECT EQUITY FUND
(FORMERLY THE INTERNATIONAL EQUITY FUND)
During the twelve months ended October 31, 1999, the MSCI EAFE Index
returned 23.37% in US dollar terms. The International Select Equity Fund
produced a return of 59.39% for the same period. Clearly, our strategy of
focusing on a relatively small number of highly researched securities from
markets across the globe was highly effective. The Fund's outperformance was
primarily due to individual stock selection.
The investment philosophy behind the management of the Fund is relatively
simple:
- -- an entirely bottom-up approach, with no active allocation between countries
and
regions
- -- emphasis on the long term
- -- focus on growth companies with high and sustainable return on capital, and
- -- careful attention to a range of valuation measures with the aim of
determining the intrinsic value of companies that are potential portfolio
candidates.
9
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
It is worth reminding our shareholders that, while the portfolio is
constructed by a dedicated team of five managers, research is carried out by
some 240 investment professionals worldwide from the Deutsche Asset Management
Group.
During the fiscal year, we increased the Fund's allocation to certain growth
sectors, such as telecommunications and technology. Specifically, we perceived
there to be exceptional value amongst certain new entrants in the
telecommunications sector, including Colt Telecom in the UK, Equant in France,
and NTT Mobile in Japan. We also took the view that the potential for revenue
and earnings growth was not being fully reflected in the prices of Vodafone
Airtouch (UK), Nokia (Finland), Telecom Italia (Italy), Telefonica (Spain), and
Sonera (Finland). We believed the prospects for ARM Holdings of the UK to be
less than fully encompassed in its share price, and we bought a position in
early May 1999. The company's shares rose 163% from that date to the end of
October 1999.
In technology, we are very positive on the outlook for the Internet-related
sector as a whole, but we also believe a selective approach is crucial.
Therefore, we focused the Fund's exposure on companies with a strong potential
franchise and a convincing business model. We bought ConSors Discount Broker AG
in its April IPO. This company is a market leader in on-line trading in Germany.
We added to holdings in GEC, where the growth implications of the company's
transformation into an Internet infrastructure supplier do not appear to have
been fully recognized by the market. We also bought a position in Softbank, the
Internet services company, based on its dominant franchise in the strongly
growing Japanese market. Elsewhere in the technology sector, we maintained
positions in certain semiconductor and information technology companies, such as
France's ST Microelectronics, the Netherlands' Philips Electronics, France's Cap
Gemini, Japan's Secom, and the UK's Logica.
In the cable services industry, we focused on European companies with the
purchases of UPC of the Netherlands and Telewest of the UK. In more traditional
industries, we found a wide range of opportunities to add value. For example, in
the financial sector, we were able to capture the recovery in Japan and the
consolidation in European markets through the Fund's holdings in Dexia and BNP/
Paribas of France, UBS of Switzerland, and Credit Saison and Sumitomo Bank of
Japan. In consumer goods, the Fund's positions in Gucci and Richemont performed
well.
The Fund's positioning remains entirely determined by our views on specific
companies. We continue to find no shortage of attractive investment
opportunities in all markets. Value creation seems to be most prevalent in the
growth areas of telecommunications, technology, business services and
retail/leisure. However, following a period of exceptionally strong performance
from the first two sectors in particular, valuations are now demanding in many
cases. Our strict price target methodology will likely result in the sale of a
number of top-performing holdings. At the margin, we also find value in more
economically sensitive areas, such as airlines and steel. In terms of regional
allocation, we remain underweight in Japan and overweight in Europe.
10
<PAGE>
- --------------------------------------------------------------------------------
----------------------------------------------
INTERNATIONAL SELECT EQUITY FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C> <C>
Annualized Annualized
1 Year 3 Year Inception
Return Return to Date*
International Select Equity Fund 59.39% 21.75% 19.64%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL MSCI EAFE LIPPER INTERNATIONAL
INTERNATIONAL SELECT EQUITY FUND EQUITY FUNDS INDEX
<S> <C> <C> <C>
5/15/1995* $250,000 $250,000 $250,000
10/95 $273,750 $249,047 $259,591
10/96 $308,514 $275,944 $292,378
10/97 $320,187 $289,520 $331,469
10/98 $349,887 $318,328 $346,882
10/99 $556,740 $392,721 $426,838
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
EUROPEAN EQUITY GROWTH FUND
The European Equity Growth Fund produced a return of 21.18% for the twelve
months ended October 31, 1999, significantly outperforming the 12.52% return of
the MSCI Europe Index.
During the twelve months under review, the most significant macroeconomic
events affecting the European equity markets were the:
- -- major upward revision in European economic expectations as the global economy
overall began to recover
- -- historically unprecedented level of corporate activity in 1999, both in terms
of merger & acquisition (M&A) and restructuring, and
- -- launch of the new euro currency.
The upward revision in regional economic expectations was prompted in large
part by the perception that lower interest rates in the last quarter of 1998,
combined with indications that the worst of the Asian crisis was over, would be
sufficient to restore business and consumer confidence in 1999. To capitalize on
this perception, the Fund purchased a number of positions in "deep cyclical"
securities. These included Usinor, Billiton, and British Steel, which we
believed were trading at unjustifiably low valuations, even if economic
conditions did not improve as much as they in fact did. We subsequently sold
each of these positions when we believed ratings had risen to fairer levels.
Based on a similar strategy, we overweighted oil stocks in the middle part
of 1999. Historically, the Fund held an underweight position in this sector due
to the checkered track record these companies had for value creation. However,
we believed that BP-Amoco and the French majors, such as Elf Aquitaine and Total
Fina, were overly cheap and that the sector was discounting an unfeasibly low
long-term oil price. Thus we added to the Fund's positions in these companies;
the Total Fina-Elf Aquitaine merger proved an added boon for the portfolio. Late
in the fiscal year, we slightly reduced the Fund's weighting in this sector on
grounds of valuation analysis.
The Fund was also able to benefit from many of the M&A and other major
corporate deals, which included Olivetti/Telecom Italia, Vodafone/Airtouch,
Total Fina/Elf Aquitaine, BNP/Paribas, British Steel/Hoogovens, and
Reckitt/Benckiser. Often, the Fund's investment in at least one of the
securities in each deal reflected our identification of an undervalued situation
subsequently identified by an external acquirer as well. With corporate
liquidity high and a "quest for scale" ongoing, we expect M&A activity to
continue, both within the region and across its borders. We recognize and
carefully monitor the execution risk inherent in these corporate marriages.
11
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
As for the launch of the euro in January 1999, this major macroeconomic
event prompted widespread portfolio realignment by Eurozone-based investors. The
emergence of indices and retail funds targeted at this area has had some bearing
on Fund performance, with major Eurozone index constituents performing
particularly well in the early part of 1999.
In making sector allocation determinations for the Fund, one abiding theme
of the past year was the robust performance of telecommunications and technology
stocks. The Fund retained its historical overweight bias in both of these
sectors. Strong performance among telecommunications stocks primarily reflected
growing optimism about volumes in the 'broadband era,' higher than expected
mobile telephony subscription and utilization, and M&A activity initiated by the
groundbreaking hostile bid for Telecom Italia, in which the Fund had a
substantial holding, from the Olivetti Group. We sought exposure to the
broadband revolution largely through holdings in the UK, where significant
positions in Colt and CWC were held for most of the period under review. At the
time of writing, the approach from Vodafone to acquire Mannesman highlights, in
our view, the ongoing potential in the sector.
Among technology stocks, the Fund's principal holdings are ARM, GEC, Nokia,
Cap Gemini, and Philips. We remain committed to the technology sector based on
its long-term growth prospects, and we continue to focus on companies that we
believe are effective competitors with the 'best of breed' found elsewhere in
the world but with the added merit of generally lower valuations.
Financials are the largest sector in the Fund's benchmark; however, we
pursued an underweight stance for most of the period. Such a position reflects
our view that these stocks were generally fully valued, especially given their
sensitivity to interest rates, which trended higher over most of the period. The
Fund's holdings were concentrated on a limited number of high growth stocks in
this sector, including Skandia and Bipop-Carire. We perceived both of these
companies as effectively using new media and aggressive marketing skills to
attack the emerging pool of more sophisticated savers at the expense of the
traditional European incumbents, I.E. the large banking and insurance groups.
Toward the end of the fiscal period, we added to the Fund's financial sector
weighting.
Looking forward, we maintain our 'growth at a reasonable price' strategy,
with holdings concentrated in those companies we believe embody the best
management strategy, market position and pricing power in those sectors most
likely to offer real growth opportunities in the future. We believe that a
disproportionate number of such companies are likely to continue to be found in
the technology, telecommunications, and business services sectors as we move
into the year 2000.
----------------------------------------------
EUROPEAN EQUITY GROWTH FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C> <C>
Annualized Annualized
1 Year 3 Year Inception
Return Return to Date*
European Equity Growth Fund 21.18% 19.63% 20.76%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL EUROPEAN EQUITY GROWTH FUND MSCI EUROPEAN INDEX LIPPER EUROPEAN REGION FUNDS INDEX
<S> <C> <C> <C>
9/3/1992* 250,000 250,000 250,000
10/96 265,000 255,875 259,998
10/97 324,559 323,426 319,407
10/98 374,418 399,172 368,372
10/99 453,720 450,466 430,185
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
12
<PAGE>
- --------------------------------------------------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND
We continued to focus our investment strategy on high quality, growth
companies with visible earnings streams and above average return on capital.
Through a disciplined investment process with a clear control of risk, we
believe we have constructed a portfolio of the best small businesses outside
North America as we seek to deliver excellent performance over the long term. In
fact, the International Small Cap Equity Fund outperformed its benchmark for the
twelve months ended October 31, 1999 with a return of 38.49%, as compared to
just 18.75% for the BT Alex.Brown Euro Pacific Small Cap Index.
European small capitalization equities outperformed large caps for the
twelve month period. As in the US, large companies were overvalued relative to
their smaller brethren. Furthermore, Europe's low interest rates in effect for
some time began to affect the returns on capital employed by large companies
because of lower hurdle rates for investments. Small cap companies' growth
continued to be driven by innovation, product leadership, and pricing power in
contrast to large cap companies as a category, which were still using
restructuring as the main driver of their growth. The Fund continued to be
overweight in the technology sector, including many newly quoted European small
companies with strong fundamentals and strong technology platforms.
Within the UK, small cap stocks also outperformed large cap stocks for the
fiscal year, with absolute returns attractive in the context of low inflation
and GDP growth broadly in line with historic trends at slightly below 2%. Still,
volatility was high. UK small caps underperformed during the first fiscal
quarter, due primarily to concerns over Far Eastern macroeconomics and,
consequently, downgraded domestic economic growth expectations. In the following
two quarters, these macroeconomic worries eased as central banks reduced
interest rates. Small cap stocks, in turn, strongly outperformed. The fourth
fiscal quarter rally in telecommunication and information technology stocks,
heavily weighted in large caps, produced sharp relative underperformance from
small caps.
In Japan, small cap equities also performed well. For much of the fiscal
year, most Japanese small cap stocks were attractively valued on a relative
basis, as investors remained concerned with the country's economic state and
financial system. As these concerns dissipated on announcements of corporate
restructuring and economic recovery, unprecedented foreign buying helped to push
the market higher. Technology and telecommunications stocks performed especially
well, no exception to the global trend in these sectors. In addition, demand for
personal computers, software and Internet services continued to rise at a torrid
pace despite weakness in most segments of the Japanese economy. A number of
specialty retailers also showed strong growth, seeming to gain customers over
conventional department and general merchandise stores. The Fund added value to
the portfolio by focusing on stocks in the technology, telecommunications, and
retail sectors. We particularly concentrated on high quality, high growth
companies with strong management, impressive business models, and differentiated
strategies from their competition.
Small cap stocks in Asia ex-Japan were led by exceptional performance in
Indonesia, Thailand, and Singapore. Triggers to the rally included a stronger
than expected economic rebound in the region; sustained strengthening of
regional currencies, especially in Indonesia;
13
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
and lower interest rates globally and in Asia particularly, where rates dropped
to pre-crisis levels. In the Fund, we focused on high quality companies that we
believe will benefit from the secular outsourcing trends, companies that enjoy
niches in their products/ services, and mass consumer companies that should
benefit both from the cyclical economic recovery and from the demographic
patterns particular to the region.
Our outlook for European small capitalization equities remains positive.
With low and stable interest rates in Europe, we believe that these nations'
domestic economies should continue to grow in the year 2000. There are also
indications that the US economy remains strong, which bodes well for the
European small cap sector as well.
We also are positive on the Asia ex-Japan small cap market looking ahead.
There have been continual upgrades to GDP forecasts over recent months. In
addition, corporations continue to re-structure and focus on improving their
returns on equity and increasing their financial transparency with a view to a
re-rating of their valuations.
We are a bit concerned about the Japanese small cap market, which is
exhibiting the traits of a speculative bubble. It is becoming increasingly clear
that investors are bidding up high-flying issues with virtually no regard to
valuation. Thus, while we believe there may be short-lived corrections in Japan
based on these too-rich valuations, continued supply of attractive small cap
Japanese companies bodes well for the equity sector over the longer term.
----------------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C> <C> <C>
Annualized Annualized Annualized
1 Year 3 Year 5 Year Inception
Return Return Return to Date*
International Small Cap
Equity Fund 38.49% 8.10% 4.65% 4.59%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
<S> <C> <C> <C>
1/3/1994* $250,000 $250,000 $250,000
10/94 $258,750 $301,559 $287,571
10/95 $241,499 $276,751 $273,475
10/96 $257,029 $306,830 $307,723
10/97 $230,310 $273,811 $293,663
10/98 $234,478 $269,857 $296,962
10/99 $324,729 $320,455 $350,522
</TABLE>
*COMMENCEMENT OF OPERATIONS
THE FUND HAS CHANGED ITS BENCHMARK FROM THE BT ALEX BROWN EURO PACIFIC SMALL CAP
FUND INDEX TO THE SALOMON EXTENDED MARKET INDEX. THIS INDEX MORE CLOSELY
REFLECTS THE MARKET SECTORS IN WHICH THE FUND INVESTS. THIS INDEX IS RECOGNIZED
AS THE LEADING INTERNATIONAL SMALL CAP INDEX IN THE UNITED STATES.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
EMERGING MARKETS EQUITY FUND
Overall, emerging equity markets experienced great volatility but also
staged a broad recovery from the sharp losses of the previous year,
outperforming most developed global markets. The emerging markets reacted
positively to a more favorable interest rate environment, led by easier US
monetary policy, and evidence that economic conditions had bottomed,
particularly in Asia. During the second half, emerging markets registered
double-digit returns as global commodity prices troughed and Asia's economic
recovery proved to be stronger than expected. In the final quarter of the year
ended October 31, 1999, the emerging markets lost some ground, as concerns over
rising US interest rates, tighter US monetary policy, and Y2K preparedness led
to a return of risk aversion. Still, for the fiscal year, the MSCI Emerging
Markets Free Index delivered a
14
<PAGE>
- --------------------------------------------------------------------------------
strong 44.6% return in US dollar terms. The strongest performance over the
annual period was seen in Europe and Asia.
European markets experienced a sharp turnaround following the Russian
currency crisis and debt default of 1998. In fact, the Russian equity market
itself returned over 100% for the period, although it remains more than 60%
below peak levels and among Emerging Europe's most illiquid markets. In the
absence of structural reform to its economy, we remain cautious here. The equity
market of Greece, too, returned over 100% for the period in the aftermath of
1998's announcement that the nation would join the EMU in 2001. Strong market
performance in Greece, previously reflecting its strong economy and falling cost
of capital, was driven during this period instead by a wave of retail zeal that
took valuations to stratospheric levels. Turkey also performed strongly. The
negative effects of the August earthquake were more than compensated for by the
new government's commitment to structural reform and inflation reduction.
In Asia, currency stabilization at the end of 1998 following the currency
crises of 1997 enabled a sharp fall in interest rates. In turn, benefiting from
current account surpluses, a number of the crisis hit economies of 1997 saw a
notable recovery. During the first half of the fiscal year, equity investors
focused on such positives as Japan's reflation efforts and restructuring
initiatives and signs that economic activity was stabilizing, particularly in
South Korea, Thailand, the Philippines, and Singapore, thus enhancing growth
prospects for these markets. India, Indonesia, Singapore and South Korea were
the top regional performers for the second half of the fiscal year. We remain
positive on this region as a whole, for we believe that many of the mistakes
that led to the 1997 crisis are unlikely to be repeated.
Latin America also performed well. One of the key factors in this region
during the annual period was the long-awaited abandonment of Brazil's
real/dollar currency link. Unlike previous emerging market devaluations, the
market reaction this time was positive, based largely on a range of government
measures designed to stabilize the economy rapidly and to bring interest rates
down. The Mexican economy continued to benefit from its strong link with the
booming US economy as well as from its own strong domestic growth. Despite
concerns over the viability of the Argentine peso peg to the US dollar, the
Argentinean equity market continued to show strong performance as well,
especially as oil prices rose in the spring of 1999.
South Africa showed steady performance. We have recently become more
positive on this market as a result of falling interest rates there and a
rebound in key commodity prices.
----------------------------------------------
EMERGING MARKETS EQUITY FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C> <C> <C>
Annualized Annualized Annualized
1 Year 3 Year 5 Year Inception
Return Return Return to Date*
Emerging Markets Equity
Fund 39.02% -5.66% -6.10% -3.75%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL EMERGING MARKETS MORGAN STANLEY CAPITAL INTERNATIONAL LIPPER EMERGING MARKETS
EQUITY FUND EMERGING MARKETS FREE INDEX EQUITY FUNDS INDEX
<S> <C> <C> <C>
2/1/1994* $250,000 $250,000 $250,000
10/94 $275,000 $256,874 $241,165
10/95 $217,263 $206,963 $196,863
10/96 $239,040 $220,375 $215,860
10/97 $214,395 $201,687 $207,528
10/98 $144,367 $139,184 $138,691
10/99 $200,700 $201,302 $189,188
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
MARKET OUTLOOK
We believe that low inflation and global economic growth will spur the
world's equity markets higher in the coming year, especially in Europe. Europe
appears to offer an edge in that growth is accelerating while valuations
15
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
remain attractive. The fruits of economic and monetary union are becoming
increasingly evident.
We believe that although the Japanese economy shows some signs of bottoming,
it remains quite fragile and prone to recessionary pressures. The strong yen,
dependence on deficit spending, and consumer nervousness contribute to a
cautionary posture. Still, there are very good stocks to be found in Japan,
especially global companies with competitive cost bases, domestic companies
shielded from a weak economy, and technology-related shares benefiting from
spending shifts toward information technology, personal computing, and the
Internet.
Provided global growth remains robust, we remain positive on the outlook for
the emerging equity markets. Many lessons have been learnt from previous years
and valuations remain at attractive levels. We believe that interest rates in
Asia have bottomed, and so equity returns in that region going forward will
likely be more muted but still healthy, driven by strong earnings performance
and restructuring. We are particularly optimistic on Taiwan, India, and, once
the Daewoo crisis is sorted out, South Korea. In our view, Latin America has
greater return potential next year if risk premiums and emerging market bond
spreads can narrow. We expect this is likely to happen once the US bond market
stabilizes. Brazilian equities remain very inexpensive on numerous parameters,
but the nation has to make further progress on tackling the fiscal front.
We believe Emerging Europe should benefit from the burgeoning recovery of
the European Union economies, particularly Hungary. Poland, in our opinion, has
been oversold on current account fears. While the overall Greek market is
overvalued, we are happy with our reasonably priced holdings. While mindful of
the liquidity risks as we approach the millennium, we believe the emerging
markets will continue to provide strong positive returns in the year 2000.
A word of caution must be expressed relative to mounting pressure for a
correction in the US large cap equity market, which is challenging historical
valuation parameters. Corrections of 20% or more have historically helped to
consolidate and prepare US stocks for higher long-term moves. However, the
absence of such an occurrence for the greater part of this decade, especially
after a long string of double-digit annual gains, suggests that a much larger
pullback may be in store. Short term, the reverberations of such an event would
be felt in foreign markets, although in most cases, valuation support abroad
provides encouragement for a quick rebound.
INTERNATIONAL FIXED INCOME FUNDS
- - GLOBAL FIXED INCOME FUND
- - CORE GLOBAL FIXED INCOME FUND
- - INTERNATIONAL FIXED INCOME FUND
- - EMERGING MARKETS DEBT FUND
MARKET REVIEW
Global bond markets, including that of the US, posted disappointing returns
for the twelve months ended October 31, 1999, as a pick-up in global economic
growth together with rising commodity prices prompted fears of interest rate
increases in the US, continental Europe, and the UK.
In the US, economic growth continued to be stronger than general
expectations, and inflation remained remarkably benign. However, the Federal
Reserve Board chose to focus on strong retail sales and an extremely tight labor
market as potential catalysts for future inflation. Through June 1999, market
expectations of imminent Fed tightening, consumer optimism, signs of global
growth, and above-trend US growth combined to push fixed income yields
significantly higher. The Federal Reserve Board finally raised interest rates a
16
<PAGE>
- --------------------------------------------------------------------------------
total of 0.50% in subsequent moves on June 30 and August 24, reversing
two-thirds of the rate cuts it had enacted during the third calendar quarter of
1998. During the months after that, the US bond market generally traded within a
range, with focus firmly placed on inflation data.
In Australia, the economy remained buoyant and thus served as the catalyst
for the underperformance of its bond market relative to the US. The Canadian
bond market outperformed the US early in the fiscal year, but as growth
differentials narrowed in the second half of 1999, some of the gains were
reversed.
The European bond markets performed well into the end of 1998. However, as
signs of economic recovery became evident in the first half of 1999, supported
by a rise in manufacturing activity, expectations of interest rate hikes began
to increase there as well. Bond yields spiked. Performance among non euro-based
countries varied. For example, Sweden underperformed, as economic growth levels
rose notably. Denmark and Greece outperformed, as the EMU anchor dragged yield
spreads lower. The UK market performed well, too, as domestic investor demand
rose.
The Japanese bond market performed quite poorly into the end of 1998, with
supply/demand dynamics leading to the rise in yields. As signs of economic
recovery began to show, its bond market began to gain back some ground. Towards
the end of the fiscal period, Japanese bond yields traded in a range, as the
market awaited announcements of further fiscal stimulus for the year 2000.
Emerging market debt sold off early in 1999, due primarily to the
devaluation of the Brazilian real. Investor confidence was crushed; it seemed
the largest emerging economy was unable in the first calendar quarter to raise
its financing requirements. However, as confidence was rebuilt and rates in
Brazil were reduced, the asset class benefited as a whole and losses were
reversed. The rally late in the fiscal period was driven primarily by an
optimistic outlook based on rising commodity prices and global growth.
The South African bond market provided strong returns in 1999 year-to-date,
boosted by interest rate reductions and falling inflation in that nation. The
newly elected President and Reserve Bank governor of South Africa were also well
accepted by the financial markets.
For most of 1999, the US dollar appreciated against the newly created Euro,
although recent signs of economic recovery in Europe seem to have stopped the
relentless decline of the Euro. The Japanese yen traded in a range in the first
half of 1999. However, toward the end of the fiscal period, expectations of
economic recovery pushed the Japanese currency to its highest level in three
years. Commodity currencies, such as the Australian and Canadian dollars, were
supported by the improved global growth outlook.
GLOBAL FIXED INCOME FUND AND
CORE GLOBAL FIXED INCOME FUND
From a longer-than-benchmark duration at the end of 1998, we steadily moved
to a shorter-than-benchmark duration in both Funds.
In the US market, we shifted to an underweight position both through
shortening of duration and through the sale of US bonds in favor of European
bonds. This strategy initially benefited the Funds' performance, as the US bond
market underperformed. However, when European fixed income markets also came
under pressure, the Funds were challenged.
Within Europe, we continued to favor the bond markets of the peripheral
countries, such as Sweden, Greece and Denmark, over those markets with euro
currency exposure for most of the fiscal period. In the last month or so of the
period, though, we took some profits on Swedish holdings and moved back into
euro bonds.
We increased exposure to the Japanese bond market early in 1999, bringing
the
17
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
Funds' position to a neutral weighting. Thereafter, we held an underweight
position, which detracted from performance as the market began to gain back some
ground.
In terms of currency, we maintained broadly neutral positions on blocs
throughout most of the fiscal year. In Europe, exposure to the peripheral
currencies, such as the Swedish and Danish krona, added value. Within the dollar
bloc, we continued to prefer the Canadian dollar. Toward the end of the period,
we took an overweight euro position with the Funds.
The Global Fixed Income Fund benefited throughout the period from an
increased allocation to emerging market debt. A new position of 4% of Fund
assets in the South African fixed income market also added significant value.
----------------------------------------------
GLOBAL FIXED INCOME FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C> <C> <C>
Annualized Annualized Annualized
1 Year 3 Year 5 Year Inception
Return Return Return to Date*
Global Fixed
Income Fund -3.91% 3.17% 5.92% 4.79%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
1/4/1994* MORGAN GRENFELL SALOMON WORLD LIPPER GLOBAL INCOME FUNDS INDEX
GLOBAL FIXED INCOME FUND GOVERNMENT BOND INDEX 250,000
250,000 250,000
<S> <C> <C> <C>
10/94 244,296 256,648 233,391
10/95 278,215 295,659 260,021
10/96 296,573 311,506 290,599
10/97 306,474 319,636 306,640
10/98 338,895 359,751 320,316
10/99 325,644 350,901 318,298
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
----------------------------------------------
CORE GLOBAL FIXED INCOME FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C>
Annualized
1 Year Inception
Return to Date*
Core Global Fixed Income Fund -3.93% 3.58%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
5/4/1998* MORGAN GRENFELL CORE GLOBAL FIXED INCOME FUND SALOMON WORLD GOVERNMENT BOND INDEX
250,000 250,000
<S> <C> <C>
10/98 273,383 279,248
10/99 262,639 272,378
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
18
<PAGE>
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME FUND
From a longer-than-benchmark duration at the end of 1998, we steadily moved
to a shorter-than-benchmark duration in the Fund.
We maintained our preference for the European bond markets, overweighting
Fund positions in Sweden, Denmark, and Greece. Each of these markets performed
well, adding significant value to the Fund. We also maintained our disfavor of
the dollar bloc markets, and so we established underweighted positions in both
Canada and Australia in 1999.
We increased the Fund's weighting in the Japanese bond market early in 1999,
bringing it to a neutral position. Thereafter, we held an underweight position,
which detracted from performance when Japanese bonds rallied rather strongly
toward the end of the fiscal period.
In terms of currency, we maintained neutral positions across the major
currency blocs throughout most of the fiscal year. Within Europe, we preferred
exposure to the Danish krona and the Greek drachma, both of which added value.
Toward the end of the period, we sold the Fund's Swedish krona exposure in favor
of an overweight euro position as we sought to lock in value.
----------------------------------------------
INTERNATIONAL FIXED INCOME FUND
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN 10/31/99
<S> <C> <C> <C> <C>
Annualized Annualized Annualized
1 Year 3 Year 5 Year Inception
Return Return Return to Date*
International Fixed Income
Fund -3.53% 2.85% 5.91% 5.12%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
<S> <C> <C> <C>
3/15/1994* $250,000 $250,000 $250,000
10/94 $246,773 $265,125 $248,525
10/95 $282,953 $305,397 $283,592
10/96 $302,259 $322,042 $313,908
10/97 $304,723 $321,043 $326,841
10/98 $341,213 $362,137 $361,584
10/99 $328,861 $351,418 $353,557
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
EMERGING MARKETS DEBT FUND
We maintained an underweight position in Latin America in late 1998 and
early 1999. There were several fundamental problems, including very high levels
and very short maturity of government debt and a rising fiscal deficit, that
finally led up to the devaluation of the Brazilian real in January 1999.
Following the devaluation, we gradually moved to a more neutral exposure when
the Brazilian Central Bank appointed ex-Wall Street Fund manager Arminio Fraga
as its new governor. Fraga was able to contain fears of bankruptcies,
hyperinflation, and debt defaults, and he injected confidence back into the
market. This enabled the Brazilian real to stabilize and put downward pressures
on interest rates.
In the middle of the fiscal year, we increased the portfolio's holdings in
Russian
19
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
bonds from a neutral to an overweight position, which added significant value to
Fund performance. The Fund's overweight position in the Bulgarian bond market,
held virtually throughout the period, was also a positive for the Fund. We
maintained an overweight position in exotics throughout the fiscal year as well,
investing in improving credits such as Jordan, Morocco and the Ivory Coast.
----------------------------------------------
EMERGING MARKETS DEBT FUND,
INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C> <C> <C>
Annualized Annualized Annualized
1 Year 3 Year 5 Year Inception
Return Return Return to Date*
Emerging Markets Debt
Fund, Institu-
tional Shares 17.86% -2.76% 5.94% 6.04%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL EMERGING MARKETS DEBT FUND JP MORGAN EMERGING MARKETS LIPPER EMERGING MARKETS
INSTITUTIONAL SHARES BOND INDEX PLUS DEBT AVERAGE
<S> <C> <C> <C>
8/4/1994* $250,000 $250,000 $250,000
10/94 $249,510 $245,310 $250,647
10/95 $261,616 $264,961 $258,341
10/96 $362,126 $386,821 $364,546
10/97 $405,672 $428,675 $417,951
10/98 $283,513 $385,357 $339,000
10/99 $333,014 $462,351 $410,597
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
----------------------------------------------
EMERGING MARKETS DEBT FUND,
SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C>
Annualized
1 Year Inception
Return to Date*
Emerging Markets Debt Fund, Service
Shares 17.40% -15.10%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL EMERGING MARKETS JP MORGAN EMERGING MARKET LIPPER EMERGING MARKETS DEBT AVERAGE
DEBT FUND, SERVICE SHARES BOND INDEX PLUS
<S> <C> <C> <C> <C>
10/22/1997* $250,000 $250,000 $250,000
10/97 $216,800 $218,769 $226,000
10/98 $151,512 $196,662 $183,309
10/99 $177,572 $235,955 $222,023
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
MARKET OUTLOOK
As the strong global growth dynamic seems to remain intact, the key focus
for global bond markets going forward will, in our opinion, be the prospect of
higher interest rates. Such a prospect will likely keep upward pressure on fixed
income yields for the near term. However, the supportive inflationary backdrop
should paint a more positive picture for global bond markets in the longer term.
In the US, we expect the Federal Reserve Board to raise interest rates
before the end of 1999. However, we believe that as the higher rates begin to
impact economic growth and attention returns to the low inflationary scenario,
fixed income yields should stabilize. As these rate hike expectations dominate
the outlook for both Australia and Canada, we see little scope for these markets
to outperform the US.
20
<PAGE>
- --------------------------------------------------------------------------------
We believe the recent 0.50% increase in interest rates by the European
Central Bank and its own supportive inflationary environment should help
European fixed income yields to recover from current levels. We continue to
favor peripheral European markets, such as Denmark and Greece, as the improved
economic outlook in Europe intensifies the focus on the second phase of EMU
entrants. In the UK, consumption and the housing market prompted its central
bank to raise interest rates recently, however, its bond market should be
supported by its supply/demand dynamic.
In Japan, our expectation is that growth will remain at low levels and that
the Bank of Japan will maintain its zero-rate policy. In turn, bond yields
should be confined to broadly low levels. However, as the next fiscal package
grows increasingly imminent and market focus turns to high debt and deficit
levels, we expect yields to drift higher.
We remain optimistic on the South African bond market, as we believe
inflation there will likely continue its downward trend, aided by the
implementation of a formal inflation target in the first quarter of the year
2000.
Emerging markets should continue to perform well, as investors continue
their search for yield into next year. The supportive technical position,
anticipation of global growth, and resumption of capital flows should combine to
overshadow recent concerns centering around Ecuador's eurobond default.
We expect the US dollar to continue its weakening trend, as growth
differentials with Europe close, and the financing problems of the US current
account deficit remain a source of concern. We expect the Japanese yen to gain
further ground against the US dollar, as the Japanese economy continues to
recover. As commodity prices look healthier and global industrial production
picks up, we expect the Australian and Canadian dollars to benefit.
SMALL CAPITALIZATION EQUITY FUNDS
- - SMALLER COMPANIES FUND
MARKET REVIEW
Throughout much of the fiscal year, smaller capitalization stocks, i.e.
stocks with market values among the smallest 20% of all publicly traded firms,
as well as the broader equity markets were dominated by investor concerns over
inflationary pressures, the direction of interest rates, corporate earnings
reports, global economic growth, Y2K preparedness, and more. These fears kept
investor preference toward more liquid, large-capitalization stocks--especially
during the first half of the annual period.
In April and May 1999, there was a sharp shift in investor preference from
larger, growth and technology-oriented names to smaller, value and more
economically cyclical stocks, following economic data that the worst of the
Asian financial crisis was apparently over. This broadening of the stock market
included strong performance by smaller companies.
During the third calendar quarter of 1999, economic data pointed to a still
robust US economy, an above expectations uptick in the rate of wage growth, and
strong global economic growth in Europe, Asia, and Japan. Financial markets grew
concerned that synchronized global growth would lead to inflation. To guard
against the perceived risks of inflationary pressures, the Federal Reserve
Board, raised interest rates a total of 0.50% in
21
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
two subsequent moves on June 30 and August 24, reversing two-thirds of the rate
cuts it enacted during the global turmoil of the third calendar quarter of 1998.
US equity markets across all sectors were weak, producing lackluster performance
for the second half as a whole.
Overall, smaller cap stocks underperformed their large cap brethren for the
fiscal year. However, the growth segment of the smaller cap market outperformed
both large cap and mid cap stocks for the twelve months. Growth-oriented small
cap stocks, as measured by the Russell 2000 Growth Index, returned 29.28% for
the twelve months ended October 31, 1999 as compared to the S&P 500 Index return
of 25.67% and the S&P 400 Mid Cap Index return of 21.07% for the same twelve
months.
SMALLER COMPANIES FUND
The Morgan Grenfell Smaller Companies Fund outperformed its key benchmark
for the annual period, particularly noteworthy given the extremely high
volatility in the smaller capitalization US equity market during this time. The
Fund had a total return of 25.03% for the fiscal year, as compared to 12.05% for
the S&P 600 Small Cap Index. The Fund also outperformed the 14.87% return of the
Russell 2000 Index and only slightly underperformed the 29.28% gain of the
Russell 2000 Growth Index.
Individual stock selection, concentration in a relatively limited number of
names in the portfolio while staying broadly diversified (87 holdings as of
October 31, 1999), and positioning across economic sectors were the key factors
that bolstered Fund performance. The Fund's largest allocation was to the
technology sector, where we focused our research on those companies that we
believed would benefit from e-commerce, the need for greater bandwidth and
connectivity, and other innovations that we anticipate will enjoy strong demand
in the future. Throughout most of the fiscal year, the portfolio was also
overweight in two other top performing sectors--health care and energy. Also to
the benefit of the Fund, the portfolio was underweight in the poorly performing
credit sensitive and consumer sectors. The weighted average market cap of the
Fund's investments on October 31, 1999 was $1.6 billion.
----------------------------------------------
SMALLER COMPANIES FUND,
INSTITUTIONAL SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C> <C>
Annualized Annualized
1 Year 3 Year Inception
Return Return to Date*
Smaller Companies Fund, Institutional
Shares 25.03% 10.07% 13.81%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL SMALLER COMPANIES FUND, S&P 600 INDEX LIPPER SMALL CAP
INSTITUTIONAL SHARES FUNDS INDEX
<S> <C> <C> <C>
6/30/1995* $250,000 $250,000 $250,000
10/95 $263,750 $268,050 $272,550
10/96 $328,592 $322,893 $319,156
10/97 $405,111 $426,090 $378,232
10/98 $350,240 $378,964 $326,641
10/99 $438,220 $424,629 $413,593
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
22
<PAGE>
- --------------------------------------------------------------------------------
----------------------------------------------
SMALLER COMPANIES FUND,
SERVICE SHARES
----------------------------------------------
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN -- 10/31/99
<S> <C> <C>
Annualized
1 Year Inception
Return to Date*
Smaller Companies Fund, Service Shares 24.74% 6.50%
</TABLE>
COMPARISON OF CHANGE IN VALUE OF $250,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORGAN GRENFELL SMALLER COMPANIES FUND, S&P 600 INDEX LIPPER SMALL CAP
SERVICE SHARES FUND INDEX
<S> <C> <C> <C>
7/11/1997* $250,000 $250,000 $250,000
10/97 $268,627 $271,500 $266,375
10/98 $231,593 $241,472 $230,041
10/99 $289,097 $270,569 $291,278
</TABLE>
*COMMENCEMENT OF OPERATIONS
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE PERFORMANCE. ACTUAL RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND SHARES
WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
MARKET OUTLOOK
The US economy continues to experience tight labor markets, although signs
of inflation remain scant. We continue to believe that a cycle of full-blown
overheating in the US economy is unlikely due to the slack still remaining in
overseas markets. We also expect the Federal Reserve Board to stay vigilant on
the inflation front.
Although we anticipate future periods of volatility, we remain optimistic
regarding our opportunities to find smaller cap stocks that we believe are both
bargains in a broader universe of stocks and winners early in their growth
cycle. Earnings disappointments are our major concern looking ahead. However, we
continue to seek smaller cap companies with above average growth prospects
selling at reasonable valuations with the potential to be the blue chips of the
future. Our focus remains on individual stock selection with the goal of
providing value-added performance relative to the universe of US smaller
companies.
23
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS -- 96.69%
ALABAMA -- 1.08%
Birmingham, Medical Clinic Board, Baptist Medical Centers, RB, ETM
8.250%, 07/01/05 $ 30,000 $ 32,769
Birmingham, Private Education Building, Tuition-Miles College, RB, ACA
5.500%, 05/01/28 390,000 350,345
Birmingham, Special Care Facilities Financing Authority, Methodist Home for
Aging, RB, LOC
5.000%, 03/01/14 4,300,000 3,855,638
Housing Finance Authority, Multi-Family Mortgage, The Club Apartments, RB,
Series I
5.650%, 06/01/08 2,335,000 2,302,287
Lauderdale & Florence Counties, Public Hospital, RB, ETM
7.000%, 07/01/07 245,000 263,169
------------
6,804,208
------------
ARIZONA -- 1.60%
Coconino County, Unified School District, GO, AMBAC
5.000%, 07/01/01 635,000 638,143
Maricopa County, Hospital Revenue Authority, Phoenix Baptist Hospital &
Medical Center, RB, ETM
7.125%, 10/01/02 70,000 73,081
Maricopa County, Industrial Development Authority, John C Lincoln Hospital,
RB, FSA
7.000%, 12/01/00 500,000 508,490
Maricopa County, Industrial Development Authority, Pines at Camelback
Apartments Project, RB, Series A, Asset Guaranty
4.900%, 05/01/06 145,000 140,034
5.000%, 05/01/07 155,000 148,905
5.300%, 05/01/13 380,000 367,897
Maricopa County, Samaritan Health Service, RB, ETM
6.750%, 01/01/04 220,000 229,361
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Pinal County, Community College, Pledge Obligation, RB, AMBAC
5.250%, 07/01/05 $ 490,000 $ 500,070
5.250%, 07/01/06 835,000 849,980
5.250%, 07/01/07 885,000 897,204
5.250%, 07/01/08 930,000 937,663
4.800%, 07/01/09 650,000 621,810
Pinal County, Community College, RB, AMBAC
5.400%, 07/01/05 360,000 370,051
5.300%, 07/01/06 380,000 387,885
5.200%, 07/01/07 375,000 378,990
4.750%, 07/01/09 350,000 333,008
Santa Cruz County, Industrial Development Authority, Citizens Utility Company
Project, RB (C)
4.750%, 08/01/20 1,050,000 1,005,207
Yuma, Industrial Development Authority, Multi-Family Mortgage, Regency
Apartments, RB, Series A, GNMA
5.400%, 12/20/17 1,765,000 1,661,747
------------
10,049,526
------------
ARKANSAS -- 1.12%
Drew County, Public Facilities Board, Single Family Mortgage, RB, Series A-2,
FNMA
7.900%, 08/01/11 212,573 222,919
Fayetteville, Public Facilities Board, Single Family Mortgage, RB
7.250%, 04/01/11 600,000 624,546
Jefferson County, Health Care Facility, 1978 Conventional Series, RB, ETM, FSA
7.400%, 12/01/10 130,000 145,976
Lonoke County, Residential Housing, RB, Series B
7.375%, 04/01/11 129,226 134,523
Mississippi County, Public Facilities Board, RB, Series 1
7.200%, 07/15/10 520,000 563,924
North Little Rock, Residential Housing Facilities, Capital Appreciation, RB
(A)
0.000%, 12/01/10 3,825,000 1,789,871
Rogers County, Sales & Use Tax Redevelopment, RB
5.350%, 11/01/11 2,335,000 2,366,686
Rogers, Sales & Use Tax Revenue, RB
5.000%, 11/01/15 595,000 592,143
</TABLE>
24 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Saline County, Residential Housing Facilities, Single Family Mortgage, RB
7.875%, 03/01/11 $ 425,000 $ 441,299
Stuttgart, Public Facilities Board, Single Family Mortgage, RB, Series B
7.750%, 09/01/11 182,532 192,460
------------
7,074,347
------------
CALIFORNIA -- 4.68%
Abag, Finance Authority for Nonprofit Corporations, American Baptist Homes,
COP, Series A
5.500%, 10/01/07 350,000 337,645
Atwater, Redevelopment Agency, Downtown Redevelopment Project, Tax Allocation
Bond, Series A, ACA
5.500%, 06/01/00 100,000 100,791
5.500%, 06/01/01 60,000 60,831
5.500%, 06/01/02 55,000 56,005
5.500%, 06/01/03 65,000 66,373
5.500%, 06/01/04 65,000 66,422
5.500%, 06/01/05 70,000 71,343
4.900%, 06/01/06 75,000 73,673
5.000%, 06/01/07 80,000 78,268
5.050%, 06/01/08 75,000 72,860
5.100%, 06/01/09 85,000 82,107
5.150%, 06/01/10 90,000 86,114
5.200%, 06/01/11 100,000 94,837
5.300%, 06/01/12 105,000 99,541
5.300%, 06/01/13 105,000 98,508
Bellevue, Unified School District, COP, MBIA
5.450%, 09/01/19 295,000 251,476
Contra Costa County, Multi-Family Housing, Bollinger Crest Apartments, RB,
Series C, FNMA
4.850%, 05/01/11 500,000 473,375
Delta County, California Home Mortgage Finance, Pacific Mortgage Backed
Securities, RB, Series A, MBIA/GNMA (C)
6.700%, 06/01/24 935,000 1,004,414
Emeryville, Redevelopment Agency, Residential Mortgage, RB, ETM
7.500%, 09/01/11 195,000 219,790
Fairfield, COP, Pre-Refunded @ 100 (D)
10.750%, 08/01/00 90,000 94,505
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Fresno, Multi-Family Housing Authority, Central Valley Coalition Projects, RB,
Series A, FNMA
5.150%, 08/01/07 $ 310,000 $ 308,214
Fresno, Multi-Family Housing Authority, Central Valley Coalition Projects, RB,
Series B, FNMA
5.150%, 08/01/07 160,000 159,078
Fresno, Multi-Family Housing Authority, Woodlands Apartments Projects, RB,
Series A, GNMA
6.650%, 05/20/08 465,000 487,515
Home Finance Authority, Mortgage Backed Securities Program, RB, Series B,
GNMA/FNMA
6.900%, 10/01/24 155,000 158,770
Los Angeles, Community Redevelopment Agency , Angelus Plaza Project, RB,
Series A, FNMA
7.400%, 06/15/10 3,450,000 3,802,901
Los Angeles, Community Redevelopment Authority, Monterey Hills Project, RB,
Series B
8.650%, 12/01/22 255,000 277,371
Los Angeles, Multi-Family Housing, Earthquake Rehabilitation, RB, Series A,
AMT, FNMA
5.700%, 12/01/27 1,115,000 1,144,458
Los Angeles, Multi-Family Housing, Earthquake Rehabilitation, RB, Series B,
FNMA
5.850%, 12/01/27 4,350,000 4,488,200
Los Angeles, Multi-Family Housing, Earthquake Rehabilitation, RB, Series C,
FNMA
4.850%, 07/01/02 3,305,000 3,305,132
Los Angeles, Regional Airports Lease, RB
10.000%, 01/01/01 160,000 164,454
Napa, Housing Facility , Napa Park Apartments A-10, RB, GNMA
7.500%, 06/20/00 218,061 218,098
Pleasant Hill, Multi-Family Housing, Ellinswood Apartments Project, RB, Series
A, Mandatory Put
@ 100, FNMA (B)
5.300%, 12/01/05 2,960,000 2,977,790
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 25
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Sacramento, Municipal Utility District, RB, Series M, ETM
8.750%, 04/01/03 $ 95,000 $ 103,106
San Jose, Multi-Family Housing, Almaden Lake Village Apartments, Series B,
AMT, Mandatory Put @ 100 (B)
5.150%, 03/01/32 2,000,000 2,000,180
Santa Clara County, RB
7.500%, 06/20/00 127,836 127,836
Statewide Community Housing Development, Cudahy Gardens Project, RB,
Series I, LOC
5.100%, 10/01/12 1,190,000 1,144,198
Statewide Community Housing Development, Cudahy Gardens Project, RB,
Series I, Mandatory Put @ 100, AMT, LOC (B)
5.600%, 04/01/16 1,155,000 1,117,636
Statewide Community Housing Development, Riverside Gardens Project, RB,
Series J, LOC
5.100%, 10/01/12 1,040,000 999,971
Vista, Multi-Family Housing, Pepperwood Apartments Project, RB, Series A,
Mandatory Put @ 100, FNMA (B)
5.700%, 06/01/25 2,950,000 3,009,148
------------
29,482,934
------------
COLORADO -- 2.28%
Arvada, Industrial Development Authority, Wanco Incorporated Project, RB, LOC
5.600%, 12/01/12 305,000 288,920
5.800%, 12/01/17 445,000 416,916
Aurora, Centretech Metropolitan District, GO, Series C, Mandatory Put
@ 100, LOC (B)
4.875%, 12/01/08 1,590,000 1,527,911
Aurora, Single Family Mortgage Revenue, RB, Series A
7.300%, 05/01/10 280,000 290,822
Boulder County, Community Hospital Project, RB, ETM
7.000%, 07/01/09 80,000 86,753
Castle Rock Ranch, Public Improvements Authority, RB
5.900%, 12/01/03 935,000 965,060
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Commerce City, Single Family Mortgage, RB, Series A
6.875%, 03/01/12 $ 255,000 $ 259,554
Denver, Buerger Brothers Project, RB, Series A , FHA
5.100%, 11/01/07 250,000 247,093
Denver, Multi-Family Mortgage, Garden Court Community, RB, FHA
4.700%, 07/01/08 485,000 468,539
Housing Finance Authority, Multi-Family Insured Mortgage, RB, Series C-3, FHA
5.700%, 10/01/21 1,805,000 1,724,533
Housing Finance Authority, Single Family Program, RB
5.750%, 11/01/04 140,000 139,101
Housing Finance Authority, Single Family Program, RB, Series A
4.750%, 11/01/05 225,000 218,817
Housing Finance Authority, Single Family Program, RB, Series A-3
6.500%, 05/01/16 935,000 983,667
Housing Finance Authority, Single Family Program, RB, Series B-2, AMT
6.400%, 11/01/24 935,000 960,881
Housing Finance Authority, Single Family Program, RB, Series B-3,
6.550%, 05/01/25 1,400,000 1,454,026
Housing Finance Authority, Single Family Program, RB, Series C
5.000%, 05/01/05 225,000 221,812
Housing Finance Authority, Single Family Program, RB, Series D-1, AMT
5.200%, 12/01/05 895,000 885,683
Student Obligation Board Authority, RB, Series C
7.150%, 09/01/06 880,000 905,590
Vail, Single Family Mortgage, RB, Series A
8.125%, 06/01/10 195,000 205,288
Westminster, Multi-Family Housing, Semper Village Apartments, RB, Mandatory
Put@ 100 (B)
5.950%, 09/01/06 2,080,000 2,135,079
------------
14,386,045
------------
</TABLE>
26 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
CONNECTICUT -- 0.64%
State Development Revenue Authority, Life Care Facility - Seabury Project, RB,
Asset Guaranty
5.000%, 09/01/15 $ 500,000 $ 442,745
Waterbury, Housing Mortgage Authority, RB, Series A, AMBAC/FHA
4.850%, 07/01/09 1,810,000 1,775,664
Waterbury, Housing Mortgage Authority, RB, Series C, AMBAC/FHA
4.850%, 07/01/09 1,865,000 1,829,621
------------
4,048,030
------------
DELAWARE -- 0.31%
State Economic Development Authority RB, Peninsula United, Series A
6.000%, 05/01/09 35,000 34,937
State Economic Development Authority, Wilmington Friends School Project
6.300%, 07/01/00 50,000 49,933
6.300%, 07/01/01 55,000 54,848
6.300%, 07/01/02 60,000 59,617
6.300%, 07/01/03 60,000 59,376
6.300%, 07/01/04 65,000 64,053
6.300%, 07/01/05 70,000 68,479
6.300%, 07/01/06 75,000 72,636
6.300%, 07/01/07 80,000 76,915
6.300%, 07/01/08 85,000 80,932
6.300%, 07/01/09 90,000 84,742
6.300%, 07/01/10 95,000 88,395
6.300%, 07/01/11 100,000 91,743
6.300%, 07/01/12 110,000 99,684
6.300%, 07/01/13 115,000 102,902
State Housing Authority, Multi-Family Mortgage, RB, HUD
6.600%, 07/01/01 60,000 61,060
State Housing Authority, Residential Mortgage, RB, Series A, FHA
8.750%, 06/01/17 775,000 777,960
------------
1,928,212
------------
DISTRICT OF COLUMBIA -- 0.50%
District Housing Finance Agency, Single Family Mortgage, RB, Series A,
FNMA/GNMA
6.250%, 12/01/28 2,185,000 2,288,919
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
District of Columbia, Housing Finance Agency, Mayfair Mansions Apartments, RB,
FHA
5.000%, 02/01/08 $ 890,000 $ 864,154
------------
3,153,073
------------
FLORIDA -- 3.35%
Boca Place Associates, RB, LOC
4.650%, 02/01/04 3,225,000 3,178,334
Brevard County, Health Facility Revenue Authority, Courtenay Springs Village,
RB, ETM
7.375%, 11/15/04 1,180,000 1,254,954
Broward County, Water & Sewer Utility Revenue, RB, Pre-Refunded @ 100 (D)
6.875%, 09/01/06 25,000 27,020
Dade County, Government Leasing Corporation, COP, Series B
8.500%, 04/01/07 45,000 46,457
Dade County, Government Leasing Corporation, COP, Series C
9.000%, 04/01/20 300,000 307,389
Dade County, Housing Finance Authority, Multi-Family Mortgage, Midway Point
Phase I, RB, Series A, Mandatory Put @ 100, AMT, FNMA (B)
5.900%, 06/01/06 980,000 1,009,978
Daytona Beach, Water & Sewer Revenue, RB, Series 1978, ETM
6.750%, 11/15/07 500,000 537,565
Duval County, Housing Finance Authority, GNMA Mortgage Backed Securities
Program, RB, Series C, FGIC/GNMA
7.650%, 09/01/10 80,000 83,023
Health Facilities Authority, Saint Vincent Medical Center Incorporated, RB,
ETM
9.125%, 01/01/03 405,000 435,294
Housing Finance Agency, Multi-Family Revenue, RB, Series I, Mandatory Put @
100, LOC (B)
4.850%, 12/01/99 1,960,000 1,961,352
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 27
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Housing Finance Agency, Multi-Family Revenue, RB, Series J, Mandatory Put @
100, LOC (B)
4.100%, 12/01/99 $2,215,000 $ 2,216,528
Housing Finance Agency, Multi-Family Revenue, RB, Series K, Mandatory Put @
100, LOC (B)
4.850%, 12/01/99 1,800,000 1,802,304
Jacksonville, Health Facility Authority, Saint Catherine Laboure Manor
Incorporated, RB, ETM
9.125%, 01/01/03 225,000 241,882
Miami, Fernando Apartments
9.750%, 10/01/11 680,719 710,500
Miami Beach, Housing Authority, Section 8, RB, HUD
6.625%, 01/15/09 1,120,000 1,154,910
Miami-Dade County, Housing Finance Authority, RB, AMT FNMA/GNMA
5.900%, 06/01/25 2,315,000 2,312,129
Miramar Water Improvement Assessment
5.125%, 10/01/20 2,270,000 2,200,515
Palm Beach County, Airport Systems, RB, MBIA
7.500%, 10/01/00 295,000 303,871
Pinellas County, Housing Finance Authority, Single Family Mortgage Program,
RB, Series A, AMT, GNMA
6.850%, 03/01/29 1,090,000 1,127,518
St. John's County, Industrial Development Authority, RB, Series A, MBIA
5.500%, 03/01/17 235,000 227,316
------------
21,138,839
------------
GEORGIA -- 1.56%
Athens, Water & Sewer Revenue, RB, ETM
6.200%, 07/01/08 1,000,000 1,084,990
Augusta, Housing Rehabilitation, Multi-Family Housing, Bon Air, RB, Series C,
HUD
7.000%, 09/01/05 935,000 965,537
Clayton County, Multi-Family Housing Authority, Pointe South Apartments
Projects, RB, FNMA
5.750%, 01/01/13 100,000 101,323
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Fulton County, Housing Authority, Single Family Mortgage, RB, AMT, GNMA
6.200%, 03/01/13 $ 320,000 $ 317,706
Gwinnett County, Multi-Family Housing Authority, Singleton-Oxford Association,
Series A, RB, Mandatory Put @ 100, FNMA (B)
5.500%, 04/01/06 950,000 960,697
Housing Authority, Multi-Family Housing, Ridge Point Apartments Project, RB,
Series A, FNMA
5.700%, 06/01/25 2,465,000 2,509,641
Housing Authority, Multi-Family Mortgage, RB, Series A, FNMA (C)
6.000%, 06/01/07 935,000 935,963
Houston County, Development Housing Authority, Emerald Coast Housing, RB,
Series A
7.000%, 08/01/28 2,500,000 2,309,000
St. Marys, Housing Authority, Multi-Family Mortgage, Cumberland Oaks
Apartments, RB, Series A, FHA
7.250%, 09/01/05 445,000 456,210
St. Marys, Housing Authority, Multi-Family Mortgage, Pines Apartments, RB,
Series C, FHA
7.250%, 10/01/05 185,000 188,635
------------
9,829,702
------------
HAWAII -- 0.40%
Honolulu, Housing Authority, Multi-Family Mortgage, Waipahu Towers Project,
RB, Series A, GNMA
6.900%, 06/20/05 260,000 267,779
State Housing Finance & Development Corporation, Single Family Mortgage,
Series A, RB, AMT, FNMA
5.200%, 07/01/12 2,420,000 2,271,533
------------
2,539,312
------------
</TABLE>
28 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
IDAHO -- 0.83%
Bingham County, Industrial Development Company, Supreme Potatoes Incorporated
Project, LOC
4.600%, 11/01/00 $ 45,000 $ 45,135
4.750%, 11/01/01 185,000 184,974
4.850%, 11/01/02 65,000 64,726
4.950%, 11/01/03 300,000 297,714
5.050%, 11/01/04 320,000 316,659
5.150%, 11/01/05 335,000 330,581
5.200%, 11/01/06 360,000 353,297
5.300%, 11/01/07 385,000 377,385
5.400%, 11/01/08 405,000 396,029
5.500%, 11/01/09 435,000 424,873
5.600%, 11/01/10 80,000 77,888
5.700%, 11/01/11 85,000 82,641
5.800%, 11/01/12 90,000 87,442
Housing & Finance Association, Single Family Mortgage, RB, Series B, AMT
5.650%, 07/01/09 400,000 394,988
Housing & Finance Association, Single Family Mortgage, RB, Series C-2, FHA
5.250%, 07/01/11 325,000 322,043
Housing & Finance Association, Single Family Mortgage, RB, Series F-2, FHA
5.100%, 07/01/12 665,000 630,606
Housing Agency, Single Family Mortgage, RB, Series C-1, FHA
7.650%, 07/01/10 135,000 137,924
Housing Agency, Single Family Mortgage, RB, Series F, FHA
5.800%, 07/01/07 700,000 702,513
------------
5,227,418
------------
ILLINOIS -- 9.38%
Alton, Hospital Facility, Alton Memorial Hospital Project, RB, ETM
7.000%, 07/01/05 470,000 501,264
Bethany, Home & Hospital Facility, Methodist Church, Pre-Refunded @ 100 (D)
7.750%, 04/01/00 235,000 238,774
Bolingbrook, Capital Appreciation, RB, Series 1 (A)
0.000%, 01/01/11 2,320,000 1,033,490
Buffalo Grove, Economic Development Authority, RB
5.450%, 08/15/02 645,000 630,971
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Chicago, Gas Supply Revenue, RB
7.500%, 03/01/15 $1,350,000 $ 1,387,989
7.500%, 03/01/15 1,245,000 1,280,034
Chicago, Multi-Family Mortgage, Bryne Mawr/ Belle Project, RB, GNMA
4.950%, 06/01/05 140,000 137,504
5.250%, 06/01/08 165,000 160,986
5.350%, 06/01/09 165,000 162,551
5.450%, 06/01/10 175,000 176,251
5.500%, 06/01/11 180,000 180,603
5.550%, 06/01/12 185,000 184,824
Des Plaines, Hospital Facility, Holy Family Hospital, RB, ETM
7.000%, 01/01/07 185,000 197,611
Des Plaines, Hospital Facility, Holy Family Hospital, RB, ETM, FGIC
7.000%, 01/01/07 165,000 176,248
Des Plaines, Hospital Facility, Holy Family Hospital, RB, ETM, MBIA
7.000%, 01/01/07 190,000 202,952
Development Finance Authority, Catholic Health, RB, Series A, Connie Lee
Insured
5.150%, 02/15/06 945,000 944,924
Development Finance Authority, Community Rehabilitation Providers, RB,
Series A
5.375%, 07/01/09 800,000 738,096
5.600%, 07/01/19 2,000,000 1,750,380
Development Finance Authority, Debt Restructure East Saint Louis, GO
6.050%, 11/15/99 325,000 325,198
6.875%, 11/15/05 875,000 932,645
Development Finance Authority, Fund For Child Project, RB, Series A
7.400%, 09/01/04 1,745,000 1,779,708
Development Finance Authority, Section 8, RB, Series A, FHA/MBIA
5.200%, 07/01/08 145,000 145,793
Du Page County, Community High School District, GO, FSA
5.500%, 12/01/14 1,655,000 1,602,206
Fairfield, Economic Development Authority, Wayne County Center Project, RB
6.000%, 12/15/05 510,000 514,371
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 29
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Glenview, Multi-Family Housing Revenue, Valley Towers II Project, RB,
Mandatory Put @ 100, FNMA (B)
5.200%, 12/01/07 $ 440,000 $ 438,486
Grayslake, Multi-Family Housing, Country Squire Apartments Project, RB, Series
A, FHA
6.000%, 06/01/05 920,000 948,511
Greater Peoria, Airport Authority, GO, AMBAC
6.500%, 12/01/05 95,000 101,109
6.600%, 12/01/06 540,000 574,533
6.700%, 12/01/07 235,000 253,069
Health Facilities Authority, Michael Reese Hospital & Medical Center, RB, ETM
6.750%, 12/01/08 345,000 370,858
Health Facilities Authority, Midwest Group Ltd, RB, ACA
5.375%, 11/15/08 835,000 847,884
Health Facility Authority, Northwestern Memorial Hospital Project, RB, ETM
6.375%, 05/01/03 155,000 160,690
Health Facility Authority, Lutheran Social Services, RB
6.125%, 08/15/10 795,000 768,455
Health Facility Authority, Sydney R. Forkosh Memorial Hospital, RB,
Pre-Refunded @ 100 (D)
7.000%, 07/01/02 370,000 388,493
Health Facility Authority, Northwestern Medical Facility Foundation, RB, MBIA
5.125%, 11/15/28 1,735,000 1,460,922
Health Facility Revenue Authority, RB, Series A, Partially Pre-Refunded
@ 102 on 08/15/00, FSA
7.600%, 08/15/10 3,512,000 3,666,528
Industrial Pollution Control, Finance Revenue Authority, Commonwealth Edison
Company Project, RB
5.875%, 05/15/07 935,000 941,592
Lake County, Community United School District, GO, Series A, FSA
5.375%, 12/01/12 1,675,000 1,635,721
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Lake County, Community United School District, GO, Series A, FSA (A)
0.000%, 12/01/17 $8,430,000 $ 2,798,507
Lake County, Community United School District, GO, Series C, FSA
4.300%, 12/15/10 1,005,000 886,521
Lake County, Township High School District Number 113, GO
8.100%, 12/01/12 470,000 580,333
Palatine, Tax Increment Revenue, Dundee Road Redevelopment Project, Tax
Allocation, AMBAC
5.000%, 01/01/15 11,220,000 10,091,044
Quincy, Single Family Mortgage, RB
6.875%, 03/01/10 315,000 323,996
Rockford, Faust Landmark Apartments, RB, Series A, MBIA
5.625%, 01/01/07 440,000 449,192
Rockford-Concord Commons, Housing Facility, Concord Commons Project, RB,
Series A, FHA
5.550%, 11/01/06 455,000 461,848
6.150%, 11/01/22 1,725,000 1,736,834
Silvas, Mortgage Revenue, RB, FHA
4.900%, 08/01/11 2,000,000 1,839,940
5.200%, 08/01/17 1,550,000 1,373,719
5.400%, 08/01/39 7,300,000 6,302,820
Southwestern Development Authority, Wood River Township Hospital Project, RB,
ETM
6.875%, 08/01/03 155,000 162,065
Upper River Valley Development Authority, Waste Recovery Illinois Project, RB
5.900%, 02/01/14 2,815,000 2,564,155
Woodridge, Multi-Family Revenue, Hawthorn Ridge Housing, Series A, RB, GNMA
5.650%, 12/20/32 1,675,000 1,568,151
------------
59,081,349
------------
INDIANA -- 2.18%
Bond Book Special Program Waste Water Treatment, RB, Series 1997C
5.200%, 08/01/07 95,000 94,335
5.300%, 08/01/08 270,000 267,854
5.400%, 08/01/09 240,000 238,186
</TABLE>
30 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Fort Wayne, Hospital Revenue Authority, Parkview Memorial Hospital, RB, ETM
6.500%, 01/01/05 $ 875,000 $ 911,820
Gary, Mortgage Redevelopment, Willow On Clark Apartments, RB, Series A
4.750%, 08/20/08 270,000 260,723
5.150%, 08/20/13 350,000 322,305
5.400%, 08/20/38 690,000 599,527
Health Facilities Finance Authority, Kings Daughters Hospital, RB, Asset
Guaranty
5.000%, 08/15/05 245,000 242,797
5.100%, 02/15/06 360,000 356,501
5.100%, 08/15/06 370,000 366,167
5.250%, 02/15/08 375,000 369,281
5.350%, 08/15/09 410,000 403,891
Health Facility Authority, Floyd Memorial Hospital, RB
4.850%, 02/15/06 625,000 597,881
Indianapolis, Industrial Economic Development Authority, Knob in the Woods
Project, RB, Mandatory Put @ 100, AMT, FNMA (B)
6.375%, 12/01/04 3,155,000 3,366,574
Indianapolis, Economic Development Authority, RB, GNMA
5.350%, 04/20/17 1,590,000 1,432,240
Lawrence, Multi-Family Housing, Pinnacle Apartments Project, RB, Mandatory Put
@ 100, FNMA (B)
5.150%, 01/01/08 2,005,000 1,966,885
Monroe County, Hospital Authority, Bloomington Hospital Inc. Project, RB, MBIA
4.750%, 05/01/06 935,000 917,581
State Health Facility, Floyd Memorial Hospital, RB
4.800%, 02/15/07 325,000 305,607
4.850%, 02/15/08 315,000 293,366
4.950%, 02/15/09 305,000 282,738
Vigo County, Hospital Authority, RB, ETM
6.875%, 04/01/04 120,000 125,612
------------
13,721,871
------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
IOWA -- 0.24%
Financial Authority, Small Business, Terrace Center Association LP Project, RB
7.500%, 03/01/22 $1,450,000 $ 1,529,707
------------
KANSAS -- 0.86%
Labette & Cowley County, Single Family Mortgage, RB, Series A-2, GNMA
7.650%, 12/01/11 220,000 231,348
Manhattan, Central Business District Redevelopment, Tax Allocation, Series A,
Asset Guaranty
5.200%, 12/01/03 465,000 467,651
MC Pherson, Electric Utility Revenue, RB, Partially Pre-Refunded @ 100 on
03/01/03, ETM
5.900%, 03/01/07 2,010,000 2,074,983
Reno County, Single Family Mortgage, RB, Series B
8.700%, 09/01/11 180,000 190,357
Saline County, Residential Housing Facilities, RB, Series A
9.500%, 10/01/11 50,000 51,468
Sedgwick & Shawnee Counties, Mortgage Backed Securities Program, RB,
Series A-1, GNMA
4.700%, 12/01/08 1,000,000 991,210
State Development Finance Authority, Multi-Family Housing, Four Seasons
Apartment Project, RB, LOC
5.300%, 10/01/07 315,000 310,587
State Development Finance Authority, Multi-Family Housing, Four Seasons
Apartment Project, RB, Mandatory Put @ 100, AMT, LOC (B)
5.600%, 10/01/07 970,000 954,208
Wichita, Single Family Mortgage, RB, Series A
7.100%, 09/01/09 135,000 138,364
------------
5,410,176
------------
KENTUCKY -- 0.93%
Ashland, Environmental Import, Allied Chemical Corporation Project, RB, ETM
5.800%, 03/01/03 935,000 954,803
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 31
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Greater Housing Assistance Corporation, Section 8 Assisted Project, RB, Series
A, MBIA
7.625%, 01/01/25 $ 390,000 $ 398,783
Greater Housing Assistance Corporation, Section 8, RB, Series C, FHA/MBIA
5.350%, 07/01/07 495,000 494,654
Jefferson County, Multi-Family Housing, Kentucky Towers Project, RB,
Series A, GNMA
5.650%, 08/20/34 2,985,000 2,791,691
Lakeland, Wesley Village Housing Incorporated, Section 8 Assisted Project, RB,
FHA
7.125%, 11/01/02 215,000 219,964
Owensboro, Electric Light & Power, RB, ETM
10.500%, 01/01/04 310,000 337,900
State Turnpike Authority, RB, ETM
6.125%, 07/01/07 407,000 424,188
6.625%, 07/01/08 230,000 244,920
------------
5,866,903
------------
LOUISIANA -- 1.95%
Housing Finance Agency, Malta Square Project, RB, AMT GNMA
6.450%, 09/01/27 590,000 613,736
6.500%, 09/01/38 1,510,000 1,570,596
Housing Finance Agency, Single Family Housing, RB, Series A-1, GNMA
4.625%, 06/01/09 470,000 455,120
Iberia, Single Family Mortgage, RB
7.375%, 01/01/11 570,000 597,366
Jefferson Parish, Hospital Services District, RB, ETM
7.125%, 01/01/02 255,000 263,089
Public Facilities Authority, Multi-Family Housing, Edgewood Apartments, RB,
Mandatory Put @ 100, FNMA (B)
5.800%, 06/01/05 4,820,000 4,920,690
Public Facilities Authority, Multi-Family Housing, Oakleigh Apartments
Project, RB, AXA
5.750%, 03/15/03 275,000 276,403
5.850%, 03/15/04 295,000 295,478
5.950%, 03/15/05 310,000 308,738
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Public Facilities Authority, Public Health & Education, RB, Series A-1, AMBAC
5.000%, 12/01/15 $1,495,000 $ 1,502,131
Public Facility Authority, Multi-Family Housing, Beau Terre Project, RB,
Mandatory Put @ 100, FNMA (B)
5.800%, 06/01/05 700,000 714,623
Public Facility Authority, Single Family Mortgage, RB, Series A
7.375%, 10/01/12 370,000 380,763
Public Facility Authority, Single Family Mortgage, RB, Series C, FHA
8.450%, 12/01/12 359,817 372,611
------------
12,271,344
------------
MAINE -- 0.02%
Health & Higher Educational Facilities, Cedar Nursing, RB, Pre-Refunded @ 102,
FHA (D)
7.900%, 02/01/00 120,000 123,484
------------
MARYLAND -- 0.83%
Annapolis, Economic Development, Saint John's College Facility, RB
4.700%, 10/01/03 180,000 177,136
4.800%, 10/01/04 100,000 97,804
5.000%, 10/01/06 210,000 203,660
5.000%, 10/01/07 220,000 211,229
5.000%, 10/01/08 235,000 222,977
Baltimore County, Mortgage Revenue, Three Garden Village Project, RB,
Series A, FHLMC
4.800%, 01/01/13 560,000 518,605
Cecil County, Economic Development Authority, Northeast Plaza Association,
Series A
6.875%, 01/15/08 1,615,000 1,648,737
Cecil County, Economic Development Authority, Northeast Plaza Association,
Series B
6.875%, 01/15/10 480,000 488,261
Frederick County, Economic Redevelopment Authority, Northhampton, RB,
Series A, FHA
5.900%, 02/01/05 240,000 248,174
</TABLE>
32 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Economic Development Corporation, Crescent Cities Project, RB,
Series A, GNMA
5.450%, 12/20/37 $1,545,000 $ 1,390,624
------------
5,207,207
------------
MASSACHUSETTS -- 2.27%
Boston, Deutsches Altenheim, RB, Series A, FHA
5.950%, 10/01/18 730,000 708,998
Boston, Industrial Development Finance Authority, North End Community, RB,
Series A, FHA
6.450%, 08/01/37 1,860,000 1,890,504
Dartmouth, Housing Development Corporation, CrossRoads Apartments, RB,
Series A, MBIA
4.850%, 07/01/09 610,000 592,536
Educational Loan Authority, RB, Series A, MBIA
7.250%, 01/01/09 590,000 611,924
State Development Finance Agency, Worcester Redevelopment Authority, RB, Asset
Guaranty
6.000%, 06/01/24 1,300,000 1,256,203
State Health & Education Authority, Beth Israel Hospital, RB, ETM
5.750%, 07/01/06 70,000 72,091
State Health & Educational Facilities Authority, RB,
8.000%, 07/01/00 20,000 20,549
State Housing Finance Agency, RB, Series A, MBIA
6.125%, 12/01/11 215,000 214,134
State Industrial Finance Agency, Draper Place Project, RB, GNMA
5.400%, 08/20/12 395,000 374,259
State Industrial Finance Agency, Draper Place Project, RB, GNMA
6.450%, 08/20/39 6,695,000 6,684,623
State Industrial Finance Agency, Higher Education, Hampshire College Project,
RB
5.800%, 10/01/17 2,055,000 1,897,771
------------
14,323,592
------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
MICHIGAN -- 0.83%
Battle Creek, Economic Development Authority, Kellogg Company Project, RB
5.125%, 02/01/09 $ 425,000 $ 413,823
Dickinson County, Economic Development Authority , Champion International
Corporation, RB
6.550%, 03/01/07 700,000 716,233
Grand Rapids Charter Township, Porter Hills Obligated Group, RB
5.200%, 07/01/14 1,100,000 991,386
Novi, Water Supply & Sewer Disposal System, RB, MBIA
5.000%, 07/01/19 1,000,000 874,880
Petoskey, Hospital Finance Authority, RB, ETM
6.700%, 03/01/07 585,000 620,515
Saginaw, Hospital Finance Authority, Saint Luke Hospital, RB, ETM
7.500%, 11/01/10 245,000 274,300
State Building Authority, RB, Series II, MBIA
7.400%, 04/01/01 55,000 55,911
State Hospital Finance Authority, Saint Joseph Mercy Hospital Project, RB, ETM
7.000%, 07/01/05 430,000 457,206
State Hospital Finance Authority, William Beaumont Hospital Project, RB, ETM
6.200%, 01/01/03 140,000 143,598
State Housing Development Authority, RB, Series D, AMT, AMBAC
5.050%, 12/01/07 95,000 92,354
5.150%, 12/01/08 95,000 92,325
5.250%, 12/01/09 95,000 91,102
5.350%, 12/01/10 95,000 92,700
State Strategic Fund Obligation, The Oxford Institute, RB, Series A, ETM
7.875%, 08/15/05 285,000 300,162
------------
5,216,495
------------
MINNESOTA -- 0.25%
Cambridge, Mortgage Revenue, Health Care Center, RB, Series A, GNMA.
5.400%, 11/20/05 475,000 480,239
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 33
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Dakota County, Housing & Redevelopment Authority, RB, FNMA/GNMA
5.550%, 10/01/02 $ 110,000 $ 111,621
5.750%, 10/01/04 130,000 132,471
Monticello, Pollution Control Authority, Northern States Power Company, RB
5.375%, 02/01/03 400,000 400,672
Rochester, Saint Mary's Hospital, RB, ETM
5.750%, 10/01/07 440,000 452,572
------------
1,577,575
------------
MISSISSIPPI -- 1.85%
Business Finance Corporation, Landau Uniforms Project, RB, LOC
5.450%, 09/01/01 265,000 266,556
5.600%, 09/01/02 285,000 287,323
5.800%, 09/01/04 320,000 321,469
5.900%, 09/01/05 335,000 336,028
Business Finance Corporation, Millsaps College Project, Series B
5.000%, 11/01/19 1,090,000 952,518
Corinth & Alcorn County, Magnolia Regional Health Center, RB, Series A
5.000%, 10/01/08 1,585,000 1,481,848
Corinth & Alcorn County, Magnolia Regional Health Center, RB, Series B
5.125%, 10/01/10 1,040,000 917,062
Health Facilities Finance Authority, Kings Daughters Hospital, RB, Asset
Guaranty
5.500%, 04/01/18 1,600,000 1,468,064
Home Corporation, Single Family Mortgage, Access Program, RB, Series A, GNMA
5.000%, 06/01/04 255,000 252,335
Home Corporation, Single Family Mortgage, RB, Series A, AMT, GNMA
5.125%, 12/01/17 820,000 819,098
Home Corporation, Single Family Mortgage, RB, Series I, AMT, GNMA
7.375%, 06/01/28 2,805,000 3,024,463
Perry County, Pollution Control Revenue, Leaf River Forest Project, RB
5.200%, 10/01/12 1,700,000 1,534,165
------------
11,660,929
------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
MISSOURI -- 4.68%
Boone County, Industrial Development Authority, Otscon Incorporated Project,
RB, LOC
5.125%, 05/01/18 $2,290,000 $ 2,263,230
Bridgeton, Industrial Development Authority, Mizpah Assisted Living, RB, GNMA
5.250%, 12/20/19 210,000 188,324
Joplin, Industrial Development, Tri State Osteopathic Hospital
8.250%, 12/15/14 7,590,000 8,288,660
Kansas City, Industrial Development Authority, Coves North Duplexes Project,
RB, Mandatory Put @ 100, FNMA (B)
5.600%, 09/01/05 4,190,000 4,271,035
Kansas City, Industrial Development Authority, Royal Woods Apartment Project,
RB, Mandatory Put @ 100, FNMA (B)
5.600%, 01/01/10 7,125,000 7,102,556
Pacific & Franklin Counties, Industrial Development Authority, Clayton
Corporation Project, RB, LOC
5.450%, 05/01/02 540,000 545,783
5.950%, 05/01/07 900,000 918,531
6.200%, 05/01/12 900,000 904,275
6.450%, 05/01/17 900,000 905,832
St. Louis County, Regional Covention & Sports Center RB, Series B
6.500%, 08/15/01 725,000 746,235
St. Charles County, Industrial Development Authority, Health Care Facilities
Revenue, Garden View Care Center Project, RB, LOC
5.400%, 11/15/16 1,840,000 1,615,998
St. Louis, Land Clearance Redevelopment Authority, Westmisters Place
Apartments, RB, Series A, Mandatory Put @ 100, FNMA (B)
5.950%, 04/01/07 560,000 583,464
State Development Finance Board, Greater St. Louis Project, RB, LOC
4.900%, 09/01/10 855,000 791,961
</TABLE>
34 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Housing Development Community, Single Family Mortgage, RB, AMT, GNMA
6.625%, 12/01/17 $ 355,000 $ 363,903
------------
29,489,787
------------
MONTANA -- 0.60%
Great Falls, Multi-Family Housing, Autumn Run Apartments Project, RB,
Mandatory Put @ 100, LOC (B)
4.900%, 01/02/08 3,485,000 3,377,523
Missoula County, Community Hospital
7.125%, 06/01/07 383,000 412,238
------------
3,789,761
------------
NEBRASKA -- 0.91%
Clay County, Industrial Development Revenue, Hybrids Cooperative Project, RB,
AMT LOC
5.250%, 03/15/14 2,000,000 1,799,660
Fillmore County, Industrial Development Revenue, O'Malley Grain Incorporated
Project, RB, AMT, LOC
5.000%, 12/01/10 45,000 41,701
5.000%, 12/01/11 220,000 201,087
5.100%, 12/01/12 135,000 123,356
5.200%, 12/01/13 245,000 222,950
Investment Finance Authority, Multi-Family Housing, Cheney Apartments, RB,
Series A, Mandatory Put
@ 100, FNMA (B)
5.500%, 12/01/05 1,870,000 1,889,149
Investment Finance Authority, Multi-Family Housing, Tara Hills Villa, RB, FNMA
4.875%, 01/01/08 670,000 656,915
Woolworth, Housing Mortgage Development Corporation, Section 8 Assisted
Project, RB, MBIA
5.350%, 07/01/21 860,000 784,861
------------
5,719,679
------------
NEVADA -- 1.13%
Housing Division, Multi-Unit Housing, RB, Series A, AMT, LOC
5.550%, 10/01/28 3,660,000 3,283,166
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Housing Division, Single Family Mortgage, RB, Series B-1, FHA
4.950%, 04/01/12 $ 575,000 $ 548,274
Housing Division, Single Family Program, RB, Series A, AMT
6.350%, 10/01/07 790,000 792,773
State Housing Division, Austin Crest Project, RB, FNMA,
5.500%, 10/01/09 450,000 449,298
State Housing Division, Single Family Mortgage, RB, Series B, FHA
6.450%, 10/01/07 605,000 623,156
State Housing Division, Single Family Mortgage, RB, Series C-1, FHA
5.450%, 04/01/10 435,000 425,517
State Housing Division, Single Family Mortgage, RB, Series E, FHA
6.000%, 10/01/09 425,000 414,758
State Multi Unit Housing, Saratoga Palms, RB, FNMA
5.900%, 04/01/06 565,000 583,843
------------
7,120,785
------------
NEW HAMPSHIRE -- 0.89%
Higher Education & Health Authority, River College
4.650%, 01/01/04 155,000 150,958
4.750%, 01/01/05 160,000 154,859
4.850%, 01/01/07 130,000 123,780
4.900%, 01/01/08 185,000 174,614
Higher Education & Health Facility, Crotched Mountain Rehabilitation Center,
RB, Pre-Refunded @ 102 (D)
7.500%, 01/01/00 105,000 107,732
Higher Education & Health Facility, Kendal at Hanover Issue, RB, LOC
5.200%, 10/01/06 775,000 770,079
5.300%, 10/01/07 585,000 580,724
Higher Educational & Health Authority, Franklin Pierce College, RB
4.900%, 10/01/08 620,000 592,081
Higher Educational & Health Authority, Franklin Pierce College, RB, ACA
5.000%, 10/01/09 465,000 445,325
5.100%, 10/01/10 790,000 752,436
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 35
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
New Hampshire, Higher Educational & Health Facilities Authority, Saint Anselm
College, RB, AMBAC
5.150%, 07/01/29 $2,000,000 $ 1,742,440
------------
5,595,028
------------
NEW JERSEY -- 0.99%
Church Street Corporation, Keansburg Elderly Housing, Series 1994, HUD Section
8 Assistance
5.000%, 03/01/01 110,000 110,120
Deptford Township, GO
5.600%, 10/15/06 180,000 185,746
5.850%, 10/15/07 185,000 193,218
Economic Development Authority, Cadbury Corporation Project, RB, Series A, ACA
4.600%, 07/01/02 200,000 198,206
4.750%, 07/01/03 290,000 286,714
4.850%, 07/01/04 325,000 320,444
Economic Development Authority, RB, Series H-2, LOC
5.000%, 10/01/05 490,000 491,250
Essex County, Utilities Authority, Solid Waste Revenue, RB, Series A, FSA
4.800%, 04/01/14 1,000,000 903,130
Gloucester County, Import Authority, Electric Mobility Project, RB, County
Guaranteed
4.250%, 11/01/01 260,000 258,864
4.500%, 11/01/03 195,000 192,960
4.600%, 11/01/04 105,000 103,662
4.700%, 11/01/05 105,000 103,329
4.750%, 11/01/06 110,000 107,692
4.800%, 11/01/07 115,000 111,946
5.000%, 11/01/08 125,000 122,254
5.000%, 11/01/10 265,000 253,745
State Building Authority, RB, ETM
9.625%, 02/01/03 235,000 256,686
State Education Facility Authority, Caldwell College, RB, Series A
7.250%, 07/01/25 1,105,000 1,134,857
State Turnpike Authority, RB, ETM
10.375%, 01/01/03 830,000 912,900
------------
6,247,723
------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
NEW MEXICO -- 0.78%
Albuquerque, Class B-2, CMO, FGIC (A)
0.000%, 05/15/11 $6,303,000 $ 2,792,481
Bernalillo County, Multi-Family Housing, Sunchase Apartments, Series A (C)
5.800%, 11/01/25 1,400,000 1,429,806
Mortgage Finance Authority, Single Family Mortgage Program, RB, FHLMC/
FNMA/GNMA
5.500%, 07/01/17 210,000 200,840
5.600%, 07/01/28 460,000 431,342
Santa Fe, Single Family Mortgage, RB
8.450%, 12/01/11 61,049 63,760
------------
4,918,229
------------
NEW YORK -- 6.92%
Amherst, Industrial Development Agency, Multi Service Rink Complex, RB, LOC
4.750%, 10/01/02 195,000 196,474
5.180%, 10/01/06 335,000 339,261
Capital District Youth Center Lease, RB, LOC
6.000%, 02/01/17 465,000 455,658
Dutchess County, Solid Waste Systems, RB, Series C, MBIA
5.000%, 01/01/10 2,710,000 2,566,858
Nassau County, General Improvement, GO, Series X, AMBAC
5.000%, 11/01/05 465,000 466,911
5.000%, 11/01/06 465,000 464,456
New York City, Series B, GO, AMBAC
7.250%, 08/15/07 3,625,000 4,120,719
New York City, Housing Authority, Multi-Family Mortgage, Section 8 Assisted,
RB, Series A, AMBAC
5.450%, 07/01/08 1,545,000 1,571,559
New York City, Industrial Development Agency, College of Aeronautics Project
5.000%, 05/01/06 425,000 413,283
5.200%, 05/01/09 255,000 243,545
New York City, Industrial Development Agency, RB, Series C, Mandatory Put
@ 100, AMT (B)
7.625%, 11/01/99 2,515,000 2,515,000
</TABLE>
36 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
New York, GO, MBIA
8.000%, 08/01/06 $3,640,000 $ 4,254,541
Oneida County, Industrial Development Agency, Mohawk Valley, RB, Series A, FSA
4.550%, 02/01/04 785,000 775,101
4.650%, 02/01/05 670,000 658,563
4.700%, 02/01/06 855,000 836,370
5.000%, 01/01/13 945,000 871,044
5.200%, 02/01/13 935,000 878,909
Oneida County, Industrial Development Agency, Mohawk Valley, RB, Series B, FSA
5.000%, 01/01/13 1,530,000 1,410,262
Onondaga County, Industrial Development Agency, Civic Facility Revenue,
Lemoyne College Project, RB, Series A
5.000%, 03/01/07 220,000 210,725
5.500%, 03/01/14 510,000 477,284
State Dormitory Authority, Capital Appreciation, Pre-Refunded City, RB, Series
C, ETM, FSA (A)
0.000%, 07/01/04 105,000 82,071
State Dormitory Authority, Hunts Point Multi Service Center, RB
5.625%, 07/01/22 2,805,000 2,652,099
State Dormitory Authority, Lutheran Nursing Home, RB, AMBAC/FHA
5.125%, 02/01/18 1,240,000 1,095,404
State Dormitory Authority, Long Island University, RB, Asset Guaranty
6.000%, 09/01/08 2,950,000 3,163,521
State Dormitory Authority, Saint Mary's Hospital Amsterdam, RB, MBIA
5.250%, 05/01/05 1,250,000 1,266,675
State Dormitory Lease Authority, State University Dormitory Facilities, RB,
Series A, AMBAC
5.250%, 07/01/11 1,830,000 1,800,098
State Power Authority, RB, Series C, ETM
9.500%, 01/01/01 130,000 131,789
State Urban Development Corporation, Correctional Facility, RB, AMBAC
5.625%, 01/01/07 4,675,000 4,791,408
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Syracuse, Housing Authority, Loretto Rest Homes, RB, Series A, FHA
5.000%, 08/01/07 $2,245,000 $ 2,215,052
Triborough Bridge & Tunnel Authority, Convention Center Project, RB, Series E
7.250%, 01/01/10 445,000 495,797
UFA Development Corporation, Loretto Utica Project, RB, FHA
5.150%, 07/01/03 965,000 972,527
Ulster County, Industrial Development Agency, Kingston Hospital Project, RB,
LOC
4.400%, 11/15/01 290,000 288,271
4.500%, 11/15/02 305,000 301,157
Yates County, Industrial Development Agency, Soldiers & Sailors Memorial
Hospital, RB, FHA
5.500%, 02/01/19 700,000 649,732
------------
43,632,124
------------
OHIO -- 2.96%
Capital Corporation for Housing Mortgage Revenue, Section 8 Assisted Project,
RB, Series A, FHA/ MBIA
4.500%, 01/01/03 200,000 197,490
Capital Corporation for Housing Mortgage Revenue, Section 8 Assisted Project,
RB, Series C, FHA/ MBIA
5.100%, 07/01/09 1,895,000 1,879,177
Capital Corporation for Housing Mortgage Revenue, Section 8 Assisted Project,
RB, Series E, FHA/ MBIA
5.700%, 01/01/05 340,000 347,286
Capital Housing Corporation Mortgage, Georgetown Section 8, RB, Series A, FHA
6.625%, 07/01/22 1,195,000 1,241,247
Cuyahoga County, Multi-Family Housing, Water Street Association, RB, GNMA
6.250%, 12/20/36 1,215,000 1,222,642
Hancock County, Multi-Family Housing, Crystal Glen Apartments, RB, Series C,
LOC
5.050%, 01/01/10 1,135,000 1,094,662
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 37
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Jefferson County, GO, Asset Guaranty
6.625%, 12/01/05 $ 340,000 $ 359,135
Lorain County, Health Care Facilities, Kendal at Oberlin, RB, Series B (C)
4.750%, 02/01/22 1,465,000 1,447,068
Lorain County, Hospital Finance Authority, Humility of Mary Health Care, RB,
Series A, Pre-Refunded @ 100 (D)
5.900%, 06/15/05 5,515,000 5,790,695
Lorain County, Hospital Finance Authority, Humility of Mary Health Care, RB,
Series B, ETM
7.200%, 12/15/11 935,000 1,006,191
Lorain County, Hospital Finance Authority, Humility of Mary Health Care, RB,
Series D, ETM
7.125%, 12/15/06 1,025,000 1,101,496
Lucas-Palmer Housing Development Corporation, Palmer Gardens, RB, FHA/ MBIA
5.900%, 07/01/07 275,000 283,693
Stark County, Health Care Facility, Rose Land Incorporated Project, RB,
GNMA/FHA
5.300%, 07/20/18 1,060,000 962,268
5.350%, 07/20/23 1,170,000 1,049,829
State Mortgage, Home of Ohio, RB, FHA
5.600%, 08/01/06 390,000 398,007
State Pollution Control RB, General Motors Corporation Project
6.500%, 03/01/06 235,000 240,687
------------
18,621,573
------------
OKLAHOMA -- 1.04%
Cleveland County, Home Loan Authority, Single Family Mortgage, Series 1992
8.375%, 02/01/12 1,310,000 1,366,042
Grand River, Dam Authority, RB, ETM
6.250%, 11/01/08 2,795,000 2,917,868
Housing Finance Agency, Multi-Family Housing, Northpark & Meadowlane Project,
RB, FNMA
5.100%, 12/01/07 870,000 855,271
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
McAlester, Public Works Authority, RB, FSA
8.250%, 12/01/04 $ 115,000 $ 133,405
8.250%, 12/01/05 700,000 826,644
8.250%, 12/01/06 175,000 209,683
Payne County, Home Finance Authority, Single Family Mortgage, RB, Series A
8.625%, 03/01/11 250,000 260,942
------------
6,569,855
------------
PENNSYLVANIA -- 17.51%
Aliquippa Beaver County, Asset Guaranty, ETM
8.250%, 09/15/01 495,000 519,008
Allegheny County, Hospital Development Authority, Allegheny General Hospital
Project, RB, Series A, MBIA
6.200%, 09/01/15 3,500,000 3,440,150
Allegheny County, Hospital Development Authority, Health Center-UPMC Health
Systems, RB, MBIA
4.650%, 11/01/09 2,100,000 1,949,052
5.000%, 11/01/23 1,760,000 1,496,070
Allegheny County, Hospital Development Authority, North Hills Passavant
Hospital, RB, ETM
6.750%, 07/01/05 305,000 322,836
Allegheny County, Industrial Development Authority, HVL Plaza Project, RB, LOC
6.000%, 10/01/04 935,000 929,100
Allegheny County, Industrial Development Authority, RB, Series A
6.700%, 12/01/20 400,000 404,608
Allegheny County, Residential Finance Authority, Single Family Mortgage, RB,
GNMA
6.500%, 11/01/14 370,000 373,008
Allegheny County, Residential Finance Authority, Single Family Mortgage, RB,
Series CC-1, GNMA
5.200%, 05/01/17 870,000 786,558
Allegheny County, Residential Finance Authority, Single Family Mortgage, RB,
Series CC-2, GNMA
5.200%, 05/01/17 355,000 320,952
</TABLE>
38 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Allegheny County, Residential Finance Authority, Single Family Mortgage, RB,
Series DD-1, AMT, GNMA
4.850%, 05/01/08 $ 225,000 $ 215,273
Allentown, Hospital Authority, Sacred Heart Hospital of Allentown, RB
6.200%, 11/15/03 495,000 505,796
Beaver County, Industrial Development Authority, Health Care Revenue, RB,
Series A, Taxable Converted to Tax Exempt 11/1/99, GNMA
6.200%, 05/20/10 3,125,000 2,943,438
Berks County, Municipal Authority, Health Care Pooled Financing Project, RB
5.000%, 03/01/28 1,490,000 1,226,970
Berks County, Redevelopment Authority, Multi-Family Revenue, Woodgate
Associate Project, RB, Series A, FNMA
5.150%, 01/01/19 2,000,000 1,799,300
Bucks County, Saint Mary's Hospital Authority, RB, ETM
6.625%, 07/01/04 75,000 78,737
Cambria County, GO, FGIC
5.000%, 08/15/08 360,000 354,942
Chester County, Health & Education Facility, Immaculata College, RB
4.500%, 10/15/00 245,000 245,127
4.650%, 10/15/01 210,000 209,003
4.750%, 10/15/02 280,000 277,015
4.850%, 10/15/03 265,000 260,765
4.900%, 10/15/04 330,000 322,252
5.000%, 10/15/06 325,000 312,429
5.000%, 10/15/07 390,000 371,034
5.100%, 10/15/08 120,000 113,612
5.125%, 10/15/09 280,000 262,217
5.300%, 10/15/11 350,000 324,051
Chester County, Health & Educational Facility Authority, Barclay Friends
Project, RB, Series B, Mandatory Put @ 100, LOC (B)
4.600%, 08/01/02 2,900,000 2,887,211
Clearfield, Hospital Revenue Authority, Clearfield Hospital Project, RB
6.875%, 06/01/16 1,140,000 1,176,070
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Cumberland County, Municipal Revenue Authority, Presbyterian Homes Project, RB
6.000%, 12/01/26 $1,500,000 $ 1,392,345
Dauphin County, General Authority, WW15 Term, RB, Mandatory Tender @ 100 (B)
6.850%, 06/01/09 655,000 680,552
Delaware County, College Revenue Authority, RB Series B
4.750%, 10/01/06 250,000 235,945
4.850%, 10/01/07 255,000 239,450
4.950%, 10/01/08 425,000 396,525
5.500%, 10/01/19 3,165,000 2,807,608
Delaware County, Housing Authority, Dunwoody Village Project, RB
5.625%, 04/01/09 160,000 159,126
Delaware County, Multi-Family Redevelopment Revenue Authority, Chester Heights
Association, RB, Series A, FNMA
5.150%, 01/01/19 4,115,000 3,702,060
Erie, Higher Education Building Authority, Gannon University Project, RB,
Series E
5.200%, 07/15/16 1,000,000 880,070
Erie, Higher Education Building Authority, Mercyhurst College Project, RB
5.750%, 03/15/12 110,000 107,989
5.850%, 03/15/17 405,000 386,293
Erie, Higher Education Building Authority, Mercyhurst College Project, RB,
Series B
5.750%, 03/15/13 1,700,000 1,664,215
Falls Township, Hospital Authority, Delaware Valley Medical Center, RB, FHA
6.900%, 08/01/11 2,955,000 3,041,936
Fayette County, Hospital Authority, Uniontown Hospital, RB, Connie Lee Insured
5.200%, 06/15/04 260,000 262,751
5.400%, 06/15/06 1,045,000 1,058,272
5.450%, 06/15/07 560,000 566,227
5.550%, 06/15/08 1,330,000 1,346,266
5.650%, 06/15/09 1,405,000 1,424,038
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 39
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Greene County, Industrial Development Authority, Monongahela Power Company,
RB, Series B, MBIA
5.100%, 02/01/12 $1,240,000 $ 1,184,064
Greene County, Industrial Development Authority, West Penn Power Company, RB,
Series B, MBIA
4.750%, 02/01/07 3,510,000 3,407,017
Hospital & Higher Education Authority, Health System, RB, Series A, FHA
5.375%, 01/01/28 3,270,000 2,900,621
Hospital & Higher Education Authority, Jefferson Health Systems, RB,
Series A, MBIA
5.125%, 05/15/18 2,000,000 1,762,920
5.125%, 05/15/21 2,000,000 1,741,940
Housing Finance Agency, Rental Housing, RB, FNMA
5.150%, 07/01/03 375,000 375,173
6.500%, 07/01/23 4,815,000 5,061,432
Housing Finance Agency, Single Family Mortgage, RB, Series 1991-31A
7.000%, 10/01/05 215,000 221,194
Housing Finance Agency, Single Family Mortgage, RB, Series 64, AMT (A)
0.000%, 04/01/30 1,955,000 1,136,500
Jefferson County, Municipal Authority, RB, ETM, MBIA
7.000%, 12/01/02 65,000 67,898
Lancaster, Sewer Authority, RB, ETM
6.000%, 04/01/12 50,000 52,453
Lebanon County, Good Samaritan Hospital Authority, RB, ETM
6.800%, 11/01/01 10,000 10,266
Lehigh County, General Purpose Authority, Muhlenberg Continuing Care, RB,
Pre-Refunded @ 102, LOC (D)
7.800%, 03/15/00 2,170,000 2,242,760
Lehigh County, General Purpose Authority, Muhlenberg Hospital Center, RB, ETM
4.800%, 07/15/00 210,000 211,063
4.800%, 07/15/00 400,000 402,024
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Monroeville, Hospital Authority, East Suburban Health Center Project, RB,
Pre-Refunded @ 100 (D)
7.600%, 07/01/04 $ 605,000 $ 649,074
Montgomery County, GO, ETM
9.000%, 08/15/04 285,000 312,956
Montgomery County, Higher Education Authority, Waverly Heights Project, RB
5.000%, 01/01/03 280,000 276,640
Montgomery County, Industrial Development Authority RB, BMHR Associated
Project, LOC
6.750%, 11/15/04 235,000 244,550
Montgomery County, Industrial Development Authority, ECRI Project, RB
6.400%, 06/01/03 355,000 354,244
Montgomery County, Industrial Development Authority, Meadowood Corporation
Project, RB, Series A, Pre-Refunded @ 102 (D)
10.250%, 12/01/00 2,335,000 2,530,066
Mount Lebanon, Hospital Authority, RB, ETM
7.000%, 07/01/06 85,000 90,968
Northampton County, Industrial Development Authority, Strawbridge & Clothier
Project, RB, ETM
7.200%, 12/15/01 290,000 300,611
Philadelphia, Authority For Industrial Development, Simpson Housing Project
5.000%, 08/15/09 300,000 276,324
5.000%, 08/15/10 360,000 326,336
5.100%, 08/15/11 300,000 270,276
Philadelphia, Hospitals & Higher Education, RB, ACA
6.200%, 05/01/11 1,920,000 1,924,416
Philadelphia, Housing Redevelopment Authority, Multi-Family Housing, RB, HUD
5.450%, 02/01/23 990,000 916,265
Philadelphia, Industrial Development Authority, Elmira Jefferies Memorial
Home, RB, FHA
4.750%, 02/01/08 570,000 534,689
</TABLE>
40 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Philadelphia, Industrial Development Authority, Jeanes Physicians' Office, RB,
Series A
9.375%, 07/01/10 $ 790,000 $ 790,016
Philadelphia, Industrial Development Authority, National Board of Medical
Examiners Project, RB
6.750%, 05/01/12 515,000 549,860
Philadelphia, Redevelopment Authority, First Lien Mortgage, Series A
6.500%, 01/01/29 700,000 651,721
Philadelphia, Saint Agnes Medical Center Project, RB, ETM, FHA
6.750%, 08/15/01 145,000 145,661
Pittsburgh, Urban Redevelopment Authority, Center Triangle Tax Increment,
Series A, LOC
5.125%, 06/01/00 365,000 367,026
Pittsburgh, Urban Redevelopment Authority, RB, Series C, AMT, FNMA/FHA
5.950%, 10/01/29 200,000 192,696
Pittsburgh, Urban Redevelopment, Oliver Garage Project, RB, FGIC, LOC
5.200%, 06/01/11 380,000 362,227
Potter County, Hospital Redevelopment Authority, Charles Cole Memorial
Hospital, RB, Asset Guaranty
5.100%, 08/01/02 290,000 292,050
Pottsville, Hospital Authority, Pottsville Hospital & Warne Clinic, RB
4.700%, 07/01/01 750,000 738,525
4.800%, 07/01/02 780,000 760,921
5.150%, 07/01/09 840,000 753,186
5.500%, 07/01/18 2,180,000 1,861,066
7.250%, 07/01/24 565,000 628,557
River Port Authority, RB, ETM
6.500%, 01/15/11 140,000 140,451
Rose Tree Media School District, GO, FGIC
4.400%, 02/15/11 750,000 666,450
Scranton-Lackawanna Counties, Health & Welfare Authority, RB
6.625%, 04/15/07 230,000 230,442
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Seneca Valley, School District, GO, Series A, FGIC
5.250%, 07/01/07 $1,660,000 $ 1,677,629
Somerset County, Hospital Authority, Community Hospital District B, RB, Asset
Guaranty
5.200%, 03/01/10 565,000 544,479
5.300%, 03/01/11 135,000 129,784
Southeastern Pennsylvania, Greene School District, GO, ETM
9.375%, 07/01/03 5,000 5,486
State, COP, Series A, AMBAC
5.400%, 07/01/09 165,000 164,372
State Finance Authority, Municipal Capital Imports Program, RB
6.600%, 11/01/09 2,175,000 2,320,877
State Higher Education Facility, Ursinus College, RB
5.000%, 01/01/02 150,000 150,540
5.100%, 01/01/03 170,000 170,678
5.200%, 01/01/04 180,000 180,655
5.300%, 01/01/05 205,000 205,683
5.400%, 01/01/06 230,000 230,819
5.850%, 01/01/17 1,190,000 1,140,187
State Higher Educational Facility, Alleghney Delaware Valley Obligation, RB,
Series A, MBIA
5.600%, 11/15/09 1,250,000 1,231,313
5.700%, 11/15/11 2,755,000 2,707,642
State Higher Educational Facilities Authority, Health Services Revenue, RB,
Series A,
7.000%, 01/01/09 4,500,000 4,790,385
State Higher Educational Facilities Authority, UPMC Health Systems, RB,
Series A, FSA
5.250%, 08/01/10 1,000,000 975,860
5.250%, 08/01/11 1,000,000 964,220
State Higher Educational Facility Authority, College & University Revenue, RB,
Asset Guaranty
5.150%, 03/15/20 1,000,000 862,790
State Higher Educational Facility Authority, Health Services Revenue,
Allegheny Delaware Valley Obligation, RB, Series A, MBIA
5.400%, 11/15/07 250,000 246,188
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 41
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Higher Educational Facility Authority, Health Services Revenue,
Allegheny Delaware Valley Obligation, RB, Series C, MBIA
5.875%, 11/15/18 $1,800,000 $ 1,770,192
State Higher Educational Facility, Gwynedd Mercy College, RB
5.000%, 11/01/08 1,300,000 1,265,784
State Higher Educational Facility, University of The Arts, RB, Asset Guaranty
5.300%, 03/15/02 325,000 308,510
4.750%, 03/15/05 155,000 151,612
4.850%, 03/15/06 250,000 243,937
5.100%, 03/15/09 290,000 280,705
5.200%, 03/15/10 305,000 293,894
5.250%, 03/15/11 325,000 310,761
Williamsport, Multi-Family Housing Authority, RB, Series A, MBIA
5.250%, 01/01/15 1,445,000 1,343,343
York County, Hospital Authority, Hanover Hospital Incorporated, RB, AMBAC
4.600%, 12/01/09 925,000 853,590
York, Housing Redevelopment Mortgage Corporation, RB, Series A
6.875%, 11/01/09 1,105,000 1,119,607
------------
110,335,369
------------
RHODE ISLAND -- 0.70%
Central Falls, GO, Pre-Refunded @ 103 (D)
9.250%, 11/15/00 170,000 183,209
Rhode Island, State Industrial Facility Corporation, Crystal Thermoplastics
Project, Series A
6.950%, 08/01/14 355,000 353,165
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Industrial Facilities Corporation, Industrial Development Revenue,
Building Authority Program, RB, AMT, IRBA
4.700%, 04/01/05 $ 215,000 $ 206,903
4.800%, 04/01/06 230,000 219,963
4.900%, 04/01/07 235,000 223,412
5.000%, 04/01/08 200,000 189,066
5.100%, 04/01/09 260,000 244,473
5.200%, 04/01/10 275,000 257,271
5.250%, 04/01/11 290,000 268,905
5.300%, 04/01/12 305,000 281,198
5.350%, 04/01/13 325,000 299,780
5.400%, 04/01/14 65,000 59,357
5.500%, 04/01/19 385,000 354,138
5.600%, 04/01/24 470,000 428,471
West Warwick, GO, Series A, Asset Guaranty
7.300%, 07/15/08 785,000 850,382
------------
4,419,693
------------
SOUTH CAROLINA -- 1.85%
Economic Jobs Development, Westminster Presbyterian, RB, Series A
5.125%, 11/15/08 995,000 923,062
Job Economic Development, Caterpillar Incorporated Project, RB
5.050%, 06/01/08 465,000 440,681
Myrtle Beach, Convention Center Project, COP, ETM
6.750%, 07/01/02 1,125,000 1,162,508
State Housing Finance & Development Authority, Bryton Point Apartments
Project, Mandatory Put @ 100, FNMA (B)
5.700%, 06/01/05 2,850,000 2,930,712
State Housing Finance & Development Authority, Runway Bay Apartments
Projects, RB
5.500%, 12/01/05 790,000 794,013
State Housing Finance & Development Authority, Westbury Plantation, RB, FHA
6.050%, 07/01/27 430,000 429,380
State Housing Finance Authority, Hunting Ridge Apartments, RB, Mandatory Put
@100 (B)
6.750%, 06/01/10 935,000 962,900
</TABLE>
42 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
York County, Industrial Revenue, Hoechst Celanese, RB, AMT
5.700%, 01/01/24 $4,500,000 $ 3,988,890
------------
11,632,146
------------
SOUTH DAKOTA -- 0.20%
Housing Development Authority, Multi-Family Housing, RB, Series B, HUD
7.000%, 04/01/12 935,000 981,441
State Building Authority, RB
10.500%, 09/01/00 245,000 258,061
------------
1,239,502
------------
TENNESSEE -- 1.42%
Greeneville, Health & Education Facility Board, Southern Advent Hospital, RB,
ETM
8.700%, 10/01/09 310,000 364,309
Nashville & Davidson Counties, Health & Education Facilities Board, Homes
Inc. Project, RB, Series C, Pre-Refunded @ 105 (D)
9.000%, 10/01/07 235,000 295,731
Nashville & Davidson County, Health & Education Facilities Board, Modal
Health, RB, Asset Guaranty
5.500%, 05/01/23 800,000 722,048
Nashville & Davidson County, Health & Education Facility Revenue Board,
Multi-Family Housing, RB, Mandatory Put @ 100, FNMA (B)
5.200%, 02/01/06 2,000,000 1,969,460
Nashville & Davidson, Multi-Family Housing, Welch Bend Apartments, RB, Series
A, FNMA (C)
5.500%, 01/01/27 1,990,000 2,015,691
Shelby County, Health Educational & Housing Facility Board, Methodist Health
Systems, RB, MBIA
5.200%, 08/01/13 1,920,000 1,813,402
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shelby County, Multi-Family Housing, Windsor Apartments, RB, Series A, Asset
Guaranty
6.500%, 10/01/07 $1,240,000 $ 1,297,225
6.750%, 10/01/17 460,000 484,302
------------
8,962,168
------------
TEXAS -- 5.36%
Austin, Hotel Occupancy Tax, RB, Series A, AMBAC
5.125%, 11/15/14 1,670,000 1,547,071
Austin, Water, Sewer & Electric Revenue, RB
14.000%, 11/15/01 715,000 782,668
Austin, Water, Sewer & Electric Revenue, RB, ETM
14.000%, 11/15/01 5,000 5,665
Bexar County, Housing Finance Corporation, GO (A)
0.000%, 03/01/15 1,650,000 591,591
Brazos, Higher Education Authority, RB, Series C-1, AMT
5.700%, 06/01/04 485,000 499,744
Bryon, Higher Education Authority, Allen Academy Project, RB, Series A
6.500%, 12/01/06 400,000 392,428
7.300%, 12/01/16 1,635,000 1,581,078
Capital Area, Housing Finance Corporation, IDK Partners II Trust, Series A
6.500%, 11/01/19 1,725,958 1,659,078
Collin County, Housing Financial Corporation, Preston Bend Apartments Project,
RB, Mandatory Put @ 100 (B)
6.500%, 09/01/03 935,000 945,668
De Soto, Housing Finance Corporation, The Colonies Apartments Project, RB,
Mandatory Put @ 100, FNMA (B)
5.125%, 10/01/06 3,400,000 3,368,244
Del Rio, GO, Asset Guaranty
7.500%, 04/01/03 115,000 122,706
7.500%, 04/01/04 185,000 199,563
7.500%, 04/01/08 95,000 105,101
7.500%, 04/01/09 185,000 203,319
6.500%, 04/01/10 95,000 97,909
5.550%, 04/01/11 45,000 42,805
5.650%, 04/01/13 95,000 89,390
5.750%, 04/01/16 45,000 41,836
5.750%, 04/01/17 235,000 217,227
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 43
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Denison, Hospital Authority, Texoma Medical Center, RB, ETM
7.125%, 07/01/08 $ 155,000 $ 169,393
Edgewood, Independent School District, RB
4.900%, 08/15/08 660,000 612,163
5.000%, 08/15/09 690,000 636,504
5.000%, 08/15/10 725,000 658,264
5.250%, 08/15/13 805,000 729,153
Gregg County, Housing Finance Corporation, Summer Lake Project, RB, Series A,
Mandatory Put @ 100 (B)
6.400%, 03/01/06 765,000 795,967
Gulf Coast Waste Disposal Authority, Atlantic Richfield Company Project, RB,
Pre-Refunded @ 100 (D)
6.500%, 08/01/03 170,000 175,897
Harris County, Housing Finance Corporation, Cypress Ridge Apartments, RB, FSA
5.650%, 06/01/06 260,000 263,692
Harris County, Toll Road Authority, GO, MBIA (A)
0.000%, 08/15/01 1,065,000 983,091
Houston, Housing Finance Corporation, RB, Series 1996 A-2 (A)
0.000%, 06/01/14 1,710,000 591,318
Houston, Housing Finance Corporation, Series 1996 A-1, RB
8.000%, 06/01/14 2,010,000 2,054,200
Houston, Port Authority, Airport and Marina Improvement, RB
5.750%, 05/01/02 180,000 182,173
Houston, Sewer Systems, RB, ETM
5.400%, 10/01/04 90,000 91,550
6.375%, 10/01/08 80,000 84,898
McAllen, Development Corporation, RB, FSA
4.700%, 02/15/08 235,000 222,355
4.800%, 02/15/09 235,000 221,502
Northeast Hospital Authority, RB, ETM
8.000%, 07/01/08 595,000 668,423
Odessa, Housing Finance Corporation, Single Family Mortgage, RB, Series A,
FNMA
8.450%, 11/01/11 178,679 188,778
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Panhandle, Regional Housing Finance Corporation, Single Family Mortgage, RB,
Series A, GNMA
7.500%, 05/01/24 $ 410,000 $ 415,613
Panhandle-Plains, Higher Education Authority, RB, Series D
5.100%, 09/01/03 145,000 145,190
5.250%, 03/01/05 125,000 124,416
Robstown, Electric Light & Power Revenue, RB
6.000%, 12/01/02 100,000 100,132
6.000%, 12/01/03 100,000 100,132
6.000%, 12/01/04 100,000 100,132
6.000%, 12/01/05 100,000 100,132
6.000%, 12/01/06 100,000 100,132
State Department Housing & Community Affairs, Meadow Ridge Apartments
Project, RB, FNMA
5.050%, 08/01/08 1,475,000 1,462,536
State Department Housing & Community Affairs, Volente Project, RB, FNMA
5.000%, 07/01/08 1,095,000 1,077,535
Tarrant County, Health Facility, South Central Nursing, RB, Series A, MBIA
6.000%, 01/01/37 225,000 219,746
Tarrant County, Housing Finance Corporation, Multi-Family Housing, Summit
Project, RB, Series A, Mandatory Put @ 100, FNMA (B)
5.080%, 09/01/07 1,870,000 1,846,101
Texarkana, Housing Finance Corporation, Summerhill, RB, Series A, GNMA
5.550%, 01/20/07 215,000 217,017
Tom Green County, Hospital Authority, ETM
7.875%, 02/01/06 680,000 741,778
Travis County, Housing Finance Corporation, Broadmoor Apartments Project, RB,
FSA
5.700%, 06/01/06 895,000 910,170
Webb County, COP, Series A, Asset Guaranty
5.100%, 10/01/07 700,000 697,718
5.200%, 10/01/08 725,000 732,149
5.300%, 10/01/09 750,000 762,225
</TABLE>
44 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Willow Fork, Drain District, GO, AMBAC
4.600%, 09/01/05 $ 80,000 $ 77,519
4.600%, 09/01/06 225,000 215,649
4.650%, 09/01/07 400,000 379,240
4.700%, 09/01/08 265,000 248,954
4.800%, 09/01/09 390,000 364,931
4.900%, 09/01/10 405,000 377,918
4.900%, 09/01/11 480,000 440,246
------------
33,779,723
------------
UTAH -- 1.81%
Brigham City, Special Assessment Bond, Pre-Refunded @ 102 (D)
9.000%, 08/01/00 250,000 260,445
Clearfield City, Multi-Family Housing Mortgage, OakStone Apartments, RB,
Series A, AMT, FHA
5.850%, 05/01/39 3,615,000 3,414,006
Hilldale, GO
7.500%, 12/15/03 330,000 344,744
Provo City, Housing Authority, Multi-Family Housing, Lookout Pointe
Apartments, RB, GNMA
6.000%, 07/20/28 540,000 563,398
State Housing Agency, Single Family Mortgage, RB, FHA
5.400%, 07/01/20 2,100,000 1,913,268
State Housing Finance Agency, Single Family Mortgage, A-2-CL-III
5.200%, 07/01/11 455,000 439,444
State Housing Finance Agency, Single Family Mortgage, RB, FHA
5.250%, 07/01/12 325,000 306,719
7.600%, 01/01/22 35,000 35,601
State Housing Finance Agency, Single Family Mortgage, RB, Series A-2,
Class III, AMT, FHA/VA
5.050%, 07/01/12 600,000 554,022
State Housing Finance Agency, Single Family Mortgage, RB, Series A-2I, FHA
5.400%, 07/01/16 865,000 811,482
State Housing Finance Agency, Single Family Mortgage, RB, Series B-2, FHA
5.250%, 07/01/11 510,000 486,407
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Housing Finance Agency, Single Family Mortgage, RB, Series F-1,
Class I, FHA
5.500%, 07/01/16 $ 390,000 $ 372,758
State Housing Finance Agency, Sub-Single Family Mortgage, RB, AMBAC
5.850%, 07/01/07 605,000 613,143
Weber County, Municipal Building Authority, RB, Asset Guaranty
6.750%, 12/15/04 1,190,000 1,278,977
------------
11,394,414
------------
VIRGINIA -- 1.03%
Alexandria Redevelopment & Housing Authority, Multi-Family Housing, United
Dominion-Parkwood Court, RB
6.625%, 05/01/24 2,795,000 2,874,490
Newport News, Industrial Development Authority, Mennowood Communities, RB,
Series A, GNMA
7.250%, 08/01/16 1,105,000 1,210,671
Richmond, Metro Expressway Authority, RB, Partially Pre-Refunded @ 102, AMBAC
7.000%, 10/15/00 1,490,000 1,633,487
State Housing Development Authority, Multi-Family Mortgage, RB, Series D
6.800%, 11/01/09 750,000 787,065
------------
6,505,713
------------
VERMONT -- 0.26%
Education & Health Building Finance Authority, Norwich University Project, RB
4.300%, 07/01/00 105,000 104,892
4.750%, 07/01/04 190,000 185,980
5.000%, 07/01/06 345,000 335,261
5.000%, 07/01/07 380,000 365,678
5.750%, 07/01/13 655,000 632,113
------------
1,623,924
------------
WASHINGTON -- 1.47%
Grays Harbor County, Public Utility District Number 1, RB, ETM,
5.375%, 01/01/06 350,000 355,765
King County, Housing Authority, Multi-Family Mortgage, Section 8 Assisted, RB,
Series A
7.000%, 08/01/03 575,000 577,553
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 45
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
King County, Housing Authority, Multi-Family Mortgage, Section 8 Assisted, RB,
Series B
7.000%, 08/01/03 $ 175,000 $ 175,774
Seattle, Low Income Housing Assistance Authority, Kin On Project, RB,
Series A, GNMA
7.400%, 11/20/36 1,402,000 1,560,356
Spokane, Housing Authority, Valley 206 Apartments, RB, Series A
5.625%, 04/01/28 935,000 851,720
Spokane, Housing Authority, Valley 206 Apartments, RB, Series B, LOC
5.750%, 04/01/28 555,000 518,986
State Housing Finance Commision, Convention Deferred Interest, RB, Series 4A,
AMT, FNMA/ GNMA (A)
0.000%, 12/01/20 3,055,000 1,731,360
State Housing Finance Commision, RB, Series B, FNMA
6.900%, 07/01/16 1,370,000 1,375,001
State Housing Finance Commission, Nonprofit Housing Revenue, Presbyterian
Ministries, RB, Series A, ACA
5.100%, 01/01/14 1,235,000 1,151,007
5.300%, 01/01/19 1,040,000 949,904
------------
9,247,426
------------
WEST VIRGINIA -- 1.45%
Beckley, Nursing Facility, Beckley Healthcare Corporation Project, RB, LOC
5.550%, 09/01/08 230,000 224,977
5.700%, 09/01/09 190,000 183,686
Harrison County, CMO, Series B, AMBAC (A)
0.000%, 10/20/10 2,637,000 1,142,296
Marshall County, Capital Appreciation, RB, MBIA (A)
0.000%, 05/01/14 2,805,000 926,071
Mason County, Point Pleasant Haven, RB, LOC
6.200%, 12/01/05 795,000 796,049
Preston County, Pollution Control Authority, Community-Monoogahela, RB,
Series C
4.500%, 03/01/03 5,000,000 4,896,200
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Raleigh Fayette & Nicholas County, Series B, AMBAC (A)
0.000%, 06/20/10 $2,027,000 $ 940,751
------------
9,110,030
------------
WISCONSIN -- 1.76%
Housing & Economic Development Authority, RB, Series B, AMT
4.950%, 09/01/09 375,000 351,889
Oshkosh, Hospital Facility, Mercy Medical Center, RB, Pre-Refunded @ 100 (D)
7.375%, 07/01/07 210,000 241,727
Pewaukee, Industrial Development Authority, Lake Country Development Project,
RB, LOC
5.800%, 06/01/04 100,000 102,064
5.900%, 06/01/05 105,000 107,464
6.000%, 06/01/06 130,000 133,424
Shell Lake, Nursing Home Revenue, Terraceview Living, RB, GNMA
5.300%, 09/20/18 1,630,000 1,458,100
State Health & Education Facility, Richland Hospital Inc Project, RB,
Series A, ACA
5.375%, 06/01/28 3,335,000 2,866,766
State Health & Educational Facilities, Sister Sorrowful Mothers, RB,
Series A, MBIA
5.100%, 08/15/07 1,060,000 1,047,057
5.200%, 08/15/08 1,560,000 1,538,893
5.300%, 08/15/09 1,110,000 1,095,415
State Health & Educational Facilities, Viterbo College Incorporated Project,
RB, LOC
5.250%, 02/01/04 110,000 110,657
5.400%, 02/01/05 95,000 95,769
5.750%, 02/01/12 490,000 483,179
6.000%, 02/01/17 505,000 501,197
Waupun, School District, GO, FGIC
5.625%, 04/01/11 580,000 585,672
West Bend, GO
6.400%, 02/01/05 140,000 147,454
Whitewater, Waterworks Systems Mortgage
7.500%, 07/01/16 235,000 246,753
------------
11,113,480
------------
</TABLE>
46 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
WYOMING -- 1.03%
Cheyenne, Federal Mineral Royalty, RB
6.200%, 06/01/09 $ 935,000 $ 973,616
Community Development Authority, RB, Series 5, AMT
5.700%, 12/01/07 185,000 186,658
Community Development Authority, Single Family Mortgage, RB, Series B, FHA
8.125%, 06/01/21 125,000 128,171
Multi-Family Community Development Authority, Aspen Court Apartments Project,
RB, Series A, Mandatory Put @ 100, AMT, LOC (B)
4.750%, 12/01/08 3,000,000 2,844,720
Teton County Hospital, St. John's, RB, ACA
5.000%, 12/01/03 310,000 307,167
Teton County, School District Number 1 Project, RB, MBIA
5.000%, 06/01/05 2,070,000 2,072,899
------------
6,513,231
------------
Total Municipal Bonds
(Cost $629,562,557) 609,233,641
------------
TAX-EXEMPT ASSET-BACKED SECURITIES -- 0.64%
Bridlewood Village Apartments, Participation Certificate, Class A, FHA
5.600%, 09/01/21 1,683,829 1,683,829
FHA Insured Trust, Series 1996-1, Class A-2, Private Placement
6.750%, 02/01/13 606,877 611,428
FHA Insured Trust, Series 1996-1, Class A-3, Private Placement
7.000%, 07/01/23 1,713,380 1,726,231
------------
Total Tax-Exempt Asset-Backed Securities (Cost $4,004,086) 4,021,488
------------
<CAPTION>
SHARES
-----------
CASH EQUIVALENT -- 1.18%
<S> <C> <C>
Provident Institutional Municipal Cash Fund
(Cost $7,436,346) 7,436,346 7,436,346
------------
Total Investments -- 98.51%
(Cost $641,002,989) 620,691,475
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.49% 9,377,380
------------
Net Assets -- 100.0% $630,068,855
============
</TABLE>
<TABLE>
<S> <C>
(A) ZERO COUPON SECURITY
(B) MANDATORY PUT/TENDER SECURITY. THE MANDATORY PUT/TENDER DATE IS SHOWN AS
THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF INVESTMENTS
IS THE RATE IN EFFECT AS OF OCTOBER 31, 1999.
(D) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY DATE
ON THE SCHEDULE OF INVESTMENTS.
AMT INCOME FROM SECURITY MAY BE SUBJECT TO ALTERNATIVE MINIMUM TAX.
CMO COLLATERIZED MORTGAGE OBLIGATION
COP CERTIFICATE OF PARTICIPATION
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
</TABLE>
<TABLE>
<S> <C>
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
ACA AMERICAN CAPITAL ACCESS
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
ASSET GUARANTY ASSET GUARANTY
AXA AXA INSURANCE
BIGI BOND INVESTORS GUARANTY INSURANCE
FGIC FINANCIAL GUARANTY INSURANCE COMPANY
FHA FEDERAL HOUSING ADMINISTRATION
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
FSA FINANCIAL SECURITY ASSURANCE
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING & URBAN DEVELOPMENT
IRBA INDUSTRIAL RECREATION BUILDING AUTHORITY
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
VA VETERANS ADMINISTRATION
</TABLE>
Fixed Income Fund
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 34.42%
Access Financial Manufacturing Housing Contract Trust, Series 1995-1,
Class A3
7.100%, 05/15/21 $ 740,000 $ 740,762
Air 2 US, 144A
8.027%, 10/01/19 18,355,000 18,355,000
America West Airlines, Series 144A
7.930%, 01/02/19 18,675,000 18,712,910
American United Life Insurance, 144A
7.750%, 03/30/26 8,425,000 8,139,317
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 47
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Fixed Income Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Archstone Community Trust
7.200%, 04/15/03 $24,500,000 $ 24,278,741
Aristar
7.375%, 09/01/04 3,565,000 3,589,328
Banamex, 144A
7.500%, 10/01/06 21,725,000 21,799,680
BFC Finance, Series 1996-A
7.375%, 12/01/17 7,925,000 7,931,182
Cinergy Global Resources, 144A
6.200%, 11/03/08 9,100,000 8,411,503
Cleveland Electric Illuminat
7.430%, 11/01/09 9,250,000 9,036,270
Colonial Realty, MTN
7.930%, 08/09/02 18,375,000 18,330,661
Columbus Southern Power, MTN
6.550%, 06/26/08 14,640,000 13,911,367
Continental Airlines, Series 99-2
7.566%, 09/15/21 3,778,000 3,702,289
Diversified REIT Trust, Series 1999-1A, Class A2
6.780%, 03/18/11 5,200,000 4,922,125
Eastern Energy, 144A
6.750%, 12/01/06 9,828,000 9,382,005
Farmers Insurance Exchange, 144A
8.625%, 05/01/24 9,230,000 9,433,540
First American Financial
7.550%, 04/01/28 5,795,000 5,229,669
Ford Motor Credit
7.375%, 10/28/09 28,300,000 28,555,832
HSBC America Capital Trust, 144A
7.808%, 12/15/26 9,070,000 8,265,010
HSBC Americas
7.000%, 11/01/06 12,850,000 12,589,209
Jackson National Life Insurance, 144A
8.150%, 03/15/27 5,575,000 5,628,598
Lehman Brothers
11.625%, 05/15/05 4,410,000 5,231,971
Lumbermens Mutual Casualty, 144A
8.450%, 12/01/97 3,000,000 2,536,908
National Bank of Canada
7.750%, 11/01/09 1,835,000 1,832,358
Norwest Corp., MTN
6.875%, 08/08/06 3,424,000 3,345,902
Ohio National Life Insurance, 144A
8.500%, 05/15/26 3,725,000 3,840,408
Paine Webber Group, MTN
6.650%, 10/15/02 12,405,000 12,208,033
6.790%, 10/04/04 3,260,000 3,173,991
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Pemex Finance, 144A
5.720%, 11/15/03 $ 5,000,000 $ 4,887,800
6.550%, 02/15/08 22,775,000 21,684,305
7.330%, 05/15/12 11,575,000 11,205,179
PP&L Capital Funding, Series MBIA
6.790%, 11/22/04 25,605,000 25,497,792
Prologis Trust
7.100%, 04/15/08 6,544,000 6,151,196
Puget Sound Energy
6.740%, 06/15/18 730,000 669,143
Rohm & Haas Company, 144A
7.400%, 07/15/09 14,325,000 14,502,172
Security Capital Industrial
8.720%, 03/01/09 9,175,000 9,387,677
7.625%, 07/01/17 18,985,000 17,450,765
Summit Properties Partnership, MTN
6.750%, 07/30/01 27,500,000 27,023,727
Union Acceptance, Series 1999-A, Class A4
5.700%, 06/08/04 18,625,000 18,188,243
Union Center Life, 144A
8.200%, 01/01/26 1,845,000 1,694,310
Washington Mutual
7.500%, 08/15/06 4,336,000 4,356,153
--------------
Total Corporate Obligations
(Cost $446,045,276) 435,813,031
--------------
ASSET-BACKED SECURITIES -- 15.70%
Aames Mortgage Trust, Series 1998-C, Class A4F
6.268%, 01/15/27 9,900,000 9,605,871
Americredit Automobile Receivables Trust, Series 1999-B, Class A4
5.960%, 03/05/06 24,025,000 23,618,977
Americredit Automobile Receivables Trust, Series 1999-C, Class A3
6.840%, 10/05/03 7,604,000 7,654,567
Americredit Automobile Receivables Trust, Series 1999-D, Class A3
7.020%, 12/12/05 478,000 479,793
Amresco Residential Securities Mortgage Loan, Series 1997-3, Class A3
6.600%, 01/25/18 69,474 69,192
Arcadia Automobile Receivables Trust, Series 1999-C, Class A3
7.200%, 06/15/07 642,000 647,232
</TABLE>
48 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ARG Funding Corporation, Class 1999-1A, Class A3
6.020%, 05/20/05 $10,840,000 $ 10,433,608
Chemical Master Credit Card Trust, Series 1995-3, Class A
6.230%, 08/15/02 2,948,000 2,924,593
Copelco Capital Funding, Series 1999-B, Class A4
6.900%, 12/18/04 3,685,000 3,676,364
FMAC Loan Receivables Trust, Series 1998-DA, Class A2
6.404%, 12/01/19 10,000,000 9,337,500
Green Tree Home Improvement Loan Trust, Series 1998-D, Class HIB1
7.700%, 06/15/29 9,150,000 8,931,681
Green Tree Home Improvement Loan Trust, Series 1998-E, Class HIB1
7.790%, 02/15/15 2,500,000 2,422,950
Green Tree Home Improvement Loan Trust, Series 1999-E, Class B1
10.340%, 03/15/15 7,240,000 7,268,453
Household Automotive Trust III, Series 1999-1, Class A3
6.330%, 06/17/03 10,146,000 10,122,969
Household Automotive Trust III, Series 1999-1, Class A4
6.650%, 04/17/06 6,125,000 6,131,370
Lehman Home Equity Loan Trust, Series 1995-7, Class A3
6.840%, 03/25/12 2,568,179 2,560,732
MMCA Automobile Trust, Series 1999-2, Class A3
7.000%, 05/15/04 18,700,000 18,695,208
PECO Energy Transition Trust, Series 1999-A, Class A6
6.050%, 03/01/09 18,850,000 17,840,394
Sears Credit Account Master Trust, Series 1997-1, Class A
6.200%, 07/16/07 2,033,000 2,015,882
Southern Pacific Secured Assets, Series 1997-4, Class A4
6.630%, 11/25/25 16,411,454 16,329,560
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Southern Pacific Secured Assets, Series 1998-1, Class A5
6.460%, 01/25/26 $10,997,000 $ 10,907,374
The Money Store Home Equity Trust, Series 1997-A, Class A9
7.235%, 05/15/28 10,000,000 10,020,600
UCFC Home Equity Loan, Series 1994-D1, Class A4
8.775%, 02/10/16 2,443,912 2,462,853
UCFC Home Equity Loan, Series 1997-D, Class A-2
6.475%, 06/15/12 368,864 368,075
Union Acceptance, Series 1999-B, Class A4
6.110%, 09/08/05 (C) 8,110,000 8,008,220
World Omni Automobile Lease Securitization, Series 1997-B, Class A4
6.200%, 11/25/03 6,261,713 6,255,325
--------------
Total Asset-Backed Securities
(Cost $201,629,627) 198,789,343
--------------
MORTGAGE-BACKED SECURITIES -- 13.53%
Associates Manufactured Housing, Series 1997-2, Class A5
6.675%, 03/15/28 10,035,000 9,903,240
Chase Mortgage Finance, REMIC, Series 1994-B, Class A1
6.750%, 02/25/25 580,693 578,126
First Union - Lehman Brothers Commerical Mortgage, CMO, Series 1997-C1,
Class A3
7.380%, 04/18/07 26,477,000 26,557,755
General Electric Capital Mortgage Services, Inc., CMO, Series 1999-18,
Class A12
7.000%, 11/25/29 18,430,000 17,731,134
General Electric Capital Mortgage Services, Inc., CMO, Series 1999-14,
Class A8
6.500%, 06/25/29 5,380,000 4,674,305
General Electric Capital Mortgage Services, Inc., REMIC, Series 1994-10,
Class A10
6.500%, 03/25/24 2,555,650 2,457,334
General Electric Capital Mortgage Services, Inc., REMIC, Series 1997-7,
Class A7
7.500%, 08/25/27 2,730,652 2,739,335
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 49
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Fixed Income Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Green Tree Financial Corporation, Series 1998-3, Class B1
7.290%, 03/01/30 $ 150,000 $ 134,243
Green Tree Financial Corporation, Series 1999-2, Class B1
8.410%, 03/01/30 2,000,000 1,859,740
Green Tree Financial Corporation, Series 1999-4, Class B1
8.750%, 05/01/31 4,000,000 3,789,880
Green Tree Financial Corporation, Series 1994-6, Class A5
8.250%, 01/15/20 4,655,000 4,740,233
Green Tree Financial Corporation, Series 1997-5, Class A6
6.820%, 05/15/29 11,885,000 11,538,909
Green Tree Financial Corporation, Series 1996-2, Class A4
7.200%, 04/15/27 6,520,000 6,514,067
Green Tree Financial Corporation, Series 1996-5, Class A5
7.450%, 07/15/27 4,145,000 4,198,636
Green Tree Financial Corporation, Series 1997-6, Class B1
7.170%, 01/15/29 2,795,000 2,527,407
Green Tree Financial Corporation, Series 1998-2, Class B1
7.360%, 10/01/20 9,310,000 8,384,121
Green Tree Financial Corporation, Series 1998-4, Class B1
7.260%, 01/01/22 10,570,000 9,431,188
Green Tree Home Improvement Loan Trust, Series 1996-F, Class HEA3
6.900%, 01/15/28 2,449,275 2,452,287
Merrill Lynch Mortgage Investors, Series 1990-C, Class B, 144A
9.700%, 06/15/10 8,518,289 8,779,737
Merrill Lynch Mortgage Investors, Series 1991-I, Class A
7.650%, 01/15/12 306,903 307,081
Merrill Lynch Mortgage Investors, Series 1995-C1, Class A
7.125%, 05/25/15 1,293,862 1,290,226
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Norwest Asset Securities, REMIC, Series 1997-14, Class A2
6.750%, 10/25/27 $17,199,000 $ 17,152,735
NYC Mortgage Loan Trust, Series 1996, Class A3, 144A
6.750%, 09/25/19 8,615,000 7,761,577
Oakwood Mortgage Investors, Series 1996-B, Class A3
7.100%, 10/15/26 3,393,226 3,396,517
Prudential Home Mortgage Securities, CMO, Series 1993-27, Class A3
7.500%, 07/25/23 1,500,000 1,501,245
Prudential Home Mortgage Securities, REMIC, Series 1994-12, Class A7
6.050%, 04/25/24 3,724,000 3,067,794
Prudential Home Mortgage Securities, REMIC, Series 1994-17, Class A5
6.250%, 04/25/24 5,310,000 4,648,374
Residential Asset Securities, REMIC, Series 1998-Ks2, Class Ai3
6.240%, 02/25/17 1,675,000 1,656,173
Residential Funding, CMO, Series 1995-S15, Class A2
7.000%, 10/25/10 1,602,883 1,605,833
--------------
Total Mortgage-Backed Obligations
(Cost $174,182,531) 171,379,232
--------------
TAXABLE MUNICIPAL BONDS -- 8.23%
Alameda, California, Corridor Transportation Authority, RB, Series D
5.670%, 10/01/05 2,720,000 2,533,163
Allegheny County, Pennsylvania, Residential Finance Authority, RB, FHA (A)
0.000%, 08/01/28 7,370,000 818,144
Arkansas State, Financial Development Authority, CMO, Series A, Class 4, FSA
(A)
0.000%, 07/10/14 500,000 160,565
Atlanta, Georgia, Urban Residential Finance Authority, RB, FNMA (A)
0.000%, 10/01/16 6,490,000 1,674,420
0.000%, 04/01/22 1,053,698 1,055,363
</TABLE>
50 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Baltimore, Maryland, Public Improvements, Series B, GO, FGIC
8.100%, 10/15/10 $ 1,775,000 $ 1,881,447
8.700%, 10/15/15 1,875,000 2,011,256
Belmont, California, Redevelopment Agency, Tax Allocation Bond, MBIA
7.550%, 08/01/11 895,000 906,080
California State, Housing Finance Agency, Single Family Mortgage, Issue A-1,
RB, AMBAC
7.900%, 08/01/07 5,340,000 5,438,950
California State, Housing Finance Authority, Single Family Mortgage,
Mezzanine-Issue A-1, RB, AMBAC/FHA
8.240%, 08/01/14 1,775,000 1,837,977
Cameron County, Texas, Housing Finance Corporation, RB, Series A, Class 1B,
FGIC
10.210%, 09/01/10 874,338 874,513
Cameron County, Texas, Housing Finance Corporation, Series A, Class 1C, FGIC
10.450%, 09/01/11 945,000 992,978
Chattahoochee Valley, Alabama, Water Supply, RB, Asset Guaranty
8.600%, 10/01/07 200,000 214,066
Connecticut State, Health & Education Authority, Nursing-AHF/Hartford, RB
8.450%, 11/01/99 245,000 245,049
Connecticut State, Health & Education Authority, Sheriden Woods Center
Project, RB
7.950%, 11/01/05 1,755,000 1,803,912
8.730%, 11/01/17 1,150,000 1,226,314
Contra Costa County, California, Multi-Family Housing Revenue, Willow Pass
Apartments, RB, Series D-T, FNMA
6.800%, 12/01/15 2,500,000 2,369,525
Dade County, Florida, Aviation Revenue, RB, Series C, AMBAC
8.650%, 10/01/03 930,000 992,226
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Delaware State, Housing Authority, Single Family Mortgage, RB, Series B,
AMBAC
6.750%, 07/01/14 $ 955,000 $ 952,097
Florida Windstorm, 144A, MBIA
7.125%, 02/25/19 350,000 327,394
Fulton, Missouri, GO, MBIA
7.500%, 07/01/07 1,045,000 1,065,430
Harrisburg, Pennsylvania, Resource Recovery Authority, RB, Series B, ETM
6.875%, 09/01/03 425,000 427,418
Hungtington, West Virginia, Collateral Mortgage Obligation, RB
9.050%, 01/15/12 1,407,519 1,416,991
Idaho State, Sand Creek Associates Limited Partnership, Multi-Family Housing
Revenue, RB, HUD Section 8
8.250%, 12/01/18 3,455,000 3,293,341
Idaho State, Water Reserves Board, Fall River Rural Electric
9.500%, 04/01/13 5,320,000 5,509,605
Iowa State, Multi-Family Finance Authority, Place 35-A-T, RB, GNMA
7.125%, 10/20/16 1,980,000 1,952,478
Kanawha & Putnam County, West Virginia, RB, AMBAC (A)
0.000%, 12/01/16 2,160,000 625,212
Lake Mills, Iowa, Investors Ltd, RB, Series 1995
7.450%, 11/01/99 250,000 250,006
7.600%, 11/01/00 280,000 279,254
7.600%, 11/01/01 360,000 358,487
7.750%, 11/01/02 385,000 381,866
7.850%, 11/01/03 410,000 406,961
7.850%, 11/04/04 410,000 399,151
7.900%, 11/01/05 450,000 439,758
8.000%, 11/01/06 590,000 575,263
8.000%, 11/01/07 610,000 588,785
Manatee County, Florida, Housing Finance Authority, RB, GNMA
7.300%, 11/01/12 1,265,000 1,277,637
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 51
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Fixed Income Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Mississippi State, Residual Home Corporation, RB, FHA (A)
0.000%, 12/01/12 $ 5,630,000 $ 2,202,625
Mississippi State, Single Family Home Corporation, RB, Series D, Class 3,
GNMA/FNMA
7.750%, 07/01/24 2,591,664 2,659,125
New Mexico State, Mortgage Finance Authority, Single Family Mortgage Program,
RB, GNMA/FNMA/FHLMC
7.430%, 07/01/29 3,220,000 3,282,790
New Orleans, Louisiana, Home Mortgage Authority, Single Family Mortgage, RB,
Series A, MBIA (A)
0.000%, 10/01/15 2,475,000 600,905
New York City, New York, GO, Pre-Refunded @ 102 (A) (B)
0.000%, 11/15/13 240,000 214,790
New York City, New York, GO, Pre-Refunded @ 103 (A) (B)
0.000%, 08/01/08 45,000 41,427
New York City, New York, GO, Series F, Pre-Refunded @ 102 (B)
10.500%, 11/15/12 575,000 630,166
New York City, New York, Industrial Development Agency, Civic Facilities
Revenue, RB, Series B, MBIA
8.100%, 09/01/06 1,450,000 1,529,678
New York State, Housing Finance Agency, Multi-Family Housing, RB, FHA
8.110%, 11/15/38 2,965,000 2,964,466
North Miami, Florida, Pension Funding Project, RB, FSA
6.850%, 07/01/05 255,000 253,082
7.000%, 01/01/08 165,000 162,268
7.000%, 07/01/08 170,000 167,061
Oklahoma City, Oklahoma, Airport Trust, RB, 17th Series
8.300%, 10/01/12 1,000,000 1,047,130
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Oklahoma City, Oklahoma, Airport Trusts, Federal Bureau Prisons Project, RB
9.800%, 11/01/14 $ 2,650,000 $ 3,065,335
Oklahoma County, Oklahoma, Single Family Home Finance Authority, RB, Series B
(A)
0.000%, 07/01/12 3,450,000 1,060,151
Panhandle, Texas, Regional Housing Finance Corporation, Single Family Mortgage
Revenue, RB, (A)
0.000%, 10/01/11 1,460,000 516,417
Pima & Maricopa Counties, Arizona, Industrial Development Authority, Bulk Sale
Program, RB, FNMA
6.500%, 01/01/06 520,000 517,436
Sedwick & Shawnee Counties, Kansas, Single Family Revenue, Mortgage Backed
Second Program, RB, Series A-3, GNMA
6.520%, 12/01/12 5,005,000 5,023,218
Sedwick & Shawnee Counties, Kansas, Single Family Revenue, Mortgage Backed
Second Program, RB, Series B, GNMA
8.375%, 06/01/18 6,760,000 7,047,030
Southwestern Illinois, Developmental Sports Authority, Gateway International
Motorsports, RB
9.200%, 02/01/13 2,250,000 2,527,042
9.250%, 02/01/17 2,000,000 2,229,840
Tarrant County, Texas, Housing Finance Corporation, RB, MBIA
6.650%, 07/15/16 415,000 416,290
Utah State, Housing Finance Agency, Single Family Mortgage, Series D-1, RB,
FHA
9.850%, 07/01/10 165,000 170,878
Westmoreland County, Pennsylvania, Redevelopment Authority, RB, Series A,
GNMA
5.530%, 06/20/28 5,890,000 5,884,698
</TABLE>
52 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Wyandotte County, Kansas City, Kansas, International Speedway, RB, MBIA
6.750%, 12/01/27 $13,880,000 $ 12,391,785
--------------
Total Taxable Municipal Bonds
(Cost $105,570,320) 104,168,715
--------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 14.30%
Federal Home Loan Mortgage Corporation, CMO, Series 2071, Class EV
6.500%, 04/15/09 5,496,864 5,396,143
Federal Home Loan Mortgage Corporation, Gold, Pool C00742
6.500%, 04/01/29 24,148,441 23,160,618
Federal Home Loan Mortgage Corporation, Gold, Pool C29108
6.500%, 07/01/29 15,176,289 14,555,484
Federal Home Loan Mortgage Corporation, Gold, Pool C31226
6.500%, 09/01/29 145,497 139,545
Federal Home Loan Mortgage Corporation, REMIC, Series 1496, Class KB
6.500%, 05/15/08 1,955,000 1,908,178
Federal Home Loan Mortgage Corporation, REMIC, Series 1562, Class J
7.000%, 05/15/10 9,650,000 9,589,026
Federal Home Loan Mortgage Corporation, REMIC, Series 1633, Class PE
5.750%, 10/15/17 760,545 757,974
Federal National Mortgage Association, CMO, Series 1998-36, Class J
6.000%, 07/18/28 14,385,000 13,257,599
Federal National Mortgage Association, CMO, Series 1998-46, Class GV
6.500%, 05/18/09 10,387,169 10,216,184
Federal National Mortgage Association, CMO, Series 1999-54, Class PG
6.500%, 02/18/29 5,310,000 4,978,457
Federal National Mortgage Association, Pool 252062
6.500%, 10/01/13 3,530,597 3,467,652
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Federal National Mortgage Association, Pool 303387
8.000%, 07/01/02 $ 596,093 $ 601,441
Federal National Mortgage Association, Pool 419597
6.000%, 08/01/28 679,006 633,255
Federal National Mortgage Association, Pool 481445
6.000%, 01/01/29 12,728,608 11,870,971
Federal National Mortgage Association, REMIC, Series 1994-92, Class DE
7.500%, 07/25/07 5,837,556 5,889,581
Federal National Mortgage Association, REMIC, Series 1995-2, Class H
8.500%, 06/25/10 16,945,000 17,340,398
Federal National Mortgage Association, REMIC, Series 1997-40, Class PE
6.750%, 07/18/19 4,925,000 4,927,857
Federal National Mortgage Association, REMIC, Series 1997-W2, Class A3
6.575%, 11/25/27 2,000,000 1,988,560
Federal National Mortgage Association, REMIC, Series G92-39, Class Q
7.000%, 03/25/01 2,253,391 2,253,887
Federal National Mortgage Association, REMIC, Series G93-31, Class G
7.000%, 01/25/03 2,827,935 2,844,365
Federal National Mortgage Association, Series 1995-M2, Class B
6.700%, 05/25/28 572,376 572,222
Federal National Mortgage Association, Series 1995-M2, Class C
6.800%, 05/25/28 1,080,000 1,078,650
Federal National Mortgage Association, Series 1997-M2, Class B
7.350%, 02/17/08 15,436,238 15,650,339
Government National Mortgage Association, CMO, Series 1999-4, Class VA
6.000%, 12/20/09 23,810,160 22,976,783
Government National Mortgage Association, Pool 462682
6.500%, 04/15/28 4,798,280 4,588,988
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 53
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Fixed Income Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Government National Mortgage Association, Pool 464272
6.500%, 10/15/28 $ 426,109 $ 407,523
--------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $183,965,238) 181,051,680
--------------
U.S. TREASURY OBLIGATIONS -- 11.26%
U.S Treasury Bond
6.625%, 03/31/02 4,570,000 4,645,692
7.875%, 11/15/04 3,439,000 3,703,373
6.500%, 10/15/06 24,523,000 24,959,828
8.125%, 08/15/19 92,783,000 109,281,024
--------------
Total U.S. Treasury Obligations
(Cost $144,651,688) 142,589,917
--------------
REPURCHASE AGREEMENT -- 1.35%
J.P. Morgan Securities, dated 10/29/99, repurchase value $17,188,827 (Collateralized by
FHLB, par value $17,844,000, due 1/26/00, market value $17,580,944) 5.280%, 11/1/99
(Cost $17,181,269)
17,181,269 17,181,269
--------------
Total Investments -- 98.79%
(Cost $1,273,225,949) 1,250,973,187
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.21% 15,284,617
--------------
Total Net Assets -- 100% $1,266,257,804
==============
</TABLE>
<TABLE>
<S> <C>
(A) ZERO COUPON BOND
(B) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE
MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(C) STEP UP BOND -- THE RATE REFLECTED ON THE SCHEDULE OF
INVESTMENTS IS THE RATE IN EFFECT ON OCTOBER 31, 1999. THE
INITIAL COUPON ON A STEP BOND CHANGES ON A SPECIFIC DATE, TO BE
A PREDETERMINED HIGHER RATE.
CMO COLLATERIZED MORTGAGE OBLIGATION
ETM ESCROWED TO MATURITY
GO GENERAL OBLIGATION
MTN MEDIUM TERM NOTE
RB REVENUE BOND
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
144A SECURITY EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE
SECURITY ACT OF 1933. THESE SECURITIES MAY BE RESOLD IN
TRANSACTIONS EXEMPT FROM REGISTRATION, NORMALLY TO QUALIFIED
INSTITUTIONAL BUYERS.
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
FGIC FINANCIAL GUARANTEE INSURANCE COMPANY
FHLB FEDERAL HOME LOAN BANK
FHLMC FEDERAL HOME LOAN MORTGAGE CORPORATION
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING URBAN DEVELOPMENT
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
</TABLE>
Short-Term
Municipal Bond Fund
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS -- 88.30%
ALABAMA -- 0.03%
Hartselle Medical Clinic, Hospital Clinic America, Board Hospital RB, ETM
6.250%, 10/01/02 $ 15,000 $ 15,484
Southeast Mobile County, Water Authority, RB, ETM
7.250%, 01/01/00 15,000 15,081
------------
30,565
------------
ALASKA -- 0.05%
Valdez, Marine Terminal Revenue, ARCO Pipe Line Company Project, RB, Pre-
Refunded @ 100 (D)
6.000%, 08/01/03 55,000 57,298
------------
ARIZONA -- 0.95%
Maricopa County, Hospital Revenue Authority, RB, Phoenix Baptist Hospital &
Medical Center, ETM
7.125%, 10/01/02 135,000 140,943
Maricopa County, Hospital Revenue Authority, Samaritan Health Services, RB,
ETM
6.750%, 01/01/04 50,000 52,128
Maricopa County, Hospital Revenue Authority, Sun Health Corp., RB, ETM
7.875%, 04/01/02 240,000 247,939
Maricopa County, Industrial Development Authority, Lutheran Hospital & Homes,
RB, ETM
6.750%, 12/01/03 180,000 187,853
Phoenix, Industrial Development Authority, Single Family Mortgage Revenue, RB,
Series D, FGIC
4.200%, 06/01/02 400,000 393,884
------------
1,022,747
------------
</TABLE>
54 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
ARKANSAS -- 5.55%
Arkansas State, Development Finance Authority, Multi-Family Mortgage Revenue,
RB, Series A, MBIA
5.450%, 07/01/24 $ 4,000,000 $ 3,679,720
Crosett, Industrial Development Authority, Georgia Pacific Project, RB,
Pre-Refunded @ 100 (D)
6.000%, 06/01/01 375,000 382,905
Little Rock, Residential Housing & Public Facility Board, RB, Series B (A)
0.000%, 07/15/11 225,000 98,026
Mississippi County, Hospital Revenue, RB, AMBAC, ETM
7.250%, 11/01/02 100,000 104,173
Rogers Ark, Residential Housing Facility Board, Innisfree Apartment Project,
RB, Mandatory Put @ 100 LOC (B)
4.875%, 05/01/03 1,000,000 987,030
Rogers Ark, Sales & Use Tax Revenue, RB, Series 1996
5.000%, 11/01/15 725,000 721,520
------------
5,973,374
------------
CALIFORNIA -- 3.22%
ABAG Finance Authority For The Non-Profit Co., American Baptist Homes,
Series A, COP
5.500%, 10/01/07 350,000 337,645
Brea, Public Finance Revenue Authority, Pre-Refunded @ 102, MBIA (D)
7.000%, 08/01/01 120,000 127,787
Fairfield, COP, Pre-Refunded @ 100 (D)
10.750%, 08/01/00 20,000 21,001
Fresno, Multi-Family Housing Revenue, Maple Leaf Apartments, RB, Series B
5.100%, 10/01/05 2,500,000 2,502,225
Los Angeles, Housing Authority, Multi-Family Housing, The Palm Apartments, RB,
Series E, FNMA
4.200%, 01/01/00 80,000 79,918
4.200%, 07/01/00 85,000 84,697
4.300%, 01/01/01 35,000 34,788
Los Angeles, Public Facility Corporation, RB, ETM
5.400%, 08/01/07 80,000 82,017
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Santa Clara County, Housing Authority, Amberwood Apartments Project, RB,
Series C, FNMA
4.750%, 10/01/07 $ 200,000 $ 196,497
------------
3,466,575
------------
COLORADO -- 1.02%
El Paso County, Colonial Multi-Family Mortgage Revenue, Cottonwood Terrace
Project, RB, GNMA
5.250%, 09/20/03 25,000 25,226
El Paso County, Colonial Residual Revenue, RB, Series C (A)
0.000%, 07/10/14 1,000,000 329,510
Housing Finance Authority, Single Family Housing Program, RB, Series E
6.250%, 12/01/09 55,000 55,622
Housing Finance Authority, Single Family Housing Program, RB, Series B
4.625%, 11/01/05 30,000 29,752
Logan County, Single Family Mortgage, RB, Series A
8.500%, 11/01/11 70,000 73,095
Student Obligation Board Authority, Student Loan Revenue, RB, Series C, AMT
6.900%, 09/01/01 565,000 583,786
------------
1,096,991
------------
CONNECTICUT -- 0.30%
Health & Educational Facilities, Lutheran General Health Care System, RB, ETM
7.250%, 07/01/04 60,000 63,739
State Housing Finance Authority, Housing Mortgage Finance Program, RB,
Series B, FHA
7.000%, 11/15/02 150,000 153,155
State, GO
5.250%, 07/01/02 100,000 100,069
------------
316,963
------------
DELAWARE -- 0.02%
Dover, Water & Sewer Revenue, RB, Series B, MBIA
7.200%, 07/01/01 20,000 20,052
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 55
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Short-Term
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
FLORIDA -- 7.68%
Alachua County Health Facility Authority, Shands Teaching Hospital & Clinics
Inc., RB, ETM
7.000%, 12/01/01 $ 305,000 $ 315,495
Dade County, Educational Facilities Authority Exchange, University of Miami
Issue, RB, MBIA
7.650%, 04/01/10 900,000 930,744
Dade County, Housing Finance Authority, Single Family Mortgage Revenue, RB,
Series B-1, AMT, FNMA/GNMA
6.100%, 04/01/27 3,262,129 3,264,739
Dade County, RB, Pre-Refunded @ 103 (D)
9.750%, 02/01/00 535,000 554,972
Fort Meyers, Improvement Revenue Authority, Special Assessment, Pre-Refunded @
100 (D)
7.050%, 07/01/03 275,000 297,696
Gainesville, Utility Systems Revenue, RB, ETM
6.200%, 10/01/02 1,000,000 1,025,510
Housing Finance Agency, Multi-Family Revenue, RB, LOC (C)
4.850%, 12/01/05 1,000,000 1,001,280
Housing Finance Agency, RB, Mandatory Put @ 100 (B)
5.350%, 06/01/00 500,000 500,355
Lee County, Justice Center Complex, RB, Series A, ETM, MBIA
10.750%, 01/01/01 10,000 10,414
Orange County, Housing Authority, RB, CMO, Series A, GNMA
7.250%, 09/01/11 55,000 56,929
Putnam County, Development Authority, Pollution Control Revenue, Hudson
Pulp & Paper Corporation Project, RB
7.250%, 05/01/02 310,000 315,735
------------
8,273,869
------------
GEORGIA -- 0.73%
Canton, Multi-Family Housing Authority, Canterbury Ridge Apartments Project,
RB, FNMA, AMT
4.900%, 03/01/08 500,000 486,955
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Clarke County, Hospital Authority, RB, MBIA, ETM
9.750%, 01/01/02 $ 105,000 $ 111,512
Cobb County, Kennestone Hospital Authority, RB, MBIA, ETM
10.250%, 02/01/02 45,000 46,671
Crisp County, Industrial Development Authority, Cobis Products Company, RB,
ETM
6.300%, 07/01/02 134,000 136,341
------------
781,479
------------
IDAHO -- 0.70%
Boise City, Industrial Development Corporation, Western Trailer Company
Project, RB, LOC
4.750%, 12/15/02 650,000 640,738
Idaho Falls, Electric Revenue, RB, ETM
8.750%, 04/01/01 10,000 10,409
State Housing Agency, Single Family Mortgage, RB, Series C-1, FHA
7.650%, 07/01/10 95,000 97,057
------------
748,204
------------
ILLINOIS -- 5.91%
Addison, Alton, Pekin, & Granite City, CMO Series 1989-B, FSA
7.580%, 11/10/09 72,999 74,129
Chicago, School Finance Authority, GO, Series B, MBIA
7.500%, 06/01/00 65,000 65,521
Dupage County, Water & Sewer Revenue, MBIA, ETM
10.500%, 01/01/02 390,000 417,394
Health Facilities Authority Revenue, Macneal Memorial Hospital Association
Project, RB, Pre-Refunded @ 100 (D)
6.600%, 08/01/01 95,000 98,153
Health Facilities Authority, Evangelical Hospital Association Project, RB, ETM
6.600%, 10/01/03 35,000 36,503
Health Facilities Revenue Authority, Community Hospital of Ottawa Project, RB
6.750%, 08/15/14 300,000 310,593
</TABLE>
56 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Health Facilities Revenue Authority, Midwest Group Ltd., RB, ACA
5.375%, 11/15/08 $ 3,580,000 $ 3,635,239
Homewood, CTFS, GO, MBIA
5.700%, 12/01/01 20,000 20,509
Palatine County, Multi-family Housing, Clover Ridge East Apartments, RB, LOC
(C)
4.750%, 12/15/07 500,000 497,820
Palatine County, Tax Increment Revenue, Dundee Road Redevelopment Project, Tax
Allocation Bond, AMBAC
5.250%, 01/01/17 1,000,000 980,420
Pittsburgh, Urban Redevelopment Authority, Hazlewood Project, RB, MBIA/FHA
5.400%, 01/01/22 60,000 55,063
State Housing Development Authority, Home Owner Mortgage, RB, Series A-1
5.250%, 08/01/00 45,000 45,167
State Toll Highway Authority, RB, Pre-Refunded @ 100 (D)
6.750%, 01/01/06 120,000 127,662
------------
6,364,173
------------
INDIANA -- 2.73%
Health Facilities Financing Authority, Hancock Memorial Hospital Project, RB,
Pre-Refunded @ 102 (D)
8.300%, 08/15/00 195,000 205,082
La Porte, Economic Development Agency, RB, FGIC, ETM
7.375%, 06/01/01 70,000 72,258
Reid Memorial Hospital Inc., RB, ETM
6.250%, 05/01/00 125,000 126,488
South Bend, Community School Building Corporation, RB, AMBAC
5.125%, 01/15/11 2,510,000 2,415,550
Vigo County, Hospital Authority, RB, ETM
6.875%, 04/01/04 115,000 120,379
------------
2,939,757
------------
IOWA -- 3.71%
Des Moines, Hospital Revenue Authority, Fairview Community, Lutheran Hospital,
RB, MBIA, ETM
9.500%, 11/15/02 1,365,000 1,461,656
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Dubuque, Hospital Facilities, Finley Hospital Project, RB, ETM
6.875%, 01/01/12 $ 2,275,000 $ 2,424,308
Muscatine, Electric Revenue, RB, ETM
6.500%, 01/01/04 110,000 114,166
------------
4,000,130
------------
KANSAS -- 1.01%
Saline County, Single Family Mortgage, RB, Series A
9.500%, 10/01/11 40,000 41,174
Sedgwick & Shawnee County, Single Family Mortgage-Backed Securities Pograms,
RB, AMT, GNMA
4.700%, 12/01/08 850,000 842,529
Wichita, Hospital Revenue, RB, ETM
6.000%, 07/01/04 40,000 41,142
7.000%, 03/01/06 30,000 32,123
Wichita, Hospital Revenue, Wesley Medical Center, RB, MBIA, ETM
10.000%, 04/01/02 120,000 129,085
------------
1,086,053
------------
KENTUCKY -- 0.22%
Campbell & Kenton Counties, Sanitation District Revenue Authority, RB, ETM
6.375%, 08/01/03 80,000 81,287
Owensboro, Electric, Light & Power Revenue, RB, Series A, Pre-Refunded @ 102
(D)
10.125%, 01/01/00 155,000 159,211
------------
240,498
------------
LOUISIANA -- 1.69%
East Baton Rouge Parish Hospital, RB, ETM
6.200%, 10/01/02 35,000 36,086
Public Facilities Revenue Authority, RB, Series A-1
6.200%, 03/01/01 1,325,000 1,350,016
State Health Education Authority, Alton Ochsner Medical Foundation Issue - A,
RB, ETM
8.750%, 05/01/05 395,000 436,641
------------
1,822,743
------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 57
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Short-Term
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
MASSACHUSETTS -- 1.67%
Boston City Hospital, FHA Insured, Series A, RB, Pre-Refunded @ 100 & 102 ,
FHA (D)
7.625%, 08/15/00 $ 170,000 $ 177,730
Boston City Hospital, FHA Insured, Series A, RB, Pre-Refunded @ 100 & 102,
FHA (D)
7.650%, 08/15/00 255,000 267,286
State Health & Educational Facilities Authority, Community Health Center, RB,
Series B, Mandatory Put @ 100, LOC (B)
5.500%, 05/15/01 1,000,000 1,003,490
State Industrial Finance Agency, Ames Safety Envelope Company, RB, Mandatory
Put @ 100, AMT, LOC (B)
5.350%, 9/1/00 130,000 130,657
State Industrial Finance Agency, General Motors Corporation, RB
5.550%, 04/01/09 225,000 223,816
------------
1,802,979
------------
MAINE -- 1.64%
Bucksport, Solid Waste Disposal Revenue, Champ International Corporation
Project, RB
6.250%, 05/01/10 395,000 400,787
Finance Revenue Authority, Electronic Rate Stabilization, RB, FSA
5.200%, 07/01/18 1,515,000 1,359,455
------------
1,760,242
------------
MARYLAND -- 0.16%
Annapolis, Economic Development, Saint John's College Facility, RB
4.600%, 10/01/02 175,000 173,150
------------
MICHIGAN -- 0.79%
Building Revenue Authority, Ionia Maximum Prison, RB, Series II, ETM
7.250%, 09/01/00 15,000 15,414
Detroit, Sewage Disposal Revenue, RB, ETM
6.900%, 12/15/99 90,000 90,354
Home Corporation, Single Family Revenue, Series A, FNMA / GNMA
4.800%, 06/01/19 490,000 484,703
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Kalamazoo, Hospital Finance Authority, RB, ETM
7.000%, 07/01/01 $ 215,000 $ 220,717
State Building Authority, RB, Series II, ETM, MBIA
7.400%, 04/01/01 40,000 40,663
------------
851,851
------------
MINNESOTA -- 0.51%
Minneapolis, Industrial Development Revenue, Bureau of Engraving Project, RB,
MBIA
7.750%, 01/01/00 190,000 191,185
St. Paul, Science Museum, COP, ETM
7.500%, 12/15/01 346,972 360,220
------------
551,405
------------
MISSISSIPPI -- 2.31%
Corinth & Alcorn County, Magnolia Regional Health Center, Series A, RB
4.750%, 10/01/03 1,000,000 977,260
Gulfport, Hospital Facility Revenue, Memorial Hospital at Gulfport, RB, ETM,
BIGI
6.250%, 07/01/02 145,000 148,882
Higher Educational Authority, RB, Series B
6.100%, 07/01/01 350,000 358,354
Jackson, Housing Authority, Multi-Family Revenue, Arbor Peak Apartment
Project, RB, Mandatory Put @ 100, AMT, LOC (B)
5.050%, 12/01/01 1,000,000 1,001,780
------------
2,486,276
------------
MISSOURI -- 2.59%
Freeman Hospital, RB, ETM
6.750%, 08/01/03 95,000 99,280
Neosho, Water Systems Revenue, RB
5.875%, 02/01/01 100,000 101,803
5.875%, 02/01/02 105,000 107,405
5.875%, 02/01/03 115,000 117,591
Saint Louis County, Single Family Mortgage, RB, AMBAC
9.250%, 10/01/16 25,000 25,235
Saint Louis, Airport Revenue, RB, ETM
12.100%, 07/01/01 30,000 33,710
Springfield, Public Utilities, RB
5.500%, 03/01/00 2,000,000 2,001,992
</TABLE>
58 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Housing Development, Single Family Mortgage, RB, GNMA
6.625%, 12/01/17 $ 295,000 $ 302,399
------------
2,789,415
------------
MONTANA -- 1.78%
State Higher Education Assistance, RB, Series C AMT
5.950%, 12/01/12 1,890,000 1,921,128
------------
1,921,128
------------
NEBRASKA -- 2.99%
Buffalo County, Hospital Authority, Good Samaritan Hospital Project, RB, ETM
7.400%, 11/01/00 25,000 25,296
Clay County, Industrial Development Revenue, Hybrids Cooperative Project, RB,
AMT, LOC
4.750%, 03/15/09 1,000,000 925,150
Douglas County, Hospital Authority, Immanuel Medical Center, RB, ETM
6.250%, 10/01/00 65,000 66,247
Finance Revenue Authority, State Revolving Fund, RB
6.500%, 01/01/01 100,000 100,376
Nebhelp Incorporated, Student Loan Program, RB, MBIA, AMT
5.875%, 06/01/14 1,690,000 1,669,551
Scotts Bluff County, Hospital Authority, West Nebraska General Hospital
Project, RB, MBIA, ETM
6.850%, 10/01/00 335,000 344,072
State Investment Finance Authority, Single Family Mortgage, RB, GNMA
7.500%, 03/15/15 90,000 92,178
------------
3,222,870
------------
NEVADA -- 0.23%
Henderson, Local Improvement, Special Assessment Bond
6.700%, 04/01/00 45,000 45,480
Reno Hospital Revenue, Saint Mary's Hospital Inc., RB, Series B, Pre-Refunded
@ 102 (D)
7.750%, 01/01/00 35,000 35,856
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Reno Hospital Revenue, Saint Mary's Hospital Inc., RB, Series C, Pre-Refunded
@ 102 (D)
7.750%, 01/02/00 $ 25,000 $ 25,659
State Housing Division, Multi Unit Housing Revenue, RB, Issue A, FNMA
6.450%, 10/01/04 35,000 36,310
State, Municipal Bond Bank Project #18 & #19, GO, ETM
8.300%, 09/01/00 100,000 103,608
------------
246,913
------------
NEW HAMPSHIRE -- 0.25%
Housing Finance Authority, Single Family Housing, RB, Series B
7.550%, 07/01/09 55,000 56,185
State Housing Finance Authority, RB, LOC (C)
6.125%, 01/01/18 210,000 210,042
------------
266,227
------------
NEW JERSEY -- 5.37%
Economic Development Authority, Reformed Church Ministries
4.950%, 12/01/28 2,220,000 2,165,987
Health Care Facilities, Muhlenberg REGL-B, RB, MBIA
8.000%, 07/01/18 850,000 861,076
Health Care Facilities, Saint Elizabeth Hospital, RB, Pre-Refunded @ 102 (D)
8.250%, 07/01/00 245,000 256,282
State Educational Facilities, Fairleigh Dickinson University, RB, Series C,
ETM
7.750%, 07/01/01 1,450,000 1,496,763
State Turnpike Authority RB, ETM
10.375%, 01/01/03 450,000 494,946
State Turnpike Authority, RB, ETM, MBIA
10.375%, 01/01/03 20,000 21,918
State, GO
5.000%, 04/30/02 495,000 489,510
------------
5,786,482
------------
NEW MEXICO -- 0.91%
Albuquerque, CMO, Class B-2, FGIC (A)
0.000%, 05/15/11 1,372,000 607,851
Clovis, Hospital Revenue, RB, ETM
7.375%, 08/01/03 80,000 84,713
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 59
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Short-Term
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Taos County, Local Hospital Gross, RB, Series B, Asset Guaranty
5.000%, 05/15/02 $ 285,000 $ 285,014
------------
977,578
------------
NEW YORK -- 1.52%
Battery Park City, New York Revenue Authority, RB, Series B
5.200%, 11/01/23 915,000 838,799
Onondaga County, Industrial Development Agency, Lemoyne College Project, RB,
Series A
5.000%, 03/01/03 190,000 188,605
State Dormitory Authority Revenues, Capital Appreciation, RB, Series C, FSA
(A)
0.000%, 07/01/04 340,000 265,686
State Medical Care Facilities Finance, Hospital & Nursing Home Insured MTG-A,
RB, FHA
6.700%, 08/15/01 5,000 5,191
Yates County, Industrial Development Agency, Soldiers & Sailors Memorial
Hospital, RB, Series A, FHA
5.000%, 02/01/09 350,000 339,878
------------
1,638,159
------------
NORTH CAROLINA -- 0.21%
Medical Care Community Hospital, Duke University Hospital Project, RB, ETM
6.700%, 07/01/03 218,000 228,433
------------
NORTH DAKOTA -- 0.10%
Minot, Health Care Facilities, RB, ETM
6.500%, 09/01/07 105,000 110,666
------------
OHIO -- 3.25%
Barberton Hospital Improvement Revenue, RB, ETM
6.500%, 07/15/00 25,000 25,283
Elyria, Hospital Revenue, RB, ETM
6.800%, 04/01/03 275,000 286,509
Hamilton County Hospital Facilities, Saint Francis - Saint Georges Hospital
Inc., RB, ETM
7.625%, 02/15/01 80,000 82,121
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Housing Finance Agency, Single Family Mortgage, RB, Series A
5.750%, 04/01/16 $ 305,000 $ 305,000
Lucas County Hospital, Riverside Hospital Project, RB, ETM
6.950%, 08/01/04 35,000 37,106
Lucas County, Hospital Revenue, Toledo Hospital, RB, Pre-Refunded @ 102, MBIA
(D)
6.750%, 11/15/99 160,000 163,043
Lucas County, Mercy Hospital Project, RB, ETM
6.000%, 09/01/04 165,000 170,397
Mason, Health Care Facilities, MCV Health Care Facilities Project, RB, GNMA
5.250%, 02/20/20 45,000 40,721
Montgomery County, Miami Valley Hospital Society, RB, ETM
10.125%, 01/01/00 35,000 35,369
Stark County, Hospital Revenue Authority, RB, ETM
6.875%, 12/01/06 1,320,000 1,401,708
State Capital Housing Corporation, Section 8 Assisted, RB, MBIA
4.500%, 01/01/03 760,000 750,462
State Development Finance Agency, Curry College, RB, Series A, ACA
4.100%, 03/01/04 210,000 201,417
------------
3,499,136
------------
OKLAHOMA -- 1.43%
Bryan County, Economic Development Revenue Authority, Single Family Mortgage,
RB, Series A
8.600%, 07/01/10 70,000 72,094
Oklahoma City, Hospital Authority, RB, ETM
6.400%, 02/01/05 320,000 333,955
Ponca City, Hospital Revenue Authority, RB, ETM
7.625%, 04/01/03 60,000 63,178
State Industrial Authority Revenue, Presbyterian Hospital, RB, ETM
6.250%, 10/01/02 140,000 144,560
State Industrial Authority, Baptist Medical Center, RB, ETM
7.000%, 07/01/03 230,000 240,010
</TABLE>
60 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Turnpike Revenue Authority, RB, ETM
4.700%, 01/01/06 $ 60,000 $ 60,141
Stillwater, Medical Center Authority, ETM
6.300%, 01/01/04 40,000 41,384
Tulsa, Airport Improvements, Tulsa International Airport, RB, FGIC, ETM
6.200%, 06/01/00 55,000 55,585
Tulsa, Municipal Airport, RB, AMT
7.600%, 12/01/30 500,000 523,580
------------
1,534,487
------------
PENNSYLVANIA -- 11.63%
Allegheny County, Hospital Development Revenue Authority, North Hills,
Passavant Hospital, RB, ETM
6.750%, 07/01/05 70,000 74,094
Allegheny County, Industrial Development Authority, Three Parkway Center East,
RB, LOC (C)
5.050%, 12/01/04 10,000 9,900
Allegheny County, Residential Finance Authority, Single Family Mortgage, RB,
Series AA, AMT, GNMA
5.100%, 05/01/01 105,000 105,408
Allegheny County, Residential Finance Mortgage Authority, Landmark Manor
Project, RB, Series A, GNMA
5.000%, 01/20/13 40,000 37,704
Allegheny Valley School District, GO, ETM
6.000%, 12/01/03 105,000 107,861
Beaver County, Hospital Authority Revenue, Saint Francis General Hospital, RB,
ETM
7.750%, 07/15/01 100,000 102,558
Beaver County, Industrial Development & Pollution Control Revenue Authority,
St. Joseph's Minerals Corporation Project, RB
6.000%, 05/01/07 25,000 25,613
Bensalem Township, Water & Sewer Authority, RB, ETM
5.700%, 11/01/02 20,000 20,361
Blairsville-Saltsburg, School District, GO, ETM, AMBAC
9.000%, 05/15/03 25,000 27,110
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Bucks County, Saint Mary Hospital Authority, RB, ETM
6.625%, 07/01/04 $ 90,000 $ 94,484
California, Area School Bulilding, MBIA, ETM
5.750%, 05/15/03 50,000 50,994
Cambria County, GO, ETM
8.250%, 06/01/00 25,000 25,633
Chester County, Hospital Authority, ETM
5.750%, 02/01/03 5,000 5,183
Chester County, Hospital Authority, RB, ETM
7.500%, 07/01/09 15,000 16,607
Clearfield Hospital Authority, Clearfield Hospital Project, RB
6.875%, 06/01/16 295,000 304,334
Dauphin County, General Authority Sub Series QQQ2- TEND-6/2/03, RB, AMBAC (C)
4.625%, 06/01/26 1,015,000 1,007,185
Dauphin County, General Authority, RB, (C)
6.400%, 06/01/26 200,000 206,330
Delaware County, Authority University Revenues, Villanova University RB, ETM
9.625%, 08/01/02 55,000 59,816
East Pennsboro Township, GO, ETM
6.000%, 03/01/02 135,000 137,678
Energy Development Authority, Piney Creek, RB, Series B, LOC
7.200%, 12/01/11 15,000 15,452
Erie, Higher Education Building Authority, Mercyhurst College Project, RB
4.800%, 03/15/00 225,000 225,556
Housing Finance Agency, Rental Housing, RB, FNMA
5.800%, 07/01/22 1,015,000 982,601
Housing Finance Agency, Single Family Mortgage, RB, Series 65A, AMT
4.800%, 10/01/22 500,000 493,410
Interboro School District Authority, RB, MBIA, ETM
6.400%, 09/01/01 320,000 332,368
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 61
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Short-Term
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Intergovernmental Corporation Authority, Special Tax Bond, ETM, FGIC
6.000%, 06/15/02 $ 50,000 $ 51,615
Ligonier, Municipal Water Revenue Authority, RB
6.300%, 04/15/06 95,000 95,827
Montour, School Authority, RB, ETM, MBIA
6.400%, 12/01/02 95,000 97,290
Northampton County, Hospital Authority, RB, ETM
7.500%, 07/01/02 170,000 178,044
Northampton County, Industrial Development Authority, Strawbridge Project, RB,
ETM
7.200%, 12/15/01 60,000 62,195
Philadelphia Hospitals & Higher Education, Saint Agnes Medical Center
Project, RB, ETM, FHA
6.750%, 08/15/01 145,000 145,661
Philadelphia, Authority for Industrial Development Revenues, Mandatory Put @
100 (B)
5.000%, 12/01/01 1,200,000 1,200,036
Philadelphia, Hospital & Higher Education Facilities Authority, Philadelphia
MR Project, RB
5.500%, 08/01/01 1,175,000 1,180,288
Philadelphia, Hospital & Higher Educational Facilities Authority, Temple
University Hospital, RB, Series A
6.000%, 11/15/00 215,000 218,021
6.500%, 11/15/08 110,000 114,776
Pittsburgh, Urban Redevelopment Authority, Oliver Garage Project, RB, FGIC,
LOC
4.400%, 06/01/01 90,000 89,788
4.550%, 06/01/03 60,000 59,318
Pittsburgh, Urban Redevelopment Authority, RB, Series C, AMT
5.000%, 04/01/00 170,000 170,500
Pocono Mountain, School District, GO, MBIA, ETM
9.100%, 03/01/02 15,000 16,267
Ridgway, Area School Revenue Authority, RB, ETM
6.250%, 06/15/02 40,000 40,974
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Rochester, Area School District, GO, MBIA (A)
0.000%, 10/01/00 $ 55,000 $ 52,913
Sayre Boro, Hospital Authority, RB, AMBAC, ETM
6.900%, 11/01/02 185,000 191,714
Scranton Lackawanna, Moses Taylor Hospital Project, RB, Series A, ETM
8.250%, 07/01/01 95,000 98,963
State Finance Authority, Capital Improvements Program, RB
6.600%, 11/01/09 1,250,000 1,333,838
State Higher Education Assistance, RB, FGIC, Series A (C)
6.800%, 12/01/00 25,000 25,670
Stroudsburg Area, School District, GO, FGIC, ETM
8.400%, 09/01/01 55,000 56,998
Uniontown area, School Authority, RB, ETM,
6.300%, 10/01/02 125,000 129,181
Valley View School Building Authority, RB, ETM
6.050%, 02/01/02 30,000 30,574
6.250%, 02/01/02 30,000 30,657
Wayne Pike, Joint School Authority, RB, MBIA, ETM
6.000%, 12/01/07 540,000 565,762
Wilkes-Barre, General Municipal Authority, Misericordia College, RB, Series B
7.750%, 12/01/12 1,550,000 1,628,073
William Penn, Area School District, GO, ETM
8.000%, 08/01/00 10,000 10,286
Williamsport Area, Joint School Authority, RB, MBIA, ETM
6.000%, 03/01/07 95,000 98,713
York County, Industrial Development Authority, Fox Ridge Personal Care
Facility, RB, Series A, Pre-Refunded @ 100 (D)
9.500%, 10/01/02 75,000 84,680
------------
12,526,862
------------
SOUTH CAROLINA -- 1.78%
Charleston, Waterworks & Sewer Revenue, RB, ETM
10.125%, 01/01/02 60,000 63,985
Medical University CTFS, Harborview Office, COP
7.375%, 01/01/04 500,000 526,585
</TABLE>
62 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
York County, Industrial Revenue, RB, AMT
5.700%, 01/01/24 $ 1,500,000 $ 1,329,630
------------
1,920,200
------------
SOUTH DAKOTA -- 0.35%
Housing Development Authority, Home Ownership Mortgage, RB, Series E
5.600%, 05/01/01 50,000 50,695
State Health & Educational Facilities Authority, Rapid City Regional Hospital
Project, RB, ETM
7.750%, 09/01/07 25,000 27,591
State Health & Educational Facilities Authority, Saint Joseph Hospital, RB,
ETM
5.950%, 07/01/02 290,000 297,102
------------
375,388
------------
TENNESSEE -- 1.02%
Bristol, Health & Educational Facilities, RB, ETM
6.900%, 01/01/07 135,000 144,639
Fayetteville & Lincoln County, Industrial Development Board, Franke
Incorporated Project, RB, LOC
5.000%, 06/01/01 340,000 340,653
Housing Development Agency, Homeownership Program, RB
7.375%, 07/01/03 100,000 101,989
Mount Pleasant, Industrial Development Board, Stauffer Chemical Company, RB,
ETM
7.375%, 03/01/00 45,000 45,497
Shelby County, Health & Educational Authority, Multi-Family Housing, Windsor
Apartments, RB, Asset Guaranty
6.000%, 10/01/02 350,000 355,495
6.500%, 10/01/07 100,000 104,615
------------
1,092,888
------------
TEXAS -- 4.70%
Collin County, Community College, RB, AMBAC
5.150%, 02/01/07 25,000 25,043
Forth Worth, Housing Financial Services Program, Single Family Mortgage, RB,
Series A, GNMA
7.900%, 06/01/01 40,000 40,653
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Houston, Housing Finance Corporation, Single Family Housing, RB, Series A-1
8.000%, 06/01/14 $ 600,000 $ 613,194
Matagorda County, Port of Bay City Authority, Hoechst Celanese Corporation
Project, RB, AMT
6.500%, 05/01/26 1,250,000 1,253,625
South Plains, Regional Housing Authority, Section 8 Assistance Project, RB,
Series A, HUD
6.000%, 08/01/00 35,000 35,016
Southeast Housing Finance Corporation, Capital Appreciation, RB,
Series B (A)
0.000%, 12/01/16 1,100,000 305,954
Texoma, Housing Finance Corporation, Single Family Mortgage, RB, FNMA / GNMA
5.050%, 09/01/07 70,000 68,691
Washington County, Health Facilities Development Corporation, Trinity
Community Medical Center Project, RB, ACA
4.600%, 06/01/02 320,000 316,397
Water Residential Finance Authority, RB, AMBAC
4.700%, 08/15/09 1,580,000 1,487,886
4.800%, 08/15/10 980,000 916,290
------------
5,062,749
------------
UTAH -- 0.43%
Ogden City, Housing Finance Corporation, Section 8 Assisted Project, RB,
Series A, FNMA
5.500%, 07/01/05 280,000 279,692
Salt Lake City, Industrial Development, Hermes Association Project, RB, LOC
5.900%, 09/01/02 185,000 187,451
------------
467,143
------------
VIRGINIA -- 1.47%
Henrico County, Industrial Development Revenue Authority, RB, AMT, LOC
4.100%, 03/01/16 1,555,000 1,522,376
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 63
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Short-Term
Municipal Bond Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
State Housing Development Authority, Multi-Family Mortgage, RB, Series A
6.125%, 11/01/09 $ 60,000 $ 60,093
------------
1,582,469
------------
WASHINGTON -- 1.73%
State Housing Finance Authority, Nonprofit Housing Revenue, Taxable RB, Series
B, ACA
6.500%, 07/01/08 1,770,000 1,699,023
State Housing Finance Commission, Multi-Family Housing, Summit Apartments
Project, RB, Series A, LOC (C)
4.900%, 07/01/30 165,000 157,464
State Public Power Supply System, RB, ETM
14.375%, 07/01/01 5,000 5,499
------------
1,861,986
------------
WEST VIRGINIA -- 0.85%
State Board of Regents, RB, ETM
6.000%, 04/01/04 325,000 332,855
Wheeling, Parking Revenue, RB, ETM
7.125%, 03/01/02 40,000 41,361
Wood County, Building Community, Saint Joseph's Hospital Parkersburg, RB,
AMBAC, ETM
6.625%, 01/01/06 515,000 541,332
------------
915,548
------------
WISCONSIN -- 0.24%
State Health Facilities Authority RB, Hospital Sisters System, RB, Series D,
MBIA
9.125%, 07/01/05 260,000 261,087
------------
WYOMING -- 0.87%
Green River-Sweetwater County, Joint Powers Revenue Board, RB, Series B, FSA
4.500%, 03/01/14 925,000 890,849
State Community Development Authority, Single Family Mortgage, RB, Series B
8.000%, 06/01/08 45,000 46,131
------------
936,980
------------
Total Municipal Bonds
(Cost $96,780,262) 95,092,168
------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
CASH EQUIVALENTS -- 9.95%
Provident Institutional Municipal Cash Fund 5,359,903 $ 5,359,903
SEI Institutional Tax Free Portfolio 5,359,903 5,359,903
------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Total Cash Equivalents
(Cost $10,719,806) 10,719,806
------------
Total Investments -- 98.25%
(cost $107,500,068) $105,811,974
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.75% 1,882,920
------------
Total Net Assets -- 100.0% $107,694,894
============
</TABLE>
<TABLE>
<S> <C>
(A) ZERO COUPON SECURITY
(B) MANDATORY PUT/TENDER SECURITY. THE MANDATORY PUT/TENDER DATE IS SHOWN AS
THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS.
(C) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF INVESTMENTS
IS THE RATE IN EFFECT AS OF OCTOBER 31, 1999.
(D) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY DATE
ON THE SCHEDULE OF INVESTMENTS.
AMT INCOME FROM SECURITY MAY BE SUBJECT TO ALTERNATIVE MINIMUM TAX.
CMO COLLATERIZED MORTGAGE OBLIGATION
COP CERTIFICATE OF PARTICIPATION
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
</TABLE>
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE
SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
<TABLE>
<S> <C>
ACA AMERICAN CAPITAL ACCESS
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
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
</TABLE>
Short-Term
Fixed Income Fund
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSET-BACKED SECURITIES -- 19.20%
Advanta Mortgage Loan Trust, Series 1993-4, Class A-1
5.500%, 03/25/10 $ 83,057 $ 80,645
Advanta Mortgage Loan Trust, Series 1997-3, Class A3
6.690%, 03/25/17 865,000 857,509
</TABLE>
64 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Amresco Residential Securities, Series 1996-3, Class A5
7.550%, 02/25/23 $ 980,000 $ 980,843
Amresco Residential Securities, Series 1997-3, Class A3
6.600%, 01/25/18 93,135 92,758
Delta Funding Home Equity Loan Trust, Series 1996-3, Class A2
6.525%, 10/25/11 174,117 173,447
EQCC Home Equity Loan Trust, Series 1996-2, Class A2
6.700%, 09/15/08 14,387 14,390
Lehman Home Equity Loan Trust, Series 1995-7, Class A3
6.840%, 03/25/12 270,050 269,267
Saxon Asset Securities Trust, Series 1999-2, Class BF1A
7.925%, 08/25/01 462,533 452,415
Southern Pacific Secured Assets Corporation, Series 1998-2, Class A4
6.260%, 02/25/22 1,000,000 992,800
The Money Store Home Equity Trust, Series 1996-D, Class A13
6.635%, 09/15/14 500,000 498,510
UCFC Home Equity Loan, Series 1995-A1, Class A5
8.550%, 01/10/20 700,000 707,756
UCFC Home Equity Loan, Series 1997-C, Class A2
6.480%, 05/15/12 16,786 16,746
-----------
Total Asset-Backed Securities
(Cost $5,160,079) 5,137,086
-----------
CORPORATE OBLIGATIONS -- 15.98%
ACC Consumer Finance
10.250%, 12/01/03 60,000 62,568
Archstone Communities Trust
6.750%, 10/23/00 200,000 198,866
6.370%, 10/15/01 900,000 879,541
Bear Stearns Company
6.450%, 08/01/02 350,000 345,745
Colonial Realty
7.500%, 07/15/01 350,000 349,492
Colonial Realty, MTN
7.930%, 08/09/02 325,000 324,216
Erac USA Finance 144A
6.375%, 05/15/03 350,000 339,456
Erac USA Finance, MTN
7.000%, 06/15/00 350,000 351,061
Erp Operating
6.150%, 09/15/00 500,000 496,665
Paine Webber Group
7.310%, 08/09/00 334,000 335,633
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Summit Properties Partnership
6.750%, 07/30/01 $ 500,000 $ 491,341
Wellsford Residential
7.250%, 08/15/00 50,000 50,111
9.375%, 02/01/02 50,000 51,397
-----------
Total Corporate Obligations
(cost $4,312,647) 4,276,092
-----------
MORTGAGE BACKED OBLIGATIONS -- 16.26%
General Electric Capital Mortgage Services, Inc., CMO, Series 1998-12,
Class 1A1
6.500%, 07/25/28 375,000 371,584
Green Tree Financial, Series 1994-6, Class A5
8.250%, 01/15/20 87,000 88,593
Green Tree Financial, Series 1996-8, Class A4
7.000%, 10/15/27 369,454 370,536
Merrill Lynch Mortgage Investors, Series 1995-C3, Class A1
6.759%, 12/26/25 642,707 641,717
Merrill Lynch Mortgage Investors, Series 1991-G, Class A
8.150%, 10/15/11 2,141 2,143
Oakwood Mortgage Investors, Series 1996-B, Class A3
7.100%, 10/15/26 199,602 199,795
Oakwood Mortgage Investors, Series 1997-C, Class A2
6.450%, 11/15/27 1,091,895 1,088,564
Residential Accredit Loans, CMO, Series 1997-QS6, Class A4
7.500%, 06/25/12 500,000 504,775
Residential Accredit Loans, CMO, Series 1998-QS1, Class A2
7.000%, 01/25/28 678,952 675,340
Residential Funding Mortgage, CMO, Series 1993-S16, Class A6
7.000%, 05/25/23 406,000 405,566
-----------
Total Mortgage Backed Obligations
(Cost $4,369,894) 4,348,613
-----------
TAXABLE MUNICIPAL BONDS -- 39.83%
Alaska State Financial Corporation, RB, Series C, MBIA / FHA
7.400%, 01/01/02 120,000 121,438
Arkansas State Development Finance Authority, RB, Series D, Class D (A)
0.000%, 02/15/14 1,720,000 492,298
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 65
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Short-Term
Fixed Income Fund, continued
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Bryan, Texas, Higher Education Authority, Allen Academy Project, RB, Series B
6.500%, 12/01/99 $ 50,000 $ 50,002
Comanche County, Oklahoma, Home Finance Authority, RB, FNMA, FHA
6.150%, 12/01/00 70,000 70,048
Costa Rica, U.S. Government Guarantee
7.360%, 08/01/01 880,000 883,300
Cuyahoga County, Ohio, Maple Care, RB, GNMA
7.350%, 08/20/00 100,000 100,709
Denver, Colorado, City And County Multi-Family Housing, Buerger Brothers, RB,
Series B, FHA
6.750%, 05/01/01 65,000 65,229
Erie County, New York, 4th Resolution, RB, AMBAC
5.875%, 12/01/03 140,000 135,304
Erie County, New York, Water Authority, 4th Resolution, RB, AMBAC
5.375%, 12/01/99 50,000 49,998
Florida State, Housing Finance Agency, RB, Series S-2
6.650%, 06/01/01 95,000 95,167
Fresno, California, Multi-Family Housing Authority, Woodlands Apartments
Project, RB, GNMA
7.250%, 11/20/02 265,000 268,307
Greater Kentucky Housing Assistance Corporation, RB, Series B, MBIA/FHA
6.500%, 01/01/02 55,000 55,122
Harris County, Texas, Housing Finance Corporation, Single Family Mortgage
Revenue, Series A
7.750%, 09/01/14 1,250,000 1,254,225
Illinois State Health Facilities Authority, RB, Series C, MBIA
10.300%, 08/15/03 426,000 426,976
Illinois, Housing Development Authority, Affordable Housing Project, RB, AMBAC
7.480%, 06/01/00 420,000 422,667
Indianapolis, Indiana, Economic Development Authority, Bethany Project,
Series B, RB, GNMA
6.000%, 04/20/00 25,000 25,013
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Indianapolis, Indiana, Economic Development Authority, Castle Dore, RB,
Series B, FHA
6.750%, 12/01/00 $ 50,000 $ 50,163
Kansas City, Missouri, Industrial Development Authority, Hilltop Village
Apartments, RB, Series B, FNMA
6.700%, 10/01/02 110,000 110,460
King County, Washington, Low Income Housing Authority, Fred Lind Manor, RB,
Series B, GNMA
7.250%, 06/20/00 35,000 35,171
Massachusetts State, Industrial Finance Agency, Briscoe Housing Assistance,
Series B, FHA
7.100%, 02/01/12 855,000 854,205
Moline, Illinois, Housing Authority, Highland Manor, RB, Series B, FHA
7.200%, 03/01/00 15,000 15,059
Oak Ridge, Tennessee, Industrial Development Board, The Gardens, Series B, RB,
GNMA
6.150%, 08/20/03 565,000 561,068
Ohio Capital Housing Mortgage Corporation, Bella Vista, RB, FHA
6.300%, 02/01/03 295,000 293,962
Ohio Capital Housing Mortgage Corporation, Dayton, RB, Series I, FHA
6.250%, 07/01/01 55,000 55,021
Ohio Housing Financial Agency, Ravenwood Project, RB, FHA
6.125%, 03/01/04 155,000 152,649
Oshkosh, Wisconsin, GO
5.900%, 12/01/99 45,000 45,011
Pima County, Arizona, Industrial Development Authority, Western Winds, RB,
Series B, HUD
6.550%, 06/01/01 200,000 199,882
Prince Georges County, Maryland, Housing Authority, Foxglenn Project, RB, GNMA
6.250%, 11/20/04 260,000 257,855
Rensselaer County, New York, COP
6.560%, 03/15/00 1,703,076 1,695,923
</TABLE>
66 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Rockford, Illinois, RB, Series B, MBIA
7.450%, 01/01/03 $ 260,000 $ 262,668
Shawnee, Kansas, Multi-Family Housing, Haverford West Apartments, RB,
Series B, FNMA
6.750%, 06/01/02 70,000 70,148
Southwestern Illinois, Solid Waste Development Authority, Series B, RB
6.900%, 02/01/03 705,000 702,166
Spokane, Washington, Elderly Housing Authority, Cheney Care Center, RB,
Series B, GNMA
6.125%, 02/20/04 125,000 122,976
Tarrant County, Texas, Health Facilities Development Corporation, South
Central Project, RB, MBIA/FHA
6.750%, 01/01/37 305,000 305,548
Tarrant County, Texas, Housing Financial Corporation, Series B, RB, FNMA
6.550%, 09/01/02 190,000 189,598
Wilmington, Delaware, Multi-Family Rent, Prestwyck Apartments, RB, Series B,
FHA
6.625%, 11/01/03 160,000 160,317
-----------
Total Taxable Municipal Bonds
(Cost $10,752,388) 10,655,653
-----------
U.S. GOVERMENT AGENCY OBLIGATION -- 0.35%
Federal National Mortgage Association, Variable Inflation Linked (B)
5.230%, 03/13/02
(Cost $94,698) 95,000 92,616
-----------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 6.92%
Federal Home Loan Mortgage Corporation, CMO, Series 1311, Class I
7.500%, 03/15/21 164,391 164,995
Federal Home Loan Mortgage Corporation, Series 128, Class I
6.500%, 02/15/21 150,530 147,389
Federal National Mortgage Association, REMIC, Series 1997-W2, Class A3
6.575%, 11/25/27 400,000 397,712
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Federal National Mortgage Association, Series 1995-M2, Class B
6.700%, 05/25/28 $ 59,557 $ 59,541
Federal National Mortgage Association, Series 1995-M2, Class C
6.800%, 05/25/28 625,000 624,219
Federal National Mortgage Association, Series 1997-27, Class B
7.000%, 02/18/25 190,000 189,513
Government National Mortgage Association, CMO, Series 1998-23, Class DA
8.500%, 10/20/12 262,325 266,672
-----------
Total U.S. Government Mortgage-Backed Obligations
(Cost $1,858,890) 1,850,041
-----------
<CAPTION>
SHARES
-----------
CASH EQUIVALENT -- 0.55%
<S> <C> <C>
SEI Daily Income Trust Government II (Cost $148,150) 148,150 148,150
-----------
Total Investments -- 99.09%
(Cost $26,696,746) 26,508,251
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.91% 244,671
-----------
Net Assets -- 100% $26,752,922
===========
</TABLE>
<TABLE>
<S> <C> <C>
(A) ZERO COUPON SECURITY
(B) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF
INVESTMENTS IS THE RATE IN EFFECT AS OF OCTOBER 31, 1999. THE
MATURITY DATE SHOWN IS THE NEXT RESET DATE.
CMO COLLATERALLIZED MORTGAGE OBLIGATION
COP CERTIFICATE OF PARTICIPATION
GO GENERAL OBLIGATION
RB REVENUE BOND
REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT
144A SECURITY EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE SECURITY
ACT OF 1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS
EXEMPT FROM REGISTRATION, NORMALLY TO QUALIFIED INSTITUTIONAL
BUYERS.
THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR
THE SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS.
AMBAC AMERICAN MUNICIPAL BOND ASSURANCE CORPORATION
FHA FEDERAL HOUSING ADMINISTRATION
FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
HUD HOUSING AND URBAN DEVELOPMENT
MBIA MUNICIPAL BOND INVESTORS ASSURANCE
MTN MEDIUM TERM NOTE
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 67
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
High Yield Bond Fund
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS -- 99.05%
AUTOMOTIVE -- 1.06%
Tenneco Automotive, 144A
11.625%, 10/15/09 $ 3,400,000 $ 3,408,500
------------
CABLE -- 9.16%
Cablevision, 144A
13.750%, 05/01/09 1,500,000 1,410,000
Communications Holdings, 144A (A)
0.000%, 04/01/11 2,350,000 1,401,188
Classic Cable Incorporated, 144 (A)
9.375%, 08/01/09 875,000 844,375
Classic Communications, 144A (A)
0.000%, 08/01/09 5,685,000 3,837,375
James Cable Partners, Series B
10.750%, 08/15/04 5,793,000 5,793,000
Ono Finance
13.000%, 05/01/09 5,000,000 4,900,000
Poland Communications, Series B
9.875%, 11/01/03 8,500,000 8,542,500
RBS Participacoes SA, Reg S
11.000%, 04/01/07 3,600,000 2,682,000
------------
29,410,438
------------
CHEMICALS -- 2.39%
Lyondell Chemical Company, Series A
9.625%, 05/01/07 3,200,000 3,168,000
ZSC Specialty Chemical PLC, 144A
11.000%, 07/01/09 4,500,000 4,505,625
------------
7,673,625
------------
CONSUMER MANUFACTURING -- 0.38%
International De Ceramica, Reg S
9.750%, 08/01/02 1,600,000 1,222,338
------------
ENERGY -- 5.03%
Belco Oil & Gas, Series B
8.875%, 09/15/07 2,250,000 2,143,125
Eott Energy Partner/ Finance
11.000%, 10/01/09 3,170,000 3,241,325
Ocean Energy, Series B
8.375%, 07/01/08 1,500,000 1,432,500
Ocean Energy, Series B
8.875%, 07/15/07 1,000,000 992,500
Parker & Parsley
8.250%, 08/15/07 2,000,000 1,915,976
Pioneer Natural Resource
6.500%, 01/15/08 1,300,000 1,118,237
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Pride International Incorporated
10.000%, 06/01/09 $ 1,750,000 $ 1,750,000
Ram Energy
11.500%, 02/15/08 1,500,000 675,000
RBF Finance Company
11.000%, 03/15/06 2,750,000 2,887,500
------------
16,156,163
------------
FINANCIAL -- 0.99%
CEI Citicorp Holdings
9.750%, 02/14/07 3,850,000 3,176,250
------------
FIXED COMMUNICATIONS -- 22.70%
Alestra SA, 144A
12.125%, 05/15/06 7,750,000 7,517,500
Call-Net Enterprises Incorporated
8.000%, 08/15/08 335,000 293,125
Call-Net Enterprises Incorporated (A)
0.000%, 05/15/09 5,150,000 2,890,437
Call-Net Enterprises Incorporated (A)
8.940%, 08/15/08 3,250,000 1,832,188
E.SPIRE Communications (A)
0.000%, 11/01/05 3,375,000 1,957,500
E.SPIRE Communications, PIK
14.750%, 07/15/08 1,074,000 375,900
Global Crossing Holdings, PIK
10.500%, 12/01/08 13,200,000 13,926,000
Interamericas Communications
14.000%, 10/27/07 8,200,000 6,232,000
Intermedia Communications, Series B, PIK
13.500%, 03/31/09 3,606,000 3,281,460
Jazztel PLC, 144A
14.000%, 04/01/09 3,000,000 3,000,000
MGC Communications, Series B
13.000%, 10/01/04 2,750,000 2,502,500
Netia Holdings, Series B (A)
0.000%, 11/01/07 13,800,000 8,556,000
Nextlink Communications, PIK
14.000%, 02/01/09 1,035,000 527,850
Tele1 Europe BV
13.000%, 05/15/09 6,000,000 5,550,000
Versatel Telecom BV
11.875%, 07/15/09 2,000,000 1,862,578
Viatel (A)
0.000%, 04/15/08 10,930,000 6,066,150
</TABLE>
68 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Williams Communications Group
10.700%, 10/01/07 $ 4,800,000 $ 4,950,000
Worldwide Fiber Incorporated, 144A
12.000%, 08/01/09 1,575,000 1,575,000
------------
72,896,188
------------
FOOD & BEVERAGE -- 6.23%
Agrilink Foods
11.875%, 11/01/08 2,750,000 2,406,250
Arisco Production Alimenticios
10.750%, 05/22/05 2,000,000 1,495,000
DGS International Finance
10.000%, 06/01/07 4,000,000 2,804,048
Doane Pet Care Company
9.750%, 05/15/07 2,250,000 2,160,000
Embotelladora Arica SA, 144A
9.875%, 03/15/06 1,500,000 1,546,206
Fage Dairy Industries
9.000%, 02/01/07 3,390,000 3,051,000
Gruma SA
7.625%, 10/15/07 7,350,000 6,541,500
------------
20,004,004
------------
GAMING -- 0.52%
International Game Technology, 144A
8.375%, 05/15/09 1,750,000 1,666,875
------------
GENERAL INDUSTRIAL -- 3.33%
Alliance Laundry Systems, Series B
9.625%, 05/01/08 4,000,000 3,450,000
Precision Partners, 144A
12.000%, 03/15/09 3,375,000 2,970,000
Rentals Incorporated,
8.800%, 08/15/08 4,000,000 3,580,000
United Rentals Incorporated, Series B
9.000%, 04/01/09 750,000 676,875
------------
10,676,875
------------
HEALTHCARE -- 2.20%
Beverly Enterprises
9.000%, 02/15/06 1,650,000 1,423,125
DJ Orthopedics, 144A
12.625%, 06/15/09 3,000,000 2,827,500
Tenet Healthcare
8.000%, 01/15/05 2,975,000 2,803,937
------------
7,054,562
------------
MEDIA -- 7.89%
@Entertainment, Series B (A)
0.000%, 02/01/09 11,375,000 6,967,188
Antenna TV SA
9.000%, 08/01/07 7,960,000 7,333,150
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Fox Family Worldwide (A)
0.000%, 11/01/07 $ 14,600,000 $ 9,526,500
Spanish Broadcasting Systems
9.625%, 11/01/09 1,500,000 1,503,750
------------
25,330,588
------------
METALS & MINING -- 5.32%
AEI Resources, 144A
10.500%, 12/15/05 8,385,000 7,546,500
Grupo Minero Mexico, Series B
9.250%, 04/01/28 8,155,000 6,238,575
Hysla
9.250%, 09/15/07 4,320,000 3,304,800
------------
17,089,875
------------
MOBILE COMMUNICATIONS -- 15.32%
Airgate PCS
13.500%, 10/01/09 3,930,000 2,367,825
Comunicacion Cellular, 144A (A)
14.125%, 03/01/05 6,350,000 3,190,875
Crown Castle, 144A PIK
12.750%, 12/31/25 7,381,000 7,454,810
CTI Holdings (A)
0.000%, 04/15/08 6,350,000 3,206,750
Esat Telecom Holdings Group (A)
0.000%, 02/01/07 14,650,000 10,619,500
Globe Telecom, 144A
13.000%, 08/01/09 1,550,000 1,608,125
Grupo Iusacell SA, Series B
10.000%, 07/15/04 3,000,000 2,827,500
Occidente Y Caribe Cellular, Series B (A)
14.000%, 03/15/04 860,000 451,500
Pinnacle Holdings (A)
0.000%, 03/15/08 12,170,000 7,362,850
Telecorp PCS, 144A (A)
0.000%, 04/15/09 3,680,000 2,254,000
Tritel PCS Incorporated (A)
0.000%, 05/15/09 7,895,000 4,737,000
US Unwired, 144A (A)
13.375%, 11/01/09 5,875,000 3,115,395
------------
49,196,130
------------
PAPER & PACKAGING -- 3.15%
Copamex Industrias, Series B
11.375%, 04/30/04 2,000,000 1,745,000
Indah Kiat
10.000%, 07/01/07 2,000,000 1,290,000
Kappa Beheer BV, 144A
10.625%, 07/15/09 1,500,000 1,548,750
Packaging Corporation of America, 144A
9.625%, 04/01/09 1,750,000 1,758,750
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 69
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
High Yield Bond Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Packaging Corporation of America, 144A, PIK
12.375%, 04/01/10 $ 1,058,000 $ 1,126,770
Repap New Brunswick
10.625%, 04/15/05 3,000,000 2,640,000
------------
10,109,270
------------
SERVICES -- 0.78%
American Plumbing & Mechanic, 144A
11.625%, 10/15 2,750,000 2,505,937
------------
SUPER MARKETS & DRUGS -- 1.11%
Jitney - Jungle Stores
12.000%, 03/01/06 1,000,000 250,000
Stater Brothers Holdings, 144A
10.750%, 08/15/06 3,250,000 3,306,875
------------
3,556,875
------------
TECHNOLOGY -- 4.30%
Cybernet Internet Services
14.000%, 07/01/09 1,500,000 1,470,000
Exodus Communications
11.250%, 07/01/08 2,000,000 2,045,000
Globix
13.000%, 05/01/05 5,000,000 4,350,000
PSINET Incorporated, 144A
11.000%, 08/01/09 2,750,000 2,825,625
Rhythms Netconnections, 144A
12.750%, 04/15/09 1,500,000 1,327,500
WAM!Net, Series B (A)
0.000%, 03/01/05 3,000,000 1,800,000
------------
13,818,125
------------
TRANSPORTATION -- 4.37%
American Commercial Lines, Series B
10.250%, 06/30/08 800,000 752,000
Budget Group Incorporated
9.125%, 04/01/06 7,500,000 6,487,500
Railworks Corporation
11.500%, 04/15/09 3,800,000 3,705,000
Sea Containers Ltd., 144A
10.750%, 10/15/06 3,100,000 3,100,000
------------
14,044,500
------------
UTILITIES -- 2.82%
Calpine
7.750%, 04/15/09 3,000,000 2,797,500
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Comp Paranaense De Energia, Reg S
9.750%, 05/02/05 $ 6,950,000 $ 6,270,651
------------
9,068,151
------------
Total Corporate Bonds (Cost $329,529,071) 318,065,269
------------
<CAPTION>
SHARES
-------------
WARRANTS -- 0.57%
<S> <C> <C>
Bell Technology* 1,500 116,001
Classic Communications* 1,500 25,005
Firstcom Corporation* 62,000 372,000
Jazztel PLC* 15,000 600,000
Ono Finance* 5,000 250,000
Tele1 Europe BV* 6,000 480,000
------------
Total Warrants (Cost $1,074,257) 1,843,006
------------
Total Investments -- 99.62%
(Cost $330,603,328) 319,908,275
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.38%
1,214,431
------------
Net Assets -- 100% $321,122,706
============
</TABLE>
<TABLE>
<S> <C>
* NON-INCOME PRODUCING SECURITY
(A) STEP UP BOND -- THE RATE REFLECTED ON THE SCHEDULE OF INVESTMENTS IS THE
RATE IN EFFECT ON OCTOBER 31, 1999. THE INITIAL COUPON ON A STEP UP BOND
CHANGES ON A SPECIFIC DATE, TO A PREDETERMINED HIGHER RATE.
PIK PAYMENT-IN-KIND SECURITY
144A SECURITY EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE SECURITY ACT OF
1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT FROM
REGISTRATION, NORMALLY TO QUALIFIED INSTITUTIONAL BUYERS.
</TABLE>
Smaller Companies
Fund
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS -- 97.6%
CONSUMER -- 17.1%
American Eagle Outfitters, Inc.* 2,000 $ 85,625
Ames Department Stores, Inc.* 1,700 53,869
AnnTaylor Stores, Corp.* 2,300 97,894
Bally Total Fitness Holding* 3,000 72,188
Championship Auto Racing Teams, Inc.* 2,900 66,519
Corporate Executive Board Co.* 2,400 90,600
Damark International* 1,400 14,306
Furniture Brands International, Inc.* 4,700 91,063
Marketing Services Group, Inc.* 2,100 23,888
</TABLE>
70 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
Martha Stewart Living Omnimedia, Inc.* 100 3,687
Mohawk Industries* 3,400 $ 77,988
Pacific Sunwear of California, Inc.* 3,400 102,637
Papa John's International, Inc.* 1,700 63,537
PJ America, Inc.* 1,000 19,812
Radio Unica Corp.* 700 20,038
ShopKo Stores, Inc. 1,100 27,569
Spanish Broadcasting System, Inc.* 1,900 50,587
Too, Inc.* 3,300 52,800
Zale Corp.* 2,300 96,312
99 Cents Only Stores* 900 26,888
----------
1,137,807
----------
CREDIT SENSITIVE -- 11.7%
Astoria Financial Corp. 1,975 71,100
Bank United Corp. 2,000 78,000
Dime Bancorp 6,400 114,400
Dime Community Bancshares 2,800 56,525
D.R. Horton, Inc. 5,800 68,513
Golden State Bancorp, Inc.* 6,500 135,688
Labranche & Co., Inc.* 2,800 37,450
Lennar 6,100 100,269
LNR Property Corp. 5,800 112,375
----------
774,320
----------
ENERGY -- 9.2%
BJ Services* 6,000 205,875
Devon Energy 5,200 202,150
Global Industries, Ltd.* 10,200 81,600
Input/Output, Inc.* 4,000 21,000
Marine Drilling Companies, Inc.* 6,200 100,363
----------
610,988
----------
HEALTH CARE -- 14.0%
Accredo Health, Inc.* 1,800 59,400
Alkermes, Inc.* 1,500 52,969
Caremark Rx, Inc.* 6,500 31,687
Cell Genesys, Inc.* 6,000 51,000
Dendrite International, Inc.* 3,000 94,125
Enzon, Inc.* 3,400 99,662
IVAX Corp. 6,900 121,181
Medical Manager Corp.* 2,200 110,275
Nanogen, Inc.* 5,200 36,400
Priority Healthcare Corp., Cl A* 1,612 32,341
Priority Healthcare Corp., Cl B* 1,300 26,081
ResMed, Inc.* 1,000 34,625
Sonosite* 2,700 79,650
Trigon Healthcare, Inc.* 3,600 102,150
----------
931,546
----------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
PROCESS INDUSTRIES -- 5.1%
AK Steel Holding Corp. 2,182 $ 37,776
Bowater 1,700 89,250
Carbo Ceramics 700 18,200
CompX International* 2,200 40,700
PH Glatfelter 5,900 86,287
Rayonier 1,600 65,600
----------
337,813
----------
SERVICE COMPANIES -- 5.6%
American Tower Corp. 4,045 77,108
COMSAT Corp. 3,628 67,798
Insight Communications Company, Inc.* 2,500 59,062
Kroll-O Gara Co.* 2,500 39,688
Price Communications Corp.* 3,780 82,215
Triton PCS Holdings, Inc.* 600 21,150
Viatel, Inc.* 800 26,700
----------
373,721
----------
TECHNOLOGY -- 30.4%
Allied Riser Communications Corp.* 5,500 99,344
Alpha Industries, Inc. 800 44,200
Applied Micro Circuits Corp.* 3,300 256,781
Art Technology Group, Inc.* 900 48,600
ATMI, Inc.* 1,900 51,181
BEA Systems, Inc.* 2,700 123,188
Cognex* 2,200 65,862
Credence Systems Corp.* 700 31,937
DII Group, Inc.* 1,600 57,600
iGo Corp.* 900 12,712
Infospace.com, Inc.* 1,000 55,625
Interworld Corp.* 1,100 45,100
Mercury Interactive* 4,400 356,950
Microchip Technology, Inc.* 2,200 146,575
National Information Consortium, Inc.* 1,600 52,400
Pairgain Technologies, Inc.* 3,200 39,200
PC-Tel, Inc.* 400 12,000
Pegasus Systems, Inc.* 900 38,475
Pinnacle Systems* 3,300 91,575
Polycom, Inc.* 1,600 80,000
Scientific-Atlanta, Inc. 1,000 57,250
Symantec Corp* 1,600 76,400
TranSwitch Corp.* 1,700 80,006
Whittman-Hart, Inc.* 2,500 96,094
----------
2,019,055
----------
TRANSPORTATION -- 4.5%
Atlantic Coast Airlines* 3,150 73,238
Tidewater, Inc. 1,400 42,000
USFreightways Corp. 4,000 181,250
----------
296,488
----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 71
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Smaller Companies
Fund, continued
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
VALUE
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
Total Investments -- 97.6%
(Cost $5,166,076) $6,481,738
OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.4% 157,232
----------
Net Assets -- 100% $6,638,970
==========
</TABLE>
* NON-INCOME PRODUCING SECURITY
International Select
Equity Fund
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN COMMON STOCKS -- 94.7%
FINLAND -- 6.1%
Nokia Oyj 16,900 $ 1,934,327
Sonera Oyj 60,970 1,831,036
-----------
3,765,363
-----------
FRANCE -- 16.8%
Axa 13,080 1,845,062
Accor SA 10 2,251
Alcatel 12,000 1,874,486
Banque Nationale de Paris 21,053 1,849,162
Banque Nationale de Paris CGV Warrants 7/15/02* 1,131 6,686
Cap Gemini SA 8,840 1,339,027
Dexia France 11,750 1,656,216
Total Fina SA 13,210 1,785,584
-----------
10,358,474
-----------
GERMANY -- 4.1%
Epcos AG* 42,610 1,747,141
Mannesmann 4,900 770,569
-----------
2,517,710
-----------
IRELAND -- 2.5%
Irish Life & Permanent Plc 147,700 1,507,047
-----------
JAPAN -- 18.2%
Bridgestone Corp. 43,000 1,183,732
Hitachi Ltd. 153,000 1,653,935
Keyence Corp. 6,000 1,608,556
Minebea Co., Ltd. 115,000 1,549,806
Omron Corp. 85,000 1,777,373
Secom 8,000 857,896
Secom Co., Ltd.- New* 8,000 851,758
Softbank Corp. 4,200 1,744,377
-----------
11,227,433
-----------
NETHERLANDS -- 5.0%
Benckiser NV, Series B 24,030 1,420,576
Philips Electronics 16,247 1,666,297
-----------
3,086,873
-----------
SINGAPORE -- 3.2%
Chartered Semiconductor* 27,000 54,302
Singapore Airlines Ltd. 182,000 1,926,505
-----------
1,980,807
-----------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
SPAIN -- 2.6%
Telefonica de Espana 97,363 $ 1,601,788
-----------
SWEDEN -- 2.8%
Securitas, Series B 117,700 1,746,248
-----------
SWITZERLAND -- 8.1%
Adecco 2,720 1,649,188
Roche Holding AG 140 1,681,158
UBS AG, Registered* 5,650 1,644,263
-----------
4,974,609
-----------
UNITED KINGDOM -- 25.3%
Allied Domecq Plc 148,230 833,166
ARM Holdings Plc* 89,000 2,527,572
Baltimore Technologies Plc* 9,269 285,630
Billiton Plc 206,181 891,198
British Energy Plc 131,694 894,976
Colt Telecom Group Plc* 44,895 1,342,148
Filtronic Plc 84,630 1,571,710
Flextech Plc* 77,263 1,086,964
General Electric 174,515 1,897,284
Logica Plc 79,159 1,210,560
Telewest Communications Plc* 304,610 1,302,881
Telewest Communications Rights 11/15/99* 27,691 25,030
Vodafone Airtouch Plc 368,605 1,714,420
-----------
15,583,539
-----------
Total Investments -- 94.7%
(Cost $52,797,090) 58,349,891
OTHER ASSETS IN EXCESS OF LIABILITIES -- 5.3% 3,237,428
-----------
Net Assets -- 100% $61,587,319
===========
</TABLE>
* NON-INCOME PRODUCING SECURITY.
European
Equity Growth Fund
<TABLE>
<S> <C> <C>
FOREIGN COMMON STOCKS -- 13.9%
FINLAND -- 0.7%
Nokia Oyj 59 $ 6,753
-----------
FRANCE -- 1.7%
Banque Nationale de Paris 29 2,547
Cap Gemini SA 29 4,393
Elf Aquitaine 6 883
Total Fina SA 19 2,568
Usinor SA 319 4,433
-----------
14,824
-----------
GERMANY -- 1.9%
BASF AG 116 5,216
Mannesmann 48 7,549
Siemens AG 46 4,130
-----------
16,895
-----------
ITALY -- 0.0%
Tecnost SpA 1 2
-----------
</TABLE>
72 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
NETHERLANDS -- 0.9%
ABN AMRO Holding NV 176 $ 4,256
Philips Electronics 31 3,180
Royal Dutch Petroleum 14 837
-----------
8,273
-----------
SWEDEN -- 0.5%
Securitas, Series B 279 4,139
-----------
SWITZERLAND -- 0.7%
UBS AG, Registered* 23 6,693
-----------
UNITED KINGDOM -- 7.5%
Barclays Bank 361 11,053
BP Amoco 1,156 11,219
British Telecommunications 500 9,068
General Electric 560 6,088
Glaxo Wellcome Plc 324 9,564
Lloyds TSB Group 360 4,979
Reckitt & Colman Plc 280 3,399
Unilever 412 3,822
Vodafone Airtouch Plc 1,670 7,767
-----------
66,959
-----------
Total Investments -- 13.9%
(Cost $111,403) 124,538
OTHER ASSETS IN EXCESS OF LIABILITIES -- 86.1% 772,397
-----------
Net Assets -- 100% $ 896,935
===========
</TABLE>
*NON-INCOME PRODUCING SECURITY.
International Small
Cap Equity Fund
<TABLE>
<S> <C> <C>
FOREIGN COMMON STOCKS -- 92.6%
BERMUDA -- 0.9%
Johnson Electric Holding 19,000 $ 102,728
-----------
DENMARK -- 1.2%
Navision Software* 1,300 51,512
Topdanmark* 2,200 42,031
William Demant 490 39,873
-----------
133,416
-----------
FINLAND -- 1.3%
Amer Group 'A' 2,540 48,360
Talentum Oy B Shares 3,000 39,131
Teleste Corp.* 2,862 24,235
Tietoenator Corp 900 31,241
-----------
142,967
-----------
FRANCE -- 9.3%
Altran Technologies SA 450 154,266
Dexia France 300 42,286
Eurotunnel SA 33,000 42,349
Eurotunnel SA Rights* 11/15/99 33,000 1,041
FI Systems 1,684 168,283
GFI Informatique 900 80,470
Groupe GTM 380 41,571
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Hachette Filipacchi Medias 900 $ 45,347
Infogrames Entertainment* 570 52,823
Ingenico 2,100 51,911
Lagardere S.C.A. 2,020 81,806
Montupet 2,990 97,564
Sidel Bearer 710 70,951
Societe Generale d' Entreprises SA 1,730 80,435
-----------
1,011,103
-----------
GERMANY -- 7.8%
Aixtron AG 400 44,390
Deutsche Lufthansa AG 2,000 42,076
Dino Entertainment AG* 1,620 57,768
Fresenius AG 260 42,528
GFT Ges Fuer Technologies* 850 52,485
Intershop Communications AG* 1,050 131,987
Medion AG 590 158,258
Metallgesellschaft AG 4,530 94,111
Qiagen* 2,200 117,425
SGL Carbon 950 60,808
Zapf Creaton AG* 1,350 46,834
-----------
848,670
-----------
GREECE -- 0.4%
Intrasoft SA 600 41,286
-----------
HONG KONG -- 1.7%
Li & Fung Ltd. 64,000 109,164
Wing Hang Bank Ltd. 25,000 81,584
-----------
190,748
-----------
IRELAND -- 0.5%
CBT Group Public ADR* 2,630 54,244
-----------
ITALY -- 5.8%
Autogrill SPA 3,000 32,062
Banca Popolare Commercio e Industria 1,350 29,111
Banca Popolare di Brescia 1,950 82,561
Cementir SPA 68,000 95,134
Cir-Compagnie Industriali SPA 36,500 63,351
Class Editori 5,430 45,752
Gruppo Buffetti 6,350 52,702
Gruppo Editoriale L'espresso 2,440 53,001
Seat Pagine Gialle 63,100 60,468
Tiscali SPA* 1,700 117,129
-----------
631,271
-----------
JAPAN -- 24.1%
Arisawa Mfg. Co., Ltd. 4,000 113,184
Bellsystem 24, Inc. 100 95,919
Chubu Sekiwa Real Estate 970 8,048
Circle K Japan Co. 2,000 80,188
Disco Corp. 600 83,449
Doutor Coffee Co., Ltd. 1,600 171,886
Enplas Corp. 2,500 100,954
Fuji Machine Mfg. Co., Ltd. 1,000 46,521
Fuji Seal, Inc. 1,200 110,498
Fuji Soft ABC Inc. 900 82,442
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 73
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
International Small
Cap Equity Fund, continued
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Fujimi Inc. 1,000 $ 46,041
Hisamitsu Pharmaceutical Co., Inc. 5,000 71,795
Ibiden Co, Ltd. 4,000 67,143
Itoen, Ltd. 1,300 133,423
Kagome Co., Ltd. 10,000 112,033
Meitec Corp. 1,500 56,256
Misumi Corp. 1,200 86,902
NHK Spring Co., Ltd. 15,000 62,155
Nichiha Corp. 6,000 60,429
Nichii Gakkan Co. 650 105,990
Nippon Zeon Co., Ltd. 10,000 86,327
OSG Corp. 26,000 147,887
Otsuka Kagu 300 89,204
People Co., Ltd. 1,000 66,088
Saizeriya Co., Ltd. 1,300 103,496
Shimamura Co., Ltd. 800 115,102
Shinko Electric Ind. Co. Ltd. 1,500 76,255
Taiyo Ink Mfg. Co., Ltd. 1,000 134,286
Yamaichi Electronics Co., Ltd. 3,000 83,449
Yamato Kogyo Co., Ltd. 8,000 37,063
-----------
2,634,413
-----------
NETHERLANDS -- 5.5%
ASM Lithography* 1,300 91,757
Fugro NV 4,500 151,474
IHC Caland 1,377 59,749
Libertel NV* 2,900 54,909
Randstad Holding NV 2,543 128,934
Vendex NV 2,270 66,262
Versatel Telecom International NV* 3,750 46,547
-----------
599,632
-----------
NORWAY -- 0.7%
TGS Nopec Geophysical Co ASA* 5,200 38,749
Tomra Systems ASA 1,100 42,036
-----------
80,785
-----------
PORTUGAL -- 0.7%
Brisa-Auto Estradas 1,050 41,363
Jeronimo Martins 1,350 37,689
-----------
79,052
-----------
SINGAPORE -- 3.4%
Hong Leong Finance Ltd. 28,000 51,531
Informatics Holdings Ltd. 127,000 61,869
Singapore Bus Services PTE Ltd. 65,000 102,815
Sembcorp Logistics Ltd. 16,000 59,662
Venture Manufacturing Ltd. 11,000 97,913
-----------
373,790
-----------
SPAIN -- 1.6%
Aldeasa SA* 4,110 94,810
Autopistas del Mare Nostrum SA 1,940 37,161
Baron de Ley* 1,540 41,308
-----------
173,279
-----------
SWEDEN -- 3.1%
Assa Abloy, Series B 7,380 82,120
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Europolitan Holdings 8,200 $ 94,236
Modern Times Group AB* 1,000 32,348
OM Gruppen AB 3,900 50,274
Securitas AB 5,480 81,304
-----------
340,282
-----------
SWITZERLAND -- 6.5%
Adecco Shs 210 127,327
Bachem AG Registered 35 51,652
Bank Sarasin & Cie 50 92,851
Compagnie Financiere Richemont 40 76,433
Holderbank Financiere Glarus 2 2,463
Kaba Holding AG 70 51,445
Kudelski* 42 174,730
Publigroupe SA 105 77,030
Selecta Group 150 53,053
-----------
706,984
-----------
UNITED KINGDOM -- 18.1%
Aegis Group Plc 32,294 84,920
Baltimore Techno Plc 299 9,214
Barratt Developments 11,756 45,598
BBA Group 2,919 20,389
Bowthorpe Holdings 12,868 129,535
Bunzl 17,494 86,110
Burford Holdings Plc 36,264 61,090
Burmah Castrol Plc 2,059 35,464
Caledonia Investments Plc 2,196 23,153
Canary Wharf Finance Plc* 7,572 40,009
Capita Group 3,906 51,934
Cattles Plc 5,140 23,991
Chorion Plc* 10,589 6,135
Close Brothers Group Plc 2,672 33,573
Countrywide Assured Group 15,976 38,860
Daily Mail & General Trust, Series A 397 20,422
Debenhams Plc 7,374 31,631
EMAP Publishing Plc 4,861 63,114
Esat Telecom Group Plc* 1,250 55,938
Forth Ports 5,993 50,331
Glynwed International 7,143 24,066
Hanson Plc 9,508 74,538
Inchcape 3,457 17,329
London Clubs International 12,989 27,005
Lonmin Plc 7,705 77,499
Matalan 1,359 30,376
Next 4,312 46,454
Northern Rock Plc 8,168 55,240
PIC International Group Plc* 8,326 3,558
Pillar Property Plc 9,259 47,478
Premier Farnell Plc 5,302 25,139
Sage Group (The) 2,553 130,953
Severn Trent Plc 2,734 39,249
SIG Plc 14,247 57,250
Smiths Industries Plc 2,915 39,309
Telewest Communications Plc* 26,625 113,881
Telewest Communication Rights* 11/15/99 2,420 2,188
Thistle Hotels Plc 5,292 13,568
</TABLE>
74 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
TI Group Plc 5,383 $ 36,317
Trafficmaster Plc* 3,143 25,828
United Assurance Group Plc 7,088 45,752
Vitec Group Plc 7,184 71,195
Wolseley Plc 9,471 64,324
-----------
1,979,907
-----------
Total Foreign Common Stocks
(Cost $8,007,779) 10,124,557
-----------
FOREIGN PREFERRED STOCKS -- 1.9%
GERMANY -- 1.9%
Boss (Hugo) 347 46,357
Marschollek Lauten 740 156,069
-----------
Total Foreign Preferred Stocks
(Cost $167,873) 202,426
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR AMOUNT
--------------
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN CONVERTIBLE BOND -- 1.4%
JAPAN -- 1.4%
World Co. Ltd.
0.800%, 09/28/01
(Cost $72,394) JPY 8,000,000 150,400
-----------
Total Investments -- 95.9%
(Cost $8,248,046) 10,477,383
OTHER ASSETS IN EXCESS OF LIABILITIES -- 4.1% 452,238
-----------
Net Assets -- 100.0% $10,929,621
===========
</TABLE>
<TABLE>
<S> <C>
*NON-INCOME PRODUCING SECURITY
JPY JAPANESE YEN
ADR AMERICAN DEPOSITORY RECEIPT
</TABLE>
Emerging Markets
Equity Fund
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN COMMON STOCKS -- 94.8%
ARGENTINA -- 1.7%
Banco de Galicia ADR 85,875 $ 1,814,109
Perez Companc, Class B 154,060 927,877
------------
2,741,986
------------
BRAZIL -- 5.6%
Cerj* 2,306,472,720 472,638
CVRD ADR 75,113 1,464,906
Embratel Participacoes ADR* 50,791 653,934
Tele Centro Sul Participacoes ADR* 27,796 1,660,811
Tele Norte Leste Participacoes ADR 127,275 2,147,765
Telesp Celular Participacoes ADR* 19,100 470,338
Telesp Participacoes ADR* 100,185 1,621,745
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Unibanco GDR 32,015 $ 740,347
-----------
9,232,484
-----------
CHILE -- 2.6%
Andina ADR 25,900 420,875
Banco Santander Chile ADR 23,500 384,812
CTC ADR 69,594 1,161,350
DyS ADR* 74,700 1,218,544
Endesa SA* 44,000 561,000
Enersis ADR 25,769 579,803
-----------
4,326,384
-----------
CHINA -- 1.1%
Angang New Steel Co., Ltd. 3,140,000 367,838
Hengan International Group Co., Ltd.* 722,000 197,506
Hueneng Power International, Inc., Class H 300,000 93,652
Hueneng Power International, Inc. ADR* 1,300 15,763
Legend Holdings Ltd. 816,000 877,126
Shanghai Petrochemical Co., Ltd. 1,124,000 231,511
-----------
1,783,396
-----------
CZECH REPUBLIC -- 0.6%
Ceske Energeticke Zavody 93,000 244,277
IF Zivnobanka 9,830 168,237
SPT Telecom 41,200 621,715
-----------
1,034,229
-----------
GREECE -- 3.7%
Alpha Credit Bank 36,255 2,771,877
Hellenic Telecommunications Organizations SA 45,700 968,128
Stet Hellas Telecom ADR* 25,750 553,625
Titan Cement 16,740 1,855,793
-----------
6,149,423
-----------
HONG KONG -- 0.6%
China Telecom 283,000 967,244
-----------
HUNGARY -- 2.5%
Matav 247,390 1,439,497
Matav ADR 1,076 31,002
MOL 56,290 1,134,226
MOL GDR* 1,376 27,520
OTP Bank 20,663 938,494
Raba 62,110 587,437
-----------
4,158,176
-----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 75
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Emerging Markets
Equity Fund, continued
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INDIA -- 10.0%
Associated Cement Co. 162,375 $ 749,970
Bank of Baroda 301,569 460,585
Bharat Heavy Electricals Ltd. 210,100 1,297,093
BSES 200 743
EIH Ltd. 205 930
Glaxo India Ltd.* 704 11,985
Grasim Industries Ltd. 91,000 885,159
Gujarat Ambuja Cements Ltd. GDR 3,000 36,825
Hindustan Lever 29,459 1,561,578
ICICI Ltd. 75,392 137,203
ICICI Ltd. ADR* 21,700 238,700
ITC Ltd. 60,000 962,062
ITC Ltd. GDR 2,000 37,750
Larsen & Toubro Ltd. 201,900 1,851,563
Larsen & Toubro Ltd. GDR 1,000 21,650
Mahanagar Telephone Nigam 168,300 664,516
Mahanagar Telephone Nigam GDR* 3,110 25,657
Mahindra & Mahindra 700 5,733
NIIT Ltd. 20,060 1,001,853
Pentafour Software & Exports Ltd. 63,100 875,192
Ranbaxy Laboratories 18,100 362,729
Reliance Industries Ltd. 346,871 1,866,199
Satyam Computer Services Ltd. 50,600 1,486,467
State Bank of India 225,300 1,287,132
Tata Iron & Steel Co. Ltd. 144,622 491,401
-----------
16,320,675
-----------
INDONESIA -- 2.0%
Bank Panin Warrants* 180 7
PT Gudang Garam Tbk 488,000 1,252,925
PT Indosat (Persero) Tbk 369,500 598,315
PT Indofood Sukes Makmur Tbk 758,000 895,667
PT Lippo Bank Tbk 3,625,000 118,983
PT Telekomunikasi Indonesia 845,000 400,620
-----------
3,266,517
-----------
ISRAEL -- 3.8%
Bank Leumi Le-Israel* 911,700 1,608,592
Baran Group 1,710 31,500
Bezeq 293,610 1,197,237
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Blue Square Chain Stores* 79,460 $ 1,091,262
Discount Investment Corp. 12,900 491,981
Elite Industries 25,465 1,199,736
Elron* 27,000 642,388
-----------
6,262,696
-----------
KOREA -- 14.3%
Dongwon Securities 36,200 1,086,453
Honam Petrochemical Corp. 26,000 502,876
Housing & Commercial Bank GDR* 2,600 69,290
Kookmin Bank 61,221 954,425
Korea Electric Power Corp. 104,700 3,063,752
Korea Electric Power Corp. ADR 4,000 63,000
Korea Telecom Corp ADR* 43,475 1,532,494
LG Chemical 45,396 1,373,801
Nong Shim Co. Ltd. 6,640 339,335
Pohang Iron & Steel 27,846 3,418,128
Pohang Iron & Steel ADR 2,525 84,272
Samsung Corp. 20,300 321,551
Samsung Display Devices 11,389 598,172
Samsung Electronics 35,422 5,906,127
Samsung Electronics GDR 144A* 1,374 116,790
Samsung Fire & Marine Insurance 16,700 737,891
Shinhan Bank 144,660 1,531,623
Shinhan Bank GDR* 1,300 27,852
SK Telecom 824 951,430
SK Telecom Co., Ltd. ADR* 54,909 717,249
-----------
23,396,511
-----------
MALAYSIA -- 1.1%
Arab Malaysian Finance Berhad 100,000 104,737
Berjaya Sports Toto 119,000 258,355
Malayan Banking 80,000 271,579
MNI Holdings Berhad 107,000 164,724
Oriental Holdings Berhad 65,000 141,118
Resorts World Berhad 145,000 415,921
Telekom Malaysia 48,000 147,790
Unisem Berhad 60,000 244,737
-----------
1,748,961
-----------
MEXICO -- 11.8%
Alfa S.A. de C.V.* 314,450 1,206,782
Banacci 288,940 722,726
</TABLE>
76 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Cemex SA CPO* 246,305 $ 1,114,328
Desc. ADR 46,620 740,093
Femsa* 456,210 1,480,369
Grupo Carso 173,401 726,787
Grupo Industrial Saltillo* 261,700 681,808
Grupo Modelo, Series C* 550,167 1,344,662
Kimberly Clark, Series A* 308,246 987,413
Organization Soriana* 283,500 1,049,672
Telmex ADR 82,704 7,071,192
Televisa GDR 52,741 2,241,493
-----------
19,367,325
-----------
PERU -- 1.0%
Buenaventura ADR 51,910 882,470
Credicorp Ltd. 21,200 225,250
Telefonica de Peru ADR* 51,040 590,150
-----------
1,697,870
-----------
PHILIPPINES -- 1.5%
Ayala Land, Inc. 1,598,500 408,594
Bank of the Philippine Islands* 352,960 933,011
Equitable PCI Bank 16,800 29,746
Metropolitan Bank & Trust Co.* 9,960 74,514
Philippine Long Distance Telephone Co. 26,660 555,140
SM Prime Holdings 2,621,700 464,191
-----------
2,465,196
-----------
POLAND -- 1.4%
Bank Przemyslowo-Handlowy 10,693 511,906
Budimex* 72,920 414,760
Elektrim 57,005 486,356
Exbud 31,530 222,679
Kety* 34,960 337,213
Wielkopolski Bank Kredytowy 47,750 279,518
-----------
2,252,432
-----------
PORTUGAL -- 0.0%
Jeronimo Martins 40 1,117
-----------
ROMANIA -- 0.1%
Arlo 8,790 48,949
Dacia 1,202,500 52,716
Terapia 74,803 40,326
-----------
141,991
-----------
SOUTH AFRICA -- 9.8%
ABSA 286,008 1,166,382
Anglo American Plc 699 37,212
Anglo American Platinum Corp. 38,200 1,100,757
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
AngloGold 16,900 $ 954,709
Barlow 186,900 911,299
Bidvest Group 73,649 534,757
DataTec * 1,838 22,831
De Beers Centenary Linked Units 93,650 2,558,318
Dimension Data Holdings 6,111 29,647
Fedsure Holdings 78,500 525,889
FirstRand 1,482,500 1,713,594
Johnnies Industrial Corp.* 4,374 29,908
Liberty Life 57,700 535,433
Metropolitan Life 331,100 404,273
Nedcor 68,100 1,339,272
New Clicks Holdings 510,056 739,031
Rembrandt Group 84,000 628,376
Sappi 2,410 19,971
Sasol 235,800 1,612,308
South African Breweries 128,976 1,129,656
Standard Bank Investment Corp. 8,631 29,508
-----------
16,023,131
-----------
TAIWAN -- 12.6%
Advanced Semiconductor Engineering, Inc.* 599,910 1,843,986
Advanced Semiconductor Engineering, Inc. GDR* 1,296 26,244
ASE Test Ltd.* 1,220 30,500
Asia Cement Corp. 904,960 713,241
Asustek Computer Inc.* 138,489 1,453,872
Asustek Computer Inc. GDR* 4,340 61,194
Asustek Computer Inc. GDR 144A* 256 3,609
Bank Sinopac 2,175,341 1,227,573
Cathay Life Insurance 384,100 992,945
China Steel Corp. 926,100 712,384
China Steel Corp. GDR* 230 3,916
Compeq Manufacturing Co., Ltd. 111,800 570,984
D-Link Corp.* 191,400 319,804
Evergreen Marine Corp. 279,720 261,907
Far Eastern Textile Ltd. 1,153,140 1,577,751
Formosa Plastics Corp. 545,750 1,092,532
Hon Hai Precision Industry Co., Ltd.* 163,800 1,120,574
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 77
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Emerging Markets
Equity Fund, continued
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Phoenixtec Power Co., Ltd.* 466,831 $ 949,262
Taishin International Bank 1,370,880 782,249
Taiwan Semiconductor* 788,000 3,502,774
Taiwan Semiconductor ADR* 4,637 160,556
United Microelectronics Corp., Ltd. 978,500 2,544,964
Winbond Electronics Corp.* 358,000 654,603
-----------
20,607,424
-----------
THAILAND -- 2.4%
Advanced Info Services 98,300 1,145,836
PTT Exploration* 99,100 723,901
Siam Cement Public Co., Ltd. 36,050 933,817
Siam City Cement Public Co. Ltd. 29,866 109,856
Siam Commercial Bank Wt 05/10/02* 92,000 32,172
Thai Farmers Bank Public Co. 679,400 959,132
-----------
3,904,714
-----------
TURKEY -- 4.2%
Akbank 2,212,852 34,521
Finansbank 125,695,000 464,065
Hurriyet 67,222,014 510,349
Netas 32,516,000 1,217,397
T. Garanti Bank 81,753,600 697,194
Tansas 16,400,000 1,620,317
Vestel 7,711,991 946,414
Yapi ve Kredi Bank 96,097,560 1,399,178
-----------
6,889,435
-----------
UNITED KINGDOM -- 0.0%
Old Mutual Plc* 8,200 17,351
South African Breweries Plc* 3,382 30,015
-----------
47,366
-----------
OTHER -- 0.4%
Framlington Maghreb Fund* 12,500 190,625
Mauritius Fund Limited* 49,000 269,500
Oryx Fund Limited* 14,450 169,787
-----------
629,912
-----------
Total Foreign Common Stocks
(Cost $140,929,934) 155,416,595
-----------
</TABLE>
<TABLE>
FOREIGN PREFERRED STOCKS -- 3.6%
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
DESCRIPTION SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
BRAZIL -- 3.3%
Banespa 11,535,000 $ 296,057
Brahma 1,781,810 1,136,452
Electrobras 25,854,450 459,605
Gerdau SA 47,892,300 866,085
Itaubanco 23,937,050 1,373,437
Petrobras* 7,531,867 1,198,076
-----------
5,329,712
-----------
COLOMBIA -- 0.1%
Banco Ganadero ADR 16,400 105,575
-----------
THAILAND -- 0.2%
Siam Commercial Bank Public Co., Ltd 322,000 364,914
-----------
Total Foreign Preferred Stocks
(Cost $5,674,674) 5,800,201
-----------
Total Investments -- 98.4%
(Cost $146,604,608) 161,216,796
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.6% 2,669,308
-----------
Net Assets -- 100% $163,886,104
===========
</TABLE>
<TABLE>
<S> <C> <C>
* NON-INCOME PRODUCING SECURITY
ADR AMERICAN DEPOSITORY RECEIPT
GDR GLOBAL DEPOSITORY RECEIPT
144A SECURITY EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE SECURITY
ACT OF 1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT
FROM REGISTRATION, NORMALLY TO QUALIFIED INSTITUTIONAL BUYERS.
</TABLE>
Global Fixed Income Fund
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN BONDS -- 53.2%
CANADA -- 2.1%
Government of Canada
7.000%, 12/01/06 1,500,000 $ 1,073,969
-----------
DENMARK -- 5.4%
Kingdom of Denmark
8.000%, 05/15/03 5,450,000 847,779
Kingdom of Denmark
7.000%, 12/15/04 6,750,000 1,031,937
Kingdom of Denmark
6.000%, 11/15/09 6,600,000 963,906
-----------
2,843,622
-----------
GERMANY -- 20.4%
Federal Republic of Germany
5.000%, 08/20/01 EUR 1,000,000 1,071,149
</TABLE>
78 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Federal Republic of Germany
6.500%, 10/14/05 EUR 1,702,000 $ 1,931,081
Federal Republic of Germany
6.000%, 01/05/06 EUR 3,100,000 3,436,456
Federal Republic of Germany
6.000%, 01/04/07 EUR 1,900,000 2,099,760
Federal Republic of Germany
6.250%, 01/04/24 EUR 1,907,500 2,120,779
-----------
10,659,225
-----------
GREECE -- 4.2%
Hellenic Republic
8.600%, 03/26/08 638,000,000 2,215,348
-----------
ITALY -- 6.0%
Republic of Italy
5.000%, 05/01/08 EUR 3,061,622 3,149,849
-----------
JAPAN -- 5.5%
Government of Japan
0.900%, 12/22/08 325,000,000 2,859,043
-----------
NETHERLANDS -- 4.7%
Government of the Netherlands
6.500%, 04/15/03 EUR 2,206,000 2,461,350
-----------
SOUTH AFRICA -- 4.1%
Republic of South Africa
12.000%, 02/28/05 4,800,000 721,772
Republic of South Africa
13.000%, 08/31/10 7,400,000 1,089,632
Republic of South Africa
13.500%, 09/15/15 2,100,000 315,761
-----------
2,127,165
-----------
UNITED KINGDOM -- 0.8%
National Westminster Bank
7.375%, 10/01/09 USD 400,000 398,064
-----------
Total Foreign Bonds
(Cost $29,238,425) 27,787,635
-----------
UNITED STATES -- 32.8%
U.S. TREASURY NOTES -- 10.7%
U.S. Treasury Notes
6.500%, 05/31/01 1,820,000 1,839,338
U.S. Treasury Notes
5.750%, 10/31/02 285,000 283,753
7.875%, 11/15/04 2,050,000 2,207,594
7.000%, 07/15/06 1,190,000 1,242,806
-----------
Total U.S. Treasury Notes
(Cost $5,665,580) 5,573,491
-----------
U.S. TREASURY BOND -- 3.0%
U.S. Treasury Bond
8.125%, 08/15/19
(Cost $1,616,403) 1,320,000 1,554,713
-----------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSET-BACKED SECURITIES -- 13.8%
American Express Credit Account Master Trust
6.400%, 04/15/05 3,050,000 $ 3,037,770
Capital One Master Trust, Series 1998-7, Class A
5.430%, 01/15/07 950,000 912,285
Discover Card Master Trust I, Series 1998-7, Class A
5.600%, 05/15/06 900,000 864,450
E.I. Dupont de Nemours
6.750%, 10/15/04 870,000 874,022
Erac USA Finance Company
6.625%, 05/15/06 950,000 909,212
Ford Motor Credit Company
7.375%, 10/28/09 580,000 585,243
-----------
Total Asset-Backed Securities
(Cost $7,253,760) 7,182,982
-----------
Total United States
(Cost $14,535,743) 14,311,186
-----------
SOVEREIGN EMERGING MARKETS BONDS -- 5.3%
ARGENTINA -- 1.3%
Argentina FRB
6.813%, 03/31/05 USD 264,000 235,522
Argentina
12.125%, 02/25/19 USD 300,000 306,750
Argentina Par
6.000%, 03/31/23 USD250,000 164,688
-----------
706,960
-----------
BULGARIA -- 0.4%
Republic of Bulgaria
6.500%, 07/28/11 USD 250,000 190,313
-----------
BRAZIL -- 1.2%
Republic of Brazil FRN Ser EI-L
6.938%, 04/15/06 USD 282,000 230,535
Republic of Brazil C Bond
8.000%, 04/15/14 USD 363,964 244,766
Republic of Brazil Par Z-L
5.750%, 04/15/24 USD 250,000 149,063
-----------
624,364
-----------
IVORY COAST -- 0.2%
Ivory Coast FLIRB
2.000%, 03/29/18 FRF 2,500,000 90,203
-----------
MEXICO -- 0.7%
United Mexican States Series W-B
6.250%, 12/31/19 USD 250,000 187,500
Mexican Par W-A
6.250%, 12/31/19 USD 250,000 187,500
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 79
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Global Fixed Income Fund, continued
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
United Mexican States Value Recovery Rights Ser A*
0.000%, 06/30/03 USD 385,000 $ --
-----------
375,000
-----------
NIGERIA -- 0.2%
Nigeria
5.092%, 01/05/10 USD 197,741 116,044
-----------
PANAMA -- 0.2%
Republic of Panama
6.500%, 07/17/16 USD 107,972 80,979
-----------
PHILIPPINES -- 0.4%
Republic of Philippines
9.875%, 01/15/19 USD 200,000 194,000
-----------
RUSSIA -- 0.4%
Federation of Russia
8.750%, 07/24/05 USD 450,000 225,000
-----------
VENEZUELA -- 0.3%
Republic of Venezuela DCB FRN
6.313%, 12/18/07 USD 202,380 162,663
-----------
Total Sovereign Emerging Markets Bonds
(Cost $3,287,834) 2,765,526
-----------
Total United States Bonds
(Cost $17,823,577) 17,076,712
-----------
TIME DEPOSITS -- 6.4%
NETHERLANDS -- 3.1%
Rabobank
2.500%, 11/02/99 EUR 1,564,702 1,645,910
UNITED KINGDOM -- 3.3%
Bank of Montreal London
5.125%, 11/02/99 USD 1,716,445 1,716,445
-----------
Total Time Deposits
(Cost $3,386,689) 3,362,355
-----------
Total Investments -- 92.4%
(Cost $50,448,691) 48,226,702
OTHER ASSETS IN EXCESS OF LIABILITIES -- 7.6% 3,992,933
-----------
Total Net Assets -- 100.0% $52,219,635
===========
</TABLE>
<TABLE>
<S> <C>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
*NON-INCOME PRODUCING SECURITY.
DCB DEBT CONVERSION BOND
EUR EURO
FLIRB FRONT LOADED INTEREST REDUCTION BOND
FRB FLOATING RATE BOND
FRN FLOATING RATE NOTE
FRF FRENCH FRANCS
USD UNITED STATES DOLLAR
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
Core Global Fixed Income Fund
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN BONDS -- 53.3%
CANADA -- 2.7%
Government of Canada
7.000%, 12/01/06 1,300,000 $ 930,773
-----------
DENMARK -- 5.3%
Kingdom of Denmark
8.000%, 05/15/03 3,400,000 528,890
Kingdom of Denmark
7.000%, 12/15/04 3,870,000 591,644
Kingdom of Denmark
6.000%, 11/15/09 4,800,000 701,022
-----------
1,821,556
-----------
GERMANY -- 21.7%
Federal Republic of Germany
6.875%, 05/12/05 EUR 300,794 345,919
Federal Republic of Germany
6.500%, 10/14/05 EUR 1,161,000 1,317,265
Federal Republic of Germany
6.000%, 01/05/06 EUR 2,150,000 2,383,349
Federal Republic of Germany
6.000%, 01/04/07 EUR 1,720,000 1,900,835
Federal Republic of Germany
6.000%, 07/04/07 EUR 400,000 440,344
Federal Republic of Germany
6.250%, 01/04/24 EUR 997,700 1,109,254
-----------
7,496,966
-----------
GREECE -- 3.5%
Hellenic Republic
8.600%, 03/26/08 349,000,000 1,211,844
-----------
ITALY -- 10.7%
Republic of Italy
10.000%, 08/01/03 EUR 131,190 161,802
Republic of Italy
7.750%, 11/01/06 EUR 2,337,495 2,812,582
Republic of Italy
5.000%, 05/01/08 EUR 717,874 738,561
-----------
3,712,945
-----------
JAPAN -- 5.1%
Government of Japan
0.900%, 12/22/08 202,000,000 1,777,005
-----------
NETHERLANDS -- 3.4%
Dutch Government
6.500%, 04/15/03 EUR 1,040,000 1,160,383
-----------
UNITED KINGDOM -- 0.9%
National Westminster Bank
7.375%, 10/01/09 USD 300,000 298,548
-----------
Total Foreign Bonds
(Cost $19,378,246) 18,410,020
-----------
</TABLE>
80 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES -- 21.7%
SUPRANATIONAL -- 0.5%
International Bank for Reconstruction & Development
9.750%, 01/23/16
(Cost $168,374) 125,000 $ 157,084
-----------
ASSET-BACKED SECURITIES -- 13.9%
American Express Credit Account Master Trust, Series 1997-1
6.400%, 04/15/05 950,000 946,191
Bank One Corp
6.875%, 08/01/06 650,000 640,249
Capital One Master Trust, Series 1998-4, Class A
5.430%, 01/15/07 500,000 480,150
Citibank Credit Card Master Trust I, Series 1997-7, Class A
6.350%, 08/15/02 710,000 709,148
Discover Card Master Trust I, Series 1998-7, Class A
5.600%, 05/16/06 500,000 480,250
E.I. Du Pont de Nemours
6.750%, 10/15/04 580,000 582,681
Erac USA Finance Company
6.625%, 05/15/06 650,000 622,092
Ford Motor Credit Co.
7.375%, 10/28/09 350,000 353,164
-----------
Total Asset Backed Securities
(Cost $4,846,049) 4,813,925
-----------
U.S. TREASURY OBLIGATIONS -- 7.3%
U.S. TREASURY NOTES -- 4.6%
U.S. Treasury Notes
6.500%, 05/31/01 830,000 838,819
5.750%, 10/31/02 180,000 179,213
7.000%, 07/15/06 555,000 579,628
-----------
Total U.S. Treasury Notes
(Cost $1,612,289) 1,597,660
-----------
U.S. TREASURY BOND -- 2.7%
U.S. Treasury Bond
(Cost $965,717)
8.125%, 08/15/19 800,000 942,250
-----------
Total U.S. Treasury Obligations
(Cost $2,746,380) 2,539,910
-----------
Total United States
(Cost $7,592,429) 7,510,919
-----------
TIME DEPOSITS -- 15.3%
UNITED KINGDOM -- 11.0%
Bank of Montreal London
5.125%, 11/01/99 USD 1,493,502 1,493,502
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Dresdner Bank London
5.094%, 11/01/99 USD 1,505,392 $ 1,505,392
Royal Bank Canada London
5.200%, 11/01/99 USD 804,746 804,746
-----------
3,803,640
-----------
NETHERLANDS -- 4.3%
ING Investment Bank Amsterdam
5.150%, 11/01/99 USD 1,493,558 1,493,558
-----------
Total Time Deposits
(Cost $5,297,198) 5,297,198
-----------
Total Investments -- 90.3%
(Cost $32,267,873) 31,218,137
OTHER ASSETS IN EXCESS OF LIABILITIES -- 9.7% 3,345,002
-----------
Net Assets -- 100.0% $34,563,139
===========
</TABLE>
<TABLE>
<S> <C>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
EUR EURO
</TABLE>
International Fixed
Income Fund
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN BONDS -- 77.8%
BELGIUM -- 3.7%
Kingdom of Belgium
7.250%, 04/29/04 EUR 1,820,000 $ 2,093,582
-----------
DENMARK -- 9.1%
Kingdom of Denmark
7.000%, 12/15/04 10,540,000 1,611,350
Kingdom of Denmark
8.000%, 03/15/06 12,400,000 1,983,923
Kingdom of Denmark
6.000%, 11/15/09 10,350,000 1,511,580
-----------
5,106,853
-----------
GERMANY -- 19.9%
Federal Republic of Germany
6.500%, 10/14/05 EUR 740,000 839,600
Federal Republic of Germany
6.000%, 01/04/07 EUR 2,630,000 2,906,509
Federal Republic of Germany
6.000%, 07/04/07 EUR 3,900,000 4,293,357
Federal Republic of Germany
6.250%, 01/04/24 EUR 2,773,324 3,083,413
-----------
11,122,879
-----------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 81
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
International Fixed
Income Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE -- 4.5%
Treasury Note
4.500%, 07/12/03 EUR 2,381,755 $ 2,495,843
-----------
GREECE -- 3.8%
Hellenic Republic
8.600%, 03/26/08 614,000,000 2,132,012
-----------
ITALY -- 4.7%
DSL Bank
7.000%, 05/27/02 EUR 3,600,000,000 2,073,166
Republic of Italy
6.250%, 05/15/02 EUR 500,000 547,007
-----------
2,620,173
-----------
JAPAN -- 14.0%
Government of Japan
0.900%, 12/22/08 543,000,000 4,776,793
Government of Japan Ser 31
0.800%, 05/20/05 325,000,000 3,078,436
-----------
7,855,229
-----------
NETHERLANDS -- 8.0%
Netherlands Government
3.000%, 02/15/02 EUR 2,540,000 2,601,319
Tecnost International NV
5.375%, 07/30/04 EUR 1,790,000 1,849,508
-----------
4,450,827
-----------
SPAIN -- 3.7%
Kingdom of Spain
8.000%, 05/30/04 EUR 1,768,000 2,089,861
-----------
UNITED KINGDOM -- 6.4%
Abbey National Treasury
3.375%, 07/12/04 EUR 500,000 497,641
Standard Chartered Bank MTN
6.750%, 04/27/09 800,000 1,238,430
UBS
8.000%, 01/08/07 1,075,000 1,849,638
-----------
3,585,709
-----------
Total Foreign Bonds
(Cost $43,919,995) 43,552,968
-----------
</TABLE>
<TABLE>
TIME DEPOSITS -- 17.4%
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM -- 17.4%
Bank of Montreal London
5.125%, 11/02/99 USD 2,202,192 $ 2,202,192
Dresdner Bank London
2.480%, 11/02/99 EUR 151,807 159,686
Hypoveriensbank London
5.188%, 11/02/99 USD 1,657,864 1,657,864
MGT London
5.125%, 11/02/99 USD 1,718,473 1,718,473
Rabobank London
5.250%, 11/02/99 USD 2,008,972 2,008,972
Royal Bank of Canada London
5.200%, 11/02/99 USD 2,008,965 2,008,965
-----------
Total Time Deposits
(Cost $9,758,512) 9,756,152
-----------
Total Investments -- 95.2%
(Cost $53,678,507) 53,309,120
OTHER ASSETS IN EXCESS OF LIABILITIES -- 4.8% 2,687,582
-----------
Net Assets -- 100.0% $55,996,702
===========
</TABLE>
<TABLE>
<S> <C>
(1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED.
EUR EURO
MTN MEDIUM TERM NOTE
USD UNITED STATES DOLLAR
</TABLE>
Emerging Markets
Debt Fund
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN BONDS -- 84.1%
ARGENTINA -- 15.3%
Republic of Argentina -- Warrants*
02/25/00 9,000 $ 20,250
Republic of Argentina Series BT04
11.250%, 05/24/04 6,693,750 6,429,347
Argentina FRB
6.813%, 03/31/05 7,700,000 6,869,386
Republic of Argentina
11.000%, 10/09/06 4,500,000 4,275,000
Republic of Argentina
11.750%, 04/07/09 5,850,000 5,754,938
Government of Argentina
11.375%, 01/30/17 4,350,000 4,176,000
Argentina Par Series L
6.000%, 03/31/23 35,950,000 24,615,250
------------
52,140,171
------------
</TABLE>
82 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
BRAZIL -- 22.6%
Brazil FRN Series EI-L
6.938%, 04/15/06 13,912,000 $ 11,373,060
Republic of Brazil
14.500%, 10/15/09 7,414,000 7,654,955
Brazil DCB FRN -- Series L
7.000%, 04/15/12 24,450,000 16,106,438
Brazil C Bond
8.000%, 04/15/14 41,759,219 28,083,075
Brazil FRN Discount ZL
6.938%, 04/15/24 8,000,000 5,550,000
Republic of Brazil Par Z-L
5.750%, 04/15/24 13,750,000 8,198,438
------------
76,965,966
------------
BULGARIA -- 4.5%
Bulgaria IAB
6.500%, 07/28/11 11,050,000 8,411,813
Republic of Bulgaria Tranche Discount FRN
6.500%, 07/28/24 9,250,000 6,868,125
------------
15,279,938
------------
COLOMBIA -- 3.5%
Colombia
7.625%, 02/15/07 1,750,000 1,441,563
Republic of Colombia
8.625%, 04/01/08 7,500,000 6,403,125
Republic of Colombia
9.750%, 04/23/09 4,500,000 4,095,000
------------
11,939,688
------------
IVORY COAST -- 1.9%
Ivory Coast PDI
1.900%, 03/29/18 74,882,500 (2 ) 3,362,308
Ivory Coast FLIRB
2.000%, 03/29/18 81,535,000 (2 ) 2,941,885
------------
6,304,193
------------
JORDAN -- 3.0%
Jordan Par
5.500%, 12/23/23 16,337,000 10,333,153
------------
KAZAKHSTAN -- 2.8%
Republic of Kazakhstan 144A
13.625%, 10/18/04 9,500,000 9,381,250
------------
MEXICO -- 6.8%
United Mexican States Warrants *
06/30/03 5,385,000 --
United Mexican States
9.875%, 01/15/07 1,700,000 1,704,250
Petroleos Mexicano
8.850%, 09/15/07 2,500,000 2,262,500
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Petroleos Mexicano
9.250%, 03/30/18 9,150,000 $ 7,807,238
United Mexican States
11.500%, 05/15/26 7,750,000 8,666,438
Petroleos Mexicano Reg S
9.500%, 09/15/27 3,000,000 2,880,000
------------
23,320,426
------------
NIGERIA -- 3.3%
Nigeria Par
6.250%, 11/15/20 19,000,000 11,162,500
Nigeria Warrants *
11/15/20 16,500 --
------------
11,162,500
------------
PERU -- 2.9%
Peru PDI
4.500%, 03/07/17 3,940,000 2,467,425
Peru FLIRB
3.750%, 03/07/17 13,300,000 7,414,750
------------
9,882,175
------------
PHILIPPINES -- 3.5%
Republic of Philippines
9.875%, 01/15/19 12,300,000 11,931,000
------------
RUSSIA -- 9.4%
Russian Federation
9.250%, 11/27/01 2,260,000 1,570,700
Ministry Reg S
11.750%, 06/10/03 22,600,000 13,786,000
Russian Federation
8.750%, 07/24/05 9,700,000 4,850,000
Russia Min Fin Reg S
10.000%, 06/26/07 6,400,000 3,120,000
Russia IAN 144A FRN
6.063%, 12/15/15 449,433 51,122
Vnesh Russia IAN FRN
6.063%, 12/15/15 30,100,000 3,386,250
Russia Federation
11.000%, 07/24/18 4,500,000 2,193,750
Russia Government Finance Reg S
12.750%, 06/24/28 5,300,000 2,888,500
------------
31,846,322
------------
VENEZUELA -- 4.6%
Venezuela DCB
6.313%, 12/18/07 5,464,286 4,391,919
Venezuela Par Ser B
6.750%, 03/31/20 5,000,000 3,450,000
Venezuela Warrants *
04/18/20 13,750 --
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 83
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
Emerging Markets
Debt Fund, continued
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
DESCRIPTION FACE AMOUNT(1) VALUE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Government of Venezuela
9.250%, 09/15/27 11,750,000 $ 7,901,874
------------
15,743,793
------------
Total Foreign Bonds
(Cost $281,801,055) 286,230,575
------------
LOAN PARTICIPATIONS -- 5.1%(3)
MOROCCO -- 3.7%
Morocco FRN 'A'
(Morgan Guaranty Trust Company of New York)
5.906%, 01/01/09 14,422,500 12,475,462
RUSSIA -- 1.4%
Russia-Principal loan FRN (4)
(Chase Manhattan, Bank of America, ING Securities, JP Morgan, Union Bank of
Switzerland)
6.063%, 12/15/20 57,000,000 4,987,498
------------
Total Loan Participations
(Cost $17,713,667) 17,462,960
------------
Total Investments -- 89.2%
(Cost $299,514,722) 303,693,535
OTHER ASSETS IN EXCESS OF LIABILITIES -- 10.8%
36,681,789
------------
Net Assets -- 100.0% $340,375,324
============
</TABLE>
<TABLE>
<S> <C>
DCB DEBT CONVERSION BOND
FLIRB FRONT LOADED INTEREST REDUCTION BOND
FRB FLOATING RATE BOND. THE RATE REFLECTED ON THE SCHEDULE OF INVESTMENTS IS
THE RATE IN EFFECT ON OCTOBER 31, 1999.
FRN FLOATING RATE NOTE. THE RATE REFLECTED ON THE SCHEDULE OF INVESTMENTS IS
THE RATE IN EFFECT ON OCTOBER 31, 1999.
IAB INTEREST ARREARS BOND
IAN INTEREST ARREARS NOTE
IRB INTEREST REVENUE BOND
PDI PAST DUE INCOME
(1) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED.
(2) IN FRENCH FRANCS.
(3) PARTICIPATIONS WERE ACQUIRED THROUGH FINANCIAL INSTITUTIONS INDICATED
PARENTHETICALLY.
(4) PORTION OF INCOME EARNED IS CAPITALIZED AS RUSSIAN INTEREST IN ARREARS
NOTES.
144A SECURITY EXEMPT FROM REGISTRATION UNDER RULE 144A OF THE SECURITY ACT OF
1933. THESE SECURITIES MAY BE RESOLD IN TRANSACTIONS EXEMPT FROM
REGISTRATION, NORMALLY TO QUALIFIED INSTITUTIONAL BUYERS.
*NON-INCOME PRODUCING SECURITY.
</TABLE>
84 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
(THIS PAGE LEFT BLANK INTENTIONALLY.)
85
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
<TABLE>
<CAPTION>
-------------- -------------- -------------- -------------- --------------
SHORT-TERM SHORT-TERM
MUNICIPAL FIXED MUNICIPAL FIXED HIGH YIELD
BOND INCOME BOND INCOME BOND
FUND FUND FUND FUND FUND
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments at Value(1) $ 620,691,475 $1,250,973,187 $ 105,811,974 $ 26,508,251 $ 319,908,275
Cash -- 1,531,079 341,900 4,115 --
Foreign Currency(1) -- -- -- -- --
Receivable for Securities Sold -- 46,450,121 -- 4,844 10,540,362
Receivable for Capital Shares Sold 733,578 3,265,771 -- 56,000 1,258
Dividend and Interest Receivable 11,481,871 14,014,348 1,834,849 345,361 6,493,363
Receivable for Foreign Taxes Withheld -- -- -- -- --
Net Unrealized Appreciation on Forward
Currency Contracts -- -- -- -- --
Prepaid Expenses and Other Assets -- -- -- 7,405 --
Due from Adviser -- -- -- 4,344 --
-------------- -------------- -------------- -------------- --------------
Total Assets 632,906,924 1,316,234,506 107,988,723 26,930,320 336,943,258
-------------- -------------- -------------- -------------- --------------
LIABILITIES
Due to Adviser 209,659 500,326 23,135 -- 128,238
Due to Administrator 101,053 165,074 12,848 9,333 43,949
Due to Custodian 6,655 -- -- -- 854,051
Loans Payable -- -- -- -- 9,300,000
Payable for Securities Purchased 69,379 47,383,236 21,046 -- 5,314,197
Payable for Capital Shares Sold 1,720,204 391,680 171,893 -- 4,761
Net Unrealized Depreciation on Forward
Currency Contracts -- -- -- -- --
Dividends Payable 535,750 1,361,330 41,124 108,305 19,967
Accrued Other Expenses 195,369 175,056 23,783 59,760 155,389
-------------- -------------- -------------- -------------- --------------
Total Liabilities 2,838,069 49,976,702 293,829 177,398 15,820,552
-------------- -------------- -------------- -------------- --------------
Net Assets $ 630,068,855 $1,266,257,804 $ 107,694,894 $ 26,752,922 $ 321,122,706
============== ============== ============== ============== ==============
COMPOSITION OF NET ASSETS
Capital Shares of Institutional Shares
(unlimited authorization $0.001 par
value). Based on Outstanding Shares
of Beneficial Interest $ 643,315,996 $1,292,725,352 $ 109,265,425 $ 26,959,563 $ 333,675,135
Capital Shares of Service Shares
(unlimited authorization $0.001 par
value). Based on Outstanding Shares
of Beneficial Interest 7,262,407 7,436,343 271,206 -- 3,220,077
Undistributed Net Investment Income
(Loss) (38,631) (174,361) (3,408) (2,893) 220,996
Accumulated Net Realized Gains from
Securities, Forward Currency
Contracts and Foreign Currency
Translations (159,403) (11,476,768) (150,235) (15,253) (5,298,449)
Net Unrealized Appreciation
(Depreciation) on Investments (20,311,514) (22,252,762) (1,688,094) (188,495) (10,695,053)
Net Unrealized Appreciation
(Depreciation) on Foreign Currencies
and Forward Currency Contracts -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Net Assets, October 31, 1999 $ 630,068,855 $1,266,257,804 $ 107,694,894 $ 26,752,922 $ 321,122,706
============== ============== ============== ============== ==============
COMPUTATION OF NET ASSET VALUE
Institutional Shares:
Net Assets $ 622,896,400 $1,258,869,097 $ 107,427,096 $ 26,752,922 $ 318,247,219
Shares Outstanding 58,419,684 123,752,033 10,622,596 2,686,777 35,052,915
Net Asset Value Per Share $ 10.66 $ 10.17 $ 10.11 $ 9.96 $ 9.08
Service Shares:
Net Assets $ 7,172,455 $ 7,388,707 $ 267,798 N/A $ 2,875,487
Shares Outstanding 672,835 726,422 26,499 N/A 316,897
Net Asset Value Per Share $ 10.66 $ 10.17 $ 10.11 N/A $ 9.07
Foreign
(1) COST OF INVESTMENTS AND CURRENCY Investments Currency
-------------- --------------
Municipal Bond Fund $ 641,002,989 $ --
Fixed Income Fund 1,273,225,949 --
Short-Term Municipal Bond Fund 107,500,068 --
Short-Term Fixed Income Fund 26,696,746 --
High Yield Bond Fund 330,603,328 --
Smaller Companies Fund 5,166,076 --
International Select Equity Fund 52,797,090 4,188
European Equity Growth Fund 111,403 1,363
International Small Cap Equity
Fund 8,248,046 12,454
Emerging Markets Equity Fund 146,604,608 1,027,650
Global Fixed Income Fund 50,448,691 1,773,475
Core Global Fixed Income Fund 32,267,873 1,854,948
International Fixed Income Fund 53,678,507 1,596,564
Emerging Markets Debt Fund 299,514,722 --
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTERGRAL PART OF THE FINANCIAL STATEMENTS.
86
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------- -------------- -------------- -------------- --------------
INTERNATIONAL INTERNATIONAL EMERGING
SMALLER SELECT EUROPEAN SMALL CAP MARKETS
COMPANIES EQUITY EQUITY GROWTH EQUITY EQUITY
FUND FUND FUND FUND FUND
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments at Value(1) $ 6,481,738 $ 58,349,891 $ 124,538 $ 10,477,383 $ 161,216,796
Cash 262,310 2,924,896 244,741 349,708 331,120
Foreign Currency(1) -- 5,984 1,363 12,458 1,028,046
Receivable for Securities Sold 143,437 151,956 -- 144,622 2,847,656
Receivable for Capital Shares Sold 411 511,350 423,592 -- --
Dividend and Interest Receivable 1,834 52,608 26,976 23,803 237,212
Receivable for Foreign Taxes Withheld -- 15,342 135,124 40,153 3,330
Net Unrealized Appreciation on Forward
Currency Contracts -- -- -- -- 28,596
Prepaid Expenses and Other Assets -- -- -- 11,961 54,698
Due from Adviser 11,367 -- 11,928 10,740 --
-------------- -------------- -------------- -------------- --------------
Total Assets 6,901,097 62,012,027 968,262 11,070,828 165,747,454
-------------- -------------- -------------- -------------- --------------
LIABILITIES
Due to Adviser -- 12,133 -- -- 65,838
Due to Administrator 6,264 15,566 4,992 6,850 41,730
Due to Custodian -- -- -- -- --
Loans Payable -- -- -- -- --
Payable for Securities Purchased 209,722 283,119 -- 61,103 1,469,761
Payable for Capital Shares Sold -- -- -- -- 1,119
Net Unrealized Depreciation on Forward
Currency Contracts -- 41,188 -- -- 72,661
Dividends Payable -- -- -- -- --
Accrued Other Expenses 46,141 72,702 66,335 73,254 210,241
-------------- -------------- -------------- -------------- --------------
Total Liabilities 262,127 424,708 71,327 141,207 1,861,350
-------------- -------------- -------------- -------------- --------------
Net Assets $ 6,638,970 $ 61,587,319 $ 896,935 $ 10,929,621 $ 163,886,104
============== ============== ============== ============== ==============
COMPOSITION OF NET ASSETS
Capital Shares of Institutional Shares
(unlimited authorization $0.001 par
value). Based on Outstanding Shares
of Beneficial Interest $ 5,079,576 $ 53,775,587 $ 762,397 $ 7,528,541 $ 169,756,308
Capital Shares of Service Shares
(unlimited authorization $0.001 par
value). Based on Outstanding Shares
of Beneficial Interest 373,527 10,030 -- -- --
Undistributed Net Investment Income
(Loss) -- 188,341 126,899 217,637 84,122
Accumulated Net Realized Gains from
Securities, Forward Currency
Contracts and Foreign Currency
Translations (129,795) 2,099,375 (4,174) 956,957 (20,515,123)
Net Unrealized Appreciation
(Depreciation) on Investments 1,315,662 5,552,801 13,135 2,229,337 14,612,188
Net Unrealized Appreciation
(Depreciation) on Foreign Currencies
and Forward Currency Contracts -- (38,815) (1,322) (2,851) (51,391)
-------------- -------------- -------------- -------------- --------------
Net Assets, October 31, 1999 $ 6,638,970 $ 61,587,319 $ 896,935 $ 10,929,621 $ 163,886,104
============== ============== ============== ============== ==============
COMPUTATION OF NET ASSET VALUE
Institutional Shares:
Net Assets $ 6,298,784 $ 61,577,276 $ 896,935 $ 10,929,621 $ 163,886,104
Shares Outstanding 450,221 3,402,919 78,459 890,771 23,950,941
Net Asset Value Per Share $ 13.99 $ 18.10 $ 11.43 $ 12.27 $ 6.84
Service Shares:
Net Assets $ 340,186 $ 10,043 N/A N/A N/A
Shares Outstanding 24,457 555 N/A N/A N/A
Net Asset Value Per Share $ 13.91 $ 18.09 N/A N/A N/A
Foreign
(1) COST OF INVESTMENTS AND CURRENCY Investments Currency
-------------- --------------
Municipal Bond Fund
Fixed Income Fund
Short-Term Municipal Bond Fund
Short-Term Fixed Income Fund
High Yield Bond Fund
Smaller Companies Fund
International Select Equity Fund
European Equity Growth Fund
International Small Cap Equity
Fund
Emerging Markets Equity Fund
Global Fixed Income Fund
Core Global Fixed Income Fund
International Fixed Income Fund
Emerging Markets Debt Fund
<CAPTION>
-------------- -------------- -------------- --------------
GLOBAL CORE INTERNATIONAL EMERGING
FIXED GLOBAL FIXED FIXED MARKETS
INCOME INCOME INCOME DEBT
FUND FUND FUND FUND
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
ASSETS
Investments at Value(1) $ 48,226,702 $ 31,218,137 $ 53,309,120 $ 303,693,535
Cash 1,388,508 1,036,511 6,920 1,449,513
Foreign Currency(1) 1,792,723 1,888,662 1,610,936 --
Receivable for Securities Sold -- -- 1,278,086 17,568,900
Receivable for Capital Shares Sold -- -- -- 41,120,000
Dividend and Interest Receivable 1,176,956 765,610 1,305,925 7,511,257
Receivable for Foreign Taxes Withheld -- -- 17,960 --
Net Unrealized Appreciation on Forward
Currency Contracts 336,124 160,168 347,642 146,091
Prepaid Expenses and Other Assets -- -- -- --
Due from Adviser -- 5,469 10,351 --
-------------- -------------- -------------- --------------
Total Assets 52,921,013 35,074,557 57,886,940 371,489,296
-------------- -------------- -------------- --------------
LIABILITIES
Due to Adviser 793 -- -- 87,617
Due to Administrator 15,232 9,231 21,587 69,049
Due to Custodian -- -- -- 99,653
Loans Payable -- -- -- --
Payable for Securities Purchased 509,319 349,342 1,284,284 30,758,867
Payable for Capital Shares Sold -- -- 400,000 --
Net Unrealized Depreciation on Forward
Currency Contracts 86,272 63,271 118,999 --
Dividends Payable -- -- -- --
Accrued Other Expenses 89,762 89,574 65,368 98,786
-------------- -------------- -------------- --------------
Total Liabilities 701,378 511,418 1,890,238 31,113,972
-------------- -------------- -------------- --------------
Net Assets $ 52,219,635 $ 34,563,139 $ 55,996,702 $ 340,375,324
============== ============== ============== ==============
COMPOSITION OF NET ASSETS
Capital Shares of Institutional Shares
(unlimited authorization $0.001 par
value). Based on Outstanding Shares
of Beneficial Interest $ 52,544,244 $ 34,678,179 $ 55,285,276 $ 393,191,995
Capital Shares of Service Shares
(unlimited authorization $0.001 par
value). Based on Outstanding Shares
of Beneficial Interest -- -- -- 175,552
Undistributed Net Investment Income
(Loss) 2,710,278 957,374 892,449 4,054,659
Accumulated Net Realized Gains from
Securities, Forward Currency
Contracts and Foreign Currency
Translations (1,043,306) (139,300) (54,853) (61,354,271)
Net Unrealized Appreciation
(Depreciation) on Investments (2,221,989) (1,049,736) (369,387) 4,176,004
Net Unrealized Appreciation
(Depreciation) on Foreign Currencies
and Forward Currency Contracts 230,408 116,622 243,217 131,385
-------------- -------------- -------------- --------------
Net Assets, October 31, 1999 $ 52,219,635 $ 34,563,139 $ 55,996,702 $ 340,375,324
============== ============== ============== ==============
COMPUTATION OF NET ASSET VALUE
Institutional Shares:
Net Assets $ 52,219,635 $ 34,563,139 $ 55,996,702 $ 340,364,843
Shares Outstanding 5,370,645 3,454,190 5,738,633 58,708,601
Net Asset Value Per Share $ 9.72 $ 10.01 $ 9.76 $ 5.80
Service Shares:
Net Assets N/A N/A N/A $ 10,481
Shares Outstanding N/A N/A N/A 1,812
Net Asset Value Per Share N/A N/A N/A $ 5.78
(1) COST OF INVESTMENTS AND CURRENCY
Municipal Bond Fund
Fixed Income Fund
Short-Term Municipal Bond Fund
Short-Term Fixed Income Fund
High Yield Bond Fund
Smaller Companies Fund
International Select Equity Fund
European Equity Growth Fund
International Small Cap Equity
Fund
Emerging Markets Equity Fund
Global Fixed Income Fund
Core Global Fixed Income Fund
International Fixed Income Fund
Emerging Markets Debt Fund
</TABLE>
87
<PAGE>
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEAR ENDED OCTOBER 31, 1999
<TABLE>
<CAPTION>
------------ ------------ ----------- ---------- ------------ -----------
SHORT-TERM SHORT-TERM HIGH
MUNICIPAL FIXED MUNICIPAL FIXED YIELD SMALLER
BOND INCOME BOND INCOME BOND COMPANIES
FUND FUND FUND FUND FUND FUND
------------ ------------ ----------- ---------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 33,601,603 $ 82,909,132 $3,842,942 $1,594,671 $ 29,753,240 $ 8,661
Dividends -- -- -- -- -- 21,249
Less: Foreign Taxes Withheld -- -- -- -- -- --
------------ ------------ ----------- ---------- ------------ ----------
Total Investment Income 33,601,603 82,909,132 3,842,942 1,594,671 29,753,240 29,910
------------ ------------ ----------- ---------- ------------ ----------
EXPENSES:
Investment Advisory Fees 2,598,550 5,004,754 343,523 96,835 1,232,710 63,602
Administration Fees 779,565 1,501,426 103,057 29,051 295,872 13,993
Registration & Filing Fees 72,223 62,018 56,039 45,390 108,293 44,057
Custody Fees 218,443 217,246 85,367 44,902 120,050 58,837
Transfer Agency Expenses 4,156 4,156 4,156 4,156 4,156 4,156
Professional Fees 44,477 73,637 44,478 44,478 42,037 44,478
Printing Fees 29,566 29,565 29,566 29,566 29,565 29,566
Servicing Plan Fees 11,188 7,551 868 -- 6,505 1,397
Trustees' Fees 11,738 11,738 11,738 11,738 11,738 11,738
Miscellaneous 5,558 5,558 6,473 6,170 31,927 5,863
------------ ------------ ----------- ---------- ------------ ----------
Total Expenses 3,775,464 6,917,649 685,265 312,286 1,882,853 277,687
Less: Expenses Absorbed by the
Advisers (189,863) (29,367) (211,382) (179,136) (258,871) (196,718)
------------ ------------ ----------- ---------- ------------ ----------
Net Expenses 3,585,601 6,888,282 473,883 133,150 1,623,982 80,969
------------ ------------ ----------- ---------- ------------ ----------
NET INVESTMENT INCOME (LOSS) 30,016,002 76,020,850 3,369,059 1,461,521 28,129,258 (51,059)
------------ ------------ ----------- ---------- ------------ ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS:
Net Realized Gain (Loss) from:
Investment Transactions (146,778) (11,245,563) (63,978) (15,249) (1,263,178) (5,110)
Foreign Currency Transactions -- -- -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) of:
Investments (35,969,285) (53,489,063) (2,369,647) (376,966) (2,941,646) 1,451,701
Foreign Currencies and Forward
Currency Contracts -- -- -- -- -- --
------------ ------------ ----------- ---------- ------------ ----------
Net Realized and Unrealized Gain
(Loss) on Investments, Foreign
Currencies and Forward Currency
Contracts (36,116,063) (64,734,626) (2,433,625) (392,215) (4,204,824) 1,446,591
------------ ------------ ----------- ---------- ------------ ----------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (6,100,061) $ 11,286,224 $ 935,434 $1,069,306 $ 23,924,434 $1,395,532
============ ============ =========== ========== ============ ==========
</TABLE>
* NET OF $676,141 IN FOREIGN WITHHOLDING TAXES PAID ON NET REALIZED GAINS IN
CERTAIN COUNTRIES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
88
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------- ----------- ------------- ------------ ----------- ------------
INTERNATIONAL EUROPEAN INTERNATIONAL EMERGING GLOBAL CORE
SELECT EQUITY SMALL CAP MARKETS FIXED GLOBAL FIXED
EQUITY GROWTH EQUITY EQUITY INCOME INCOME
FUND FUND FUND FUND FUND FUND
------------- ----------- ------------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 76,484 $ 80,551 $ 65,616 $ 111,886 $ 4,083,585 $ 1,493,552
Dividends 225,842 965,596 466,181 2,123,968 -- --
Less: Foreign Taxes Withheld (21,460) (92,264) (48,102) (186,385) (19,022) (14,279)
---------- ----------- ----------- ----------- ----------- -----------
Total Investment Income 280,866 953,883 483,695 2,049,469 4,064,563 1,479,273
---------- ----------- ----------- ----------- ----------- -----------
EXPENSES:
Investment Advisory Fees 138,068 312,589 229,335 1,086,185 279,603 166,062
Administration Fees 59,172 133,967 68,801 325,855 139,802 83,031
Registration & Filing Fees 57,613 35,142 38,270 66,128 45,487 45,144
Custody Fees 86,739 153,185 135,938 488,663 69,081 52,360
Transfer Agency Expenses 4,156 4,156 4,156 4,156 4,156 4,156
Professional Fees 44,477 44,477 44,478 44,477 44,478 44,478
Printing Fees 29,566 29,566 29,566 29,566 29,566 29,566
Servicing Plan Fees -- -- -- -- -- --
Trustees' Fees 11,738 11,738 11,738 11,732 11,738 11,738
Miscellaneous 6,602 7,998 3,421 8,029 8,608 6,473
---------- ----------- ----------- ----------- ----------- -----------
Total Expenses 438,131 732,818 565,703 2,064,791 632,519 443,008
Less: Expenses Absorbed by the
Advisers (259,878) (330,003) (278,981) (705,175) (296,994) (260,342)
---------- ----------- ----------- ----------- ----------- -----------
Net Expenses 178,253 402,815 286,722 1,359,616 335,525 182,666
---------- ----------- ----------- ----------- ----------- -----------
NET INVESTMENT INCOME (LOSS) 102,613 551,068 196,973 689,853 3,729,038 1,296,607
---------- ----------- ----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS:
Net Realized Gain (Loss) from:
Investment Transactions 2,245,166 10,236,450 5,196,812 (654,123)* (1,142,280) (178,223)
Foreign Currency Transactions (124,628) 101,694 (525,849) (454,941) (45,601) 290,713
Net Change in Unrealized Appreciation
(Depreciation) of:
Investments 5,204,201 (7,017,873) 2,511,436 29,872,448 (5,017,652) (2,488,407)
Foreign Currencies and Forward
Currency Contracts 30,912 (3,741) 569,181 411,389 116,271 (237,921)
---------- ----------- ----------- ----------- ----------- -----------
Net Realized and Unrealized Gain
(Loss) on Investments, Foreign
Currencies and Forward Currency
Contracts 7,355,651 3,316,530 7,751,580 29,174,773 (6,089,262) (2,613,838)
---------- ----------- ----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $7,458,264 $ 3,867,598 $ 7,948,553 $29,864,626 $(2,360,224) $(1,317,231)
========== =========== =========== =========== =========== ===========
<CAPTION>
------------- -------------
INTERNATIONAL EMERGING
FIXED MARKETS
INCOME DEBT
FUND FUND
------------- -------------
<S> <C> <C>
INVESTMENT INCOME:
Interest $ 934,067 $ 33,977,397
Dividends -- --
Less: Foreign Taxes Withheld (5,503) (300,000)
----------- -------------
Total Investment Income 928,564 33,677,397
----------- -------------
EXPENSES:
Investment Advisory Fees 113,859 2,822,507
Administration Fees 56,929 705,369
Registration & Filing Fees 54,938 104,823
Custody Fees 63,887 121,515
Transfer Agency Expenses 4,156 4,156
Professional Fees 44,478 66,127
Printing Fees 29,566 29,565
Servicing Plan Fees -- 30
Trustees' Fees 11,738 11,738
Miscellaneous 6,473 106,363
----------- -------------
Total Expenses 386,024 3,972,193
Less: Expenses Absorbed by the
Advisers (260,677) (1,142,827)
----------- -------------
Net Expenses 125,347 2,829,366
----------- -------------
NET INVESTMENT INCOME (LOSS) 803,217 30,848,031
----------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS:
Net Realized Gain (Loss) from:
Investment Transactions (87,420) (1,983,701)
Foreign Currency Transactions 241,684 549,743
Net Change in Unrealized Appreciation
(Depreciation) of:
Investments (1,470,467) 6,354,445
Foreign Currencies and Forward
Currency Contracts 257,461 401,593
----------- -------------
Net Realized and Unrealized Gain
(Loss) on Investments, Foreign
Currencies and Forward Currency
Contracts (1,058,742) 5,322,080
----------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (255,525) $ 36,170,111
=========== =============
</TABLE>
* NET OF $676,141 IN FOREIGN WITHHOLDING TAXES PAID ON NET REALIZED GAINS IN
CERTAIN COUNTRIES.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
89
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEAR/PERIOD ENDED OCTOBER 31,
<TABLE>
<CAPTION>
--------------------------- ------------------------------ -------------------------
SHORT-TERM
MUNICIPAL FIXED MUNICIPAL
BOND INCOME BOND
FUND FUND FUND
--------------------------- ------------------------------ -------------------------
1999 1998 1999 1998 1999 1998
------------ ------------- -------------- -------------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net Investment Income (Loss) $ 30,016,002 $ 22,347,559 $ 76,020,850 $ 72,163,924 $ 3,369,059 $ 1,498,569
Net Realized Gain (Loss) on
Investments Transactions (146,778) 2,514,786 (11,245,563) 19,843,425 (63,978) (77,366)
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) of Investments (35,969,285) 4,590,771 (53,489,063) 3,157,301 (2,369,647) 399,553
Net Change in Unrealized Gain (Loss)
of Foreign Currencies and Foreign
Currency Contracts -- -- -- -- -- --
------------ ------------- -------------- -------------- ------------ -----------
Net Increase (Decrease) in Net Assets
from Operations (6,100,061) 29,453,116 11,286,224 95,164,650 935,434 1,820,756
------------ ------------- -------------- -------------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Institutional Shares (29,835,658) (22,320,826) (75,910,823) (72,511,714) (3,359,152) (1,476,764)
Service Shares (193,521) (73,052) (177,781) (29,385) (12,249) (15,539)
Net Realized Gain from Investment
Transactions
Institutional Shares (2,515,971) (105,558) (19,756,357) (8,583,217) -- (9,024)
Service Shares (22,717) (91) (39,013) (9,380) -- (78)
------------ ------------- -------------- -------------- ------------ -----------
Total Distributions (32,567,867) (22,499,527) (95,883,974) (81,133,696) (3,371,401) (1,501,405)
------------ ------------- -------------- -------------- ------------ -----------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from Shares Issued 272,801,653 298,011,029 311,505,932 414,156,559 101,367,709 41,593,860
Shares Issued in Lieu of Cash
Distributions 26,526,583 16,860,415 77,243,309 65,825,126 2,998,349 1,357,362
Cost of Shares Repurchased (208,734,293) (112,406,600) (308,695,051) (333,768,618) (48,879,321) (8,847,655)
------------ ------------- -------------- -------------- ------------ -----------
Increase (Decrease) in Net Assets from
Institutional Share Transactions 90,593,943 202,464,844 80,054,190 146,213,067 55,486,737 34,103,567
------------ ------------- -------------- -------------- ------------ -----------
SERVICE SHARES:
Proceeds from Shares Issued 6,686,001 5,062,392 7,637,574 1,544,700 273,958 495,386
Shares Issued in Lieu of Cash
Distributions 193,256 25,205 212,423 18,511 9,200 14,360
Cost of Shares Repurchased (4,605,682) (289,765) (1,796,349) (180,516) (444,705) (76,993)
------------ ------------- -------------- -------------- ------------ -----------
Increase (Decrease) in Net Assets from
Service Share Transactions 2,273,575 4,797,832 6,053,648 1,382,695 (161,547) 432,753
------------ ------------- -------------- -------------- ------------ -----------
Net Increase (Decrease) in Net Assets
from Capital Transactions 92,867,518 207,262,676 86,107,838 147,595,762 55,325,190 34,536,320
------------ ------------- -------------- -------------- ------------ -----------
Total Increase (Decrease) in Net
Assets 54,199,590 214,216,265 1,510,088 161,626,716 52,889,223 34,855,671
------------ ------------- -------------- -------------- ------------ -----------
NET ASSETS
Beginning of Period 575,869,265 361,653,000 1,264,747,716 1,103,121,000 54,805,671 19,950,000
------------ ------------- -------------- -------------- ------------ -----------
End of Period $630,068,855 $ 575,869,265 $1,266,257,804 $1,264,747,716 $107,694,894 $54,805,671
============ ============= ============== ============== ============ ===========
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares Issued 24,412,161 26,295,860 29,729,916 38,319,732 9,833,188 4,029,505
Shares Issued in Lieu of Cash
Distributions 2,397,143 1,655,100 7,332,710 6,099,421 291,963 131,472
Shares Repurchased (18,898,905) (10,011,191) (29,391,506) (30,901,519) (4,747,479) (857,405)
------------ ------------- -------------- -------------- ------------ -----------
Increase (Decrease) in Capital Shares
from Institutional Share
Transactions 7,910,399 17,939,769 7,671,120 13,517,634 5,377,672 3,303,572
============ ============= ============== ============== ============ ===========
SERVICE SHARES:
Shares Issued 618,354 457,659 738,879 156,664 26,418 48,160
Shares Issued in Lieu of Cash
Distributions 17,429 3,435 19,205 779 894 1,391
Shares Repurchased (416,594) (25,796) (172,515) (16,591) (42,899) (7,465)
------------ ------------- -------------- -------------- ------------ -----------
Increase (Decrease) in Capital Shares
from Service Share Transactions 219,189 435,298 585,569 140,852 (15,587) 42,086
============ ============= ============== ============== ============ ===========
<CAPTION>
-------------------------
SHORT-TERM
FIXED
INCOME
FUND
-------------------------
1999 1998
----------- ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net Investment Income (Loss) $ 1,461,521 $ 995,510
Net Realized Gain (Loss) on
Investments Transactions (15,249) 47,847
Net Realized Gain (Loss) on Foreign
Currency Transactions -- --
Net Change in Unrealized Appreciation
(Depreciation) of Investments (376,966) 76,471
Net Change in Unrealized Gain (Loss)
of Foreign Currencies and Foreign
Currency Contracts -- --
----------- ------------
Net Increase (Decrease) in Net Assets
from Operations 1,069,306 1,119,828
----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Institutional Shares (1,459,090) (999,506)
Service Shares -- --
Net Realized Gain from Investment
Transactions
Institutional Shares (37,118) --
Service Shares -- --
----------- ------------
Total Distributions (1,496,208) (999,506)
----------- ------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from Shares Issued 17,885,934 19,499,507
Shares Issued in Lieu of Cash
Distributions 305,266 146,897
Cost of Shares Repurchased (11,212,834) (16,648,268)
----------- ------------
Increase (Decrease) in Net Assets from
Institutional Share Transactions 6,978,366 2,998,136
----------- ------------
SERVICE SHARES:
Proceeds from Shares Issued -- --
Shares Issued in Lieu of Cash
Distributions -- --
Cost of Shares Repurchased -- --
----------- ------------
Increase (Decrease) in Net Assets from
Service Share Transactions -- --
----------- ------------
Net Increase (Decrease) in Net Assets
from Capital Transactions 6,978,366 2,998,136
----------- ------------
Total Increase (Decrease) in Net
Assets 6,551,464 3,118,458
----------- ------------
NET ASSETS
Beginning of Period 20,201,458 17,083,000
----------- ------------
End of Period $26,752,922 $ 20,201,458
=========== ============
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares Issued 1,781,956 1,926,561
Shares Issued in Lieu of Cash
Distributions 30,765 16,378
Shares Repurchased (1,119,284) (1,646,203)
----------- ------------
Increase (Decrease) in Capital Shares
from Institutional Share
Transactions 693,437 296,736
=========== ============
SERVICE SHARES:
Shares Issued -- --
Shares Issued in Lieu of Cash
Distributions -- --
Shares Repurchased -- --
----------- ------------
Increase (Decrease) in Capital Shares
from Service Share Transactions -- --
=========== ============
</TABLE>
(1) COMMENCED OPERATIONS ON 3/16/98
*NET OF $676,141 IN FOREIGN WITHHOLDING TAXES PAID ON NET REALIZED GAINS IN
CERTAIN COUNTRIES.
**NET OF $59,000 DECREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON NET UNREALIZED
GAINS.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
90
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------------------- ------------------------ --------------------------
HIGH INTERNATIONAL
YIELD SMALLER SELECT
BOND COMPANIES EQUITY
FUND FUND FUND
-------------------------- ------------------------ --------------------------
1999 1998(1) 1999 1998 1999 1998
------------ ------------ ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net Investment Income (Loss) $ 28,129,258 $ 3,300,186 $ (51,059) $ 16,055 $ 102,613 $ 49,676
Net Realized Gain (Loss) on
Investments Transactions (1,263,178) (3,842,821 (5,110) (112,049) 2,245,166 331,027
Net Realized Gain (Loss) on Foreign
Currency Transactions -- -- -- -- (124,628) 59,364
Net Change in Unrealized Appreciation
(Depreciation) of Investments (2,941,646) (7,753,407) 1,451,701 (983,039) 5,204,201 98,600
Net Change in Unrealized Gain (Loss)
of Foreign Currencies and Foreign
Currency Contracts -- -- -- -- 30,912 (80,727)
------------ ------------ ---------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets
from Operations 23,924,434 (8,296,042) 1,395,532 (1,079,033) 7,458,264 457,940
------------ ------------ ---------- ----------- ----------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Institutional Shares (27,807,069) (3,304,955) (13,875) -- (33,758) (99,273)
Service Shares (293,643) (120) (2,181) -- -- --
Net Realized Gain from Investment
Transactions
Institutional Shares -- -- -- (671,791) (300,608) (165,498)
Service Shares -- -- -- (714) -- --
------------ ------------ ---------- ----------- ----------- ----------
Total Distributions (28,100,712) (3,305,075) (16,056) (672,505) (334,366) (264,771)
------------ ------------ ---------- ----------- ----------- ----------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from Shares Issued 239,156,171 126,862,208 4,044,216 993,107 52,180,716 7,298
Shares Issued in Lieu of Cash
Distributions 27,632,128 3,191,531 -- 671,184 334,363 264,769
Cost of Shares Repurchased (37,397,182) (25,764,832) (3,695,423) (1,102,195) (3,480,553) (371)
------------ ------------ ---------- ----------- ----------- ----------
Increase (Decrease) in Net Assets from
Institutional Share Transactions 229,391,117 104,288,907 348,793 562,096 49,034,526 271,696
------------ ------------ ---------- ----------- ----------- ----------
SERVICE SHARES:
Proceeds from Shares Issued 7,699,239 81,115 484,187 1,426,709 10,030 --
Shares Issued in Lieu of Cash
Distributions 292,542 124 -- 123 -- --
Cost of Shares Repurchased (4,852,943) -- (1,304,490) (236,386) -- --
------------ ------------ ---------- ----------- ----------- ----------
Increase (Decrease) in Net Assets from
Service Share Transactions 3,138,838 81,239 (820,303) 1,190,446 10,030 --
------------ ------------ ---------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets
from Capital Transactions 232,529,955 104,370,146 (471,510) 1,752,542 49,044,556 271,696
------------ ------------ ---------- ----------- ----------- ----------
Total Increase (Decrease) in Net
Assets 228,353,677 92,769,029 907,966 1,004 56,168,454 464,865
------------ ------------ ---------- ----------- ----------- ----------
NET ASSETS
Beginning of Period 92,769,029 -- 5,731,004 5,730,000 5,418,865 4,954,000
------------ ------------ ---------- ----------- ----------- ----------
End of Period $321,122,706 $ 92,769,029 $6,638,970 $ 5,731,004 $61,587,319 $5,418,865
============ ============ ========== =========== =========== ==========
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares Issued 25,505,970 12,869,157 308,629 78,159 3,146,537 519
Shares Issued in Lieu of Cash
Distributions 2,991,875 347,270 -- 53,523 26,328 24,048
Shares Repurchased (4,080,947) (2,580,410) (280,485) (98,460) (220,914) (30)
------------ ------------ ---------- ----------- ----------- ----------
Increase (Decrease) in Capital Shares
from Institutional Share
Transactions 24,416,898 10,636,017 28,144 33,222 2,951,951 24,537
============ ============ ========== =========== =========== ==========
SERVICE SHARES:
Shares Issued 806,586 9,330 40,472 111,719 555 --
Shares Issued in Lieu of Cash
Distributions 31,716 14 -- 10 -- --
Shares Repurchased (530,749) -- (105,181) (22,987) -- --
------------ ------------ ---------- ----------- ----------- ----------
Increase (Decrease) in Capital Shares
from Service Share Transactions 307,553 9,344 (64,709) (88,742) 555 --
============ ============ ========== =========== =========== ==========
<CAPTION>
------------------------- -------------------------- ---------------------------
EUROPEAN INTERNATIONAL EMERGING
EQUITY SMALL CAP MARKETS
GROWTH EQUITY EQUITY
FUND FUND FUND
------------------------- -------------------------- ---------------------------
1999 1998 1999 1998 1999 1998
------------ ----------- ------------ ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net Investment Income (Loss) $ 551,068 $ 511,013 $ 196,973 $ 172,648 $ 689,853 $ 737,937
Net Realized Gain (Loss) on
Investments Transactions 10,236,450 4,555,162 5,196,812 2,863,460 (654,123)* (19,044,324)
Net Realized Gain (Loss) on Foreign
Currency Transactions 101,694 (13,518) (525,849) (32,641) (454,941) (1,334,277)
Net Change in Unrealized Appreciation
(Depreciation) of Investments (7,017,873) 1,054,008 2,511,436 (2,122,099) 29,872,448 (4,433,260)**
Net Change in Unrealized Gain (Loss)
of Foreign Currencies and Foreign
Currency Contracts (3,741) (581) 569,181 (586,032) 411,389 (485,780)
------------ ----------- ----------- ------------ ------------- ------------
Net Increase (Decrease) in Net Assets
from Operations 3,867,598 6,106,084 7,948,553 295,336 29,864,626 (24,559,704)
------------ ----------- ----------- ------------ ------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Institutional Shares (1,025,913) (749,614) -- (538,867) -- --
Service Shares -- -- -- -- -- --
Net Realized Gain from Investment
Transactions
Institutional Shares (14,753,865) (2,750,326) -- -- -- (4,910,374)
Service Shares -- -- -- -- -- --
------------ ----------- ----------- ------------ ------------- ------------
Total Distributions (15,779,778) (3,499,940) -- (538,867) -- (4,910,374)
------------ ----------- ----------- ------------ ------------- ------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from Shares Issued 3,624,733 1,843,652 -- 10,555,621 98,148,288 40,703,882
Shares Issued in Lieu of Cash
Distributions 15,779,765 3,499,940 -- 538,867 -- 4,910,371
Cost of Shares Repurchased (51,982,255) (1,892,864) (21,429,276) (39,835,613) (10,206,765) (64,165,220)
------------ ----------- ----------- ------------ ------------- ------------
Increase (Decrease) in Net Assets from
Institutional Share Transactions (32,577,757) 3,450,728 (21,429,276) (28,741,125) 87,941,523 (18,550,967)
------------ ----------- ----------- ------------ ------------- ------------
SERVICE SHARES:
Proceeds from Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of Cash
Distributions -- -- -- -- -- --
Cost of Shares Repurchased -- -- -- -- -- --
------------ ----------- ----------- ------------ ------------- ------------
Increase (Decrease) in Net Assets from
Service Share Transactions -- -- -- -- -- --
------------ ----------- ----------- ------------ ------------- ------------
Net Increase (Decrease) in Net Assets
from Capital Transactions (32,577,757) 3,450,728 (21,429,276) (28,741,125) 87,941,523 (18,550,967)
------------ ----------- ----------- ------------ ------------- ------------
Total Increase (Decrease) in Net
Assets (44,489,937) 6,056,872 (13,480,723) (28,984,656) 117,806,149 (48,021,045)
------------ ----------- ----------- ------------ ------------- ------------
NET ASSETS
Beginning of Period 45,386,872 39,330,000 24,410,344 53,395,000 46,079,955 94,101,000
------------ ----------- ----------- ------------ ------------- ------------
End of Period $ 896,935 $45,386,872 $10,929,621 $ 24,410,344 $ 163,886,104 $ 46,079,955
============ =========== =========== ============ ============= ============
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares Issued 280,578 155,926 -- 1,079,352 16,111,925 5,358,001
Shares Issued in Lieu of Cash
Distributions 1,435,078 290,693 -- 65,715 -- 674,502
Shares Repurchased (4,998,828) (155,920) (1,863,550) (4,450,840) (1,536,163) (8,898,386)
------------ ----------- ----------- ------------ ------------- ------------
Increase (Decrease) in Capital Shares
from Institutional Share
Transactions (3,283,172) 290,699 (1,863,550) (3,305,773) 14,575,762 (2,865,883)
============ =========== =========== ============ ============= ============
SERVICE SHARES:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of Cash
Distributions -- -- -- -- -- --
Shares Repurchased -- -- -- -- -- --
------------ ----------- ----------- ------------ ------------- ------------
Increase (Decrease) in Capital Shares
from Service Share Transactions -- -- -- -- -- --
============ =========== =========== ============ ============= ============
</TABLE>
*Net of $676,141 in foreign withholding taxes paid on net realized gains in
certain countries.
**Net of $59,000 decrease in accrued foreign withholding taxes on net unrealized
gains.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
91
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEAR/PERIOD ENDED OCTOBER 31,
<TABLE>
<CAPTION>
--------------------------- ------------------------ --------------------------
GLOBAL CORE INTERNATIONAL
FIXED GLOBAL FIXED FIXED
INCOME INCOME INCOME
FUND FUND FUND
--------------------------- ------------------------ --------------------------
1999 1998 1999 1998(1) 1999 1998
------------- ------------ ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net Investment Income (Loss) $ 3,729,038 $ 3,800,183 $ 1,296,607 $ 586,160 $ 803,217 $ 1,048,109
Net Realized Gain (Loss) on
Investments Transactions
Net Realized Gain (Loss) on Investment
Transactions (1,142,280) 2,677,674 (178,223) 76,963 (87,420) 654,484
Net Realized Gain (Loss) on Foreign
Currency Transactions (45,601) 100,762 290,713 436,668 241,684 (69,977)
Net Change in Unrealized Appreciation
(Depreciation) of Investments (5,017,652) 889,663 (2,488,407) 1,438,671 (1,470,467) 871,080
Net Change in Unrealized Gain (Loss)
of Foreign Currencies and Foreign
Currency Contracts 116,271 (407,863) (237,921) 354,543 257,461 (128,244)
------------- ------------ ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
from Operations (2,360,224) 7,060,419 (1,317,231) 2,893,005 (255,525) 2,375,452
------------- ------------ ----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Institutional Shares (3,729,333) (3,130,028) (1,613,857) -- (884,825) (737,726)
Service Shares -- -- -- -- -- --
Net Realized Gain from Investment
Transactions
Institutional Shares (2,677,667) (2,047,622) (76,957) -- (656,245) (262,608)
Service Shares -- -- -- -- -- --
------------- ------------ ----------- ----------- ----------- -----------
Total Distributions (6,407,000) (5,177,650) (1,690,814) -- (1,541,070) (1,000,334)
------------- ------------ ----------- ----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from Shares Issued 4,360,407 18,835,092 2,760,537 30,903,705 41,101,893 5,031,771
Shares Issued in Lieu of Cash
Distributions 4,933,778 4,869,068 1,378,854 -- 1,124,046 771,090
Cost of Shares Repurchased (6,728,948) (59,345,307) (152,838) (212,079) (3,953,447) (15,594,174)
------------- ------------ ----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from
Institutional Share Transactions 2,565,237 (35,641,147) 3,986,553 30,691,626 38,272,492 (9,791,313)
------------- ------------ ----------- ----------- ----------- -----------
SERVICE SHARES:
Proceeds from Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of Cash
Distributions -- -- -- -- -- --
Cost of Shares Repurchased -- -- -- -- -- --
------------- ------------ ----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from
Service Share Transactions -- -- -- -- -- --
------------- ------------ ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets
from Capital Transactions 2,565,237 (35,641,147) 3,986,553 30,691,626 38,272,492 (9,791,313)
------------- ------------ ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets (6,201,987) (33,758,378) 978,508 33,584,631 36,475,897 (8,416,195)
------------- ------------ ----------- ----------- ----------- -----------
NET ASSETS
Beginning of Period 58,421,622 92,180,000 33,584,631 -- 19,520,805 27,937,000
------------- ------------ ----------- ----------- ----------- -----------
End of Period $ 52,219,635 $ 58,421,622 $34,563,139 $33,584,631 $55,996,702 $19,520,805
============= ============ =========== =========== =========== ===========
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares Issued 441,783 1,769,238 276,234 3,082,005 4,246,787 517,241
Shares Issued in Lieu of Cash
Distributions 485,608 478,768 131,948 -- 110,092 80,658
Shares Repurchased (701,109) (5,604,513) (15,120) (20,877) (401,212) (1,567,741)
------------- ------------ ----------- ----------- ----------- -----------
Increase (Decrease) in Capital Shares
from Institutional Share
Transactions 226,282 (3,356,507) 393,062 3,061,128 3,955,667 (969,842)
============= ============ =========== =========== =========== ===========
SERVICE SHARES:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of Cash
Distributions -- -- -- -- -- --
Shares Repurchased -- -- -- -- -- --
------------- ------------ ----------- ----------- ----------- -----------
Decrease in Capital Shares from
Service Share Transactions -- -- -- -- -- --
============= ============ =========== =========== =========== ===========
<CAPTION>
---------------------------
EMERGING
MARKETS
DEBT
FUND
---------------------------
1999 1998
------------ -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net Investment Income (Loss) $ 30,848,031 $ 13,868,544
Net Realized Gain (Loss) on
Investments Transactions
Net Realized Gain (Loss) on Investment
Transactions (1,983,701) (59,264,364)
Net Realized Gain (Loss) on Foreign
Currency Transactions 549,743 (2,903,958)
Net Change in Unrealized Appreciation
(Depreciation) of Investments 6,354,445 19,386,559
Net Change in Unrealized Gain (Loss)
of Foreign Currencies and Foreign
Currency Contracts 401,593 (216,208)
------------ -------------
Net Increase (Decrease) in Net Assets
from Operations 36,170,111 (29,129,427)
------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income
Institutional Shares (34,764,644) (12,702,680)
Service Shares (2,278) (28,239)
Net Realized Gain from Investment
Transactions
Institutional Shares -- (23,972,503)
Service Shares -- (53,476)
------------ -------------
Total Distributions (34,766,922) (36,756,898)
------------ -------------
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Proceeds from Shares Issued 486,391,228 331,848,915
Shares Issued in Lieu of Cash
Distributions 34,749,464 36,380,368
Cost of Shares Repurchased (237,863,685) (434,265,382)
------------ -------------
Increase (Decrease) in Net Assets from
Institutional Share Transactions 283,277,007 (66,036,099)
------------ -------------
SERVICE SHARES:
Proceeds from Shares Issued 10,000 278,773
Shares Issued in Lieu of Cash
Distributions 94 277
Cost of Shares Repurchased (16,860) (241,732)
------------ -------------
Increase (Decrease) in Net Assets from
Service Share Transactions (6,766) 37,318
------------ -------------
Net Increase (Decrease) in Net Assets
from Capital Transactions 283,270,241 (65,998,781)
------------ -------------
Total Increase (Decrease) in Net
Assets 284,673,430 (131,885,106)
------------ -------------
NET ASSETS
Beginning of Period 55,701,894 187,587,000
------------ -------------
End of Period $340,375,324 $ 55,701,894
============ =============
CAPITAL SHARE TRANSACTIONS:
INSTITUTIONAL SHARES:
Shares Issued 86,590,263 39,256,473
Shares Issued in Lieu of Cash
Distributions 7,020,094 4,096,888
Shares Repurchased (44,476,619) (49,459,434)
------------ -------------
Increase (Decrease) in Capital Shares
from Institutional Share
Transactions 49,133,738 (6,106,073)
============ =============
SERVICE SHARES:
Shares Issued 1,665 33,769
Shares Issued in Lieu of Cash
Distributions 19 31
Shares Repurchased (2,898) (41,899)
------------ -------------
Decrease in Capital Shares from
Service Share Transactions (1,214) (8,099)
============ =============
</TABLE>
(1) COMMENCED OPERATIONS ON 5/04/98.
*NET OF $676,141 IN FOREIGN WITHHOLDING TAXES PAID ON NET REALIZED GAINS IN
CERTAIN COUNTRIES.
**NET OF $59,000 DECREASE IN ACCRUED FOREIGN WITHHOLDING TAXES ON NET UNREALIZED
GAINS.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
92
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEARS/PERIOD ENDED OCTOBER 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET DISTRIBUTIONS DISTRIBUTIONS
NET ASSET NET REALIZED FROM FROM
VALUE INVESTMENT AND NET REALIZED NET ASSET
BEGINNING INCOME UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL
OF PERIOD (LOSS) GAINS/(LOSSES) INCOME GAINS OF PERIOD RETURN
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BOND FUND:
- ------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $11.30 $ 0.51 $(0.59) $(0.51) $(0.05) $10.66 (0.78%)
1998 11.12 0.53 0.18 (0.53) -- 11.30 6.58
1997 10.99 0.57 0.22 (0.57) (0.09) 11.12 7.49
1996 10.86 0.60 0.13 (0.60) -- 10.99 6.90
1995 10.37 0.61 0.49 (0.61) -- 10.86 10.90
Service Shares
1999 $11.30 $ 0.49 $(0.59) $(0.49) $(0.05) $10.66 (1.01%)
1998 11.11 0.50 0.19 (0.50) -- 11.30 6.42
1997(1) 11.11 0.14 -- (0.14) -- 11.11 1.22+
- ------------------------------------------------------------------------------------------------------------------------
FIXED INCOME FUND:
- ------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $10.88 $ 0.64 $(0.54) $(0.64) $(0.17) $10.17 0.86%
1998 10.76 0.65 0.20 (0.65) (0.08) 10.88 8.25
1997 10.51 0.68 0.25 (0.68) -- 10.76 9.22
1996 10.62 0.68 (0.04) (0.68) (0.07) 10.51 6.27
1995 9.93 0.70 0.69 (0.70) -- 10.62 14.53
Service Shares
1999 $10.88 $ 0.61 $(0.54) $(0.61) $(0.17) $10.17 0.65%
1998(2) 10.75 0.45 0.13 (0.45) -- 10.88 5.28+
- ------------------------------------------------------------------------------------------------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- ------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $10.37 $ 0.40 $(0.26) $(0.40) $ -- $10.11 1.33%
1998 10.28 0.46 0.09 (0.46) -- 10.37 5.51
1997 10.13 0.52 0.16 (0.52) (0.01) 10.28 6.93
1996 10.13 0.54 0.04 (0.54) (0.04) 10.13 5.90
1995(3) 10.00 0.30 0.13 (0.30) -- 10.13 4.39+
Service Shares
1999 $10.37 $ 0.37 $(0.26) $(0.37) $ -- $10.11 1.08%
1998(4) 10.28 0.39 0.09 (0.39) -- 10.37 4.81+
- ------------------------------------------------------------------------------------------------------------------------
SHORT-TERM FIXED INCOME FUND:
- ------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $10.13 $ 0.59 $(0.14) $(0.60) $(0.02) $ 9.96 4.49%
1998 10.06 0.60 0.07 (0.60) -- 10.13 6.85
1997 10.00 0.58 0.06 (0.58) -- 10.06 6.61
1996 10.01 0.60 (0.01) (0.60) -- 10.00 6.09
1995(5) 10.00 0.37 0.01 (0.37) -- 10.01 3.82+
- ------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND FUND:
- ------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $ 8.71 $ 1.03 $ 0.37 $(1.03) $ -- $ 9.08 16.54%
1998(6) 10.00 0.54 (1.29) (0.54)+ -- 8.71 (7.84)+
Service Shares
1999 $ 8.71 $ 1.00 $ 0.36 $(1.00) $ -- $ 9.07 16.07%
1998(7) 10.28 0.11 (1.57) (0.11) -- 8.71 0.27+
- ------------------------------------------------------------------------------------------------------------------------
SMALLER COMPANIES FUND:
- ------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $11.22 $ 0.00 $ 2.80 $(0.03) $ -- $13.99 25.03%
1998 14.72 (0.01) (1.81) -- (1.68) 11.22 (13.54)
1997 13.10 (0.03) 2.87 -- (1.22) 14.72 23.29
1996 10.55 (0.02) 2.61 (0.04) -- 13.10 24.58
1995(8) 10.00 0.03 0.52 -- -- 10.55 5.50+
Service Shares
1999 $11.18 $ 0.00 $ 2.76 $(0.03) $ -- $13.91 24.74%
1998 14.71 (0.05) (1.80) -- (1.68) 11.18 (13.79)
1997(9) 13.77 (0.03) 0.97 -- -- 14.71 7.45+
<CAPTION>
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME/(LOSS)
RATIO OF NET TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES INVESTMENT NET ASSETS NET ASSETS
END OF TO AVERAGE INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO
PERIOD NET TO AVERAGE EXPENSE EXPENSE TURNOVER
(000) ASSETS NET ASSETS LIMITATIONS) LIMITATIONS) RATE
- -------------------------------- ----------- ------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MUNICIPAL BOND FUND:
- ------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $ 622,896 0.55% 4.62% 0.58% 4.59% 27%
1998 570,743 0.54 4.71 0.58 4.68 42
1997 361,461 0.54 5.19 0.61 5.12 67
1996 252,152 0.55 5.50 0.61 5.44 66
1995 221,058 0.54 5.75 0.62 5.67 63
Service Shares
1999 $ 7,172 0.80% 4.33% 0.82% 4.31% 27%
1998 5,126 0.79 4.41 0.85 4.35 42
1997(1) 192 0.79 4.95 0.85 4.89 67
- ------------------------------------------------------------------------------------------------------------------------
FIXED INCOME FUND:
- ------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $1,258,869 0.55% 6.08% 0.55% 6.08% 157%
1998 1,263,215 0.55 6.01 0.56 6.00 122
1997 1,103,121 0.55 6.50 0.60 6.45 178
1996 758,003 0.55 6.52 0.61 6.46 176
1995 494,221 0.54 6.81 0.63 6.72 182
Service Shares
1999 $ 7,389 0.80% 5.86% 0.80% 5.86% 157%
1998(2) 1,533 0.80 5.77 0.87 5.70 122
- ------------------------------------------------------------------------------------------------------------------------
SHORT-TERM MUNICIPAL BOND FUND:
- ------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $ 107,427 0.55% 3.92% 0.80% 3.67% 64%
1998 54,369 0.55 4.46 0.82 4.19 28
1997 19,950 0.53 5.14 1.02 4.65 95
1996 9,132 0.53 5.34 1.58 4.29 129
1995(3) 3,724 0.52 4.60 2.16 2.96 62
Service Shares
1999 $ 268 0.80% 3.91% 1.00% 3.71% 64%
1998(4) 436 0.80 4.20 1.02 3.98 26
- ------------------------------------------------------------------------------------------------------------------------
SHORT-TERM FIXED INCOME FUND:
- ------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $ 26,753 0.55% 6.03% 1.29% 5.29% 142%
1998 20,201 0.55 5.92 0.93 5.54 98
1997 17,083 0.53 5.77 1.09 5.21 186
1996 6,751 0.53 6.00 1.29 5.24 124
1995(5) 4,140 0.52 5.86 2.84 3.54 90
- ------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND FUND:
- ------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $ 318,247 0.65% 11.37% 0.75% 11.27% 180%
1998(6) 92,668 0.65 9.34 0.82 9.17 131
Service Shares
1999 $ 2,875 0.90% 11.24% 1.00% 11.14% 180%
1998(7) 81 0.90 11.89 1.05 11.74 131
- ------------------------------------------------------------------------------------------------------------------------
SMALLER COMPANIES FUND:
- ------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $ 6,299 1.25% (0.78%) 4.40% (3.93%) 105%
1998 4,734 1.25 0.26 2.44 (0.93) 108
1997 $ 5,724 1.25 (0.29) 2.63 (1.67) 122
1996 4,115 1.25 (0.23) 2.55 (1.53) 141
1995(8) 2,638 1.25 0.94 2.28 (0.09) 23
Service Shares
1999 $ 340 1.50% (1.03%) 3.98% (3.51%) 105%
1998 997 1.50 0.09 2.76 (1.17) 108
1997(9) 6 1.50 (0.77) 2.79 (2.06) 122
</TABLE>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED
(1) MUNICIPAL BOND FUND SERVICE SHARES COMMENCED OPERATIONS ON 7/30/97. ALL
RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD HAVE BEEN
ANNUALIZED.
(2) FIXED INCOME FUND SERVICE SHARES COMMENCED OPERATIONS ON 2/11/98. ALL
RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD HAVE BEEN
ANNUALIZED.
(3) SHORT-TERM MUNICIPAL BOND FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
3/06/95. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD
HAVE BEEN ANNUALIZED.
(4) SHORT-TERM MUNICIPAL BOND FUND SERVICE SHARES COMMENCED OPERATIONS ON
12/3/97. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD
HAVE BEEN ANNUALIZED.
(5) SHORT-TERM FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
3/13/95. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD
HAVE BEEN ANNUALIZED.
(6) HIGH YIELD BOND FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON 3/16/98.
ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD HAVE BEEN
ANNUALIZED.
(7) HIGH YIELD BOND FUND SERVICE SHARES COMMENCED OPERATIONS ON 9/15/98. ALL
RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD HAVE BEEN
ANNUALIZED.
(8) SMALLER COMPANIES FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
6/30/95. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD
HAVE BEEN ANNUALIZED.
(9) SMALLER COMPANIES FUND SERVICE SHARES COMMENCED OPERATIONS ON 7/11/97. ALL
RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD HAVE BEEN
ANNUALIZED.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0.00 OR HAVE BEEN ROUNDED TO $0.00 ALL
RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD HAVE BEEN ANNUALIZED.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
93
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- FOR THE YEARS/PERIOD ENDED OCTOBER 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
NET
ASSET NET DISTRIBUTIONS NET
VALUE NET REALIZED DISTRIBUTIONS FROM ASSET NET ASSETS
BEGINNING INVESTMENT AND FROM NET REALIZED VALUE END OF
OF INCOME/ UNREALIZED INVESTMENT CAPITAL END OF TOTAL PERIOD
PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS PERIOD RETURN (000)
- ------------------------------------------------------------------------------------------------------------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL SELECT EQUITY FUND++:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $12.02 $(0.09) $ 6.91 $(0.07) $(0.67) $18.10 59.39% $ 61,577
1998 11.62 0.12 0.90 (0.23) (0.39) 12.02 9.28 5,419
1997 11.88 0.16 0.28 (0.15) (0.55) 11.62 3.78 4,954
1996 10.95 0.11 1.25 (0.43) -- 11.88 12.70 3,423
1995(1) 10.00 0.08 0.87 -- -- 10.95 9.50+ 2,738
- --------------------------------------------------------------------------------------------------------------------------------
EUROPEAN EQUITY GROWTH FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $13.50 $ 0.29 $ 2.04 $(0.29) $(4.11) $11.43 21.18% $ 897
1998 12.81 0.15 1.68 (0.24) (0.90) 13.50 15.36 5,387
1997 10.60 0.25 2.11 (0.03) (0.12) 12.81 22.48 39,330
1996(2) 10.00 -- 0.60 -- -- 10.60 6.00+ 17,902
- --------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL SMALL CAP EQUITY FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $ 8.86 $ 0.03 $ 3.38 $ -- $ -- $12.27 38.49% $ 10,930
1998 8.81 0.08 0.07 (0.10) -- 8.86 1.81 24,410
1997 9.96 0.10 (1.12) (0.13) -- 8.81 (10.40) 53,395
1996 9.40 0.03 0.57 (0.04) -- 9.96 6.43 106,709
1995 10.35 0.03 (0.72) (0.04) (0.22) 9.40 (6.67) 90,917
1994(3) 10.00 0.02 0.33 -- -- 10.35 3.50+ 68,798
- --------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKET EQUITY FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $ 4.92 $ 0.03 $ 1.89 $ -- $ -- $ 6.84 39.02% $ 163,886
1998 7.69 0.03 (2.42) -- (0.38) 4.92 (32.66) 46,080
1997 8.80 (0.03) (0.85) (0.01) (0.22) 7.69 (10.31) 94,101
1996 8.11 0.06 0.75 (0.03) (0.09) 8.80 10.02 88,279
1995 11.00 0.04 (2.29) (0.02) (0.62) 8.11 (21.00) 43,288
1994(4) 10.00 (0.01) 1.01 -- -- 11.00 10.00+ 56,842
- --------------------------------------------------------------------------------------------------------------------------------
GLOBAL FIXED INCOME FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $11.36 $ 0.68 $(1.07) $(0.73) $(0.52) $ 9.72 (3.91%) $ 52,220
1998 10.84 0.63 0.45 (0.34) (0.22) 11.36 10.58 58,422
1997 11.26 0.35 0.01 (0.50) (0.28) 10.84 3.34 42,180
1996 10.99 0.59 0.12 (0.37) (0.07) 11.26 6.60 149,917
1995 9.85 0.35 0.99 (0.20) -- 10.99 13.88 139,337
1994(5) 10.00 0.25 (0.40) -- -- 9.85 (1.50)+ 53,915
- --------------------------------------------------------------------------------------------------------------------------------
CORE GLOBAL FIXED INCOME FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $10.97 $ 0.47 $(0.87) $(0.53) $(0.03) $10.01 (3.93%) $ 34,563
1998(6) 10.00 0.19 0.78 -- -- 10.97 9.70 33,585
- --------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $10.95 $ 0.21 $(0.56) $(0.48) $(0.36) $ 9.76 (3.53%) $ 55,997
1998 10.16 0.51 0.65 (0.27) (0.10) 10.95 11.87 19,521
1997 11.30 0.20 (0.11) (0.64) (0.59) 10.16 0.82 27,937
1996 11.34 0.86 (0.12) (0.66) (0.12) 11.30 6.82 21,155
1995 9.94 0.42 1.03 (0.05) -- 11.34 14.66 27,603
1994(7) 10.00 0.29 (0.35) -- -- 9.94 (0.60)+ 15,238
- --------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS DEBT FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 $ 5.82 $ 0.19 $ 0.69 $(0.90) $ -- $ 5.80 17.86% $ 340,365
1998 11.95 1.81 (4.12) (1.32) (2.50) 5.82 (30.35) 55,684
1997 13.36 1.05 0.40 (1.32) (1.54) 11.95 12.03 187,455
1996 10.55 1.21 2.60 (1.00) -- 13.36 38.42 102,431
1995 10.19 0.65 (0.17) (0.11) (0.01) 10.55 4.85 84,438
1994(8) 10.00 0.13 0.06 -- -- 10.19 1.90+ 16,248
Service Shares
1999 $ 5.82 $ 0.19 $ 0.67 $(0.90) $ -- $ 5.78 17.40% $ 10
1998 11.95 6.65 (8.96) (1.32) (2.50) 5.82 (30.35) 18
1997(9) 13.61 0.03 (1.69) -- -- 11.95 (12.20)+ 132
<S> <C> <C> <C> <C> <C>
RATIO OF NET
RATIO OF INVESTMENT
RATIO OF RATIO OF EXPENSES INCOME/(LOSS)
EXPENSES NET TO AVERAGE TO AVERAGE
TO INVESTMENT NET ASSETS NET ASSETS
AVERAGE INCOME/(LOSS) (EXCLUDING (EXCLUDING PORTFOLIO
NET TO AVERAGE EXPENSE EXPENSE TURNOVER
ASSETS NET ASSETS LIMITATIONS) LIMITATIONS) RATE
-------------------------------------------------------------
- --------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL SELECT EQUITY FUND
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 0.90% 0.52% 2.21% (0.79%) 239%
1998 0.90 0.92 2.89 (1.07) 127
1997 0.90 0.97 2.79 (0.92) 55
1996 0.90 0.72 3.59 (1.97) 39
1995(1) 0.90 1.55 2.73 (0.28) 19
- --------------------------------------------------------------------------------------------------------------------------------
EUROPEAN EQUITY GROWTH FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 0.90% 1.23% 1.64% 0.49% 80%
1998 0.90 1.12 1.13 0.89 49
1997 0.90 1.71 1.17 1.44 45
1996(2) 0.90 (0.41) 1.40 (0.91) 5
- --------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL SMALL CAP EQUITY F
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 1.25% 0.86% 2.47% (0.36%) 86%
1998 1.25 0.43 1.49 0.19 106
1997 1.25 0.16 1.37 0.04 59
1996 1.25 0.35 1.38 0.22 47
1995 1.25 0.41 1.48 0.18 62
1994(3) 1.25 0.34 1.67 (0.08) 41
- --------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKET EQUITY FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 1.25% 0.63% 1.90% (0.02%) 70%
1998 1.25 0.90 1.52 0.63 85
1997 1.25 0.68 1.44 0.49 94
1996 1.25 0.63 1.52 0.36 69
1995 1.25 0.44 1.55 0.14 49
1994(4) 1.36 (0.12) 1.79 (0.55) 45
- --------------------------------------------------------------------------------------------------------------------------------
GLOBAL FIXED INCOME FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 0.60% 6.67% 1.13% 6.14% 161%
1998 0.60 4.82 0.77 4.65 182
1997 0.65 5.30 0.77 5.18 179
1996 0.75 5.39 0.79 5.35 223
1995 0.78 5.61 0.87 5.52 147
1994(5) 0.85 5.71 1.28 5.28 173
- --------------------------------------------------------------------------------------------------------------------------------
CORE GLOBAL FIXED INCOME FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 0.55% 3.90% 1.33% 3.12% 155%
1998(6) 0.55 4.19 0.96 3.78 151
- --------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 0.55% 3.53% 1.70% 2.38% 140%
1998 0.57 4.36 1.08 3.85 181
1997 0.65 5.00 1.06 4.59 174
1996 0.75 5.41 1.03 5.13 235
1995 0.78 5.51 1.15 5.14 187
1994(7) 0.85 5.66 1.42 5.09 130
- --------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS DEBT FUND:
- --------------------------------------------------------------------------------------------------------------------------------
Institutional Shares
1999 1.00% 10.90% 1.40% 10.50% 397%
1998 1.05 9.82 1.31 9.56 638
1997 1.32 7.15 1.47 7.00 472
1996 1.50 10.15 1.92 9.73 227
1995 1.79 10.97 2.05 10.71 266
1994(8) 1.90 7.04 2.60 6.34 52
Service Shares
1999 1.25% 10.65% 1.66% 10.24% 397%
1998 1.30 10.78 1.76 10.32 638
1997(9) 1.50 18.65 1.71 18.44 472
</TABLE>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED
++ THE INTERNATIONAL SELECT EQUITY FUND SERVICE SHARES COMMENCED OPERATIONS ON
10/29/99. THE NET ASSET ON OCTOBER 31, 1999 WERE $10,043.
(1) INTERNATIONAL SELECT EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS
ON 5/15/95. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD
HAVE BEEN ANNUALIZED.
(2) EUROPEAN EQUITY GROWTH FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
9/03/96. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD
HAVE BEEN ANNUALIZED.
(3) INTERNATIONAL SMALL CAP EQUITY FUND INSTITUTIONAL SHARES COMMENCED
OPERATIONS ON 1/03/94. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR
THE PERIOD HAVE BEEN ANNUALIZED.
(4) EMERGING MARKET EQUITY FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
2/01/94. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD
HAVE BEEN ANNUALIZED.
(5) GLOBAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
1/04/94. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD
HAVE BEEN ANNUALIZED.
(6) CORE GLOBAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
5/4/98. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD HAVE
BEEN ANNUALIZED.
(7) INTERNATIONAL FIXED INCOME FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS
ON 3/15/94. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD
HAVE BEEN ANNUALIZED.
(8) EMERGING MARKET DEBT FUND INSTITUTIONAL SHARES COMMENCED OPERATIONS ON
8/4/94. ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD HAVE
BEEN ANNUALIZED.
(9) EMERGING MARKET DEBT FUND SERVICE SHARES COMMENCED OPERATIONS ON 10/22/97.
ALL RATIOS, EXCEPT FOR PORTFOLIO TURNOVER RATE, FOR THE PERIOD HAVE BEEN
ANNUALIZED.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0.00 OR HAVE BEEN ROUNDED TO $0.00
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
94
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
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 twenty-two 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 Micro Cap Fund, (formerly, Morgan Grenfell Microcap Fund)
(collectively the "Domestic Funds"); Morgan Grenfell International Select Equity
Fund (formerly, Morgan Grenfell International Equity Fund), Morgan Grenfell
European Equity Growth Fund, Morgan Grenfell Global Equity Fund, Morgan Grenfell
New Asia Equity Fund, Morgan Grenfell International Small Cap Equity Fund,
Morgan Grenfell European Small Cap Equity Fund, Morgan Grenfell Japanese Small
Cap Equity Fund, Morgan Grenfell Emerging Markets Equity Fund, Morgan Grenfell
Global Fixed Income Fund, Morgan Grenfell Core 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 October 31,
1999, the Total Return Bond Fund, Large Cap Growth Fund, Global Equity Fund, New
Asia Equity Fund, Japanese Small Cap Equity Fund and Emerging Local Currency
Debt Fund had not yet commenced operations. The financial statements and
financial highlights of Micro Cap Fund and European Small Cap Equity Fund are
presented separately from the accompanied financial statements. 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 Deutsche Asset Management, Inc. ("DAMI",
formerly Morgan Grenfell Inc.) and Deutsche Asset Management Investment Services
Limited ("DAMIS", formerly Morgan Grenfell Investment Services Limited),
(collectively, the "Advisers", each an affiliate of Deutsche Bank AG), 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 Adviser, 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
95
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
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 and/or capital gains realized on sale of such investments.
The International Funds accrue such taxes when the related income is or gains
are 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.
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 by the counterparty.
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 may 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. 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
96
<PAGE>
- --------------------------------------------------------------------------------
Fund's taxable year and are generally treated as ordinary income or loss for
such purposes. Risk may arise upon entering into these contracts from the
potential inability of the counterparties to meet the terms of their contracts
and is generally limited to the amount of unrealized gain on the contracts, if
any, at the date of default. Risk may also arise from unanticipated movements in
the value of a foreign currency relative to the U.S. dollar.
FOREIGN CURRENCY OPTIONS--The premium paid by a Fund for the purchase of an
option is included in the Fund's Statement of Assets and Liabilities 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. The risk associated with purchasing options is
limited to premiums originally paid. Certain foreign currency options may be
required to be marked-to-market for Federal income tax purposes at the close of
a Fund's taxable year, giving rise to a gain or loss that may, depending upon
whether certain elections are made, be capital or ordinary in character.
DISTRIBUTIONS--Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid in capital in the period that the difference arises.
Accordingly, permanent differences primarily attributable to net operating loss
for the year or realized foreign exchange gains and losses have been
reclassified as follows:
<TABLE>
<CAPTION>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED PAID-IN
FUND INCOME (LOSS) GAINS (LOSSES) CAPITAL
- ---- --------------- -------------- ---------
<S> <C> <C> <C>
Municipal Bond Fund $ (16,673) $ 16,673 $ --
Fixed Income Fund (20,632) 20,632 --
Short-Term Municipal
Bond Fund (1,066) -- 1,066
Smaller Companies Fund 51,060 -- (51,060)
International Select
Equity Fund 20,669 (21,106) 437
European Equity Growth
Fund 103,310 (105,388) 2,078
International Small Cap
Equity Fund (573,757) 525,849 47,908
Emerging Markets
Equity Fund (392,512) 449,331 (56,819)
Global Fixed Income
Fund (145,493) 145,493 --
Core Global Fixed
Income Fund 251,796 (251,796) --
International Fixed
Income Fund 207,175 (207,175) --
Emerging Markets Debt
Fund 549,743 (549,743) --
</TABLE>
The above reclassifications have no effect on net assets or net asset value
per share of the above Funds.
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. DAMI 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
97
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
method. Dividend income is recognized on the ex-dividend date or, using
reasonable diligence, when known to the Funds. Interest income is recognized
using the accrual method.
3. Administration, Investment Advisory, Distribution and Service Agreements
By an agreement dated August 27, 1998, the Trust entered into an administration
agreement with DAMI (the "Administrator"), pursuant to which the Administrator
will receive an annual fee based on the average daily net assets of each Fund as
follows:
<TABLE>
<CAPTION>
ANNUAL
FUND FEES
---- ------
<S> <C>
Municipal Bond Fund 0.12%
Fixed Income Fund 0.12%
Short-Term Municipal Bond Fund 0.12%
Short-Term Fixed Income Fund 0.12%
High Yield Bond Fund 0.12%
Smaller Companies Fund 0.22%
International Select Equity Fund 0.30%
European Equity Growth Fund 0.30%
International Small Cap Equity Fund 0.30%
Emerging Markets Equity Fund 0.30%
Global Fixed Income Fund 0.25%
Core Global Fixed Income Fund 0.25%
International Fixed Income Fund 0.25%
Emerging Markets Debt Fund 0.25%
</TABLE>
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. The
Administrator is also responsible for engaging an accounting agent, custodian
and transfer agent for the Trust's operations. Fees for services rendered by the
accounting agent and the transfer agent are paid by the Administrator and not
the Fund. At a meeting held on August 19, 1999 the Board of Trustees of the
Trust adopted a resolution to approve a transfer agent agreement between ICC
Capital, Inc., an affiliate of Deutsche Bank AG, and the Trust, replacing DST
Systems Inc., effective November 22, 1999.
Prior to October 13, 1998, SEI Financial Management Corporation ("SEI")
served as the Trust's Administrator and received 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 also paid SEI a
minimum annual administration fee of $60,000 (after a one-year phase in period).
Services rendered by SEI to the Trust were substantially the same as being
rendered by the Administrator; however, administration fees payable to SEI did
not include fees payable to the Trust's transfer agent and SEI as accounting
agent to the Trust.
Under the advisory agreements with the Trust, DAMI serves as the Adviser for
the Domestic Funds and DAMIS serves as the Adviser for the International Funds
(collectively referred to as "Advisers"). For these services, the Advisers are
entitled to a monthly fee at an annual rate of each Fund's average daily net
assets as follows:
<TABLE>
<S> <C>
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%
International Select Equity Fund 0.70%
European Equity Growth Fund 0.70%
International Small Cap Equity
Fund 1.00%
Emerging Markets Equity Fund 1.00%
Global Fixed Income Fund 0.50%
</TABLE>
98
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Core Global Fixed Income Fund 0.50%
International Fixed Income Fund 0.50%
Emerging Markets Debt Fund 1.00%
</TABLE>
The Advisers 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:
<TABLE>
<CAPTION>
INSTITUTIONAL SERVICE
SHARES SHARES
------------- --------
<S> <C> <C>
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%
International Select Equity Fund 0.90% 1.15%
European Equity Growth Fund 0.90% 1.15%
International Small Cap Equity Fund 1.25% 1.50%
Emerging Markets Equity Fund 1.25% 1.50%
Global Fixed Income Fund 0.60% 0.85%
Core Global Fixed Income Fund 0.55% 0.80%
International Fixed Income Fund 0.55% 0.80%
Emerging Markets Debt Fund 1.00% 1.25%
</TABLE>
At its meeting held on November 18, 1999, the Board of Trustees approved a
proposal by the Advisers to change the Advisers' fee waivers and/ or
reimbursements to limit the total operating expenses of the International Select
Equity Fund Institutional Class shares and Service Class shares to 1.25% and
1.50%, respectively, and of the European Equity Growth Fund Institutional Class
shares and Service Class shares to 1.25% and 1.50%, respectively, of the average
daily net assets of the respective class of shares effective November 18, 1999.
By an Expense Limitation agreement dated November 1999, between the Trust
and the Advisers, the Advisers have agreed to waive their fees and reimburse
expenses to each Fund in order to limit the total operating expenses of each
Fund at the above levels for a period of 16 months from November 1, 1999.
Certain officers and/or Trustees of the Trust are affiliated with the
Administrator or the Advisers.
SEI Investments Distribution Co. (the "Distributor") served as the
distributor of shares of the Funds pursuant to a distribution agreement with the
Trust and assisted in the sale of shares of the Funds. The Advisers, and not the
Trust, are responsible for payment of any expenses or fees incurred in the
marketing and distribution of shares of the Trust. At a meeting held on
August 19, 1999 the Board of Trustees of the Trust adopted a resolution to
approve a distribution agreement between ICC Distributors Inc. and the Trust,
replacing SEI Investments Distribution Co., effective November 1, 1999.
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. Service 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 October 31, 1999, certain portfolios of the Trust
purchased securities from and sold securities to other portfolios of the Trust
or other accounts managed by the Advisers at market value.
4. Forward Foreign Currency Contracts
The International Funds may 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
99
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
date. Also, although such contracts tend to minimize the risk of loss due to a
decline in the value of a hedged currency, at the same time they tend to limit
any potential gain that might be realized should the value of such foreign
currency increase.
The following forward foreign currency contracts were outstanding at
October 31, 1999:
<TABLE>
<CAPTION>
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- ----------------- ----------- --------------
<S> <C> <C> <C>
GLOBAL FIXED INCOME FUND
- ------------------------------------------------------------
FOREIGN CURRENCY SALES:
12/03/99 ZAR (5,700,000) $ 937,500 $ 13,970
12/13/99 CAD (2,600,000) 1,759,372 (9,245)
12/13/99 SEK (12,000,000) 1,461,080 (2,305)
01/18/00 EUR (2,600,000) 2,841,800 90,743
01/18/00 ZAR (6,500,000) 1,044,680 (1,828)
01/18/00 GRD (750,000,000) 2,450,980 85,461
---------
$ 176,796
---------
FOREIGN CURRENCY PURCHASES:
12/13/99 EUR 1,400,000 $(1,494,486) $ (17,290)
12/13/99 SEK 12,000,000 (1,475,108) (11,722)
12/13/99 EUR 305,000 (322,904) (1,086)
12/13/99 GBP 1,400,000 (2,280,600) 20,867
12/13/99 JPY 150,000,000 (1,397,103) 51,282
01/18/00 CAD 3,500,000 (2,348,836) 34,890
01/18/00 JPY 340,000,000 (3,289,155) 14,863
01/18/00 EUR 1,400,000 (1,480,115) 1,223
01/18/00 GBP 700,000 (1,169,910) (18,760)
01/18/00 JPY 380,000,000 (3,669,902) 22,825
01/28/00 AUD 2,500,000 (1,621,750) (24,036)
---------
$ 73,056
---------
$ 249,852
=========
INTERNATIONAL FIXED INCOME FUND
- ------------------------------------------------------------
FOREIGN CURRENCY SALES:
12/07/99 JPY (19,000,000) $ 182,517 $ (723)
12/07/99 GRD (220,000,000) 721,880 24,669
12/07/99 EUR (500,000) 533,430 6,141
12/07/99 EUR (3,500,000) 3,661,000 (30,024)
12/07/99 EUR (800,000) 854,320 10,657
12/07/99 EUR (1,205,000) 1,312,486 41,720
12/07/99 GRD (495,000,000) 1,560,530 (8,193)
12/07/99 SEK (19,300,000) 2,349,104 (3,329)
---------
$ 40,918
---------
</TABLE>
<TABLE>
<CAPTION>
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- ----------------- ----------- --------------
<S> <C> <C> <C>
FOREIGN CURRENCY PURCHASES:
12/07/99 AUD 780,000 $ (503,490) $ (5,709)
12/07/99 AUD 1,850,000 (1,203,240) (22,605)
12/07/99 GBP 1,000,000 (1,618,700) 25,017
12/07/99 GBP 340,000 (567,800) (8,936)
12/07/99 JPY 160,000,000 (1,486,989) 56,087
12/07/99 JPY 97,000,000 (902,661) 32,828
12/07/99 JPY 50,000,000 (475,647) 6,564
12/07/99 JPY 36,000,000 (344,828) 2,364
12/07/99 JPY 714,000,000 (6,762,965) 123,012
12/07/99 EUR 170,000 (178,500) 778
12/07/99 EUR 550,000 (588,445) (8,427)
12/07/99 SEK 6,000,000 (737,554) (6,228)
12/07/99 SEK 13,300,000 (1,613,099) 8,007
01/18/00 DKK 7,560,000 (1,100,437) (24,825)
01/18/00 CAD 1,760,000 (1,190,798) 7,875
01/18/00 EUR 2,200,000 (2,325,895) 1,923
---------
$ 187,725
---------
$ 228,643
=========
EMERGING MARKETS DEBT FUND
- ------------------------------------------------------------
FOREIGN CURRENCY SALES:
11/18/99 EUR (635,000) $ 684,149 $ 15,435
11/18/99 EUR (4,750,000) 5,132,850 130,656
---------
$ 146,091
=========
EMERGING MARKETS EQUITY FUND
- ------------------------------------------------------------
FOREIGN CURRENCY SALES:
12/17/99 HKD (524,321) $ 66,353 $ (1,096)
12/17/99 HKD (125,728) 16,000 (174)
02/11/00 TWD (1,187,820) 36,000 (1,502)
02/11/00 TWD (1,189,620) 36,000 (1,559)
02/11/00 TWD (1,323,200) 40,000 (1,776)
02/11/00 TWD (1,323,480) 40,000 (1,785)
02/11/00 TWD (927,220) 28,000 (1,274)
02/11/00 TWD (509,250) 15,000 (1,078)
02/14/00 KRW (65,178,000) 54,000 11,709
02/14/00 KRW (9,850,400) 8,000 1,608
02/14/00 KRW (28,992,000) 24,000 5,188
02/22/00 ZAR (11,047,000) 1,753,061 (16,887)
02/24/00 HKD (213,818) 27,000 (481)
02/24/00 HKD (31,522) 4,000 (51)
02/24/00 HKD (19,000) 2,408 (34)
02/24/00 HKD (388,976) 48,943 (1,050)
04/17/00 HKD (31,304) 4,000 (19)
---------
$ (10,261)
---------
</TABLE>
100
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CURRENCY TO IN UNREALIZED
MATURITY (DELIVER)/ EXCHANGE APPRECIATION
DATE RECEIVE FOR (DEPRECIATION)
- ---------- ----------------- ----------- --------------
<S> <C> <C> <C>
FOREIGN CURRENCY BUYS:
12/17/99 HKD 157,870 $ (20,000) $ 308
12/17/99 HKD 103,203 (13,000) 276
12/17/99 HKD 388,976 (49,281) 757
02/11/00 TWD 609,840 (18,000) 1,254
02/11/00 TWD 3,924,977 (119,000) 4,920
02/11/00 TWD 1,925,773 (58,623) 2,178
02/14/00 KRW 104,020,400 (86,974) (19,479)
02/22/00 ZAR 11,047,000 (1,794,364) (24,416)
02/24/00 HKD 653,316 (83,594) 374
04/17/00 HKD 31,304 (3,994) 24
---------
$ (33,804)
---------
$ (44,065)
=========
CORE GLOBAL FIXED INCOME FUND
- ------------------------------------------------------------
FOREIGN CURRENCY SALES:
01/18/00 EUR (600,000) $ 655,800 $ 20,941
01/18/00 EUR (900,000) 970,875 18,586
01/18/00 GRD (406,000,000) 1,326,797 46,262
01/18/00 SEK (8,400,000) 1,025,503 (1,486)
---------
$ 84,303
---------
FOREIGN CURRENCY BUYS:
12/13/99 JPY 150,000,000 $(1,397,103) $ 51,282
01/18/00 AUD 1,600,000 (1,032,160) (9,727)
01/18/00 EUR 1,000,000 (1,057,225) 874
01/18/00 GBP 1,280,000 (2,139,264) (34,304)
01/18/00 SEK 8,400,000 (1,035,867) (8,877)
01/18/00 SEK 8,400,000 (1,035,867) (8,877)
01/18/00 JPY 370,000,000 (3,573,326) 22,223
---------
$ 12,594
---------
$ 96,897
=========
INTERNATIONAL SELECT EQUITY FUND
- ------------------------------------------------------------
FOREIGN CURRENCY SALES:
12/15/99 JPY (298,300,000) $ 2,840,330 $ (41,188)
=========
</TABLE>
<TABLE>
<CAPTION>
CURRENCY LEGEND
- ---------------
<S> <C> <C> <C>
AUD Australian Dollar CAD Canadian Dollar
EUR Euro GBP United Kingdom Pound
GRD Greek Drachma HKD Hong Hong Dollar
JPY Japanese Yen KRW Korean Won
SEK Swedish Krona TWD Taiwan Dollar
ZAR South Africa Rand DKK Danish Kroner
</TABLE>
5. Investment Transactions
The cost of securities purchased and the proceeds from the sale of securities,
other than short-term investments and U.S. government securities, during the
year ended October 31, 1999, were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
-------------- --------------
<S> <C> <C>
Municipal Bond Fund $ 258,228,254 $ 170,184,393
Fixed Income Fund 845,401,347 788,562,088
Short-Term Municipal Bond Fund 101,762,424 53,105,962
Short-Term Fixed Income Fund 29,136,344 21,233,241
High Yield Bond 669,804,120 453,324,396
Smaller Companies 6,505,046 7,156,527
International Select Equity
Fund 88,473,195 43,055,810
European Equity Growth Fund 32,439,991 80,261,476
International Small Cap Equity
Fund 18,760,719 39,707,706
Emerging Markets Equity Fund 159,316,410 74,193,718
Global Fixed Income Fund 73,927,944 63,391,562
Core Global Fixed Income Fund 40,115,397 32,760,375
International Fixed Income Fund 55,900,552 29,406,327
Emerging Markets Debt Fund 1,228,842,698 1,003,499,842
</TABLE>
The cost of U.S. government securities purchased and the proceeds from the sale
of securities during the year ended October 31, 1999 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
-------------- --------------
<S> <C> <C>
Fixed Income Fund $1,187,388,039 $1,134,710,867
Short-Term Fixed Income Fund 13,509,301 12,676,634
Global Fixed Income Fund 8,742,591 24,152,979
Core Global Fixed Income Fund 6,728,634 16,515,071
</TABLE>
For federal income tax purposes, the cost of securities owned, the aggregate
gross unrealized appreciation and depreciation and the net unrealized
appreciation (depreciation) on investments at October 31, 1999 for each Fund are
as follows:
<TABLE>
<CAPTION>
FUND TAX COST
- ---- --------------
<S> <C>
Municipal Bond Fund $ 641,012,248
Fixed Income Fund 1,277,156,212
Short-Term Municipal Bond Fund 107,505,718
Short-Term Fixed Income Fund 26,698,365
High Yield Bond Fund 330,927,571
Smaller Companies Fund 5,168,334
International Select Equity Fund 52,972,647
European Equity Growth Fund 115,577
International Small Cap Equity Fund 8,397,479
Emerging Markets Equity Fund 148,926,932
Global Fixed Income Fund 50,505,600
Core Global Fixed Income Fund 32,274,776
International Fixed Income Fund 53,684,051
Emerging Markets Debt Fund 302,621,719
</TABLE>
101
<PAGE>
NOTES TO FINANCIAL STATEMENTS (concluded)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
<TABLE>
<CAPTION>
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
INVESTMENTS INVESTMENTS (DEPRECIATION)
------------ ------------ --------------
<S> <C> <C> <C>
Municipal Bond Fund $ 3,675,244 $(23,996,017) $(20,320,773)
Fixed Income Fund 239,034 (26,422,059) (26,183,025)
Short-Term Municipal
Bond Fund 554,095 (2,247,839) (1,693,744)
Short-Term Fixed Income
Fund 20,552 (210,666) (190,114)
High Yield Bond Fund 4,418,396 (15,437,692) (11,019,296)
Smaller Companies Fund 1,684,140 (370,736) 1,313,404
International Select
Equity Fund 6,344,149 (966,905) 5,377,244
European Equity Growth
Fund 13,623 (4,662) 8,961
International Small Cap
Equity Fund 2,556,870 (476,966) 2,079,904
Emerging Markets Equity
Fund 16,412,387 (4,122,523) 12,289,864
Global Fixed Income
Fund 299,903 (2,578,801) (2,278,898)
Core Global Fixed
Income Fund 195,991 (1,252,630) (1,056,639)
International Fixed
Income Fund 395,719 (770,650) (374,931)
Emerging Markets Debt
Fund 7,783,542 (6,711,726) 1,071,816
</TABLE>
At October 31, 1999 the following Funds had available realized capital losses to
offset future net capital gains:
<TABLE>
<CAPTION>
EXPIRATION
DATE
----------------
<S> <C> <C>
Municipal Bond Fund $ 150,144 10/31/2007
Fixed Income Fund 7,769,404 10/31/2007
Short-Term Municipal Bond
Fund 144,583 10/31/2005-2007
Short-Term Fixed Income Fund 15,249 10/31/2007
High Yield Bond Fund 4,781,756 10/31/2006-2007
Smaller Companies Fund 127,538 10/31/2006-2007
Emerging Markets Equity Fund 18,865,462 10/31/2006
Global Fixed Income Fund 986,396 10/31/2007
Core Global Fixed Income Fund 132,397 10/31/2007
International Fixed Income
Fund 54,851 10/31/2007
Emerging Markets Debt Fund 58,247,275 10/31/2006
</TABLE>
During the year ended October 31, 1999, International Small Cap Equity Fund,
Emerging Markets Equity Fund and Emerging Markets Debt Fund utilized $3,907,438,
$174,439 and $10,483, respectively, of available realized capital losses from a
prior period.
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, Short-Term Fixed Income Fund and High Yield Bond Fund
invest
102
<PAGE>
- --------------------------------------------------------------------------------
primarily in fixed income securities, the market value of which may change in
response to interest rate changes. Although the Fixed Income Fund, Short-Term
Fixed Income Fund and High Yield Bond 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.
The Fixed Income Fund, Short-Term Fixed Income Fund and High Yield Bond Fund
may have a concentration of its investments in financial companies.
The High Yield Bond Fund invests in securities rated below investment grade,
which typically involves risks not associated with higher rated securities.
Yield on high yield debt securities reflect, among other things, perceived
credit risk.
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. The Emerging Markets Equity Fund
and Emerging Markets Debt Fund invest in emerging markets securities. Emerging
markets are substantially smaller, less developed, less liquid, and more
volatile than the major securities markets in the United States. Global Fixed
Income Fund, Core Global Fixed Income Fund, International Fixed Income Fund and
Emerging Markets Debt Fund invest in debt securities, the market value of which
may change in response to interest rate changes. Also, the ability of the
issuers of debt securities held by the Funds to meet their obligations may be
affected by economic and political developments in a specific country, industry,
or region.
8. Borrowing Agreements
By an agreement dated November 2, 1998, certain Funds of the Trust entered
into a Credit Agreement (the "Agreement") with the BankBoston, N.A. (the
"Lender"). The maximum aggregate credit available to all the participating Funds
under the Agreement, which expired on October 31, 1999, was approximately
$50,000,000. The Agreement has been extended for a period of three months
through January 30, 2000. Interest payments on borrowings are payable by the
borrowing Funds on a monthly basis at the federal funds rate plus 0.50% per
annum and the borrowings are payable on demand. 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 year ended
October 31, 1999, the participating Funds incurred approximately $48,500 in
commitment fees under the Agreement which has been allocated to the
participating Funds based on their relative net assets during the non-borrowing
period. During the period ended October 31, 1999, the High Yield Bond Fund,
Global Fixed Income Fund, International Select Equity Fund, European Equity
Growth Fund and European Small Cap Equity Fund (the "Borrowing Funds") borrowed
under the Agreement at different times. At October 31, 1999, the High Yield Bond
Fund owed $9,300,000 under the Agreement on which interest was payable at the
rate of 5.81% per annum and was repaid on November 8, 1999.
The Emerging Markets Equity Fund, Emerging Markets Debt Fund and
International Small Cap Equity Fund do not participate in the Agreement with
BankBoston, N.A. In the event of an overdraft, each of these Funds may execute a
demand note with Brown Brothers Harriman & Co. ("BBH"), the Trust's custodian,
to meet their short-term liquidity requirements. Interest payment on borrowings
under the BBH demand notes are payable at the federal funds rate plus 2.00% and
103
<PAGE>
NOTES TO FINANCIAL STATEMENTS (concluded)
- --------------------------------------------------------------------------------
MORGAN GRENFELL INVESTMENT TRUST -- OCTOBER 31, 1999
the borrowings are secured by each borrowing Funds' assets and securities held
in the custody of BBH for the respective Fund. At October 31, 1999 there were no
borrowings from BBH outstanding.
Following is the summary of borrowings made under the Agreement with
BankBoston., N.A. and the Line of Credit facility with BBH:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
MAXIMUM AVERAGE AVERAGE
AMOUNT BALANCE INTEREST INTEREST
FUND BORROWED OUTSTANDING PAID RATE
- --------------------- ---------- ------------ -------- ---------
<S> <C> <C> <C> <C>
CREDIT AGREEMENT:
High Yield Bond Fund $9,300,000 $3,037,778 $20,698 5.53%
Global Fixed Income
Fund 600,000 600,000 608 5.28%
International Select
Equity Fund 800,000 357,143 739 5.39%
European Equity
Growth Fund 800,000 525,000 924 5.35%
LINE OF CREDIT:
Emerging Markets
Equity Fund 5,314,424 2,339,619 9,054 7.06%
Emerging Markets Debt
Fund 4,767,857 3,032,804 2,457 7.39%
</TABLE>
9. Acquisition of Assets of BT Global
Emerging Markets Equity Fund
On September 30, 1999, pursuant to plan of reorganization approved by the Board
of Trustees of the Trust, the Morgan Grenfell Emerging Markets Equity Fund
("Emerging Markets Equity Fund") acquired all the net assets of BT Global
Emerging Markets Equity Fund ("BT Emerging Markets Fund"), an affiliate of the
Trust. The plan of reorganization was also approved by the shareholders of BT
Emerging Markets Fund on September 21, 1999. The acquisition was accomplished by
a tax free exchange of 455,565 shares of beneficial interest of Institutional
Class shares of Emerging Markets Equity Fund at a net asset value per share of
$6.63 for 275,760 shares of BT Emerging Markets Fund. The net assets of the
Emerging Markets Equity Fund and BT Emerging Markets Fund before the acquisition
were $149,666,858 and $3,020,398, respectively, including unrealized
appreciation (or depreciation) of $319,800 for BT Emerging Markets Fund.
Immediately after the acquisition, the combined assets of the Emerging Markets
Equity Fund amounted to $152,687,256.
10. Proposed Fund Reorganizations
At its meeting on August 19, 1999, the Board of Trustees adopted the following
resolutions:
i. Approved of the proposed tax-free transfer of substantially all of the
assets of the Morgan Grenfell Smaller Companies Fund to the BT Small Cap
Fund, an affiliate of the Trust and assumption by BT Small Cap Fund of all
of the liabilities of Smaller Companies Fund, in exchange solely for the
shares of common stock of BT Small Cap Fund and the distribution of shares
of BT Small Cap Fund to the shareholders of Smaller Companies Fund in
liquidation of Smaller Companies Fund. The shareholders of the Smaller
Companies Fund are expected to vote on the proposal at the special meeting
of shareholders to be held on February 29, 2000. The proposed transfer is
likely to be a tax-free reorganization under the provisions of the Internal
Revenue Code of 1986, as amended.
ii. Approval of the proposed tax-free transfer of substantially all of the
assets of the BT Intermediate Tax-Free Fund ("BT Tax-Free Fund"), an
affiliate of the Trust, to the Morgan Grenfell Municipal Bond Fund in
exchange solely for the Institutional Class shares of beneficial interest
of the Municipal Bond Fund and the assumption by the Municipal Bond Fund of
all of the liabilities of BT Tax-Free Fund and the distribution of such
shares of the Municipal Bond Fund to the shareholders of the BT Tax-Free
Fund in liquidation of the BT Tax-Free Fund. The proposed transfer is
likely to be a
104
<PAGE>
- --------------------------------------------------------------------------------
tax-free reorganization under the provisions of the Internal Revenue Code
of 1986, as amended.
11. Subsequent Events
At the meeting of the Board of Trustees held on November 18, 1999, the Trustees
adopted the following resolutions:
i. Approval of a proposal for a master/feeder structure (the "Master/Feeder
Structure") for the Morgan Grenfell Municipal Bond Fund, Morgan Grenfell
Fixed Income Fund, Morgan Grenfell High Yield Bond Fund and Morgan Grenfell
European Equity Growth Fund. Under the proposed Master/Feeder Structure each
of the Municipal Bond Fund, Fixed Income Fund, High Yield Bond Fund and
European Equity Growth Fund will invest all of its investable assets in
Fixed Income Portfolio, High Yield Bond Portfolio, Municipal Bond Portfolio,
and European Equity Portfolio, respectively, each a series of newly created
Deutsche Investment Portfolios, an open-end investment company and each
portfolio having substantially the same investment objective, policies and
restrictions as the respective Fund. A consent of the majority of the
shareholders of Morgan Grenfell European Equity Growth Fund to approve the
proposed Master/Feeder Structure was obtained on December 2, 1999. The
shareholders of each of the Morgan Grenfell Municipal Bond Fund, Morgan
Grenfell Fixed Income Fund and Morgan Grenfell High Yield Bond Fund are
expected to vote on the proposed Master/Feeder Structure at the special
meeting of the shareholders to be held on February 29, 2000.
ii. Approval to the establishment of Premier Class, a new class of shares, of
the Morgan Grenfell International Select Equity Fund.
105
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
Morgan Grenfell Investment Trust
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Municipal Bond Fund, Fixed
Income Fund, Short-Term Municipal Bond Fund, Short-Term Fixed Income Fund, High
Yield Bond Fund, Smaller Companies Fund, International Select Equity Fund,
European Equity Growth Fund, International Small Cap Equity Fund, Emerging
Markets Equity Fund, Global Fixed Income Fund, Core Global Fixed Income Fund,
International Fixed Income Fund and Emerging Markets Debt Fund series of Morgan
Grenfell Investment Trust (the "Trust") at October 31, 1999, the results of each
of their operations, the changes in each of their net assets and the financial
highlights for each of the periods indicated, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at October 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
December 20, 1999
106
<PAGE>
- --------------------------------------------------------------------------------
Tax Information -- Unaudited
For the fiscal year ended October 31, 1999, 96.1% and 90.1% of the income
distribution paid by the Municipal Bond Fund and the Short-Term Municipal Bond
Fund, respectively, was derived from federal tax-exempt interest obligations.
TAXPAYERS FILING ON A CALENDAR YEAR BASIS WILL RECEIVE TAX INFORMATION FOR THE
1999 CALENDAR YEAR AFTER YEAR END.
The amount of long-term capital gains distributions paid for the fiscal year
ended October 31, 1999 was as follows :
<TABLE>
<CAPTION>
<S> <C>
Short-Term Fixed Income Fund........................... $ 1,598
International Fixed Income Fund........................ 209,892
European Equity Growth Fund............................ 13,955,010
Global Fixed Income Fund............................... 1,764,718
International Select Equity Fund....................... 300,608
Muni Bond Fund......................................... 1,678,615
Fixed Income Fund...................................... 5,975,153
</TABLE>
During the year ended October 31, 1999 the following Funds received income from
foreign sources and paid foreign taxes. Such amounts are eligible for the
foreign tax credit. You should consult your tax advisor relating to the
appropriate treatment of foreign taxes paid.
<TABLE>
<CAPTION>
FOREIGN
FOREIGN TAX
INCOME WITHHELD
----------- --------
<S> <C> <C>
Emerging Markets Debt Fund.................................. $33,463,986 $300,000
Core Global Fixed Income Fund............................... 1,493,552 14,279
Global Fixed Income Fund.................................... 3,136,193 19,022
European Equity Growth Fund................................. 966,160 92,264
Emerging Markets Equity Fund................................ 2,235,854 186,385
International Select Equity Fund............................ 226,836 21,460
International Small Cap Equity Fund......................... 531,797 48,102
</TABLE>
Of the ordinary distributions made during the fiscal year ended October 31,
1999, the following percentages have been derived from investments in U.S.
Government and Agency Obligations. All or a portion of the distributions from
this income may be exempt from taxation at the state level. Consult your tax
advisor for state specific information.
<TABLE>
<CAPTION>
<S> <C>
Short-Term Fixed Income Fund............................ 6.7%
Fixed Income Fund....................................... 27.5%
</TABLE>
107
<PAGE>
MORGAN
GRENFELL
INVESTMENT
TRUST
- ------------------
ANNUAL
REPORT
OCTOBER 31, 1999
TRUSTEES AND OFFICERS
Paul K. Freeman, TRUSTEE
Graham E. Jones, TRUSTEE
Hugh G. Lynch, TRUSTEE
William N. Searcy, TRUSTEE
Edward T. Tokar, TRUSTEE
Richard T. Hale
PRESIDENT
David W. Baldt,
VICE PRESIDENT
James H. Grifo,
VICE PRESIDENT
Neil P. Jenkins,
VICE PRESIDENT
Ian D. Kelson,
VICE PRESIDENT
Amy Olmert,
TREASURER, CHIEF FINANCIAL OFFICER
Daniel O. Hirsch,
SECRETARY
INVESTMENT ADVISERS
Deutsche Asset Management, Inc.
Deutsche Asset Management Investment Services Limited
ADMINISTRATOR
Deutsche Asset Management, Inc.
DISTRIBUTOR
ICC Distributors Inc.
CUSTODIAN
Brown Brothers Harriman & Co.
TRANSFER AGENT
ICC Capital, Inc.
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
LEGAL COUNSEL
Hale and Dorr LLP
THIS 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. ICC DISTRIBUTORS INC., IS THE DISTRIBUTOR OF THE MORGAN GRENFELL
INVESTMENT TRUST.
MGITANN (10/99)