Deutsche Invest I - funds360.euronext.com

Deutsche Asset Management

Investment company with variable capital

incorporated under Luxembourg law

Semiannual Report 2016Deutsche Invest I

1

Contents

Semiannual report 2016

for the period from January 1, 2016, through June 30, 2016

General information 3

Semiannual report, Deutsche Invest I SICAV

Deutsche Invest I Africa 8

Deutsche Invest I Asian Bonds 9

Deutsche Invest I Asian Equities Unconstrained 10

Deutsche Invest I Asian Small/Mid Cap 11

Deutsche Invest I Brazilian Equities 12

Deutsche Invest I China Bonds 13

Deutsche Invest I Chinese Equities 14

Deutsche Invest I Convertibles 15

Deutsche Invest I Corporate Hybrid Bonds 16

Deutsche Invest I CROCI Flexible Allocation 17

Deutsche Invest I CROCI Sectors 18

Deutsche Invest I Emerging Markets Corporates 19

Deutsche Invest I Emerging Markets IG Sovereign Debt 20

Deutsche Invest I Emerging Markets Satellites 21

Deutsche Invest I Emerging Markets Sovereign Debt 22

Deutsche Invest I Emerging Markets Top Dividend 23

Deutsche Invest I Euro Bonds (Premium) 24

Deutsche Invest I Euro Bonds (Short) 25

Deutsche Invest I Euro Corporate Bonds 26

Deutsche Invest I Euro High Yield Corporates 27

Deutsche Invest I Euro-Gov Bonds 28

Deutsche Invest I European Small Cap 29

Deutsche Invest I Financial Hybrid Bonds 30

Deutsche Invest I German Equities 31

Deutsche Invest I Global Agribusiness 32

Deutsche Invest I Global Bonds 33

Deutsche Invest I Global Bonds Dynamic Plus 34

Deutsche Invest I Global Commodities Blend 35

Deutsche Invest I Global Corporate Bonds 36

Deutsche Invest I Global Emerging Markets Equities 37

Deutsche Invest I Global Infrastructure 38

Deutsche Invest I Global Real Estate Securities 39

Deutsche Invest I Global Short Duration

(formerly: Deutsche Invest I Global Bonds (Short)) 40

2016

2

Deutsche Invest I Global Thematic 41

Deutsche Invest I Gold and Precious Metals Equities 42

Deutsche Invest I Latin American Equities 43

Deutsche Invest I Liquidity Fund 44

Deutsche Invest I Multi Asset Balance 45

Deutsche Invest I Multi Asset Defensive 46

Deutsche Invest I Multi Asset Dynamic 47

Deutsche Invest I Multi Asset Income 48

Deutsche Invest I Multi Asset Total Return 49

Deutsche Invest I Multi Credit 50

Deutsche Invest I Multi Opportunities 51

Deutsche Invest I New Resources 52

Deutsche Invest I Nomura Japan Growth 53

Deutsche Invest I Quant Equity Low Volatility World 54

Deutsche Invest I Real Assets Income 55

Deutsche Invest I Senior Secured High Yield Corporates 56

Deutsche Invest I Short Duration Credit 57

Deutsche Invest I Top Asia 58

Deutsche Invest I Top Dividend 59

Deutsche Invest I Top Euroland 60

Deutsche Invest I Top Europe 61

Deutsche Invest I USD Corporate Bonds 62

Semiannual financial statements 64

3

General information

The funds described in this report

are sub-funds of a SICAV (Société

d’Investissement à Capital Variable)

incorporated under Luxembourg law.

Performance

The investment return, or performance,

of a mutual fund investment is meas

ured by the change in value of the

fund’s shares. The net asset values per

share (= redemption prices) with the

addition of intervening distributions,

which are, for example, reinvested

free of charge within the scope of

investment accounts at Deutsche

Asset Management S.A., are used

as the basis for calculating the value.

Past performance is not a guide to

future results.

The corresponding benchmarks – if

available – are also presented in the

report. All financial data in this publi

cation is as of June 30, 2016 (unless

otherwise stated).

Sales prospectuses

Fund shares are purchased on the

basis of the current sales prospectus,

the key investor information document

and the articles of incorporation and

bylaws of the SICAV, in combination

with the latest audited annual report

and any semiannual report that is more

recent than the latest annual report.

Issue and redemption prices

The current issue and redemption

prices and all other information for

shareholders may be requested at any

time at the registered office of the

Management Company and from the

paying agents. In addition, the issue

and redemption prices are published in

every country of distribution through

appropriate media (such as the

Internet, electronic information

systems, newspapers, etc.).

The following companies were renamed effective March 17, 2016:

Deutsche Asset & Wealth Management Investment GmbH became Deutsche Asset Management Investment GmbHDeutsche Asset & Wealth Management International GmbH became Deutsche Asset Management International GmbHDeutsche Asset & Wealth Management Investment S.A. became Deutsche Asset Management S.A.

4

Renaming of sub-funds

The sub-fund Deutsche Invest I Global Bonds (Short) was renamed Deutsche Invest I Global Short Duration effective March 31, 2016.

Liquidations of share classes

The FCH (P) share class for the sub-fund Deutsche Invest I Global Agribusiness was closed effective May 27, 2016, following a resolution to that effect by the Management Board of Deutsche Asset Management S.A. authorized by the Board of Directors.

The FCH (P) share class for the sub-fund Deutsche Invest I Global Thematic was closed effective May 29, 2016, following a resolution to that effect by the Management Board of Deutsche Asset Management S.A. authorized by the Board of Directors.

Renaming of share classes

The share class GBP RD of the sub-fund Deutsche Invest I Africa was renamed GBP D RD effective March 31, 2016.

The share class GBP RD of the sub-fund Deutsche Invest I Chinese Equities was renamed GBP D RD effective March 31, 2016.

The share class GBP RDH of the sub-fund Deutsche Invest I Convertibles was renamed GBP DH RD effective March 31, 2016.

The share class GBP RD of the sub-fund Deutsche Invest I Global Agribusiness was renamed GBP D RD effective March 31, 2016.

The share class FCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed FC effective March 31, 2016.

The share class LDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed LD effective March 31, 2016.

The share class PFCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed PFC effective March 31, 2016.

The share class PFDQH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed PFDQ effective March 31, 2016.

The share class LCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed LC effective March 31, 2016.

The share class NCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed NC effective March 31, 2016.

The share class GBP IDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed GBP IDH effective March 31, 2016.

The share class GBP DH (P) RD of the sub-fund Deutsche Invest I Global Bonds was renamed GBP DH RD effective March 31, 2016.

The share class GBP CH (P) RD of the sub-fund Deutsche Invest I Global Bonds was renamed GBP CH RD effective March 31, 2016.

The share class CHF ICH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed CHF ICH effective March 31, 2016.

The share class USD LCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed USD LCH effective March 31, 2016.

The share class USD FCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed USD FCH effective March 31, 2016.

The share class ICH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed IC effective March 31, 2016.

The share class CHF FCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed CHF FCH effective March 31, 2016.

The share class CHF FDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed CHF FDH effective March 31, 2016.

The share class CHF LCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed CHF LCH effective March 31, 2016.

The share class CHF LDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed CHF LDH effective March 31, 2016.

5

The share class FDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed FD effective March 31, 2016.

The share class IDH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed ID effective March 31, 2016.

The share class SEK FCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed SEK FCH effective March 31, 2016.

The share class SEK LCH (P) of the sub-fund Deutsche Invest I Global Bonds was renamed SEK LCH effective March 31, 2016.

The share class GBP RD of the sub-fund Deutsche Invest I Global Thematic was renamed GBP D RD effective March 31, 2016.

The share class GBP RD of the sub-fund Deutsche Invest I Top Asia was renamed GBP D RD effective March 31, 2016.

The share class GBP RD of the sub-fund Deutsche Invest I Top Dividend was renamed GBP D RD effective March 31, 2016.

The share class GBP RD of the sub-fund Deutsche Invest I Top Euroland was renamed GBP D RD effective March 31, 2016.

The share class GBP RDH of the sub-fund Deutsche Invest I Top Euroland was renamed GBP DH RD effective March 31, 2016.

Semiannual report

8

Deutsche Invest I Africa

Deutsche Invest I Africa Performance of share classes (in euro)

Share class ISIN 6 months

Class LC LU0329759764 1.6%

Class FC LU0329759921 2.1%

Class LD LU0363465583 1.6%

Class NC LU0329759848 1.2%

Class GBP D RD1 LU0399357671 14.6%

Class USD LC2 LU0329761075 3.4%1 in GBP

2 in USD

“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016

9

Deutsche Invest I Asian Bonds

Deutsche Invest I Asian Bonds Performance of share classes vs. benchmark (in USD)


Class USD FC LU0813325502 11.6%

Class FCH1 LU0813324794 10.9%

JP Morgan Asian Credit Index 6.6%1 in EUR


10

Deutsche Invest I Asian Equities Unconstrained

Deutsche Invest I Asian Equities Unconstrained Performance of share classes vs. benchmark (in euro)


Class LC LU0544569055 -4.2%

Class FC LU0544569303 -3.8%

Class LD LU0544569139 -4.2%

MSCI AC Asia ex Japan EUR Net Index since March 16, 2015 (previously: MSCI AC Asia ex Japan) 0.7%


11

Deutsche Invest I Asian Small/Mid Cap

Deutsche Invest I Asian Small/Mid Cap Performance of share classes vs. benchmark (in euro)


Class LC LU0236153390 -0.9%

Class FC LU0236154950 -0.5%

Class LD LU0236153556 -0.9%

Class LS LU0254485450 -0.9%

Class NC LU0236154448 -1.3%

Class GBP C RD1 LU0982753047 2.9%3

Class USD FC2 LU0273175025 1.3%

Class USD LC2 LU0273161744 0.9%

MSCI AC Asia ex Japan Small Cap since April 12, 2012 (in euro) (previously: -3.1% FTSE Asia Pacific SmallCap ex Japan (Euro))1 in GBP

2 in USD 3 Launched on March 31, 2016


12

Deutsche Invest I Brazilian Equities

Deutsche Invest I Brazilian Equities Performance of share classes vs. benchmark (in euro)


Class LC LU0616856935 44.6%

Class FC LU0616857586 45.3%

Class NC LU0616857313 44.1%

MSCI Brazil 10/40 in EUR 46.7%“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016

13

Deutsche Invest I China Bonds

Deutsche Invest I China Bonds Performance of share classes (in USD)


Class LCH1 LU0632805262 2.0%

Class FCH1 LU0632808951 2.2%

Class FDH1 LU0740831374 2.2%

Class IDH1 LU0982747312 2.4%

Class LDH1 LU0740830996 2.0%

Class NC1 LU0616855887 0.6%

Class NCH1 LU0740831614 1.8%

Class NDH1 LU0740832000 1.8%

Class PFCH1 LU1054325854 1.8%

Class PFDQH1 LU1054325938 1.7%

Class CHF FCH2 LU0813328357 1.8%

Class CHF LCH2 LU0813327896 1.7%

Class RMB FC3 LU0813328860 4.4%

Class RMB LC3 LU0813328787 4.1%

Class SEK FCH4 LU1322112480 2.0%

Class SEK LCH4 LU1322112563 1.8%

Class USD FC LU0616856778 2.9%

Class USD FCH (P) LU1322112647 2.3%

Class USD LC LU0616856422 2.6%

Class USD LCH (P) LU1360450164 2.8%5

Class USD LDH (P) LU1322112720 2.0%

Class USD LDMH (P) LU1322112993 2.0%1 in EUR

2 in CHF 3 in CNY 4 in SEK 5 Launched on February 29, 2016


14

Deutsche Invest I Chinese Equities

Deutsche Invest I Chinese Equities Performance of share classes vs. benchmark (in euro)


Class LC LU0273157635 -8.2%

Class FC LU0273146190 -7.9%

Class NC LU0273145622 -8.6%

Class GBP D RD1 LU0333022746 3.2%

Class USD FC2 LU0273176932 -6.3%

Class USD LC2 LU0273164177 -6.7%

MSCI China 10/40 (in euro) -6.5%1 in GBP 2 in USD


15

Deutsche Invest I Convertibles

Deutsche Invest I Convertibles Performance of share classes (in euro)


Class LC LU0179219752 -4.9%

Class FC LU0179220412 -4.7%

Class FC (CE) LU0740833669 -3.5%

Class FD LU0616868518 -4.7%

Class LC (CE) LU0740833404 -3.6%

Class LD LU0179219919 -4.9%

Class NC LU0179220255 -5.1%

Class PFC LU1054326076 -5.3%

Class RC LU1371981348 -1.6%5

Class CHF FCH1 LU0616868195 -5.0%

Class CHF LCH1 LU0616867890 -5.2%

Class CHF RCH1 LU1414757382 -0.7%6

Class GBP DH RD2 LU0399358133 -4.4%

Class SEK FCH3 LU1282658647 -5.0%

Class SEK LCH3 LU1282658720 -5.2%

Class USD FCH4 LU0273179522 -4.2%

Class USD LCH4 LU0273170141 -4.5%1 in CHF 2 in GBP 3 in SEK

4 in USD 5 Launched on March 30, 2016 6 Launched on June 15, 2016


16

Deutsche Invest I Corporate Hybrid Bonds

Deutsche Invest I Corporate Hybrid Bonds Performance of share classes (in euro)


Class LC LU1245923484 4.0%

Class FC LU1245923302 4.1%

Class LD LU1245923641 4.0%

Class XC LU1292896948 4.4%

Class XD LU1292897086 4.4%


Class CHF LCH1 LU1292896609 3.7%

Class USD FCH2 LU1292896781 4.7%

Class USD LCH2 LU1292896864 4.5%1 in CHF 2 in USD


17

Deutsche Invest I CROCI Flexible Allocation

Deutsche Invest I CROCI Flexible Allocation Performance of share classes (in euro)


Class LC LU1278916991 -1.1%

Class FC LU1278916728 -0.8%

Class LCH (P) LU1308296513 -1.0%

Class NC LU1278917023 -1.4%

Class XC LU1308296943 -0.9%

Class USD LC1 LU1278917296 0.7%

Class USD LCH (P)1 LU1308296786 -0.5%1 in USD


18

Deutsche Invest I CROCI Sectors

Deutsche Invest I CROCI Sectors Performance of share classes (in euro)


Class LC LU1278917452 -2.7%

Class FC LU1278917379 -2.3%

Class NC LU1278917536 -3.1%

Class XC LU1308283701 -2.1%


19

Deutsche Invest I Emerging Markets Corporates

Deutsche Invest I Emerging Markets Corporates Performance of share classes vs. benchmark (in USD)




Class USD ID LU1054326746 10.0%

Class USD LD LU0273170653 9.6%

Class USD LDM LU0544572273 9.6%


Class FCH2 LU0507270097 9.3%

Class LC (BRIC)2 LU0616861935 20.2%

Class LCH2 LU0436052673 9.0%

Class LDH2 LU0507269834 8.9%

Class NCH2 LU0436053051 8.7%

Class ND2 LU1054326233 7.5%

Class NDH2 LU0544572190 8.8%

Class PFCH2 LU1054327124 8.8%

Class PFDQH2 LU1054327397 8.7%



Class SGD LDMH4 LU0911034782 9.9%

JPM CEMBI 9.1%1 in CHF 2 in EUR 3 in SEK 4 in SGD


20

Deutsche Invest I Emerging Markets IG Sovereign Debt

Deutsche Invest I Emerging Markets IG Sovereign Debt Performance of share classes (in euro)


Class IDH LU0982740572 9.6%

Class LDH LU0982740143 9.9%1 1 Launched on January 14, 2016


21

Deutsche Invest I Emerging Markets Satellites

Deutsche Invest I Emerging Markets Satellites Performance of share classes vs. benchmark (in euro)


Class LC LU0616852603 6.3%

Class FC LU0616853247 6.7%

Class LD LU0616852868 6.3%

Class NC LU0616853080 5.9%

Class SGD LC1 LU0813332623 3.0%

MSCI Frontier Emerging Markets since March 31, 2016, previously: MSCI Emerging Markets Daily Net EUR 7.5% since March 16, 2015 (previously: MSCI EM+FM ex Selected Countries Capped index)1 in SGD


22

Deutsche Invest I Emerging Markets Sovereign Debt

Deutsche Invest I Emerging Markets Sovereign Debt Performance of share classes vs. benchmark (in USD)


Class USD IC LU0982741976 11.3%

Class IDH1 LU0982741547 10.6%

Class LDH1 LU0982741208 10.2%

JPM EMBI Global Diversified 10.3%1 in EUR


23

Deutsche Invest I Emerging Markets Top Dividend

Deutsche Invest I Emerging Markets Top Dividend Performance of share classes (in euro)


Class LC LU0329760002 3.4%

Class FC LU0329760267 3.8%

Class LD LU0363468686 3.4%

Class NC LU0329760184 3.1%

Class PFC LU1054329336 2.9%

Class PFD LU1054329419 2.8%

Class USD FC1 LU0329761406 5.7%

Class USD LC1 LU0329761232 5.3%

Class USD LDQ1 LU0911034865 5.3%1 in USD


24

Deutsche Invest I Euro Bonds (Premium)

Deutsche Invest I Euro Bonds (Premium) Performance of share classes (in euro)


Class LC LU0254489874 1.8%

Class FC LU0254490534 2.0%

Class LD LU0254491003 1.8%

Class NC LU0254489106 1.6%“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016

25

Deutsche Invest I Euro Bonds (Short)

Deutsche Invest I Euro Bonds (Short) Performance of share classes vs. benchmark (in euro)


Class LC LU0145655824 1.0%

Class FC LU0145657366 1.2%

Class LD LU0145656475 1.0%

Class NC LU0145656715 0.7%

Class PFC LU1054330268 0.6%

Class PFDQ LU1054330342 0.7%

Class SEK FCH1 LU1333039870 1.2%2

Class SEK LCH1 LU1333039953 1.0%2

iBoxx € Overall 1-3Y 0.5%1 in SEK 2 Launched on January 14, 2016


26

Deutsche Invest I Euro Corporate Bonds

Deutsche Invest I Euro Corporate Bonds Performance of share classes vs. benchmark (in euro)


Class LC LU0300357554 4.3%

Class FC LU0300357802 4.5%

Class IC LU0982748476 4.6%

Class LD LU0441433728 4.3%

Class NC LU0300357638 4.1%

Class PFC LU1054330854 4.0%

Class PFDQ LU1054330938 4.0%

Class GBP CH RD1 LU1322113371 4.9%



iBoxx € Corporates 4.1%1 in GBP

2 in SEK


27

Deutsche Invest I Euro High Yield Corporates

Deutsche Invest I Euro High Yield Corporates Performance of share classes vs. benchmark (in euro)


Class LC LU0616839501 5.0%

Class FC LU0616840772 5.2%

Class FD LU0813334322 5.2%

Class LD LU0616839766 5.0%

Class NC LU0616840186 4.8%

Class ND LU0616840426 4.8%

Class PFC LU1054332470 4.7%

Class PFDQ LU1054332553 4.6%

Class CHF FCH1 LU1426784200 -0.3%4




Class USD LCH3 LU0911036308 5.5%

Class USD LDMH3 LU0616840939 5.5%

ML Euro BB-B Non-Financial Fixed & FRN HY Constr. Index 4.3%1 in CHF

2 in SEK

3 in USD 4 Launched on June 15, 2016


28

Deutsche Invest I Euro-Gov Bonds

Deutsche Invest I Euro-Gov Bonds Performance of share classes vs. benchmark (in euro)


Class LC LU0145652052 5.4%

Class FC LU0145654009 5.5%

Class IC LU1370690676 3.1%1

Class LD LU0145652300 5.4%

Class NC LU0145652649 5.0%

iBoxx Sovereign Eurozone Overall 5.6%1 Launched on March 15, 2016


29

Deutsche Invest I European Small Cap

Deutsche Invest I European Small Cap Performance of share classes vs. benchmark (in euro)


Class LC LU0236146774 -12.1%

Class FC LU0236150610 -11.7%

Class ID LU0435837868 -11.7%

Class LD LU0236146857 -12.1%

Class NC LU0236147079 -12.4%

STOXX Europe Small 200 since May 27, 2013 (previously: 50% STOXX Europe Mid 200, -10.7% 50% STOXX Europe Small 200) “BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016

30

Deutsche Invest I Financial Hybrid Bonds

Deutsche Invest I Financial Hybrid Bonds Performance of share classes (in euro)


Class FC LU1318737514 -4.7%

Class FD LU1322112308 -4.7%

Class IC LU1318737787 -4.5%“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016

31

Deutsche Invest I German Equities

Deutsche Invest I German Equities Performance of share classes vs. benchmark (in euro)


Class LC LU0740822621 -12.7%

Class FC LU0740823785 -12.4%

Class LD LU0740822977 -12.7%

Class NC LU0740823439 -13.0%

Class PFC LU1054333015 -13.4%

Class GBP CH RD1 LU1054332983 -13.0%

Class USD FCH2 LU0911036993 -12.0%

Class USD LC2 LU0740824916 -11.1%

Class USD LCH2 LU0911036720 -12.4%

CDAX -8.8%1 in GBP

2 in USD


32

Deutsche Invest I Global Agribusiness

Deutsche Invest I Global Agribusiness Performance of share classes (in USD)


Class LC1 LU0273158872 -4.9%

Class FC1 LU0273147834 -4.5%

Class FCH (P)1 LU0813334751 -13.2%3

Class LD1 LU0363470070 -4.9%

Class NC1 LU0273147594 -5.2%

Class PFC1 LU1054333528 -5.5%

Class GBP LD DS2 LU0329762636 6.8%

Class GBP D RD2 LU0435837942 7.2%

Class USD FC LU0273177401 -2.8%

Class USD IC LU1203060063 -2.7%

Class USD JD LU0300358362 -2.8%

Class USD LC LU0273164847 -3.2%1 in EUR 2 in GBP 3 Since the beginning of the shortened fiscal year / Liquidation date on May 27, 2016 / Last share price calculation on

January 25, 2016


Liquidation proceeds for the share classes (in euro)

Share class ISIN Liquidation proceeds per share

Class FCH (P) LU0813334751 73.18

33

Deutsche Invest I Global Bonds

Deutsche Invest I Global Bonds Performance of share classes (in euro)


Class LC LU0616844923 0.0%

Class FC LU0616846035 0.2%

Class FD LU1054334179 0.2%

Class IC LU1054333791 0.3%

Class ID LU1054333874 0.3%

Class LD LU0616845144 0.0%

Class NC LU0616845490 -0.3%

Class PFC LU1054334252 -0.4%

Class PFDQ LU1054334336 -0.4%

Class CHF FCH1 LU1054335655 -0.2%

Class CHF FDH1 LU1054335739 -0.1%

Class CHF ICH1 LU1054335499 0.0%

Class CHF LCH1 LU1054335812 -0.3%

Class CHF LDH1 LU1054335903 -0.3%


Class GBP DH RD2 LU1054335226 0.6%

Class GBP IDH2 LU1054335069 0.6%


Class SEK LCH3 LU1281067741 -0.1%


Class USD LCH4 LU1054334849 0.5%1 in CHF 2 in GBP 3 in SEK 4 in USD


34

Deutsche Invest I Global Bonds Dynamic Plus

Deutsche Invest I Global Bonds Dynamic Plus Performance of share classes (in euro)


Class FC LU0616844766 0.1%

Class FD LU1264174118 0.2%

Class LC LU0616843958 -0.1%

Class LD LU0616844170 -0.1%

Class NC LU0616844337 -0.5%

Class ND LU1272329464 -0.5%

Class CHF FCH1 LU1272328656 -0.2%

Class CHF LCH1 LU1272328813 -0.4%1 in CHF


35

Deutsche Invest I Global Commodities Blend

Deutsche Invest I Global Commodities Blend Performance of share classes vs. benchmark (in euro)


Class LC LU0982743675 7.9%

Class FC LU0982743832 8.3%

Class NC LU0982743758 7.6%

Class USD FC1 LU1205724070 10.3%

Class USD LC1 LU1205730390 9.8%

Bloomberg Commodity Index Total Return 12.1% 1 in USD


36

Deutsche Invest I Global Corporate Bonds

Deutsche Invest I Global Corporate Bonds Performance of share classes vs. benchmark (in euro)


Class FC LU0982744301 6.1%

Class FD LU0982744483 6.1%

Class ID LU1054336893 6.3%

Barclays Global Aggregate Corporate (hedged EUR) since August 17, 2015. Previously: Barclays Capital Global Aggregate 6.0% Credit-hedged (EUR) “BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016

37

Deutsche Invest I Global Emerging Markets Equities

Deutsche Invest I Global Emerging Markets Equities Performance of share classes vs. benchmark (in euro)


Class LC LU0210301635 2.4%

Class FC LU0210302369 2.8%

Class LD LU0210302013 2.4%

Class NC LU0210302286 2.1%

Class PFC LU1054337511 1.9%

Class USD FC1 LU0273227354 4.7%

Class USD LC1 LU0273227784 3.9%

MSCI Emerging Markets since May 27, 2013 (previously: MSCI BRIC) 4.9%

1 in USD


38

Deutsche Invest I Global Infrastructure

Deutsche Invest I Global Infrastructure Performance of share classes vs. benchmark (in euro)


Class LC LU0329760770 10.6%

Class FC LU0329760937 11.1%

Class FCH (P) LU0813335303 12.7%

Class FD LU1222730084 11.1%

Class FDH (P) LU1222730241 12.7%

Class IDH (P) LU1217772315 12.8%

Class LD LU0363470237 10.6%

Class LDH (P) LU1277647191 12.3%

Class NC LU0329760853 10.3%

Class CHF FDH (P)1 LU1277646979 12.6%

Class CHF LCH1 LU0616865175 10.4%

Class GBP RD2 LU1054338162 24.5%

Class GBP DH (P) RD2 LU1222731132 12.9%

Class SEK FCH (P)3 LU1278214884 12.4%

Class SEK LCH (P)3 LU1278222390 11.9%

Class SGD LDMH (P)4 LU1054338089 12.8%

Class USD FC5 LU0329761745 13.0%

Class USD FDM5 LU1277647274 13.1%

Class USD ID5 LU1277647357 13.2%

Class USD LC5 LU0329761661 12.6%

Class USD LCH (P)5 LU1222731306 12.8%

Class USD LD5 LU1277647431 12.6%

Class USD LDMH (P)5 LU1225178372 12.9%

DJ Brookfield Global Infrastructure since November 29, 2013 13.8% (previously: UBS Developed Infrastructure & Utilities)1 in CHF 2 in GBP 3 in SEK 4 in SGD 5 in USD


39

Deutsche Invest I Global Real Estate Securities

Deutsche Invest I Global Real Estate Securities Performance of share classes (in USD)




Class USD LDMH (P) LU1316036653 4.8%

Class CHF LDH (P)1 LU1212621004 3.2%

Class FDH (P)2 LU1316036224 3.7%

Class LD2 LU0507268513 4.1%

Class GBP DH (P) RD3 LU1316036497 4.2%

Class SEK FCH (P)4 LU1316036570 3.6%1 in CHF

2 in EUR 3 in GBP 4 in SEK


40

Deutsche Invest I Global Short Duration(formerly: Deutsche Invest I Global Bonds (Short))

Deutsche Invest I Global Short Duration Performance of share classes vs. benchmark (in USD)




Class FCH1 LU1189352500 1.3%

Class LCH1 LU1189343186 1.2%

Class NCH1 LU1189343772 0.9%

Barclays Global Aggregate 1-3 Y 1.3% 1 in EUR


41

Deutsche Invest I Global Thematic

Liquidation proceeds for the share classes (in GBP)

Share class ISIN Liquidation proceeds per share

Class GBP FC LU0363470583 147.41

Deutsche Invest I Global Thematic Performance of share classes vs. benchmark (in USD)


Class USD FC LU0273177237 -3.5%

Class USD LC LU0273164680 -4.0%

Class LC1 LU0273158526 -5.7%

Class FC1 LU0273147164 -5.4%

Class NC1 LU0298697664 -6.0%

Class GBP FC2 LU0363470583 – 3

Class GBP D RD2) LU0507270337 6.4%

MSCI World 0.2%

1 in EUR 2 in GBP 3 Liquidation date May 19, 2016 / Last share price calculation on December 17, 2015


42

Deutsche Invest I Gold and Precious Metals Equities

Deutsche Invest I Gold and Precious Metals Equities Performance of share classes (in USD)


Class USD FC LU0273177823 94.3%

Class USD LC LU0273165570 93.5%

Class FC1 LU0273148212 90.4%

Class LC1 LU0273159177 90.0%

Class LD1 LU0363470401 90.0%

Class NC1 LU0273148055 89.2%1 in EUR


43

Deutsche Invest I Latin American Equities

Deutsche Invest I Latin American Equities Performance of share classes vs. benchmark (in euro)


Class LC LU0399356780 27.8%

Class FC LU0399356863 28.4%

Class NC LU0813337002 27.3%

Class USD LC1 LU0813337184 30.7%

MSCI EM Latin America 10/40 Index 24.1%1 in USD


44

Deutsche Invest I Liquidity Fund

Deutsche Invest I Liquidity Fund Performance of share classes (in euro)


Class NC LU0416134160 -0.1%

Class FC LU0416134327 -0.1%

Class ND LU0416134244 -0.1%


Class USD LDH1 LU0740835797 0.4%1 in USD


45

Deutsche Invest I Multi Asset Balance

Deutsche Invest I Multi Asset Balance Performance of share classes (in euro)


Class LC LU0544571200 -2.8%

Class FC LU1054338832 -2.4%

Class NC LU1054338758 -3.0%“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2016

46

Deutsche Invest I Multi Asset Defensive

Deutsche Invest I Multi Asset Defensive Performance of share classes (in euro)


Class LC LU1054319964 -0.9%

Class FD LU1303742552 -0.5%

Class LD LU1054320038 -0.9%

Class NC LU1054320111 -1.1%

Class PFC LU1217771937 2.4%1

1 Launched on February 15, 2016


47

Deutsche Invest I Multi Asset Dynamic

Deutsche Invest I Multi Asset Dynamic Performance of share classes (in euro)


Class LC LU1054320384 -5.9%

Class LD LU1054320467 -5.9%

Class NC LU1054320541 -6.1%


48

Deutsche Invest I Multi Asset Income

Deutsche Invest I Multi Asset Income Performance of share classes (in euro)


Class LD LU1054320970 -2.3%

Class FC LU1186220148 -2.0%

Class LC LU1054320897 -2.3%

Class NC LU1186218753 -2.4%

Class ND LU1054321192 -2.4%

Class PFD LU1217772232 3.0%1

1) Launched on January 19, 2016


49

Deutsche Invest I Multi Asset Total Return

Deutsche Invest I Multi Asset Total Return Performance of share classes (in euro)


Class LC LU0544571895 -8.0%

Class FC LU1254146720 -7.6%

Class NC LU1054338915 -8.1%

Class RD LU1254146993 -7.9%

Class USD RDH1 LU1267926977 -7.4%1 in USD


50

Deutsche Invest I Multi Credit

Deutsche Invest I Multi Credit Performance of share classes (in USD)




Class FCH1 LU1249492031 4.5%

Class LDH1 LU1249492114 4.3%1) in EUR


51

Deutsche Invest I Multi Opportunities

Deutsche Invest I Multi Opportunities Performance of share classes (in euro)


Class LC LU1054321358 1.1%

Class FC LU1054322166 1.4%

Class FD LU1254146480 1.4%

Class LD LU1254146563 1.2%

Class LDQ LU1054321515 1.1%

Class NC LU1054321606 0.9%

Class NDQ LU1054321861 0.9%

Class PFC LU1054321945 0.7%

Class PFDQ LU1054322083 0.7%

Class AUD LCH2 LU1196385774 1.9%

Class AUD LDMH2 LU1254146217 1.9%


Class RMB LDMH4 LU1289539220 3.6%


Class HKD LDMH6 LU1230072123 1.3%



Class SGD LDMH8 LU1196386152 1.6%



Class USD LDMH9 LU1254146647 1.6%

Class USD RDMH9 LU1433454672 0.0%1

1 Launched on June 30, 2016 2 in AUD 3 in CHF 4 in CNY 5 in GBP 6 in HKD 7 in SEK 8 in SGD 9 in USD


52

Deutsche Invest I New Resources

Deutsche Invest I New Resources Performance of share classes (in euro)


Class LC LU0237014641 -5.3%

Class FC LU0237015887 -4.9%

Class LD LU0237015291 -5.3%

Class NC LU0237015457 -5.6%

Class USD FC1 LU0273228162 -3.2%

Class USD LC1 LU0273227941 -3.6%1 in USD


53

Deutsche Invest I Nomura Japan Growth

Deutsche Invest I Nomura Japan Growth Performance of share classes (in euro)


Class MFCH LU1218760608 -14.8%

Class FCH LU1302557449 -15.0%

Class JPY FC2 LU1342482384 -6.0%1

1 Launched on January 29, 2016 2 in JPY


54

Deutsche Invest I Quant Equity Low Volatility World

Deutsche Invest I Quant Equity Low Volatility World Performance of share classes (in euro)


Class LC LU1230072479 5.0%

Class FC LU1230072396 5.4%

Class FC EB LU1236797764 5.6%

Class FCH (P) EB LU1236813124 5.4%

Class FD LU1342482624 8.2%1

Class LD LU1230072552 5.0%

Class ND LU1230072636 4.6%

Class USD LC2 LU1230072719 6.9%1 Launched on January 29, 2016 2 in USD


55

Deutsche Invest I Real Assets Income

Deutsche Invest I Real Assets Income Performance of share classes (in euro)


Class LD LU1279614413 9.4%

Class LDH (P) LU1279614504 9.4%

Class LDQ LU1279614686 9.4%

Class XD LU1279614926 10.1%

Class USD LD1 LU1279614769 12.0%

Class USD XD1 LU1279614843 12.0%1 in USD


56

Deutsche Invest I Senior Secured High Yield Corporates

Deutsche Invest I Senior Secured High Yield Corporates Performance of share classes vs. benchmark (in euro)


Class FC LU0982745456 3.5%

Class FD LU0982745530 4.2%1

Class ID LU0982745613 3.6%

Class LD LU0982745373 4.0%1

3M EURIBOR -0.1%1) Launched on January 14, 2016


57

Deutsche Invest I Short Duration Credit

Deutsche Invest I Short Duration Credit Performance of share classes vs. benchmark (in euro)


Class LC LU0236145453 2.0%

Class FC LU0236146428 2.1%

Class LD LU0507269321 2.0%

Class NC LU0236146006 1.7%

iBoxx Euro Corporates 1-3Y since August 16, 2011 1.0%


58

Deutsche Invest I Top Asia

Deutsche Invest I Top Asia Performance of share classes vs. benchmark (in euro)


Class LC LU0145648290 -2.7%

Class FC LU0145649181 -2.3%

Class LD LU0145648456 -2.7%

Class NC LU0145648886 -3.0%

Class GBP D RD1 LU0399358562 9.7%

Class USD FC2 LU0273174648 -0.6%

Class USD LC2 LU0273161231 0.2%

50% MSCI AC Far East, 50% MSCI AC Far East ex Japan -0.9%

1 in GBP 2 in USD


59

Deutsche Invest I Top Dividend

Deutsche Invest I Top Dividend Performance of share classes (in euro)


Class LC LU0507265923 3.6%

Class FC LU0507266228 4.0%

Class FD LU0740838205 4.0%

Class ID LU0616863808 4.1%

Class IDH (P) LU0911039310 4.4%

Class LD LU0507266061 3.6%

Class NC LU0507266145 3.2%

Class ND LU0544572786 3.2%

Class PFC LU1054340812 3.1%

Class PFD LU1054340903 3.0%

Class CHF FCH (P)1 LU0616864285 3.9%

Class CHF LCH (P)1 LU0616864012 3.5%

Class GBP C RD2 LU1263963255 16.8%

Class GBP LD DS2 LU0511520347 16.4%

Class GBP LDMH (P)2 LU1279615063 4.0%

Class GBP RD2 LU0911038932 16.8%

Class SEK FCH (P)3 LU1282658993 3.8%

Class SEK LCH (P)3 LU1282659025 3.4%

Class SGD LC4 LU0740838460 0.4%

Class SGD LCH (P)4 LU0740838544 4.4%

Class SGD LDQ4 LU0616864442 0.4%

Class SGD LDQH (P)4 LU0911038858 4.4%

Class USD FC5 LU0507266574 5.8%

Class USD FCH (P)5 LU0813338588 0.0%6

Class USD LC5 LU0507266491 5.5%

Class USD LCH (P)5 LU0544572604 4.3%

Class USD LDH (P)5 LU0740838031 4.3%

Class USD LDM5 LU0911038429 5.4%

Class USD LDQ5 LU0911038775 5.4%1 in CHF

2 in GBP 3 in SEK 4 in SGD 5 in USD 6 Launched on June 30, 2016


60

Deutsche Invest I Top Euroland

Deutsche Invest I Top Euroland Performance of share classes vs. benchmark (in euro)


Class LC LU0145644893 -14.9%

Class FC LU0145647722 -14.6%

Class FD LU0740840441 -14.6%

Class IC LU0616864954 -14.5%

Class LD LU0145647052 -14.9%

Class NC LU0145647300 -15.2%

Class PFC LU1054342354 -15.7%

Class GBP D RD1 LU0911039740 -4.6%

Class GBP DH RD1 LU1054342438 -15.2%

Class SGD LCH (P)2 LU1054341976 -14.6%

Class USD FCH3 LU0911039666 -14.1%

Class USD LCH3 LU0986127263 -14.4%

EURO STOXX 50 -10.8%1 in GBP

2 in SGD

3 in USD


61

Deutsche Invest I Top Europe

Deutsche Invest I Top Europe Performance of share classes vs. benchmark (in euro)


Class LC LU0145634076 -10.2%

Class FC LU0145635479 -9.9%

Class LD LU0145634662 -10.2%

Class NC LU0145635123 -10.6%

Class USD LC1 LU0273160340 -8.7%

MSCI Europe EUR -7.2%1 in USD


62

Deutsche Invest I USD Corporate Bonds

Deutsche Invest I USD Corporate Bonds Performance of share classes (in USD)

Share class ISIN Since inception*




Class USD XC LU1333038989 6.9%

Class FCH1 LU1333038393 6.1%

Class LCH1 LU1333038476 5.8%

Class LDH1 LU1333038559 5.8%

Class XCH1 LU1333039011 6.4% * Launched on January 15, 2016 1 in EUR


Semiannual financial statements

The format used for complete dates

in securities descriptions in the invest-

ment portfolio is “day/month/year”.

64

Securities traded on an exchange 67 547 208.72 85.08 Equities Choppies Enterprises Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 250 000 250 000 BWP 4 413 574 .54 0 .52Cleopatra Hospital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 424 000 424 000 EGP 10 429 523 .97 0 .54Commercial International Bank Egypt SAE . . . . . . . . . . . . . . . Count 1 000 592 750 EGP 39 .5 4 001 .46 0 .01Edita Food Industries SAE . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 1 000 249 000 EGP 15 3 039 .08 0 .00Egyptian Financial Group-Hermes Holding . . . . . . . . . . . . . . . Count 1 500 000 1 350 000 3 600 000 EGP 10 .57 1 606 156 .25 2 .02EL EZZ Ceramics and Porcelain Co . . . . . . . . . . . . . . . . . . . . . Count 1 726 800 126 800 368 500 EGP 3 .59 627 997 .67 0 .79ElSwedy Electric Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 125 000 100 000 EGP 43 544 502 .67 0 .69Medinet Nasr Housing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 200 000 1 069 650 593 980 EGP 11 .91 1 447 819 .94 1 .82Orascom Construction Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 150 000 150 000 EGP 52 .31 794 872 .60 1 .00Orascom Telecom Media And Technology Holding SAE . . . . Count 7 000 000 19 500 000 12 500 000 EGP 0 .55 390 015 .87 0 .49Oriental Weavers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 400 000 975 000 EGP 5 .24 743 157 .51 0 .94Palm Hills Developments SAE . . . . . . . . . . . . . . . . . . . . . . . . Count 1 050 50 EGP 2 .22 236 .14 0 .00Six of October Development & Investment . . . . . . . . . . . . . . Count 1 000 1 749 000 EGP 10 1 013 .03 0 .00Talaat Moustafa Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 900 000 3 150 000 4 500 000 EGP 4 .88 1 433 637 .55 1 .81Telecom Egypt Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 500 000 1 650 000 2 900 000 EGP 8 .16 1 239 946 .55 1 .56Bollore SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 125 000 350 000 225 000 EUR 3 .046 380 750 .00 0 .48Centamin Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 750 000 1 250 000 GBP 1 .275 1 541 092 .34 1 .94Lekoil Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 750 000 1 250 000 250 000 GBP 0 .188 396 604 .65 0 .50Old Mutual Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 750 000 250 000 800 000 GBP 1 .943 4 109 881 .74 5 .18Petra Diamonds Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 249 000 GBP 1 .15 1 390 .00 0 .00Randgold Resources Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 500 5 000 5 000 GBP 82 .8 3 252 611 .35 4 .10Savannah Petroleum Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 GBP 0 .236 285 555 .34 0 .36SEPLAT Petroleum Development Co . Plc . . . . . . . . . . . . . . . . Count 500 000 500 000 GBP 0 .698 421 534 .08 0 .53Tullow Oil Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 975 000 1 475 000 500 000 GBP 2 .607 3 072 303 .55 3 .87Co-operative Bank of Kenya Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 1 167 KES 16 .2 168 .22 0 .00East African Breweries Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 678 900 1 171 100 KES 276 1 667 231 .10 2 .10Equity Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 000 000 4 999 000 KES 38 .5 1 712 819 .68 2 .16Kenya Commercial Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 500 000 1 250 000 2 250 000 KES 34 2 571 453 .97 3 .24Kenya Electricity Generating Co ., Ltd . . . . . . . . . . . . . . . . . . . Count 26 000 000 26 000 000 KES 7 1 619 393 .16 2 .04Safaricom Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 000 000 4 500 000 KES 17 .5 2 179 952 .32 2 .75Umeme Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 750 000 3 750 000 KES 17 567 232 .49 0 .71Attijariwafa Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 500 2 500 MAD 344 395 534 .05 0 .50Maroc Telecom . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 000 70 000 MAD 118 .75 1 256 165 .54 1 .58Residences Dar Saada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 000 17 500 35 000 MAD 175 402 432 .90 0 .51Cadbury Nigeria Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 162 000 1 338 000 NGN 17 171 017 .38 0 .22Dangote Cement Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 NGN 190 .21 605 .15 0 .00Diamond Bank Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 12 113 901 NGN 2 .25 7 .16 0 .00FBN Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 6 999 000 NGN 3 .88 12 .34 0 .00Flour Mills of Nigeria Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 100 NGN 22 .52 78 .81 0 .00Guaranty Trust Bank Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 NGN 23 .26 74 .00 0 .00International Breweries Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 000 000 2 500 000 NGN 19 .95 253 882 .25 0 .32Nestle Nigeria Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 NGN 850 2 704 .26 0 .00Nigerian Breweries Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 NGN 134 .31 427 .30 0 .00Stanbic IBTC Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 501 000 7 500 000 NGN 16 .2 386 601 .59 0 .49United Bank for Africa Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 751 000 3 750 000 NGN 4 .7 56 088 .57 0 .07Zenith Bank Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 NGN 15 .77 50 .17 0 .00Atlas Mara Co-Nvest Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 245 250 43 501 54 750 USD 3 .925 865 925 .93 1 .09Commercial International Bank Egypt SAE . . . . . . . . . . . . . . . Count 1 750 000 937 500 USD 3 .579 5 634 194 .22 7 .10Ecobank Transnational, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 666 XOF 32 520 .33 0 .00AngloGold Ashanti Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 175 000 137 500 162 500 ZAR 268 .37 2 870 582 .53 3 .62Curro Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 700 000 428 633 ZAR 39 1 668 632 .39 2 .10EOH Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 150 000 150 000 ZAR 138 .86 1 273 111 .50 1 .60FirstRand Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 850 000 600 000 1 250 000 ZAR 44 .98 2 336 879 .93 2 .94Holdsport Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 300 000 170 943 100 000 ZAR 59 .01 1 082 043 .93 1 .36Mondi Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 000 25 000 ZAR 271 .09 414 239 .52 0 .52Naspers Ltd -N- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 57 500 13 750 22 750 ZAR 2 252 .42 7 916 172 .37 9 .97Netcare Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 850 000 850 000 ZAR 31 .09 1 615 242 .27 2 .03Rand Merchant Investment Holdings Ltd . . . . . . . . . . . . . . . . Count 175 000 175 000 ZAR 41 .13 439 941 .35 0 .55Steinhoff International Holding NV . . . . . . . . . . . . . . . . . . . . . Count 475 000 200 000 225 000 ZAR 84 2 438 770 .42 3 .07Telkom SA SOC Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 000 473 371 850 000 ZAR 66 .94 1 636 604 .43 2 .06Transaction Capital Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 000 100 000 ZAR 11 .2 68 456 .71 0 .09Woolworths Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 175 000 175 000 ZAR 84 .21 900 740 .60 1 .14

Securities admitted to or included in organized markets 0.00 0.00 EquitiesFlour Mills 30/09/2015 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 458 NGN 0 0 .00 0 .00

Total securities portfolio 67 547 208.72 85.08 Cash at bank 12 837 097.24 16.17 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 892 168 .84 4 .90 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 359 929 435 046 .29 0 .55

Investment portfolio – June 30, 2016

Count/ Quantity/ Purchases/ Sales/ Currency Market price Total market % ofDescription units/ principal additions disposals value in net currency amount in the reporting period EUR assets


65

Deposits in non-EU/EEA currencies Egyptian pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EGP 72 750 433 7 369 824 .18 9 .28Botswana pula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BWP 161 416 13 351 .48 0 .02Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 2 475 1 714 .74 0 .00Kenyan shilling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KES 5 265 000 46 846 .73 0 .06Moroccan dirham . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MAD 1 022 890 94 090 .19 0 .12Nigerian naira . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NGN 174 563 401 555 370 .30 0 .70South African rand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 7 013 580 428 684 .49 0 .54 Time deposits Other assets 285 629.02 0.36Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 272 954 .04 0 .34Receivables from exceeding the expense cap . . . . . . . . . . . . 12 674 .98 0 .02 Receivables from share certificate transactions 118 750.49 0.15 Total assets 80 788 685.47 101.76 Short-term liabilities -370 701.25 -0.47 Loans in non-EU/EEA currencies U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD -412 090 -370 701 .25 -0 .47 Other liabilities -502 666.88 -0.63Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -158 247 .26 -0 .20Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -344 419 .62 -0 .43 Liabilities from share certificate transactions -519 016.46 -0.66 Total liabilities -1 392 384.59 -1.76 Net assets 79 396 300.88 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 94 .46Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 87 .09Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 87 .09Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 83 .58Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 134 .54Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 64 .53 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 206 631Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 350 021Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 473Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 191 527Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 314Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 166 015

Composition of the reference portfolio (according to CSSF circular 11/512)MSCI EFM AFRICA - Total Return Net Dividend in EUR

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 46 .479 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 60 .404 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 52 .025 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0 .00 as of the reporting date .



66

Exchange rates (indirect quotes)

As of: June 30, 2016 Botswana pula . . . . . . . . . . . . . . . . . . . BWP 12 .089719 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1Egyptian pound . . . . . . . . . . . . . . . . . . EGP 9 .871393 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Kenyan shilling . . . . . . . . . . . . . . . . . . . KES 112 .387779 = EUR 1Moroccan dirham . . . . . . . . . . . . . . . . MAD 10 .871378 = EUR 1Nigerian naira . . . . . . . . . . . . . . . . . . . . NGN 314 .318937 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1CFA franc . . . . . . . . . . . . . . . . . . . . . . . XOF 655 .956775 = EUR 1South African rand . . . . . . . . . . . . . . . . ZAR 16 .360704 = EUR 1

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus . If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are valued to a minor extent at derived market values .

Transactions completed during the reporting period that no longer appear in the investment portfolio:

Purchases and sales of securities, investment fund units and promissory note loans (Schuldscheindarlehen); market classifications are as of the reporting date

Count/ Purchases/ Sales/ Description units/ currency additions disposals

Securities traded on an exchange

Equities Atlas Mara Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 501Barclays Africa Group Ltd . . . . . . . . . . . . . . . . . . Count 55 000 175 000Barclays Bank of Kenya Ltd . . . . . . . . . . . . . . . . Count 16 406 100Brait SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 135 000Consolidated Infrastructure Group Ltd . . . . . . . . Count 84 253Curro Holdings Ltd -Rights Exp 13May16 . . . . . . Count 50 000 50 000First Quantum Minerals Ltd . . . . . . . . . . . . . . . . Count 125 000Investec Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000KenGen -Rights Exp 10Jun16 . . . . . . . . . . . . . . . Count 6 000 000 6 000 000Mediclinic International Ltd . . . . . . . . . . . . . . . . Count 115 000 115 000Mediclinic International Plc . . . . . . . . . . . . . . . . . Count 140 000 140 000Mr Price Group Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 75 000 225 000MTN Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 350 000Nampak Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000Nedbank Group Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 1 000PSG Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 85 000Qalaa Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 500 000 10 000 000Sanlam Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 300 000Sefalana Holding Co . Ltd . . . . . . . . . . . . . . . . . . . Count 200 000Standard Bank Group Ltd . . . . . . . . . . . . . . . . . . Count 200 000The Foschini Group Ltd . . . . . . . . . . . . . . . . . . . . Count 125 000 125 000 Securities admitted to or included in organized markets

Equities South Valley Cement . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000


67

Securities traded on an exchange 20 317 056.00 72.83 Interest-bearing securities 9.00 % Alam Synergy Pte Ltd 2014/2019 . . . . . . . . . . . . . . USD 750 000 750 000 % 104.406 783 045.00 2.81 6.95 % Alam Synergy Pte Ltd -Reg- 2013/2020 . . . . . . . . . USD 500 000 500 000 % 98.367 491 835.00 1.76 5.75 % AusNet Services Holdings Pty Ltd 2016/2076 * . . . USD 500 000 500 000 % 106.482 532 410.00 1.91 7.25 % Biostime International Holdings Ltd -Reg-

2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 103.593 1 035 930.00 3.71 6.525 % China Aoyuan Property Group Ltd 2016/2019 . . . . USD 500 000 1 000 000 500 000 % 100.901 504 505.00 1.81 7.50 % China Shanshui Cement Group Ltd 2015/2020 . . . . USD 1 000 000 % 77.351 773 510.00 2.77 8.25 % Golden Legacy Pte Ltd -Reg- 2016/2021 . . . . . . . . USD 1 200 000 2 000 000 800 000 % 102.175 1 226 100.00 4.40 5.95 % Indonesia Government International Bond (MTN)

-Reg- 2015/2046 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 4 500 000 3 500 000 % 118.254 1 182 540.00 4.24 9.75 % Marquee Land Pte Ltd -Reg- 2014/2019 . . . . . . . . . USD 1 200 000 1 200 000 % 107.725 1 292 700.00 4.63 6.875 % MIE Holdings Corp. (MTN) 2013/2018 . . . . . . . . . . USD 750 000 1 250 000 500 000 % 79.04 592 800.00 2.12 9.00 % Moon Wise Global Ltd. 2014/2049* . . . . . . . . . . . . USD 1 000 000 500 000 500 000 % 109.396 1 093 960.00 3.92 4.875 % Newmont Mining Corp. 2012/2042 . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 98.657 986 570.00 3.54 3.625 % Noble Group Ltd 2013/2018 . . . . . . . . . . . . . . . . . . USD 1 300 000 1 300 000 % 86.087 1 119 131.00 4.01 9.625 % Oceanwide Holdings International 2015 Co., Ltd

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 107.974 539 870.00 1.94 5.375 % Pelabuhan Indonesia II PT -Reg- 2015/2045 . . . . . . USD 500 000 1 000 000 500 000 % 94.648 473 240.00 1.70 6.45 % Pertamina Persero PT -Reg- (MTN) 2014/2044 . . . . USD 1 200 000 2 200 000 1 000 000 % 106.507 1 278 084.00 4.58 5.25 % Perusahaan Listrik Negara PT 2012/2042 . . . . . . . . USD 500 000 1 500 000 1 000 000 % 96.42 482 100.00 1.73 6.25 % Royal Capital BV 2015/2049 * . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 103.894 519 470.00 1.86 6.125 % Star Energy Geothermal Wayang Windu Ltd -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 101.999 509 995.00 1.83 8.50 % STATS ChipPAC Ltd 2015/2020 . . . . . . . . . . . . . . . USD 500 000 500 000 % 103.971 519 855.00 1.86 8.50 % Studio City Finance Ltd 2012/2020 . . . . . . . . . . . . . USD 1 550 000 2 800 000 1 250 000 % 101.867 1 578 938.50 5.66 5.875 % Vale Overseas Ltd 2016/2021 . . . . . . . . . . . . . . . . . USD 250 000 500 000 250 000 % 100.091 250 227.50 0.90 8.25 % Vedanta Resources Plc -Reg- 2011/2021 . . . . . . . . USD 700 000 1 950 000 1 250 000 % 82.892 580 244.00 2.08 6.00 % Vedanta Resources Plc -Reg- 2013/2019 . . . . . . . . USD 2 300 000 3 300 000 1 000 000 % 85.652 1 969 996.00 7.06 Securities admitted to or included in organized markets 4 664 324.75 16.72 Interest-bearing securities 6.875 % Harvest Operations Corp. 2012/2017 . . . . . . . . . . . USD 1 750 000 1 750 000 % 98.062 1 716 093.75 6.15 6.95 % Listrindo Capital BV -Reg- 2012/2019 . . . . . . . . . . . USD 800 000 1 000 000 200 000 % 103.964 831 712.00 2.98 5.75 % Newcrest Finance Pty Ltd 2011/2041 . . . . . . . . . . . USD 1 700 000 1 700 000 % 94.682 1 609 594.00 5.77 4.20 % Newcrest Finance Pty Ltd 2012/2022 . . . . . . . . . . . USD 500 000 500 000 500 000 % 101.385 506 925.00 1.82 Total securities portfolio 24 981 380.75 89.55

Derivatives (Minus signs denote short positions) Currency derivatives -262 464.10 -0.94Receivables/payables Currency futures Currency futures (short) Closed positions USD/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -6.96 0.00 Currency futures (long) Open positions EUR/USD 16.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -262 457.14 -0.94 Cash at bank 3 149 821.49 11.29 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 330 367.37 0.00 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 149 454.12 11.29 Other assets 1 268 368.60 4.55Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397 757.68 1.43Receivables from exceeding the expense cap . . . . . . . . . . . . 14 722.03 0.05Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 855 888.89 3.07 Total assets ** 29 399 570.84 105.39 Other liabilities -1 240 357.14 -4.45Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 240 357.14 -4.45 Total liabilities -1 502 821.24 -5.39 Net assets 27 896 749.60 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.


Count/ Quantity/ Purchases/ Sales/ Currency Market price Total market % ofDescription units/ principal additions disposals value in net currency amount in the reporting period USD assets


68

Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 114 .61Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 115 .90 Number of shares outstanding Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 145 473Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 784 Composition of the reference portfolio (according to CSSF circular 11/512)JPMorgan ASIAN CREDIT INDEX in USD TR - JACI Index

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 80 .318 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 186 .499 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 131 .399 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0 .00 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .

Market abbreviations

Contracting party for currency futuresState Street Bank and Trust Company


As of: June 30, 2016 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0 .899564 = USD 1

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus . If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are not valued at derived market values .

Footnotes

* Floating interest rate . ** Does not include positions with a negative balance, if such exist .


69







Interest-bearing securities 4.85 % ABJA Investment Co Pte Ltd

2014/2020 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 4.00 % African Export-Import Bank (MTN)

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 9.875 % Agile Property Holdings Ltd

2012/2017 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 7.50 % Argentine Republic Government

International Bond -Reg- 2016/2026 . USD 500 000 500 000 7.50 % Argentine Republic Government

International Bond -Reg- 2016/2026 . USD 216 000 216 000 1.00 % Bluestar Fin Holdings 2015/2049 . . . USD 1 000 000 6.50 % Cablevision SA/Argentina -Reg-

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 6.125 % CAR, Inc. -Reg- 2015/2020 . . . . . . . . USD 500 000 500 000 2.375 % CCBL Cayman 1 Corp., Ltd (MTN)

2016/2019 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 3.50 % CCCI Treasure Ltd 2015/2049 * . . . . USD 400 000 6.50 % Central China Real Estate Ltd

2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 400 000 2.241 % Central Nippon Expressway Co., Ltd

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 1.674 % Central Nippon Expressway Co., Ltd

2016/2021 * . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 7.125 % Central Plaza Development Ltd

2014/2049 * . . . . . . . . . . . . . . . . . . . USD 1 100 000 11.25 % China Aoyuan Property Group Ltd

2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 6.125 % China Energy Reserve and

Chemicals Group International Co., Ltd 2016/2019 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000

3.375 % China Overseas Finance Cayman III Ltd 2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 250 000

7.75 % CIFI Holdings Group Co., Ltd 2015/2020 . . . . . . . . . . . . . . . . . . . . . USD 500 000

3.70 % CITIC Ltd (MTN) 2016/2026 . . . . . . . USD 2 000 000 2 000 000 5.625 % Cloverie Plc for Zurich Insurance Co.,

Ltd 2016/2046 * . . . . . . . . . . . . . . . . USD 500 000 500 000 7.00 % Cosan Luxembourg SA -Reg-

2016/2027 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 5.625 % Demeter Investments BV

for Swiss Re Ltd 2016/2052 * . . . . . USD 1 000 000 1 000 000 3.908 % DP World Crescent Ltd -Reg-

2016/2023 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 7.50 % eHi Car Services Ltd -Reg-

2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 2.00 % Export-Import Bank of China/The

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 2.625 % Export-Import Bank of Korea

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 6.25 % Future Land Development Holdings

Ltd 2015/2017 . . . . . . . . . . . . . . . . . . USD 1 000 000 9.00 % Golden Legacy Pte. Ltd -Reg-

2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 1 250 000 1 250 000 8.00 % Greenko Dutch BV -Reg- 2014/2019 . USD 500 000 6.25 % GTH Finance BV -Reg- 2016/2020 . . USD 1 000 000 1 000 000 3.375 % Guangzhou Metro Investment

Finance BVI Ltd 2015/2020 . . . . . . . . USD 500 000 3.25 % Huarong Finance II Co., Ltd

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 6.00 % Hutchison Whampoa International

12 Ltd -Reg- 2012/2049 * . . . . . . . . . USD 250 000 7.00 % Indo Energy Finance BV -Reg-

2011/2018 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 5.25 % Indonesia Government International

Bond -Reg- 2012/2042 . . . . . . . . . . . USD 1 750 000 1 750 000 4.50 % Israel Government International Bond

2013/2043 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 2.875 % Israel Government International Bond

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 2.80 % Japan Tobacco, Inc. (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 4.75 % JSW Steel Ltd 2014/2019 . . . . . . . . . USD 1 000 000 1 000 000 3.25 % Kia Motors Corp. -Reg- 2016/2026 . . USD 500 000 500 000

2.25 % Kookmin Bank -Reg- 2016/2021 . . . . USD 1 000 000 1 000 000 8.975 % KWG Property Holding Ltd -Reg-

2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 2.75 % LTC GB Ltd 2016/2021 . . . . . . . . . . . USD 1 000 000 1 000 000 8.00 % Marfrig Holdings Europe BV -Reg-

2016/2023 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 2.375 % Midea Investment Development Co.

(MTN) 2016/2019 . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 2.95 % Mitsubishi UFJ Financial Group, Inc.

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 10.875 % Mongolia Government International

Bond (MTN) -Reg- 2016/2021 . . . . . . USD 1 000 000 1 000 000 4.70 % Nippon Life Insurance Co. -Reg-

2016/2046 * . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 11.75 % Oceanwide Real Estate International

Holdings Co., Ltd 2014/2019 . . . . . . USD 1 000 000 4.625 % ONGC Videsh Ltd -Reg- 2014/2024 . USD 500 000 500 000 2.65 % ORIX Corp. (MTN) 2016/2021 . . . . . . USD 1 500 000 1 500 000 5.875 % OVPH Ltd 2016/2049 . . . . . . . . . . . . USD 500 000 500 000 4.55 % Perusahaan Penerbit SBSN

ndonesia III 2016/2026 . . . . . . . . . . . USD 1 000 000 1 000 000 8.375 % Petrobras Global Finance BV

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 3.70 % Philippine Government International

Bond 2016/2041 . . . . . . . . . . . . . . . . USD 200 000 200 000 5.50 % Profit Fast Ltd 2015/2018 . . . . . . . . . USD 1 000 000 4.125 % Proven Honour Capital Ltd

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 9.125 % Provincia de Buenos Aires/Argentina

2016/2024 . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 5.25 % Prudential Plc (MTN) 2016/2049 . . . . USD 800 000 800 000 4.875 % PTT Exploration & Production PCL

-Reg- 2014/2049 * . . . . . . . . . . . . . . . USD 500 000 500 000 5.875 % QBE Insurance Group Ltd (MTN)

2016/2046 * . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 9.875 % Road King Infrastructure

Finance 2012 Ltd (MTN) 2012/2017 . USD 1 800 000 9.625 % Shui On Development Holding Ltd

2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 500 000 10.25 % Sino-Ocean Land Perpetual

Finance Ltd -Reg- 2011/2049 * . . . . . USD 500 000 2.125 % Sinopec Group Overseas

Development 2016 Ltd -Reg- 2016/2019 . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000

7.125 % SOHO China Ltd 2012/2022 . . . . . . . USD 500 000 2.934 % Sumitomo Mitsui Financial Group,

Inc. 2016/2021 . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 8.75 % Sunac China Holdings Ltd

2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 3.625 % Swire Properties MTN Financing Ltd

(MTN) 2016/2026 . . . . . . . . . . . . . . . USD 500 000 500 000 6.50 % Texhong Textile Group Ltd

2013/2019 . . . . . . . . . . . . . . . . . . . . . USD 900 000 7.625 % Texhong Textile Group Ltd -Reg-

2011/2016 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 0.00 % TPK Holding Co., Ltd -Reg-

2015/2020 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 0.50 % United States Treasury Note/Bond

2015/2017 . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 2.00 % United States Treasury Note/Bond


2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 5.50 % Vedanta Resources Jersey Ltd

2009/2016 . . . . . . . . . . . . . . . . . . . . . USD 1 300 000 1 300 000 9.50 % Vedanta Resources PLC

2008/2018 . . . . . . . . . . . . . . . . . . . . . USD 250 000 250 000 6.75 % Vedanta Resources Plc -Reg-

2011/2016 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 6.50 % West China Cement Ltd 2014/2019 . USD 1 000 000 2.85 % Westpac Banking Corp. 2016/2026 . USD 2 000 000 2 000 000 5.73 % Yancoal International Resources

Development Co., Ltd -Reg- 2012/2022 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000

10.625 % Yanlord Land Group Ltd -Reg- 2011/2018 . . . . . . . . . . . . . . . . . . . . . USD 900 000

4.95 % ConocoPhillips Co. 2016/2026 . . . . . USD 500 000 500 000

70



Securities admitted to or included in organized markets Interest-bearing securities 6.25 % BHP Billiton Finance USA Ltd

2015/2075 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 6.75 % BHP Billiton Finance USA Ltd -Reg-

2015/2075 * . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 5.45 % Diamond 1 Finance Corp Via

Diamond 2 Finance Corp -Reg- 2016/2023 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000

6.875 % FMG Resources August 2006 Pty Ltd -Reg- 2012/2022 . . . . . . . . . . . . . . . . USD 750 000 750 000

9.75 % FMG Resources August 2006 Pty Ltd -Reg- 2015/2022 . . . . . . . . . . . . . . . . USD 500 000 500 000

6.375 % Indo Energy Finance II BV -Reg- 2013/2023 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000

5.20 % Meiji Yasuda Life Insurance Co 2015/2045* . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000

3.375 % National Australia Bank Ltd/New York 2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000

4.45 % Newcrest Finance Pty Ltd -Reg- 2011/2021 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000

2.50 % Qihoo 360 Technology Co., Ltd. 2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000

2.05 % Sumitomo Mitsui Banking Corp. 2016/2019 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000

1.00 % United States Treasury Note/Bond 2015/2017 . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000

1.625 % United States Treasury Note/Bond 2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000

Unlisted securities Interest-bearing securities 8.625 % Provincia de Neuquen Argentina -Reg-

2016/2028 . . . . . . . . . . . . . . . . . . . . . USD 150 000 150 000

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Futures contracts Currency futures (short) Futures contracts to sell currencies USD/EUR USD 106 725 Currency futures (long) Futures contracts to purchase currencies EUR/USD USD 88 344

71

Securities traded on an exchange 4 602 256.43 86.00 Equities AIA Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 101 79 599 HKD 46 .25 182 856 .65 3 .42China Communications Construction Co ., Ltd -H- . . . . . . . . . Count 69 000 103 000 34 000 HKD 8 .3 66 398 .63 1 .24China Construction Bank Corp . -H- . . . . . . . . . . . . . . . . . . . . . Count 187 110 386 190 HKD 5 .13 111 287 .47 2 .08China Mobile Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 587 13 913 HKD 88 .75 139 805 .37 2 .61China Overseas Land & Investment Ltd . . . . . . . . . . . . . . . . . Count 44 243 39 792 90 549 HKD 24 .5 125 673 .17 2 .35CK Hutchison Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 238 9 909 9 671 HKD 84 .55 2 333 .04 0 .04Hengan International Group Co ., Ltd . . . . . . . . . . . . . . . . . . . . Count 7 000 10 000 3 000 HKD 64 .65 52 468 .48 0 .98Industrial & Commercial Bank of China Ltd -H- . . . . . . . . . . . . Count 219 918 234 482 HKD 4 .29 109 383 .04 2 .04PetroChina Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 86 436 86 000 79 564 HKD 5 .29 53 012 .98 0 .99Ping An Insurance Group Co . of China Ltd . . . . . . . . . . . . . . . Count 31 000 31 000 60 000 HKD 34 .15 122 739 .49 2 .29Power Assets Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 6 000 HKD 71 .05 49 425 .06 0 .92Qinqin Foodstuffs Group Cayman Co ., Ltd . . . . . . . . . . . . . . . Count 1 400 1 400 HKD 11 1 785 .47 0 .03Shenzhou International Group Holdings Ltd . . . . . . . . . . . . . . Count 18 027 18 973 HKD 37 .45 78 272 .14 1 .46Sun Hung Kai Properties Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 546 21 282 10 736 HKD 93 113 711 .04 2 .12Techtronic Industries Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 827 42 173 HKD 32 .25 66 656 .10 1 .25Tencent Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 389 17 411 HKD 176 .3 334 993 .73 6 .26Xinjiang Goldwind Science & Technology Co ., Ltd . . . . . . . . . Count 54 200 81 800 27 600 HKD 10 .54 66 232 .60 1 .24Bank Mandiri Tbk PT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 65 311 69 689 IDR 9 525 42 354 .39 0 .79Bank Rakyat Indonesia Persero Tbk PT . . . . . . . . . . . . . . . . . Count 68 194 72 806 IDR 10 800 50 143 .77 0 .94Cikarang Listrindo Tbk PT 144A . . . . . . . . . . . . . . . . . . . . . . . Count 590 300 590 300 IDR 1 500 60 285 .26 1 .13Kino Indonesia Tbk PT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 184 000 616 000 IDR 6 675 83 621 .15 1 .56Cheil Industries, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 870 932 KRW 123 000 83 571 .94 1 .56Daelim Industrial Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 971 1 469 498 KRW 76 000 57 632 .70 1 .08Hyundai Motor Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 845 905 KRW 135 500 89 419 .48 1 .67Korea Electric Power Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 980 4 100 2 120 KRW 60 400 93 398 .15 1 .75KT&G Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 290 310 KRW 136 500 30 914 .82 0 .58LG Chem Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 483 299 196 KRW 260 000 98 074 .62 1 .83LG Household & Health Care Ltd . . . . . . . . . . . . . . . . . . . . . . Count 71 148 77 KRW 1117 000 61 936 .64 1 .16Medy-Tox, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 193 524 331 KRW 431 400 65 023 .99 1 .22NAVER Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 169 181 KRW 710 000 93 708 .98 1 .75Samsung Fire & Marine Insurance Co ., Ltd . . . . . . . . . . . . . . Count 235 623 KRW 263 500 48 359 .81 0 .90Shinhan Financial Group Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . Count 1 090 5 350 KRW 38 000 32 347 .91 0 .60SK Telecom Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 309 331 KRW 215 500 52 004 .62 0 .97GT Capital Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 665 7 295 PHP 1 440 73 376 .20 1 .37Metropolitan Bank & Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 000 76 610 39 613 PHP 90 .35 63 918 .33 1 .19Universal Robina Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 770 22 230 PHP 208 82 602 .91 1 .54DBS Group Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 200 6 200 SGD 15 .76 65 220 .89 1 .22Innovalues Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 117 400 117 400 SGD 1 .015 79 537 .69 1 .49Minor International PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 124 500 133 400 THB 40 .25 128 281 .95 2 .40Siam Cement PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 400 6 900 THB 476 77 986 .11 1 .46Largan Precision Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 2 000 TWD 2 945 41 061 .66 0 .77Mega Financial Holding Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 107 000 125 000 18 000 TWD 24 .3 72 505 .54 1 .36PharmaEngine, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 000 12 000 TWD 220 .5 73 785 .50 1 .38Sporton International, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 6 000 TWD 166 .5 27 857 .79 0 .52Taiwan Semiconductor Manufacturing Co ., Ltd . . . . . . . . . . . Count 12 000 64 000 52 000 TWD 162 .5 54 377 .07 1 .02Alibaba Group Holding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 109 1 033 1 561 USD 78 .8 149 497 .82 2 .79Baidu, Inc . -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 354 1 256 USD 162 .49 51 744 .23 0 .97Ctrip .com International Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . Count 1 505 1 505 USD 40 .81 55 250 .37 1 .03HDFC Bank Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 169 1 251 USD 65 .39 68 763 .49 1 .29ICICI Bank Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 851 6 262 USD 7 .04 37 053 .98 0 .69Samsung Electronics Co ., Ltd -GDR Reg- . . . . . . . . . . . . . . . . Count 646 40 649 USD 617 .5 358 840 .58 6 .71Taiwan Semiconductor Manufacturing Co ., Ltd -ADR- . . . . . . Count 9 238 9 889 USD 25 .905 215 275 .01 4 .02Tarena International, Inc . -ADR- . . . . . . . . . . . . . . . . . . . . . . . Count 7 922 11 982 4 060 USD 10 .24 72 973 .78 1 .36Tata Motors Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 069 1 146 USD 33 .81 32 512 .84 0 .61

Investment fund units 51 487.80 0.96 In-group fund unitsdb x-trackers - FTSE Vietnam ETF -1C- EUR - (0 .650%) . . . . . Units 2 415 2 585 EUR 21 .32 51 487 .80 0 .96 Total securities portfolio 4 653 744.23 86.96 Derivatives (Minus signs denote short positions) Derivatives on individual securities 156 456.79 2.92 Warrants on securities Equity warrantsShree Cement Ltd 20/04/2020 . . . . . . . . . . . . . . . . . . . . . . . . Count 531 569 USD 215 .3913 102 885 .64 1 .92HCL Technologies Ltd 17/01/2017 . . . . . . . . . . . . . . . . . . . . . Count 5 506 5 894 USD 10 .8159 53 571 .15 1 .00




72

Cash at bank 515 922.65 9.64 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 39 152 .38 0 .73 Deposits in non-EU/EEA currencies Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 1 345 685 156 018 .24 2 .91Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 14 843 835 1 010 .63 0 .02Malaysian ringgit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 16 942 3 780 .38 0 .07New Taiwan dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 5 157 059 143 808 .07 2 .69Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 313 617 5 996 .46 0 .11Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 2 743 1 830 .60 0 .03South Korean won . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 81 927 192 63 982 .94 1 .20Thai baht . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 247 256 6 329 .60 0 .12U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 104 510 94 013 .35 1 .76 Other assets 52 849.25 0.99Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 594 .13 0 .50Receivables from exceeding the expense cap . . . . . . . . . . . . 26 255 .12 0 .49 Total assets 5 378 972.92 100.51 Other liabilities -22 366.63 -0.42Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -22 366 .63 -0 .42 Liabilities from share certificate transactions -4 837.17 -0.09 Total liabilities -27 203.80 -0.51 Net assets 5 351 769.12 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 126 .58Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 121 .30Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 120 .45 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 253Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 732Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 428 Composition of the reference portfolio (according to CSSF circular 11/512)MSCI AC ASIA ex JAPAN Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % -0 .869 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 124 .409 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 100 .822 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 .

In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 156 643 .96 as of the reporting date . Exchange rates (indirect quotes)

As of: June 30, 2016 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687 .670916 = EUR 1South Korean won . . . . . . . . . . . . . . . . KRW 1 280 .453642 = EUR 1Malaysian ringgit . . . . . . . . . . . . . . . . . MYR 4 .481616 = EUR 1Philippine peso . . . . . . . . . . . . . . . . . . PHP 52 .300337 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1Thai baht . . . . . . . . . . . . . . . . . . . . . . . THB 39 .063368 = EUR 1New Taiwan dollar . . . . . . . . . . . . . . . . TWD 35 .860706 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1



73

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values.

The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period.






Equities 7-Eleven Malaysia Holdings Bhd . . . . . . . . . . . . . Count 347 300Anhui Conch Cement Co., Ltd -H- . . . . . . . . . . . . Count 73 000 73 000Cathay Financial Holding Co., Ltd . . . . . . . . . . . . Count 109 545Chailease Holding Co., Ltd . . . . . . . . . . . . . . . . . Count 54 912China Gas Holdings Ltd . . . . . . . . . . . . . . . . . . . . Count 1 000China Life Insurance Co., Ltd -H- . . . . . . . . . . . . Count 66 700China Merchants Bank Co., Ltd -H- . . . . . . . . . . . Count 48 362China Overseas Property Holdings Ltd . . . . . . . . Count 31 666China Resources Gas Group Ltd . . . . . . . . . . . . . Count 105 000China Resources Power Holdings Co., Ltd . . . . . Count 70 000 94 700China State Construction International Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 000China Unicom Hong Kong Ltd . . . . . . . . . . . . . . . Count 140 700CNOOC Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 92 000Dongfeng Motor Group Co., Ltd -H- . . . . . . . . . . Count 76 500E.Sun Financial Holding Co., Ltd . . . . . . . . . . . . . Count 246 712Eclat Textile Co., Ltd . . . . . . . . . . . . . . . . . . . . . . Count 8 008Great Wall Motor Co., Ltd -H- . . . . . . . . . . . . . . . Count 72 000Haier Electronics Group Co., Ltd . . . . . . . . . . . . . Count 70 000Hana Financial Group, Inc. . . . . . . . . . . . . . . . . . . Count 4 750Hanjaya Mandala Sampoerna Tbk PT . . . . . . . . . Count 28 100Hermes Microvision, Inc. . . . . . . . . . . . . . . . . . . Count 2 700Huadian Fuxin Energy Corp. Ltd . . . . . . . . . . . . Count 292 000Hyundai Wia Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 740IMAX China Holding Inc . . . . . . . . . . . . . . . . . . . Count 26 300Kangwon Land, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 1 666Kasikornbank PCL . . . . . . . . . . . . . . . . . . . . . . . . Count 35 000LG Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 908 1 908Lifestyle International Holdings Ltd . . . . . . . . . . . Count 32 500Major Cineplex Group PCL . . . . . . . . . . . . . . . . . Count 107 000MediaTek, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 400New Oriental Education & Technology Group, Inc. -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 466 1 466Pegatron Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 62 000 62 000Shinsegae Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 854SK Hynix, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 086Taiwan Cement Corp. . . . . . . . . . . . . . . . . . . . . . Count 90 900Vipshop Holdings Ltd -ADR- . . . . . . . . . . . . . . . . Count 6 216 6 216

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Additions DisposalsWarrants

Warrants on securities

Equity warrants KT&G Corp. 05/03/2019 . . . . . . . . . . . . . . . . . . . Count 200Lupin Ltd 20/02/2017 . . . . . . . . . . . . . . . . . . . . . Count 10 000

74

Securities traded on an exchange 70 078 750.43 96.47 Equities Aupu Group Holding Co Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 264 000 532 000 HKD 2 .59 379 558 .53 0 .52Best Pacific International Holdings Ltd . . . . . . . . . . . . . . . . . . Count 4 686 000 1 854 000 HKD 5 .75 3 123 935 .38 4 .30Changan Minsheng APLL Logistics Co ., Ltd . . . . . . . . . . . . . . Count 700 000 HKD 6 .66 540 510 .56 0 .74China Maple Leaf Educational Systems Ltd . . . . . . . . . . . . . . Count 3 748 000 5 480 000 HKD 6 .96 3 024 410 .48 4 .16China Meidong Auto Holdings Ltd . . . . . . . . . . . . . . . . . . . . . Count 24 774 000 2 546 000 HKD 0 .83 2 383 999 .38 3 .28Clear Media Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 300 000 492 000 HKD 6 .76 1 802 629 .38 2 .48Emperor Entertainment Hotel Ltd . . . . . . . . . . . . . . . . . . . . . . Count 3 550 000 5 590 000 HKD 1 .86 765 549 .38 1 .05Greentown China Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 1 500 000 HKD 5 .43 1 259 104 .39 1 .73Hua Hong Semiconductor Ltd 144A . . . . . . . . . . . . . . . . . . . . Count 700 000 700 000 HKD 7 .22 585 958 .89 0 .81Nine Dragons Paper Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . Count 1 700 000 1 700 000 HKD 5 .91 1 164 845 .47 1 .60Perfect Shape PRC Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . Count 9 106 000 4 892 000 HKD 0 .76 802 367 .17 1 .10Playmates Toys, Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 332 000 HKD 1 .45 560 150 .73 0 .77Shenzhou International Group Holdings Ltd . . . . . . . . . . . . . . Count 200 000 200 000 HKD 37 .45 868 387 .83 1 .20TK Group Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 000 000 2 316 000 HKD 1 .97 1 827 208 .58 2 .52Xinjiang Goldwind Science & Technology Co ., Ltd . . . . . . . . . Count 1 053 400 1 053 400 HKD 10 .54 1 287 258 .70 1 .77XTEP International Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 1 800 000 1 800 000 HKD 4 .18 872 329 .78 1 .20Multipolar Tbk PT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 68 682 200 4 655 900 IDR 370 1 730 186 .78 2 .38Sumber Alfaria Trijaya Tbk PT . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 750 000 IDR 600 1 828 063 .83 2 .52Bajaj Finance Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 000 5 000 INR 7 990 1 597 344 .18 2 .20Bosch Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 571 2 571 INR 22 600 774 410 .05 1 .07Dr Lal PathLabs Ltd 144A . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 000 46 000 INR 848 .75 520 353 .03 0 .72Shree Cement Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 000 8 000 INR 14 490 1 544 965 .68 2 .13CJ O Shopping Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 000 2 280 KRW 175 400 958 878 .92 1 .32Halla Visteon Climate Control Corp . . . . . . . . . . . . . . . . . . . . . Count 160 000 248 116 150 145 KRW 10 500 1 312 035 .00 1 .81i-SENS, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 822 KRW 36 700 2 345 159 .01 3 .23Korea Kolmar Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 000 5 000 KRW 100 000 390 486 .61 0 .54KT Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 77 000 KRW 29 650 1 783 000 .90 2 .45LG Household & Health Care Ltd . . . . . . . . . . . . . . . . . . . . . . Count 2 500 2 500 KRW 1117 000 2 180 867 .71 3 .00LIG Nex1 Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 000 18 000 KRW 97 100 1 364 984 .99 1 .88Medy-Tox, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 089 2 089 KRW 431 400 703 808 .85 0 .97Samsung Electronics Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 043 KRW 1425 000 2 273 627 .80 3 .13ABS-CBN Holdings Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 281 620 1 580 650 PHP 47 .4 2 067 841 .15 2 .85COL Financial Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 707 200 13 700 PHP 14 .4 1 846 712 .40 2 .54BreadTalk Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 300 000 255 000 SGD 1 .12 1 719 430 .78 2 .37City Developments Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 000 SGD 8 .14 1 358 323 .62 1 .87iFAST Corp ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 371 500 28 500 SGD 0 .99 245 489 .46 0 .34Innovalues Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 149 000 1 149 000 SGD 1 .015 778 439 .58 1 .07QAF Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 999 987 1 593 000 SGD 1 .06 1 415 050 .30 1 .95Riverstone Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 000 000 2 294 200 1 983 200 SGD 0 .905 1 812 210 .63 2 .49Sarine Technologies Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 600 100 984 500 SGD 1 .7 1 815 661 .50 2 .50SPCG PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 500 000 1 714 700 THB 20 .4 1 827 799 .36 2 .52Advanced Semiconductor Engineering, Inc . 21/01/2020 . . . . Count 728 000 1 100 000 372 000 TWD 36 .65 744 023 .28 1 .02KD Holding Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 375 000 TWD 179 1 871 825 .96 2 .58PChome Online, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 99 810 127 000 TWD 354 985 277 .32 1 .36PharmaEngine, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 107 000 107 000 TWD 220 .5 657 920 .68 0 .91St Shine Optical Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 000 25 000 TWD 723 1 612 907 .46 2 .22Sunspring Metal Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 304 000 TWD 41 .6 2 320 088 .19 3 .19Taiwan Semiconductor Manufacturing Co ., Ltd . . . . . . . . . . . Count 350 000 50 000 TWD 162 .5 1 585 997 .78 2 .18Taiwan Taxi Co Ltd, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 394 048 111 000 TWD 55 .6 610 949 .18 0 .84China Distance Education Holdings Ltd -ADR- . . . . . . . . . . . . Count 134 845 USD 10 .25 1 243 342 .50 1 .71Phoenix New Media Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . . . Count 305 500 USD 3 .65 1 003 081 .33 1 .38

Total securities portfolio 70 078 750.43 96.47 Cash at bank 2 527 587.30 3.48 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 132 894 .67 0 .18 Deposits in non-EU/EEA currencies Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 3 743 860 434 061 .73 0 .60Indian rupee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . INR 33 790 345 450 353 .03 0 .62Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 417 516 991 28 426 .36 0 .04Malaysian ringgit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 9 719 2 168 .60 0 .00New Taiwan dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 14 914 257 415 894 .13 0 .58Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 3 786 365 72 396 .57 0 .10Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 118 879 79 349 .35 0 .11South Korean won . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 513 669 969 401 162 .49 0 .55Thai baht . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 2 892 408 74 044 .01 0 .10U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 485 609 436 836 .36 0 .60 Other assets 218 446.32 0.30Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174 769 .33 0 .24Receivables from exceeding the expense cap . . . . . . . . . . . . 25 361 .85 0 .03Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 315 .14 0 .03 Receivables from share certificate transactions 6 252.37 0.01 Total assets 72 831 038.44 100.26




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Other liabilities -122 394.12 -0.17Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -122 394 .12 -0 .17 Liabilities from share certificate transactions -68 727.92 -0.09 Total liabilities -191 120.02 -0.26 Net assets 72 639 916.40 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 213 .37Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 196 .49Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 190 .34Class LS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 202 .78Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 182 .65Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 174 .76Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 164 .27 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 072Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 417Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 746Class LS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 849Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 94 093Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 092Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 031 Composition of the reference portfolio (according to CSSF circular 11/512)MSCI AC ASIA ex JAPAN SMALL CAP Index in EUR



As of: June 30, 2016 Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687 .670916 = EUR 1Indian rupee . . . . . . . . . . . . . . . . . . . . . INR 75 .030793 = EUR 1South Korean won . . . . . . . . . . . . . . . . KRW 1 280 .453642 = EUR 1Malaysian ringgit . . . . . . . . . . . . . . . . . MYR 4 .481616 = EUR 1Philippine peso . . . . . . . . . . . . . . . . . . PHP 52 .300337 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1Thai baht . . . . . . . . . . . . . . . . . . . . . . . THB 39 .063368 = EUR 1New Taiwan dollar . . . . . . . . . . . . . . . . TWD 35 .860706 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1 Notes on valuation




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Equities Cosmax, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 6 000Emami Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 331Future Bright Holdings Ltd . . . . . . . . . . . . . . . . . Count 5 592 000Glenmark Pharmaceuticals Ltd . . . . . . . . . . . . . . Count 54 341NAVER Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 000Pegatron Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 000 250 000SK Hynix, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 000West China Cement Ltd . . . . . . . . . . . . . . . . . . . Count 11 396 000


77

Securities traded on an exchange 38 493 979.19 98.11 Equities AES Tiete Energia SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 147 000 215 000 68 000 BRL 14 .42 593 865 .21 1 .51Ambev SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 527 837 275 000 108 000 BRL 18 .87 2 790 467 .81 7 .11B2W Cia Digital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 87 472 73 000 BRL 9 .4 230 357 .42 0 .59Banco Bradesco SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 222 495 20 227 1 BRL 26 .59 1 657 463 .14 4 .23Banco Bradesco SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 277 750 161 750 191 500 BRL 24 .87 1 935 241 .37 4 .93Banco do Brasil SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 640 500 725 000 623 000 BRL 16 .39 2 941 056 .55 7 .50Banco do Estado do Rio Grande do Sul SA . . . . . . . . . . . . . . Count 380 981 740 000 564 019 BRL 8 .29 884 836 .71 2 .26Banco Santander Brasil SA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 345 400 283 400 313 000 BRL 17 .75 1 717 615 .61 4 .38BM&FBovespa SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 339 000 175 000 282 000 BRL 17 .61 1 672 493 .12 4 .26BR Malls Participacoes SA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 181 035 316 035 400 000 BRL 12 .86 652 242 .42 1 .66BRF SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 138 352 67 000 66 000 BRL 44 .16 1 711 669 .03 4 .36CETIP SA - Mercados Organizados . . . . . . . . . . . . . . . . . . . . . Count 45 000 45 000 BRL 43 .27 545 512 .49 1 .39Cia de Transmissao de Energia Eletrica Paulista -Pref- . . . . . . Count 25 042 759 8 500 BRL 61 .72 433 012 .28 1 .10Cia Energetica de Minas Gerais -Pref- . . . . . . . . . . . . . . . . . . Count 240 000 612 000 372 000 BRL 6 .96 467 978 .36 1 .19CPFL Energia SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 94 006 116 006 22 000 BRL 20 .41 537 531 .75 1 .37EDP - Energias do Brasil SA . . . . . . . . . . . . . . . . . . . . . . . . . . Count 222 000 110 000 53 000 BRL 13 .31 827 820 .77 2 .11Eletropaulo Metropolitana Eletricidade de Sao Paulo SA -Pref- Count 171 000 171 000 BRL 8 .35 400 025 .68 1 .02Iguatemi Empresa de Shopping Centers SA . . . . . . . . . . . . . . Count 228 500 284 000 55 500 BRL 28 .02 1 793 740 .53 4 .57Investimentos Itau SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 767 454 164 314 198 000 BRL 7 .38 1 586 770 .08 4 .05Itau Unibanco Holding SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . Count 232 016 253 000 225 000 BRL 29 .63 1 925 993 .75 4 .91JHSF Participacoes SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 723 528 620 000 BRL 1 .1 531 148 .94 1 .35Lojas Americanas SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 000 70 000 BRL 11 .2 219 645 .01 0 .56Lojas Americanas SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 358 501 304 750 153 000 BRL 15 .87 1 593 943 .15 4 .06Lojas Renner SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 291 000 172 000 21 000 BRL 23 .24 1 894 673 .58 4 .83LPS Brasil Consultoria de Imoveis SA . . . . . . . . . . . . . . . . . . . Count 560 057 194 000 BRL 3 .95 619 775 .80 1 .58Multiplan Empreendimentos Imobiliarios SA . . . . . . . . . . . . . Count 113 500 15 000 23 500 BRL 60 .12 1 911 701 .67 4 .87Ouro Fino Saude Animal Participacoes SA . . . . . . . . . . . . . . . Count 138 000 10 000 BRL 43 .15 1 668 265 .52 4 .25Petroleo Brasileiro SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 000 250 000 BRL 11 .29 790 750 .07 2 .02Raia Drogasil SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 136 045 30 000 40 500 BRL 62 .06 2 365 373 .04 6 .03Tractebel Energia SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 300 37 000 38 000 BRL 38 .08 856 678 .31 2 .18Ambev SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 69 000 107 000 38 000 USD 5 .865 364 040 .06 0 .93Anheuser-Busch InBev NV -ADR- . . . . . . . . . . . . . . . . . . . . . . Count 3 200 USD 129 .33 372 289 .96 0 .95 Total securities portfolio 38 493 979.19 98.11 Cash at bank 223 142.88 0.57 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 217 098 .25 0 .56 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 483 583 .22 0 .00 Deposits in non-EU/EEA currencies Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 2 095 1 451 .41 0 .00U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 458 4 010 .00 0 .01 Other assets 1 236 283.63 3.15Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135 573 .74 0 .35Receivables from exceeding the expense cap . . . . . . . . . . . . 589 .71 0 .00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 100 120 .18 2 .80 Receivables from share certificate transactions 851.16 0.00 Total assets 39 954 256.86 101.83 Short-term liabilities -253 407.43 -0.65 Loans in non-EU/EEA currencies Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL -904 511 -253 407 .43 -0 .65 Other liabilities -265 334.42 -0.68Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -81 805 .85 -0 .21Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -183 528 .57 -0 .47 Liabilities from share certificate transactions -200 666.98 -0.50 Total liabilities -719 408.83 -1.83 Net assets 39 234 848.03 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .




78


Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 71 .34Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 66 .46Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 64 .84 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 640Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 530 027Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 899 Composition of the reference portfolio (according to CSSF circular 11/512)MSCI BRAZIL 10/40 Index in EUR Constituents



As of: June 30, 2016 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3 .569396 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1

Notes on valuation






Securities traded on an exchange Equities AES Tiete SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 000B2W Cia Digital -Rights Exp 30Jun16 . . . . . . . . . Count 27 976 27 976Banco Bradesco S .A . 05/02/2016 . . . . . . . . . . . . Count 10 072Banco Bradesco S .A . 05/02/2016 . . . . . . . . . . . . Count 6 625Banco Bradesco SA -ADR- . . . . . . . . . . . . . . . . . Count 30 000 30 000BB Seguridade Participacoes . . . . . . . . . . . . . . . Count 35 000 122 000CCR SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 354 538 354 538Cia de Transmissao de Energia Eletrica Paulista . Count 759 759Cielo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 500Companhia de Transmissao de Energia Eletrica Paulista -Rights Exp 05May16 . . . . . . . . . . . . . . . Count 719 719EDP - Energias do Brasil SA -Rights Exp 03Jun16 . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 67 195 67 195Gafisa SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 500 000Marcopolo SA -Pref- . . . . . . . . . . . . . . . . . . . . . . Count 1 200 000Randon Participacoes SA -Pref- . . . . . . . . . . . . . . Count 1 460 600Telefonica Brasil SA . . . . . . . . . . . . . . . . . . . . . . . Count 98 500

79

Securities traded on an exchange 411 990 823.56 83.40 Interest-bearing securities 6.875 % 21Vianet Group, Inc. 2014/2017 . . . . . . . . . . . . . . . CNH 28 400 000 16 300 000 % 100.896 4 295 924.98 0.87 4.70 % Beijing Cap Hoing Kong 2014/2017 . . . . . . . . . . . . CNH 47 960 000 30 000 000 % 100.542 7 229 178.26 1.46 3.70 % Cagamas Global Plc 2014/2017 . . . . . . . . . . . . . . . . CNH 34 000 000 1 000 000 % 99.35 5 064 178.47 1.03 5.35 % China City Construct International 2014/2014. . . . . CNH 130 597 539 47 402 461 % 98.688 19 322 421.04 3.91 4.70 % China Electronics Corp. 2014/2017 . . . . . . . . . . . . . CNH 158 000 000 62 000 000 % 99.546 23 579 962.97 4.77 3.10 % China Government Bond 2012/2022 . . . . . . . . . . . . CNH 10 000 000 10 000 000 % 98.905 1 482 800.24 0.30 4.00 % China Government Bond 2014/2024 . . . . . . . . . . . . CNH 30 000 000 30 000 000 % 104.681 4 708 184.97 0.95 3.38 % China Government Bond 2014/2024 . . . . . . . . . . . . CNH 50 000 000 50 000 000 % 100.077 7 501 855.28 1.52 3.39 % China Government Bond 2015/2025 . . . . . . . . . . . . CNH 21 500 000 21 500 000 % 100.017 3 223 863.78 0.65 5.50 % China New Town Development Co., Ltd

2015/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 31 880 000 7 000 000 % 99.416 4 751 614.31 0.96 5.50 % Datang Telecom Hong Kong Holdings Co., Ltd

2014/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 64 700 000 30 000 000 % 100.375 9 736 306.53 1.97 3.75 % Eastern Creation II Investment Holdings Ltd (MTN)

2014/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 6190000 6190000 % 100.1075 929012.73 0.19 .00 % Fuqing Investment Management Ltd 2015/2018 . . CNH 92 000 000 % 100.375 13 844 516.24 2.80 4.25 % Gazprombank 2014/2017 . . . . . . . . . . . . . . . . . . . . CNH 10 000 000 % 99.355 1 489 546.71 0.30 5.50 % Greenland Hong Kong Holdings Ltd 2017/2018 . . . CNH 121 500 000 45 000 000 % 98.95 18 024 310.92 3.65 8.00 % ITNL International Pte. Ltd 2014/2017 . . . . . . . . . . CNH 17 800 000 % 98.5 2 628 576.57 0.53 4.75 % Jinchuan Group 2014/2017 . . . . . . . . . . . . . . . . . . . CNH 193 500 000 62 000 000 % 93.742 27 194 406.42 5.50 4.30 % Jingneng Clean Energy Co., Ltd 2014/2017 . . . . . . CNH 10 000 000 10 000 000 % 100.494 1 506 615.29 0.30 4.50 % Maikun Investment Co. Ltd 2014/2017 . . . . . . . . . CNH 130 000 000 % 100.375 19 562 903.38 3.96 5.50 % New World China Land Ltd 2013/2018 . . . . . . . . . . CNH 12 600 000 21 900 000 % 101.664 1 920 446.17 0.39 3.95 % Panda Funding Investment 2013 2013/2016 . . . . . CNH 157 000 000 75 000 000 % 99.872 23 507 573.29 4.76 4.40 % Ping An International Finance 2014/2017 . . . . . . . . CNH 20 000 000 % 100.26 3 006 229.25 0.61 10.75 % Powerlong Real Estate Holdings Ltd 2014/2017 . . CNH 51 500 000 10 000 000 % 103.114 7 961 396.67 1.61 5.25 % Rosy Capital Global Ltd 2015/2018 . . . . . . . . . . . . . CNH 6 360 000 6 360 000 % 100.09 954 359.95 0.19 4.50 % Sinitrans Sailing Ltd 2014/2017 . . . . . . . . . . . . . . . . CNH 63 500 000 42 000 000 % 100.099 9 529 450.61 1.93 5.55 % Start Plus Investments Ltd 2015/2018 . . . . . . . . . . CNH 87100000 35000000 % 100.5625 13131629.35 2.66 0.00 % Starway Assets Enterprises, Inc. 2014/2017 . . . . . CNH 27 110 000 80 000 000 % 100.264 4 075 086.00 0.82 10.00 % Trade and Development Bank of Mongolia

2014/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 3 000 000 1 000 000 % 100.519 452 099.28 0.09 5.60 % Unican Ltd 2014/2017 . . . . . . . . . . . . . . . . . . . . . . . CNH 112 600 000 10 000 000 % 101.233 17 089 324.53 3.46 5.70 % Universal Number One Co., Ltd 2014/2017 . . . . . . CNH 58 900 000 7 000 000 % 100.096 8 838 863.29 1.79 0.00 % Vast Expand Ltd 2014/2017 . . . . . . . . . . . . . . . . . . CNH 80 200 000 % 98.242 11 812 280.53 2.39 5.15 % Yieldking Investment Ltd 2014/2017 . . . . . . . . . . . CNH 31 100 000 18 000 000 % 99.909 4 658 320.88 0.94 7.25 % 361 Degrees International Ltd 2016/2021 . . . . . . . USD 980 000 980 000 % 103.828 1 017 514.40 0.21 8.375 % Agile Property Holdings Ltd 2014/2019 . . . . . . . . . USD 700 000 700 000 1 900 000 % 107.076 749 532.00 0.15 7.25 % Biostime International Holdings Ltd -Reg-

2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 600 000 1 600 000 % 103.593 1 657 488.00 0.34 8.75 % Central China Real Estate Ltd 2015/2021 . . . . . . . . USD 1 220 000 2 680 000 % 105.512 1 287 246.40 0.26 6.25 % Chalco Hong Kong Investment Co. -Reg-

2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 900 000 600 000 % 101.676 915 084.00 0.19 10.875 % China Aoyuan Property Group Ltd 2015/2018 . . . . USD 4 030 000 2 120 000 % 108.882 4 387 944.60 0.89 6.525 % China Aoyuan Property Group Ltd 2016/2019 . . . . USD 600 000 1 340 000 740 000 % 100.901 605 406.00 0.12 4.00 % China Life Insurance Co. 2015/2075 * . . . . . . . . . . USD 15 370 000 11 700 000 % 100.289 15 414 419.30 3.09 10.00 % China SCE Property Holdings Ltd 2015/2020 . . . . . USD 3 350 000 2 200 000 % 111.113 3 722 285.50 0.75 8.25 % China South City Holdings Ltd 2014/2019 . . . . . . . USD 2 460 000 4 360 000 % 100.085 2 462 091.00 0.50 2.75 % CICC Hong Kong Finance 2016 MTN Ltd (MTN)

2016/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 000 000 3 000 000 % 100.973 3 029 190.00 0.61 3.70 % CITIC Ltd (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . USD 6 700 000 6 700 000 % 100.893 6 759 831.00 1.37 3.00 % CNOOC Finance 2013 Ltd 2013/2023 . . . . . . . . . . USD 3 000 000 3 000 000 % 99.643 2 989 290.00 0.61 7.50 % Country Garden Holdings Co., Ltd 2015/2020 . . . . USD 2 600 000 2 600 000 % 107.823 2 803 398.00 0.57 7.875 % Credit Agricole SA -Reg- 2014/2049 * . . . . . . . . . . USD 1 500 000 1 500 000 % 96.066 1 440 990.00 0.29 6.25 % Credit Suisse Group AG -Reg- 2014/2049 * . . . . . . USD 1 500 000 1 500 000 % 94.519 1 417 785.00 0.29 5.50 % Dawn Victor Ltd 2015/2018 . . . . . . . . . . . . . . . . . . USD 17 400 000 13 400 000 % 103.159 17 949 666.00 3.63 2.875 % Double Charm Ltd 2015/2018 . . . . . . . . . . . . . . . . . USD 8 420 000 18 580 000 % 101.187 8 519 945.40 1.72 3.625 % Double Rosy Ltd 2014/2019 . . . . . . . . . . . . . . . . . . USD 1 800 000 2 000 000 200 000 % 103.124 1 856 232.00 0.37 5.55 % Far East Horizon Ltd 2014/2049 * . . . . . . . . . . . . . . USD 1 400 000 400 000 % 101.702 1 423 828.00 0.29 10.25 % Future Land Development Holdings Ltd

2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 221 000 1 150 000 1 050 000 % 110.473 2 453 605.33 0.50 5.875 % Greentown China Holdings Ltd 2015/2020 . . . . . . . USD 625 000 625 000 % 106.289 664 306.25 0.13 6.875 % HSBC Holdings Plc 2016/2049 * . . . . . . . . . . . . . . . USD 2 800 000 2 800 000 % 99.983 2 799 524.00 0.57 3.75 % Huarong Finance II Co Ltd 2015/2020 . . . . . . . . . . USD 4 600 000 5 000 000 400 000 % 103.885 4 778 710.00 0.97 11.25 % Logan Property Holdings Co., Ltd -Reg-

2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 225 000 200 000 % 111.275 1 363 118.75 0.28 6.75 % Longfor Properties Co., Ltd 2013/2023 . . . . . . . . . . USD 500 000 900 000 400 000 % 107.931 539 655.00 0.11 9.625 % Oceanwide Holdings International 2015 Co., Ltd

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 660 000 1 200 000 % 107.974 2 872 108.40 0.58 11.75 % Oceanwide Real Estate International Holdings Co.,

Ltd 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 5 100 000 % 111.18 444 720.00 0.09 4.125 % Proven Honour Capital Ltd 2016/2026 . . . . . . . . . . USD 2 000 000 2 000 000 % 104.001 2 080 020.00 0.42 2.875 % Rail Transit International Investment Co.,

Ltd 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 5 000 000 5 000 000 % 98.991 4 949 550.00 1.00 8.375 % Shimao Property Holdings Ltd 2015/2022 . . . . . . . USD 1 250 000 1 250 000 1 980 000 % 113.185 1 414 812.50 0.29 8.00 % Societe Generale SA -Reg- 2015/2049 * . . . . . . . . . USD 2 000 000 2 000 000 % 95.869 1 917 380.00 0.39 8.50 % STATS ChipPAC Ltd 2015/2020 . . . . . . . . . . . . . . . USD 2 400 000 600 000 % 103.971 2 495 304.00 0.51 8.75 % Sunac China Holdings Ltd 2014/2019 . . . . . . . . . . . USD 1 308 000 1 200 000 % 109.683 1 434 653.64 0.29 11.45 % Times Property Holdings Ltd 2015/2020 . . . . . . . . USD 480 000 200 000 % 112.839 541 627.20 0.11 8.50 % Trillion Chance Ltd 2014/2019 . . . . . . . . . . . . . . . . . USD 2 250 000 2 250 000 % 106.492 2 396 070.00 0.49




80

5.375 % Tuspark Forward Ltd 2015/2018 . . . . . . . . . . . . . . . USD 4 400 000 200 000 % 102.362 4 503 928.00 0.91 6.875 % UBS Group AG 2016/2049 * . . . . . . . . . . . . . . . . . . USD 1 800 000 1 800 000 % 98.101 1 765 818.00 0.36 5.25 % Unigroup International Holdings Ltd 2015/2018 . . . USD 3 000 000 3 000 000 % 103.422 3 102 660.00 0.63 9.00 % Yuzhou Properties Co. 2014/2019 . . . . . . . . . . . . . . USD 900 000 % 109.376 984 384.00 0.20 6.95 % Zhongrong International Bond 2016 Ltd 2016/2019 USD 5 050 000 7 600 000 2 550 000 % 100.326 5 066 463.00 1.03 Securities admitted to or included in organized markets 2 027 700.00 0.41 Interest-bearing securities 4.20 % Newcrest Finance Pty Ltd 2012/2022 . . . . . . . . . . . USD 2 000 000 2 000 000 % 101.385 2 027 700.00 0.41 Unlisted securities 36 173 769.36 7.32 Interest-bearing securities 6.40 % Bohai General Capital 2014/2017 . . . . . . . . . . . . . . CNH 34 000 000 % 75.146 3 830 444.59 0.78 4.50 % Eastern Dragon International 2014/2019 . . . . . . . . . CNH 71 000 000 % 101.358 10 788 989.75 2.18 6.90 % UA Finance BVI Ltd (MTN) 2013/2018 . . . . . . . . . . CNH 7 300 000 3 700 000 % 100.925 1 104 551.62 0.22 5.15 % Unican Ltd 2015/2018 . . . . . . . . . . . . . . . . . . . . . . . CNH 44 060 000 35 000 000 % 100.554 6 642 176.37 1.34 0.00 % Yunnan Energy Investement Overseas Co., Ltd

2014/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 60 000 000 % 99.318 8 933 907.03 1.81 5.50 % Bank of East Asia Ltd/The 2015/49/1* . . . . . . . . . . USD 5 000 000 500 000 2 000 000 % 97.474 4 873 700.00 0.99

Investment fund units 23 014 749.14 4.66 In-group fund units Deutsche Invest II - DWS Invest II China High Income Bonds -E2- USD - (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 179 508 79 219 USD 128.21 23 014 749.14 4.66 Total securities portfolio 473 207 042.05 95.79 Derivatives (Minus signs denote short positions) Interest rate derivatives -712 218.76 -0.14Receivables/payables Interest rate futures US Treasury Notes 10 year Futures 09/2016 (CBT) . . . . . . . . Count -63 -63 -712 218.76 -0.14 Currency derivatives -6 404 775.48 -1.30Receivables/payables Currency futures Currency futures (short) Closed positions USD/CHF 1.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 752.59 0.00USD/EUR 10.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -91 319.21 -0.02 Currency futures (long) Open positions CHF/USD 21.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -215 094.78 -0.04CNH/USD 1 080.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 144 419.82 -0.43EUR/USD 243 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 950 189.08 -0.81 Cash at bank 19 720 556.78 3.99 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 89 026 98 965.67 0.02 Deposits in non-EU/EEA currencies Chinese offshore yuan renminbi . . . . . . . . . . . . . . . . . . . . . . . CNH 74 897 476 11 228 754.38 2.27U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 8 392 836.73 1.70 Other assets 10 127 209.42 2.05Prepaid placement fee ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95 427.11 0.02Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 238 403.38 1.26Receivables from exceeding the expense cap . . . . . . . . . . . . 6 521.57 0.00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 786 857.36 0.77 Receivables from share certificate transactions 57 178.54 0.01 Total assets *** 503 111 986.79 101.84 Other liabilities -597 564.77 -0.12



81

Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -597 564 .77 -0 .12Liabilities from share certificate transactions -1 367 686.73 -0.28 Total liabilities -9 082 245.74 -1.84 Net assets 494 029 741.05 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .


Net asset value per share Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 106 .94Class CHF LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 105 .15Class RMB FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 116 .76Class RMB LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 115 .16Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 115 .78Class FDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101 .40Class IDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 93 .77Class LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 112 .91Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 .53Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 125 .54Class NCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 111 .13Class NDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92 .73Class PFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 .11Class PFDQH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 95 .46Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 995 .29Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 992 .53Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 118 .16Class USD FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 101 .17Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 115 .23Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 102 .84Class USD LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 .27Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 98 .78 Number of shares outstanding Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 130Class CHF LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 176 532Class RMB FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 762 109Class RMB LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 427 185Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 283 198Class FDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class IDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 104Class LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 016 043Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 727 722Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 56 012Class NCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 135 301Class NDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 329Class PFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 606Class PFDQH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 538Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 191 239Class USD FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 68 563Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 879 251Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class USD LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 539Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106 Composition of the reference portfolio (according to CSSF circular 11/512)DB Offshore Renminbi Bond Index USD

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 85 .704 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 97 .796 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 90 .579 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .4, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 184 912 683 .21 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .



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Securities traded on an exchange Interest-bearing securities 3.70 % Banco Bradesco SA 2013/2016 . . . . CNH 35 000 000 4.10 % Banco BTG Pactual Cayman

2013/2016 . . . . . . . . . . . . . . . . . . . . . CNH 135 000 000 7.875 % China Singyes Solar Technologies

Holdings Ltd 2014/2017 . . . . . . . . . . CNH 20 000 000 4.50 % Far East Horizon Ltd 2013/2016 . . . . CNH 184 000 000 3.60 % Russian Agricultural Bank JSC

2013/2016 . . . . . . . . . . . . . . . . . . . . . CNH 44 370 000 5.80 % Unican Ltd 2014/2017 . . . . . . . . . . . . CNH 10 700 000 4.75 % Value Success International Ltd

2013/2018 . . . . . . . . . . . . . . . . . . . . . CNH 70 500 000 6.00 % Indust. & Comm. Bank China

2014/2049 * . . . . . . . . . . . . . . . . . . . EUR 13 038 000 13 038 000 9.00 % Agile Property Holdings Ltd

2015/2020 . . . . . . . . . . . . . . . . . . . . . USD 970 000 3.50 % Bluestar Finance Holdings Ltd

2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 5 085 000 6.875 % China Hongqiao Group Ltd

2014/2018 . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 1 500 000 6.80 % CITIC Pacific Ltd -Reg- 2012/2023 . . USD 3 000 000 3 000 000 3.90 % HSBC Holdings Plc 2016/2026 . . . . . USD 3 400 000 3 400 000 8.50 % Hsin Chong Construction Group Ltd

2016/2019 . . . . . . . . . . . . . . . . . . . . . USD 1 200 000 1 200 000 6.00 % Industrial & Commercial Bank

of China Ltd -Reg- 2014/2049 * . . . . USD 1 000 000 1 000 000 8.25 % KWG Property Holding Ltd

2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 3.905 % Malayan Banking Bhd 2016/2026 * . USD 2 200 000 2 200 000 5.875 % QBE Insurance Group Ltd (MTN)

2016/2046 * . . . . . . . . . . . . . . . . . . . USD 3 900 000 3 900 000 10.125 % Shui On Development Holding Ltd

-Reg- 2012/2049 * . . . . . . . . . . . . . . . USD 1 000 000 3.108 % TMB Bank PCL/Cayman Islands (MTN)

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 7.20 % Yancoal International Trading Co.,

Ltd 2014/2049 * . . . . . . . . . . . . . . . . USD 1 000 000


Unlisted securities Interest-bearing securities 8.125 % Shimao Property Holding Ltd

2014/2021 . . . . . . . . . . . . . . . . . . . . . USD 1 520 000

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown)

Value (’000)Futures contracts

Interest rate futures Contracts purchased (Underlying: US Treasury Note 10-Year) USD 57 767 Currency futures (short) Futures contracts to sell currencies CNY/CNH USD 113 509USD/CHF USD 160 962USD/CNH USD 73 000USD/CNY USD 20 000USD/EUR USD 2 030 544 Currency futures (long) Futures contracts to purchase currencies CHF/USD USD 130 510CNH/USD USD 158 000CNY/CNH USD 376 936CNY/USD USD 60 000EUR/USD USD 1 634 611


Futures exchangesCBT = Chicago Board of Trade

Contracting parties for currency futuresCrédit Suisse London Branch (GFX), HSBC Bank USA and State Street Bank and Trust Company Exchange rates (indirect quotes)

As of: June 30, 2016

Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 0.974750 = USD 1Chinese offshore yuan renminbi . . . . . CNH 6.670150 = USD 1Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0.899564 = USD 1 Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are valued to a small extent at derived market values. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes

* Floating interest rate. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations).

*** Does not include positions with a negative balance, if such exist.




83

Securities traded on an exchange 120 007 777.16 93.28 Equities AAC Technologies Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . Count 365 500 211 000 HKD 65.9 2 792 574.12 2.17Alibaba Health Information Technology Ltd . . . . . . . . . . . . . . Count 768 000 HKD 5.69 506 646.91 0.39Alibaba Pictures Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 110 000 2 110 000 HKD 1.8 440 338.72 0.34Bank of China Ltd -H- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 003 000 5 594 000 HKD 3.1 4 314 032.50 3.35BBMG Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 725 000 6 210 500 2 167 500 HKD 2.31 1 801 093.18 1.40Beijing Enterprises Water Group Ltd . . . . . . . . . . . . . . . . . . . Count 2 758 000 1 466 000 960 000 HKD 4.67 1 493 286.21 1.16Beijing Urban Construction Design & Development Group Co Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 960 000 1 960 000 HKD 4.2 954 415.04 0.74Brilliance China Automotive Holdings Ltd . . . . . . . . . . . . . . . . Count 716 000 960 000 954 000 HKD 7.91 656 631.05 0.51BYD Electronic International Co., Ltd . . . . . . . . . . . . . . . . . . . Count 1 251 000 1 251 000 HKD 4.34 629 475.67 0.49China Communications Construction Co., Ltd -H- . . . . . . . . . Count 2 507 000 2 992 000 485 000 HKD 8.3 2 412 483.43 1.88China Construction Bank Corp. -H- . . . . . . . . . . . . . . . . . . . . . Count 10 964 000 3 100 000 5 332 000 HKD 5.13 6 521 061.62 5.07China Galaxy Securities Co Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 809 000 1 006 500 HKD 6.94 650 938.42 0.51China Insurance International Holdings Co., Ltd . . . . . . . . . . . Count 715 000 586 800 HKD 14.44 1 197 030.31 0.93China Longyuan Power Group Corp. . . . . . . . . . . . . . . . . . . . . Count 1 703 000 1 703 000 HKD 6.39 1 261 674.77 0.98China Mengniu Dairy Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 419 000 419 000 HKD 13.48 654 840.95 0.51China Merchants Bank Co., Ltd -H- . . . . . . . . . . . . . . . . . . . . . Count 724 500 291 500 HKD 17.3 1 453 169.94 1.13China Mobile Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 940 500 512 000 322 500 HKD 88.75 9 677 408.51 7.52China Overseas Land & Investment Ltd . . . . . . . . . . . . . . . . . Count 1 364 000 382 000 HKD 24.5 3 874 470.58 3.01China Pacific Insurance Group Co., Ltd . . . . . . . . . . . . . . . . . . Count 349 400 171 800 HKD 26.1 1 057 292.91 0.82China Petroleum & Chemical Corp. -H- . . . . . . . . . . . . . . . . . . Count 6 174 000 4 822 000 2 602 000 HKD 5.59 4 001 385.05 3.11China Resources Land Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 579 111 194 000 790 000 HKD 18.1 1 215 268.67 0.94China Shenhua Energy Co., Ltd -H- . . . . . . . . . . . . . . . . . . . . . Count 858 000 858 000 HKD 14.26 1 418 530.66 1.10China Unicom Hong Kong Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 448 000 1 624 000 HKD 8.04 3 214 069.16 2.50China Vast Industrial Urban Development Co., Ltd 144A . . . . Count 6 759 000 3 539 000 HKD 2.94 2 303 889.73 1.79Chu Kong Shipping Enterprise Group Co., Ltd . . . . . . . . . . . . Count 8 274 000 1 148 000 HKD 2 1 918 569.01 1.49CITIC Securities Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 601 000 601 000 HKD 17.04 1 187 342.39 0.92Far East Horizon Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 886 000 HKD 6.02 618 389.53 0.48Guangzhou Automobile Group Co., Ltd . . . . . . . . . . . . . . . . . Count 574 000 574 000 HKD 9.22 613 584.99 0.48Huaneng Renewables Corp. Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 4 066 000 9 202 000 11 010 000 HKD 2.56 1 206 810.98 0.94Industrial & Commercial Bank of China Ltd -H-. . . . . . . . . . . . Count 12 246 956 4 696 000 7 331 000 HKD 4.29 6 091 403.41 4.73Longfor Properties Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 582 000 475 000 HKD 10.06 678 817.26 0.53Maanshan Iron & Steel Co Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 5 004 000 6 440 000 8 162 000 HKD 1.66 963 068.77 0.75Metallurgical Corp of China Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 7 289 000 7 289 000 HKD 2.36 1 994 398.16 1.55Moulin Global Eyecare . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 880 000 HKD 0 10.20 0.00Nexteer Automotive Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 1 368 000 1 368 000 1 551 000 HKD 7.06 1 119 754.23 0.87Ourgame International Holdings Ltd . . . . . . . . . . . . . . . . . . . . Count 1 345 000 617 000 HKD 3.47 541 107.65 0.42PetroChina Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 298 000 2 884 000 2 468 000 HKD 5.29 2 636 052.14 2.05PICC Property & Casualty Co., Ltd . . . . . . . . . . . . . . . . . . . . . Count 850 000 HKD 12.14 1 196 381.05 0.93Ping An Insurance Group Co. of China Ltd . . . . . . . . . . . . . . . Count 752 500 312 500 HKD 34.15 2 979 402.14 2.32Semiconductor Manufacturing International Corp. . . . . . . . . . Count 16 834 000 HKD 0.62 1 210 071.20 0.94Shanghai Jin Jiang International Hotels Group Co., Ltd . . . . . Count 2 342 000 HKD 2.54 689 687.76 0.54Shenzhen International Holdings Ltd . . . . . . . . . . . . . . . . . . . Count 1 384 500 919 500 728 500 HKD 11.2 1 797 806.29 1.40Sinopharm Group Co. Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 435 200 201 200 161 200 HKD 36.95 1 864 383.46 1.45Sunny Optical Technology Group Co., Ltd . . . . . . . . . . . . . . . Count 203 000 203 000 HKD 27.2 640 172.26 0.50Tencent Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 575 290 233 400 HKD 176.3 11 759 017.85 9.14Texwinca Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 884 000 142 000 HKD 5.76 590 346.05 0.46Tongda Group Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 430 000 3 430 000 HKD 1.51 600 486.13 0.4758.com, Inc. -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 446 14 208 11 279 USD 46.38 1 812 644.38 1.41Alibaba Group Holding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 142 397 99 639 USD 78.8 10 093 902.93 7.85Baidu, Inc. -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 791 8 187 4 049 USD 162.49 1 431 151.98 1.11Ctrip.com International Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . Count 51 245 50 547 15 905 USD 40.81 1 881 265.79 1.46JD.com, Inc. -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 73 922 34 762 53 011 USD 20.41 1 357 215.40 1.05NetEase, Inc. -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 462 16 462 USD 187.4 2 775 135.87 2.16New Oriental Education & Technology Group, Inc. -ADR- . . . Count 49 853 49 625 USD 41.79 1 874 112.84 1.46SINA Corp./China . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 830 33 473 15 643 USD 51.36 823 774.65 0.64Vipshop Holdings Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 57 219 57 219 USD 10.87 559 502.30 0.43

Total securities portfolio 120 007 777.16 93.28 Cash at bank 6 705 137.05 5.21 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 6 327 882.70 4.92 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 551 1 875.01 0.00 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 0 0.26 0.00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 3 237 704 375 378.24 0.29U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 0.84 0.00




84

Other assets 1 490 400.44 1.16Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 478 934 .80 1 .15Receivables from exceeding the expense cap . . . . . . . . . . . . 3 290 .83 0 .00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 174 .81 0 .01 Receivables from share certificate transactions 1 542 085.47 1.20 Total assets 129 745 460.15 100.85 Other liabilities -865 353.26 -0.67Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -209 386 .05 -0 .16Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -655 967 .21 -0 .51 Liabilities from share certificate transactions -228 142.71 -0.18 Total liabilities -1 093 556.00 -0.85 Net assets 128 651 904.15 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 179 .87Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 166 .04Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 156 .24Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 108 .35Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 154 .20Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 143 .96 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 84 400Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 561 206Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 922Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 067Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 086Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 517 Composition of the reference portfolio (according to CSSF circular 11/512)MSCI China 10/40 Index in EUR Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 88 .620 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 106 .718 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 98 .137 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0 .00 as of the reporting date . Exchange rates (indirect quotes)

As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .494856 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1



85

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus.

If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are valued to a minor extent at derived market values.






Equities 3SBio, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 576 000 576 000Air China Ltd -H- . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 048 000Aluminum Corp. of China Ltd -H- . . . . . . . . . . . . Count 8 110 000Anhui Conch Cement Co., Ltd -H- . . . . . . . . . . . . Count 305 000 305 000Bitauto Holdings Ltd -ADR- . . . . . . . . . . . . . . . . . Count 27 785 27 785China Biologic Products, Inc. . . . . . . . . . . . . . . . . Count 6 725China CITIC Bank Corp., Ltd -H- . . . . . . . . . . . . . Count 4 068 000China Everbright Ltd . . . . . . . . . . . . . . . . . . . . . . Count 630 000China International Capital Corp Ltd . . . . . . . . . . Count 595 200China Life Insurance Co., Ltd -H- . . . . . . . . . . . . Count 511 000China Pharmaceutical Group Ltd . . . . . . . . . . . . . Count 882 000China Power International Development Ltd . . . Count 4 136 000China Resources Cement Holdings Ltd . . . . . . . Count 2 438 000 2 438 000China Shipping Development Co., Ltd -H- . . . . . Count 2 170 000China ZhengTong Automotive Service Holding Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 428 000CNOOC Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 192 000Country Garden Holdings Co., Ltd . . . . . . . . . . . Count 481 000 2 178 000CRCC High Tech Equipment . . . . . . . . . . . . . . . . Count 500 1 390 000Dongfeng Motor Group Co., Ltd -H- . . . . . . . . . . Count 598 000 598 000Dynagreen Environmental Protection Group Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 078 000Greentown China Holdings Ltd . . . . . . . . . . . . . . Count 1 743 000Guangzhou R&F Properties Co., Ltd -H- . . . . . . . Count 1 786 400 3 504 800Harbin Bank Co., Ltd . . . . . . . . . . . . . . . . . . . . . . Count 2 438 000Hong Kong Exchanges and Clearing Ltd . . . . . . . Count 65 200Huarong International Financial Holdings Ltd . . . Count 1 613 000 1 613 000IMAX China Holding Inc . . . . . . . . . . . . . . . . . . . Count 118 800 118 800Nameson Holdings Ltd . . . . . . . . . . . . . . . . . . . . Count 2 888 000 2 888 000


New China Life Insurance Co., Ltd . . . . . . . . . . . Count 506 000Nine Dragons Paper Holdings Ltd . . . . . . . . . . . . Count 851 000 2 944 000Sihuan Pharmaceutical Holdings Group Ltd . . . . Count 7 340 000Sino Biopharmaceutical Ltd . . . . . . . . . . . . . . . . . Count 3 223 000 3 223 000Sino-Ocean Land Holdings Ltd . . . . . . . . . . . . . . Count 3 827 500Sinotruk Hong Kong Ltd . . . . . . . . . . . . . . . . . . . Count 1 737 500 1 737 500SouFun Holdings Ltd -ADR- . . . . . . . . . . . . . . . . Count 270 701Xinyi Glass Holding Co., Ltd . . . . . . . . . . . . . . . . Count 1 170 000 1 170 000Zhuzhou CSR Times Electric Co., Ltd -H- . . . . . . Count 231 500Zijin Mining Group Co., Ltd -H- . . . . . . . . . . . . . . Count 2 376 000 2 376 000Zoomlion Heavy Industry Science and Technology Co., Ltd . . . . . . . . . . . . . . . . . . . Count 4 698 000 4 698 000

Investment fund units

Non-group fund unitsHarvest Funds (Hong Kong) ETF - Harvest CSI Smallcap 500 Index ETF HKD - (0.600%) . . . . . . Units 500 000 500 000

86

Securities traded on an exchange 1 714 626 133.13 64.80 Interest-bearing securities 0.00 % Swiss Life Holding AG 2013/2020 * . . . . . . . . . . . . CHF 24 500 000 % 116.314 26 298 858.52 0.99 0.50 % Aabar Investments PJSC 2015/2020 * . . . . . . . . . . EUR 49 500 000 7 000 000 % 77.721 38 471 895.00 1.45 1.00 % Aabar Investments PJSC 2015/2022 . . . . . . . . . . . EUR 42 500 000 % 71.875 30 546 875.00 1.15 0.25 % Adidas AG 2012/2019 . . . . . . . . . . . . . . . . . . . . . . . EUR 4 000 000 26 000 000 % 157.596 6 303 840.00 0.24 0.00 % Airbus Group SE 2015/2022 * . . . . . . . . . . . . . . . . . EUR 14 000 000 2 800 000 % 100.415 14 058 100.00 0.53 0.00 % America Movil SAB de CV 2015/2020 . . . . . . . . . . EUR 70 000 000 4 500 000 32 000 000 % 98.575 69 002 500.00 2.61 1.00 % Criteria CaixaHolding SA 2013/2017 * . . . . . . . . . . EUR 10 000 000 2 600 000 % 98.474 9 847 400.00 0.37 0.60 % Deutsche Post AG 2012/2019 * . . . . . . . . . . . . . . . EUR 25 000 000 2 500 000 9 500 000 % 131.63 32 907 500.00 1.24 0.00 % Eni SpA (MTN) 2016/2022 * . . . . . . . . . . . . . . . . . . EUR 19 800 000 19 800 000 % 103.575 20 507 850.00 0.77 3.34 % Fonciere Des Regions 2011/2017 . . . . . . . . . . . . . . EUR 14 500 000 4 500 000 % 95.705 13 877 225.00 0.52 0.875 % Fonciere des Regions 2013/2019 * . . . . . . . . . . . . EUR 10 000 000 % 99.258 9 925 850.00 0.38 1.125 % Fresenius Medical Care AG & Co. KGaA

2014/2020 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 17 500 000 12 500 000 % 124.119 21 720 825.00 0.82 0.00 % Fresenius SE & Co. KGaA 2014/2019 . . . . . . . . . . . EUR 13 000 000 5 500 000 % 137.765 17 909 450.00 0.68 0.00 % Haniel Finance Deutschland GmbH 2015/2020 * . . EUR 18 300 000 % 102.303 18 721 449.00 0.71 0.00 % Iberdrola International BV 2015/2022 * . . . . . . . . . . EUR 16 000 000 9 900 000 % 96.882 15 501 120.00 0.59 0.25 % International Consolidated Airlines Group SA

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 17 800 000 % 88.382 15 731 996.00 0.59 0.625 % International Consolidated Airlines Group SA

2015/2022 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 17 800 000 % 87.353 15 548 834.00 0.59 3.375 % Magyar Nemzeti Vagyonkezelo Zrt 2013/2019 . . . . EUR 28 500 000 9 000 000 % 112.963 32 194 455.00 1.22 0.125 % MTU Aero Engines AG 2016/2023 * . . . . . . . . . . . . EUR 14 600 000 14 600 000 % 101.232 14 779 872.00 0.56 0.00 % RAG-Stiftung (MTN) 2015/2021 * . . . . . . . . . . . . . . EUR 24 000 000 6 000 000 % 107.14 25 713 600.00 0.97 0.375 % Sagerpar SA 2013/2018 . . . . . . . . . . . . . . . . . . . . . EUR 20 000 000 % 106.135 21 227 000.00 0.80 0.00 % Solidium Oyj 2014/2018 * . . . . . . . . . . . . . . . . . . . . EUR 18 600 000 16 400 000 % 102.111 18 992 646.00 0.72 1.25 % Steinhoff Finance Holdings GmbH 2015/2022 * . . . EUR 37 500 000 % 99.069 37 150 875.00 1.41 1.25 % Steinhoff Finance Holdings GmbH 2016/2023 . . . . EUR 30 000 000 30 000 000 % 96.75 29 025 000.00 1.10 0.00 % Suez Environnement Co. 2014/2020 * . . . . . . . . . . EUR 110 000 000 % 19.891 21 880 100.00 0.83 0.875 % Technip SA 2016/2021 * . . . . . . . . . . . . . . . . . . . . . EUR 6 000 000 6 000 000 % 116.762 7 005 720.00 0.26 1.125 % Telecom Italia SpA 2015/2022 * . . . . . . . . . . . . . . . EUR 30 000 000 35 000 000 % 94.84 28 452 000.00 1.08 0.00 % Telefonica Participaciones SAU (MTN) 2016/2021 . EUR 30 000 000 30 000 000 % 98.227 29 468 100.00 1.11 0.00 % Unibail-Rodamco SE 2014/2021 * . . . . . . . . . . . . . . EUR 5 055 200 % 318.04 16 077 558.08 0.61 0.00 % Unibail-Rodamco SE 2015/2022 . . . . . . . . . . . . . . . EUR 3 980 500 % 347.82 13 844 975.10 0.52 0.00 % British Land Company Plc 2015/2020 * . . . . . . . . . GBP 14 000 000 5 000 000 7 400 000 % 92.336 15 624 996.19 0.59 1.50 % British Land Jersey Ltd 2012/2017 * . . . . . . . . . . . GBP 7 000 000 9 100 000 10 000 000 % 104.004 8 799 631.19 0.33 1.125 % Derwent London Capital No 2 Jersey Ltd

2013/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 7 500 000 % 103.7 9 400 663.24 0.36 0.90 % National Grid North America Inc 2015/2020 . . . . . . GBP 17 000 000 2 700 000 % 104.142 21 398 991.73 0.81 2.625 % Remgro Jersey GBP Ltd 2016/2021 . . . . . . . . . . . . GBP 15 000 000 15 000 000 % 110.377 20 011 899.84 0.76 0.00 % Vodafone Group PLC 2015/2020 * . . . . . . . . . . . . . GBP 25 000 000 5 500 000 % 97.772 29 544 250.94 1.12 0.50 % Shenzhou International Group Holdings Ltd

2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 120 000 000 % 114.75 15 964 887.14 0.60 0.00 % Asics Corp. 2014/2019 . . . . . . . . . . . . . . . . . . . . . . JPY 2 400 000 000 500 000 000 % 104.722 21 996 289.29 0.83 0.00 % Chugoku Electric Power Co, Inc. 2015/2018 . . . . . JPY 1 400 000 000 1 870 000 000 % 100.2 12 277 164.75 0.46 0.00 % Chugoku Electric Power Co., Inc. 2015/2020 . . . . . JPY 1 500 000 000 1 840 000 000 % 100.575 13 203 334.53 0.50 0.00 % Nagoya Railroad Co Ltd 2014/2024 . . . . . . . . . . . . . JPY 2 470 000 000 400 000 000 % 115.225 24 908 409.49 0.94 0.00 % Sony Corp 2015/2022 . . . . . . . . . . . . . . . . . . . . . . . JPY 2 750 000 000 850 000 000 % 104.751 25 211 181.45 0.95 0.00 % Sumitomo Forestry Co., Ltd 2013/2018 . . . . . . . . . JPY 1 000 000 000 % 103.765 9 081 408.62 0.34 0.00 % Suzuki Motor Corp. 2016/2021 . . . . . . . . . . . . . . . . JPY 1 250 000 000 1 250 000 000 % 103.625 11 336 444.95 0.43 0.00 % Suzuki Motor Corp. 2016/2023 . . . . . . . . . . . . . . . . JPY 4 500 000 000 4 500 000 000 % 104.575 41 185 345.51 1.56 0.00 % Takashimaya Co., Ltd 2013/2018 . . . . . . . . . . . . . . JPY 2 300 000 000 1 700 000 000 % 99.575 20 043 819.25 0.76 0.00 % Takashimaya Co., Ltd Zero Coupon 2013/2020 . . . JPY 1 500 000 000 1 500 000 000 % 99.75 13 095 029.77 0.49 0.00 % Terumo Corp. 2014/2019 . . . . . . . . . . . . . . . . . . . . JPY 1 520 000 000 1 980 000 000 % 123.525 16 432 391.64 0.62 0.00 % Terumo Corp. 2014/2021 . . . . . . . . . . . . . . . . . . . . JPY 1 890 000 000 300 000 000 1 910 000 000 % 127.102 21 024 139.22 0.79 0.00 % Tohoku Electric Power Co Inc 2015/2018 . . . . . . . . JPY 1 130 000 000 % 100.125 9 902 008.60 0.37 0.00 % Tohoku Electric Power Co Inc 2015/2020 . . . . . . . . JPY 2 150 000 000 % 100.625 18 934 187.78 0.72 0.00 % Toppan Printing Co., Ltd 2013/2019 . . . . . . . . . . . . JPY 3 000 000 000 500 000 000 % 104.5 27 437 205.23 1.04 0.00 % Toray Industries, Inc. 2014/2021 . . . . . . . . . . . . . . . JPY 2 360 000 000 300 000 000 % 120.028 24 791 162.91 0.94 0.00 % Toray Industries, Inc. 2014/2021 . . . . . . . . . . . . . . . JPY 2 500 000 000 300 000 000 % 113.282 24 785 817.25 0.94 0.00 % Unicharm Corp 2015/2020 . . . . . . . . . . . . . . . . . . . JPY 3 670 000 000 300 000 000 % 115.9 37 226 467.49 1.41 0.00 % Yamada Denki Co. Ltd 2014/2019 . . . . . . . . . . . . . JPY 3 050 000 000 2 800 000 000 % 114.99 30 694 618.50 1.16 0.00 % Industrivarden AB 2014/2019 . . . . . . . . . . . . . . . . . SEK 140 000 000 % 110.14 16 346 515.02 0.62 1.85 % CapitaLand Ltd 2013/2020 . . . . . . . . . . . . . . . . . . . SGD 45 000 000 % 95.375 28 647 445.59 1.08 1.95 % CapitaLand Ltd -Reg- 2013/2023 . . . . . . . . . . . . . . . SGD 27 500 000 7 500 000 % 99.75 18 309 835.25 0.69 0.50 % AYC Finance Ltd -Reg- 2014/2019 . . . . . . . . . . . . . USD 12 000 000 % 107.949 11 652 844.10 0.44 1.875 % Brenntag Finance BV 2015/2022 * . . . . . . . . . . . . . USD 18 250 000 18 250 000 % 103.333 16 964 223.04 0.64 0.00 % China Ovres FIN KY 5 2015/2023 . . . . . . . . . . . . . . USD 26 600 000 6 600 000 % 101.366 24 255 384.01 0.92 0.00 % China Railway Construction Corp., Ltd 2016/2021 . USD 13 500 000 13 500 000 % 115.891 14 073 935.15 0.53 0.00 % CRRC Corp., Ltd 2016/2021 . . . . . . . . . . . . . . . . . . USD 8 000 000 8 000 000 % 103.5 7 448 389.92 0.28 1.75 % DP World Ltd 2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 44 400 000 9 000 000 % 98.05 39 161 599.37 1.48 0.00 % ENN Energy Holdings Ltd 2013/2018 . . . . . . . . . . USD 30 000 000 % 104.838 28 292 547.18 1.07 0.00 % Gunma Bank Ltd 2014/2019 * . . . . . . . . . . . . . . . . USD 15 000 000 3 500 000 % 93.396 12 602 351.90 0.48 0.00 % LVMH Moet Hennessy Louis Vuitton SE

Zero Coupon 2016/2021 * . . . . . . . . . . . . . . . . . . . . USD 10 000 000 10 000 000 % 249.85 22 475 606.53 0.85 1.00 % National Bank of Abu Dhabi PJSC 2013/2018. . . . . USD 19 000 000 11 000 000 % 98.75 16 878 069.54 0.64 0.375 % Qiagen NV 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . USD 29 000 000 3 600 000 % 101.5 26 478 666.33 1.00 0.00 % ServiceNow, Inc. 2013/2018 . . . . . . . . . . . . . . . . . . USD 10 500 000 10 500 000 % 111.472 10 529 048.04 0.40 0.00 % Shizuoka Bank Ltd 2013/2018 . . . . . . . . . . . . . . . . . USD 25 000 000 8 000 000 18 000 000 % 96.625 21 730 092.87 0.82 1.05 % Siemens Financieringsmaatschappij NV

2015/2017 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 35 750 000 31 250 000 % 103.77 33 371 822.86 1.26


Count/ Quantity/ Purchases/ Sales/ Market price Total market % ofDescription units/ principal additions disposals value in net currency amount in the reporting period EUR assets


87

1.65 % Siemens Financieringsmaatschappij NV 2015/2019 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 33 500 000 30 750 000 % 109.062 32 866 263.39 1.24

0.00 % STMicroelectronics NV 2014/2019 . . . . . . . . . . . . . USD 43 000 000 % 92.982 35 966 601.72 1.36 1.00 % Subsea 7 SA 2012/2017 . . . . . . . . . . . . . . . . . . . . . USD 25 000 000 3 000 000 % 96.774 21 763 601.63 0.82 0.00 % The Joyo Bank Ltd -Reg- 2014/2019 * . . . . . . . . . . USD 18 500 000 % 95.125 15 830 639.71 0.60 0.50 % TOTAL SA 2015/2022 * . . . . . . . . . . . . . . . . . . . . . USD 53 000 000 3 000 000 % 100.599 47 962 476.57 1.81 0.00 % Yamaguchi Financial Group, Inc. 2013/2018 * . . . . USD 15 000 000 5 000 000 % 103.85 14 012 958.21 0.53 Securities admitted to or included in organized markets 660 144 999.36 24.94 Interest-bearing securities 0.00 % Akamai Technologies, Inc. . . . . . . . . . . . . . . . . . . . USD 26 000 000 29 500 000 % 98.174 22 961 470.04 0.87 3.00 % American Realty Capital Properties, Inc.

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 10 000 000 5 000 000 % 98.906 8 897 227.70 0.34 4.75 % Ares Capital Corp. 2012/2018 . . . . . . . . . . . . . . . . . USD 10 000 000 10 000 000 % 103.728 9 330 952.48 0.35 4.375 % Ares Capital Corp. 2013/2019 . . . . . . . . . . . . . . . . . USD 25 000 000 % 103.762 23 335 252.38 0.88 1.375 % Brocade Communications Systems, Inc.

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 24 000 000 24 000 000 % 98.24 21 209 560.16 0.80 0.50 % Citrix Systems, Inc. 2015/2019 . . . . . . . . . . . . . . . . USD 32 700 000 3 000 000 19 300 000 % 111.832 32 896 066.40 1.24 1.25 % Ctrip.com International Ltd 2013/2018 . . . . . . . . . . USD 15 000 000 15 000 000 % 121.092 16 339 500.58 0.62 1.00 % Ctrip.com International Ltd 2015/2020 . . . . . . . . . . USD 21 000 000 21 000 000 % 104.914 19 819 234.52 0.75 2.00 % Hologic Inc 2012/2042 . . . . . . . . . . . . . . . . . . . . . . USD 13 000 000 6 000 000 % 127.155 14 869 927.85 0.56 0.00 % Illumina, Inc. 2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 17 208 000 13 000 000 % 97.682 15 120 908.89 0.57 0.50 % Illumina, Inc. 2014/2021 * . . . . . . . . . . . . . . . . . . . . USD 16 000 000 16 000 000 % 99.557 14 329 262.90 0.54 3.25 % Intel Corp. 144A 2009/2039 . . . . . . . . . . . . . . . . . . USD 5 500 000 % 159.567 7 894 722.76 0.30 2.95 % Intel Corp. 2006/2035 . . . . . . . . . . . . . . . . . . . . . . . USD 21 160 000 % 127.888 24 343 192.07 0.92 1.875 % Jazz Investments I Ltd 2014/2021 . . . . . . . . . . . . . USD 10 000 000 % 107.3 9 652 321.72 0.36 1.25 % Lam Research Corp. 2011/2018 . . . . . . . . . . . . . . . USD 6 100 000 8 100 000 12 000 000 % 143.441 7 871 095.94 0.30 1.00 % Liberty Interactive LLC 144A 2013/2043 . . . . . . . . USD 23 000 000 % 86.562 17 909 653.56 0.68 0.50 % LinkedIn Corp 2014/2019 . . . . . . . . . . . . . . . . . . . . USD 12 500 000 42 500 000 % 98.78 11 107 422.71 0.42 1.625 % Microchip Technology, Inc. 2015/2025 . . . . . . . . . . USD 51 000 000 56 000 000 5 000 000 % 109.562 50 264 595.78 1.90 3.00 % Micron Technology, Inc. 2013/2043 . . . . . . . . . . . . USD 25 000 000 8 500 000 13 500 000 % 74.92 16 848 833.71 0.64 1.625 % Newmont Mining Corp. 2007/2017 . . . . . . . . . . . . . USD 32 000 000 7 000 000 15 000 000 % 111.114 31 985 185.43 1.21 1.00 % NXP Semicondustor NV 2015/2019 * . . . . . . . . . . . USD 21 500 000 33 500 000 % 108.734 21 029 739.56 0.79 3.75 % Old Republic International Corp. 2011/2018 . . . . . . USD 18 000 000 18 000 000 % 126.75 20 523 552.65 0.78 1.00 % ON Semiconductor Corp. 2015/2020 . . . . . . . . . . . USD 22 500 000 22 500 000 % 89.458 18 106 570.36 0.68 0.90 % Priceline Group Inc/The 2014/2021 . . . . . . . . . . . . . USD 17 500 000 14 500 000 % 101.332 15 952 137.07 0.60 4.75 % Prospect Capital Corp. 2014/2020 . . . . . . . . . . . . . . USD 27 000 000 % 94.997 23 073 087.94 0.87 0.25 % Red Hat Inc 2014/2019 * . . . . . . . . . . . . . . . . . . . . USD 33 000 000 3 000 000 % 121.228 35 987 273.70 1.36 0.25 % Salesforce.com, Inc. 2013/2018 . . . . . . . . . . . . . . . USD 30 000 000 7 000 000 % 128.938 34 796 394.90 1.31 1.25 % Tesla Motors Inc 2014/2021 . . . . . . . . . . . . . . . . . . USD 24 000 000 14 000 000 % 82.848 17 886 390.83 0.68 0.25 % Tesla Motors, Inc. 2014/2019 . . . . . . . . . . . . . . . . . USD 23 500 000 9 500 000 25 000 000 % 89.084 18 832 138.45 0.71 0.35 % The Priceline Group, Inc. 2013/2020 * . . . . . . . . . . USD 15 500 000 7 000 000 23 500 000 % 117.01 16 314 987.46 0.62 0.50 % Toll Brothers Finance Corp. 2012/2032 . . . . . . . . . . USD 10 000 000 5 000 000 % 97.688 8 787 660.80 0.33 0.25 % Twitter Inc 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . USD 20 000 000 11 500 000 % 91.657 16 490 267.50 0.62 2.75 % WellPoint, Inc. 2012/2042 . . . . . . . . . . . . . . . . . . . . USD 6 500 000 % 182.928 10 696 074.58 0.40 2.625 % Xilinx, Inc. 2010/2017 . . . . . . . . . . . . . . . . . . . . . . . USD 7 000 000 % 158.646 9 989 887.61 0.38 0.00 % Yahoo!, Inc. 2013/2018 . . . . . . . . . . . . . . . . . . . . . . USD 16 500 000 7 000 000 % 98.987 14 692 448.37 0.56 Unlisted securities 37 109 345.19 1.40 Interest-bearing securities 0.00 % LIXIL Group Corp 2015/2020 . . . . . . . . . . . . . . . . . . JPY 2 010 000 000 % 97.725 17 191 115.70 0.65 0.00 % LIXIL Group Corp 2015/2022 . . . . . . . . . . . . . . . . . . JPY 2 380 000 000 380 000 000 % 95.625 19 918 229.49 0.75 Total securities portfolio 2 411 880 477.68 91.14 Derivatives (Minus signs denote short positions) Equity index derivatives -6 275 768.83 -0.24Receivables/payables Equity index futures DJ EURO STOXX 50 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . Count -1 900 -1 900 -6 275 768.83 -0.24 Currency derivatives 9 337 964.79 0.35Receivables/payables Currency futures Euro Futures 09/2016 (CME) . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 304 2 304 -5 777 365.00 -0.22



88

Currency futures Currency futures (short) Open positionsEUR/CHF 21.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -27 669.99 0.00EUR/GBP 89.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -513 703.02 -0.02EUR/HKD 376.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170 812.51 0.01EUR/JPY 51 791.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 422 679.16 0.17EUR/SEK 146.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 858.15 0.00EUR/SGD 68.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -81 432.54 0.00EUR/USD 977.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 203 154.91 0.16

Closed positionsEUR/CHF 476.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 198 117.26 0.05EUR/GBP 7.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -7 705.17 0.00EUR/HKD 6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 213.37 0.00EUR/JPY 1 795.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255 397.23 0.01EUR/SEK 18.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -21 991.32 0.00EUR/SGD 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 534.81 0.00EUR/USD 71.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 651 487.60 0.02

Currency futures (long)

Open positionsCHF/EUR 70 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 322 596.67 0.01GBP/EUR 8.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -481 611.53 -0.02HKD/EUR 24.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39 373.99 0.00JPY/EUR 3 093.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 199 154.69 0.05SEK/EUR 632.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -864 230.62 -0.03SGD/EUR 4.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54 776.39 0.00USD/EUR 355.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 571 517.24 0.16

Cash at bank 200 649 268.14 7.58 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 55 368 779.99 2.08 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 6 041 701 7 302 602.87 0.28Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 611 505 170 837.75 0.01 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 660 277 441 699.31 0.02Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 239 262 767 27 740 036.81 1.05Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 2 312 653 475 20 240 111.01 0.76Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 465 212 429 328.79 0.02Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 652 390 435 457.61 0.02South Korean won . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 4 187 520 3 270.34 0.00U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 98 400 051 88 517 143.66 3.34 Other assets 42 519 652.92 1.61Prepaid placement fee ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . 206 414.03 0.01Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 559 984.24 0.17Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 753 254.65 1.43 Receivables from share certificate transactions 31 404 462.52 1.19 Total assets *** 2 703 567 535.24 102.16 Other liabilities -29 371 615.80 -1.11Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -29 371 615.80 -1.11 Liabilities from share certificate transactions -13 678 090.64 -0.52 Total liabilities -57 101 184.46 -2.16 Net assets 2 646 466 350.78 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



89


Net asset value per share Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 126 .82Class CHF LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 100 .11Class CHF RCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 99 .35Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 174 .24Class FC (CE) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 137 .68Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104 .59Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 161 .76Class LC (CE) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 114 .14Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 154 .57Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 153 .54Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .28Class RC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .41Class GBP DH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 159 .37Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 978 .69Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 975 .61Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 165 .06Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 157 .73 Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Number of shares outstanding Class CHF FCH Count 491 813Class CHF LCH Count 65 614Class CHF RCH Count 2 229 126Class FC Count 8 093 280Class FC (CE) Count 1 258 919Class FD Count 648 125Class LC Count 1 738 694Class LC (CE) Count 20 808Class LD Count 270 725Class NC Count 509 992Class PFC Count 130 520Class RC Count 100Class GBP DH RD Count 15 662Class SEK FCH Count 554 433Class SEK LCH Count 83 289Class USD FCH Count 1 066 685Class USD LCH Count 584 876 Composition of the reference portfolio (according to CSSF circular 11/512)25% Citi - EuroBIG Corporate Index - A sector, 25% Citi - WorldBIG Corporate A in EUR, 25% MSCI THE WORLD INDEX in EUR Constituents, 25% STOXX 50 Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 13 .780 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 28 .655 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 21 .604

The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 1 .1, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 3 040 819 594 .29 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .


Futures exchanges CME = Chicago Mercantile ExchangeEUR = Eurex Contracting parties for currency futures Barclays Bank PLC Wholesale, Citigroup Global Markets Limited, Crédit Suisse London Branch (GFX), Goldman Sachs International, JP Morgan Securities PLC, Nomura International PLC, Skandinaviska Enskilda Banken AG, State Street Bank and Trust Company and State Street Bank London


90


Securities lending

The following securities were transferred under securities loans at the reporting date:

Security description Quantity/ Limited maturity Securities loans principal amount Total market value in EUR Total (– / ’000) Perpetual

0.00 % Swiss Life Holding AG 2013/2020 CHF 13 800 000 14 813 234.64 0.50 % Aabar Investments PJSC 2015/2020 EUR 3 000 000 2 331 630.00 0.00 % Airbus Group SE 2015/2022 EUR 6 800 000 6 828 220.00 1.00 % Criteria CaixaHolding SA 2013/2017 EUR 9 100 000 8 961 134.00 0.60 % Deutsche Post AG 2012/2019 EUR 24 500 000 32 249 350.00 0.00 % Eni SpA (MTN) 2016/2022 EUR 19 800 000 20 507 850.00 0.875 % Fonciere des Regions 2013/2019 EUR 6 924 305 6 872 961.34 1.125 % Fresenius Medical Care AG & Co. KGaA 2014/2020 EUR 9 500 000 11 791 305.00 0.00 % Haniel Finance Deutschland GmbH 2015/2020 EUR 13 200 000 13 503 996.00 0.00 % Iberdrola International BV 2015/2022 EUR 19 800 000 19 182 636.00 0.625 % International Consolidated Airlines Group SA 2015/2022 EUR 15 000 000 13 102 950.00 0.125 % MTU Aero Engines AG 2016/2023 EUR 2 900 000 2 935 728.00 0.00 % RAG-Stiftung (MTN) 2015/2021 EUR 18 300 000 19 606 620.00 0.00 % Solidium Oyj 2014/2018 EUR 5 200 000 5 309 772.00 1.25 % Steinhoff Finance Holdings GmbH 2015/2022 EUR 200 000 198 138.00 0.00 % Suez Environnement Co. 2014/2020 EUR 2 755 500 548 096.51 0.875 % Technip SA 2016/2021 EUR 4 800 000 5 604 576.00 1.125 % Telecom Italia SpA 2015/2022 EUR 9 300 000 8 820 120.00 0.00 % Unibail-Rodamco SE 2014/2021 EUR 14 403 000 45 807 301.20 0.00 % British Land Company Plc 2015/2020 GBP 4 000 000 4 464 284.64 1.50 % British Land Jersey Ltd 2012/2017 GBP 4 200 000 5 279 778.71 0.00 % Vodafone Group PLC 2015/2020 GBP 25 000 000 29 544 251.00 1.875 % Brenntag Finance BV 2015/2022 USD 11 000 000 10 225 011.17 0.00 % Gunma Bank Ltd 2014/2019 USD 200 000 168 031.36 0.50 % Illumina, Inc. 2014/2021 USD 8 100 000 7 254 189.33 0.00 % LVMH Moet Hennessy Louis Vuitton SE Zero Coupon 2016/2021 USD 21 050 000 47 311 151.68 1.00 % NXP Semicondustor NV 2015/2019 USD 1 000 000 978 127.42 0.25 % Red Hat Inc 2014/2019 USD 33 000 000 35 987 273.85 1.05 % Siemens Financieringsmaatschappij NV 2015/2017 USD 5 000 000 4 667 387.80 1.65 % Siemens Financieringsmaatschappij NV 2015/2019 USD 34 500 000 33 847 345.91 0.00 % The Joyo Bank Ltd -Reg- 2014/2019 USD 4 000 000 3 422 841.00 0.35 % The Priceline Group, Inc. 2013/2020 USD 15 801 000 16 631 814.05 0.50 % TOTAL SA 2015/2022 USD 52 800 000 47 781 486.19 0.00 % Yamaguchi Financial Group, Inc. 2013/2018 USD 7 400 000 6 913 059.35 Total receivables from securities loans 493 451 652.15 493 451 652.15 Contracting parties for securities loans BNP Paribas Arbitrage SNC, Barclays Capital Securities Limited, Citigroup Global Markets, Crédit Suisse Securities (Europe) Ltd. FI, J.P. Morgan Sec Ltd., Morgan Stanley Intl. FI, Morgan Stanley Intl. London EQ, Nomura International PLC, UBS AG London Branch, Unicredit Bank AG, Zuercher Kantonalbank Total collateral pledged by third parties for securities loans EUR 492 619 747.31 thereof: Bonds EUR 440 788 321.00Equities EUR 51 831 426.31


As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1.494856 = EURSwiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EURBritish pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EURHong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EURJapanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EURSouth Korean won . . . . . . . . . . . . . . . . KRW 1 280.453642 = EURSwedish krona . . . . . . . . . . . . . . . . . . . SEK 9.432959 = EURSingapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EURU.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values. Footnotes

* Some or all of these securities are lent. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations).


91





Interest-bearing securities 0.25 % BNP Paribas SA (MTN) 2013/2016 . . EUR 10 000 000 0.00 % CEZ MH BV (MTN) 2014/2017 . . . . . EUR 27 300 000 0.875 % Deutsche Wohnen AG 2014/2021 . . EUR 8 000 000 1.25 % GBL Verwaltung SA 2013/2017 . . . . EUR 57 000 000 0.25 % Grand City Properties SA 2016/2022 EUR 6 100 000 6 100 000 1.875 % Industrivarden AB -Reg- 2011/2017 . EUR 18 000 000 0.00 % Ingenico Group SA 2015/2022 . . . . . EUR 4 856 600 0.875 % Marine Harvest ASA 2014/2019 . . . . EUR 13 300 000 0.00 % RAG-Stiftung 2014/2018 . . . . . . . . . . EUR 25 000 000 0.25 % Technip SA 2011/2017 . . . . . . . . . . . EUR 18 000 000 0.00 % Hengan International Group Co., Ltd

2013/2018 . . . . . . . . . . . . . . . . . . . . . HKD 220 000 000 0.00 % Shine Power International Ltd

2014/2019 . . . . . . . . . . . . . . . . . . . . . HKD 50 000 000 0.00 % Kawasaki Kisen Kaisha Ltd

2013/2018 . . . . . . . . . . . . . . . . . . . . . JPY 870 000 000 0.00 % Lotte Shopping Co., Ltd (MTN)

2013/2018 . . . . . . . . . . . . . . . . . . . . . KRW 25 000 000 000 0.875 % Qiagen NV 2014/2021 . . . . . . . . . . . . USD 10 000 000 Securities admitted to or included in organized markets

Interest-bearing securities 5.75 % Ares Capital Corp. 2012/2016 . . . . . . USD 5 000 000 1.375 % Brocade Communications Systems,

Inc. 144A 2015/2020 . . . . . . . . . . . . . USD 24 000 000 1.00 % Ctrip.com International Ltd

2015/2020 . . . . . . . . . . . . . . . . . . . . . USD 6 000 000 21 000 000 1.125 % Jarden Corp. 2014/2034 . . . . . . . . . . USD 20 000 000 0.50 % Lam Research Corp. 2011/2016 . . . . USD 17 500 000 1.625 % Microchip Technology, Inc. 144A

2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 56 000 000 1.00 % Nvidia Corp. 2014/2018 . . . . . . . . . . . USD 12 000 000 1.00 % ON Semiconductor Corp 2015/2020 . USD 22 500 000 0.50 % SanDisk Corp. 144A 2013/2020 . . . . USD 51 000 000

Unlisted securities Interest-bearing securities 0.125 % Marine Harvest ASA 2015/2020 . . . . EUR 9 900 000 9 900 000


Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000) Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures) EUR 394 656 Contracts sold (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures) EUR 235 248 Currency futures Contracts sold (Underlying: IRO) EUR 1 336 497 Currency futures (short) Futures contracts to sell currencies EUR/CHF EUR 1 814 298EUR/GBP EUR 234 536EUR/HKD EUR 90 610EUR/JPY EUR 697 329EUR/KRW EUR 16 308EUR/SEK EUR 411 843EUR/SGD EUR 84 311EUR/USD EUR 3 850 355EUR/USD EUR 2 295


Futures contracts to purchase currencies CHF/EUR EUR 1 543 372GBP/EUR EUR 315 273HKD/EUR EUR 142 071JPY/EUR EUR 1 086 800KRW/EUR EUR 49 048SEK/EUR EUR 385 024SGD/EUR EUR 133 123USD/EUR EUR 4 499 406 Option contracts

Options on equity index derivatives

Options on equity indices Call options sold (Underlying: DJ Euro Stoxx 50) EUR 33 615

92

Securities traded on an exchange 43 082 098.61 91.12

Interest-bearing securities 0.75 % Air Liquide Finance SA (MTN) 2016/2024 . . . . . . . . EUR 200 000 200 000 % 101.983 203 966.00 0.43 1.25 % Air Liquide Finance SA (MTN) 2016/2028 . . . . . . . . EUR 200 000 200 000 % 104.312 208 624.00 0.44 3.25 % Alliander NV 2013/2049 * . . . . . . . . . . . . . . . . . . . . EUR 300 000 300 000 % 105 315 000.00 0.67 6.375 % America Movil SAB de CV 2013/2073 * . . . . . . . . . EUR 655 000 355 000 500 000 % 112.447 736 527.85 1.56 5.125 % America Movil SAB de CV 2013/2073 * . . . . . . . . . EUR 600 000 % 105.319 631 914.00 1.34 2.75 % Anheuser-Busch InBev SA/NV (MTN) 2016/2036 . . EUR 150 000 740 000 590 000 % 115.739 173 608.50 0.37 4.75 % Arkema SA 2015/2049 . . . . . . . . . . . . . . . . . . . . . . EUR 900 000 400 000 200 000 % 103.814 934 326.00 1.98 2.375 % Bayer AG 2015/2075 * . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 300 000 % 95.279 952 790.00 2.01 3.50 % Bertelsmann SE & Co KGaA (MTN) 2015/2075 * . . EUR 500 000 200 000 % 92.867 464 335.00 0.98 3.00 % Bertelsmann SE & Co KGaA 2015/2075 * . . . . . . . EUR 400 000 % 98.576 394 304.00 0.83 6.50 % BG Energy Capital Plc 2012/2072 * . . . . . . . . . . . . EUR 400 000 % 107.549 430 196.00 0.91 4.75 % BHP Billiton Finance Ltd 2015/2076* . . . . . . . . . . . EUR 196 000 % 105.244 206 278.24 0.44 3.00 % Centrica Plc 2015/2076 * . . . . . . . . . . . . . . . . . . . . EUR 1 500 000 800 000 300 000 % 93.191 1 397 865.00 2.96 2.75 % Deutsche Boerse AG 2015/2041* . . . . . . . . . . . . . EUR 780 000 200 000 % 102.533 799 757.40 1.69 0.625 % Deutsche Telekom International Finance BV

(MTN) 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 210 000 210 000 % 102.209 214 638.90 0.45 6.25 % DONG Energy A/S 2013/3013 * . . . . . . . . . . . . . . . EUR 500 000 200 000 100 000 % 109.66 548 300.00 1.16 3.00 % DONG Energy A/S 2015/3015 . . . . . . . . . . . . . . . . . EUR 300 000 200 000 % 98.359 295 077.00 0.62 5.375 % Electricite de France SA (MTN) 2013/2049 * . . . . . EUR 500 000 500 000 % 99.367 496 835.00 1.05 4.125 % Electricite de France SA (MTN) 2014/2049 * . . . . . EUR 600 000 600 000 900 000 % 94.784 568 704.00 1.20 5.00 % Electricite de France SA (MTN) 2014/2049 * . . . . . EUR 700 000 700 000 % 94.253 659 771.00 1.40 7.375 % EnBW Energie Baden-Wuerttemberg AG

(MTN) 2011/2072 * . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 104.148 208 296.00 0.44 3.625 % EnBW Energie Baden-Wuerttemberg AG

(MTN) 2014/2076 * . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 100 000 600 000 % 96.725 1 063 975.00 2.25 3.25 % Eneco Holding NV 2014/2049 * . . . . . . . . . . . . . . . EUR 1 500 000 400 000 300 000 % 99.561 1 493 415.00 3.16 5.00 % ENEL SpA 2014/2075 * . . . . . . . . . . . . . . . . . . . . . . EUR 800 000 400 000 % 105.477 843 816.00 1.78 3.375 % Gas Natural Fenosa Finance BV 2015/2049 . . . . . . EUR 900 000 200 000 400 000 % 89.421 804 789.00 1.70 3.875 % GDF Suez 2014/2049 * . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 900 000 % 105.715 1 057 150.00 2.24 3.00 % GDF Suez 2014/2049 * . . . . . . . . . . . . . . . . . . . . . . EUR 400 000 400 000 % 102.88 411 520.00 0.87 5.25 % Glencore Finance Europe SA (MTN) 2010/2017 . . . EUR 200 000 % 103.304 206 608.00 0.44 4.625 % Glencore Finance Europe SA (MTN) 2012/2018 . . . EUR 200 000 200 000 % 105.761 211 522.00 0.45 3.75 % Hutchison Whampoa Europe Finance 13 Ltd

2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 400 000 400 000 % 102.545 410 180.00 0.87 5.75 % Iberdrola International BV (MTN) 2013/2049 * . . . . EUR 700 000 200 000 % 106.921 748 447.00 1.58 1.65 % Johnson & Johnson 2016/2035 . . . . . . . . . . . . . . . EUR 215 000 615 000 400 000 % 110.45 237 467.50 0.50 6.125 % Koninklijke KPN NV 2013/2049 * . . . . . . . . . . . . . . EUR 300 000 % 106.715 320 145.00 0.68 2.625 % Merck KGaA 2014/2074 * . . . . . . . . . . . . . . . . . . . . EUR 400 000 % 101.782 407 128.00 0.86 3.375 % Merck KGaA 2014/2074 * . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 400 000 % 102.542 1 025 420.00 2.17 1.25 % Molson Coors Brewing Co. 2016/2024 . . . . . . . . . . EUR 130 000 130 000 % 100.604 130 785.20 0.28 4.25 % NGG Finance Plc 2013/2076 * . . . . . . . . . . . . . . . . EUR 500 000 % 106.411 532 055.00 1.13 6.75 % OMV AG (MTN) 2011/2049 * . . . . . . . . . . . . . . . . . EUR 800 000 800 000 300 000 % 108.076 864 608.00 1.83 1.00 % OMV AG 2015/2049 . . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 500 000 % 103.543 517 715.00 1.09 5.00 % Orange SA (MTN) 2014/2049 * . . . . . . . . . . . . . . . . EUR 600 000 300 000 % 104.313 625 878.00 1.32 5.25 % Orange SA 2014/2049 * . . . . . . . . . . . . . . . . . . . . . EUR 100 000 % 107.423 107 423.00 0.23 4.00 % Origin Energy Finance Ltd 2014/2074 * . . . . . . . . . EUR 300 000 200 000 % 87.408 262 224.00 0.55 1.00 % RTE Reseau de Transport d‘Electricite SA (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 101.553 101 553.00 0.21 2.00 % RTE Reseau de Transport d‘Electricite SA (MTN)

2016/2036 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 108.376 108 376.00 0.23 3.50 % RWE AG 2015/2075* . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 % 78.123 390 615.00 0.83 8.25 % Santos Finance Ltd (MTN) 2010/2070 * . . . . . . . . . EUR 800 000 300 000 700 000 % 101.751 814 008.00 1.72 4.625 % SES SA 2016/2049 * . . . . . . . . . . . . . . . . . . . . . . . . EUR 950 000 950 000 % 99.451 944 784.50 2.00 5.869 % Solvay Finance SA 2015/2049 . . . . . . . . . . . . . . . . . EUR 1 085 000 300 000 % 104.464 1 133 434.40 2.40 1.00 % Southern Power Co. 2016/2022 . . . . . . . . . . . . . . . EUR 230 000 230 000 % 101.022 232 350.60 0.49 2.375 % SSE Plc 2015/2049 . . . . . . . . . . . . . . . . . . . . . . . . . EUR 600 000 % 93.888 563 328.00 1.19 3.00 % Suez Environnement Co. 2014/2049 * . . . . . . . . . . EUR 100 000 % 103.469 103 469.00 0.22 2.50 % Suez Environnement Co. 2015/2049 * . . . . . . . . . . EUR 600 000 300 000 % 100.919 605 514.00 1.28 7.625 % Telefonica Europe BV 2013/2049 * . . . . . . . . . . . . . EUR 400 000 % 111.182 444 728.00 0.94 5.875 % Telefonica Europe BV 2014/2049 * . . . . . . . . . . . . . EUR 200 000 200 000 200 000 % 102.335 204 670.00 0.43 5.00 % Telefonica Europe BV 2015/2049 . . . . . . . . . . . . . . EUR 400 000 % 101.095 404 380.00 0.86 6.655 % TenneT Holding BV 2010/2049 * . . . . . . . . . . . . . . EUR 300 000 300 000 % 104.827 314 481.00 0.67 2.25 % Total SA (MTN) 2015/2049 * . . . . . . . . . . . . . . . . . . EUR 900 000 500 000 400 000 % 96.849 871 641.00 1.84 3.875 % TOTAL SA (MTN) 2016/2049 * . . . . . . . . . . . . . . . . EUR 930 000 930 000 % 103.907 966 335.10 2.04 1.00 % Total SA 2015/2049 * . . . . . . . . . . . . . . . . . . . . . . . EUR 800 000 % 92.969 743 752.00 1.57 3.00 % Vattenfall AB 2015/2077 * . . . . . . . . . . . . . . . . . . . EUR 900 000 700 000 300 000 % 82.177 739 593.00 1.56 3.875 % Volkswagen International Finance NV

2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 102.792 205 584.00 0.43 3.75 % Volkswagen International Finance NV

2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 % 101.905 305 715.00 0.65 2.50 % Volkswagen International Finance NV

2015/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 300 000 % 95.126 475 630.00 1.01 3.50 % Volkswagen International Finance NV

2015/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 600 000 % 90.351 542 106.00 1.15




93


4.625 % Volkswagen International Finance NV -Reg- 2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . EUR 600 000 600 000 % 103.016 618 096.00 1.31

4.20 % Volvo Treasury AB 2014/2075 . . . . . . . . . . . . . . . . . EUR 100 000 % 100.572 100 572.00 0.21 4.85 % Volvo Treasury AB 2014/2078 * . . . . . . . . . . . . . . . EUR 300 000 % 100.494 301 482.00 0.64 4.625 % Vonovia Finance BV 2014/2074 . . . . . . . . . . . . . . . . EUR 1 200 000 500 000 % 104.214 1 250 568.00 2.64 4.00 % Vonovia Finance BV 2015/2049 . . . . . . . . . . . . . . . . EUR 1 100 000 900 000 400 000 % 101.64 1 118 040.00 2.36 6.375 % America Movil SAB de CV 2013/2073 * . . . . . . . . GBP 200 000 % 104.751 253 225.04 0.54 5.25 % Centrica Plc 2015/2075 * . . . . . . . . . . . . . . . . . . . . GBP 500 000 300 000 % 94.586 571 630.43 1.21 7.75 % Enel SpA 2013/2075 . . . . . . . . . . . . . . . . . . . . . . . . GBP 100 000 % 106.626 128 878.83 0.27 6.625 % Enel SpA 2014/2076 * . . . . . . . . . . . . . . . . . . . . . . . GBP 100 000 % 102.385 123 752.74 0.26 6.875 % Koninklijke KPN NV (MTN) 2013/2073 * . . . . . . . . . GBP 100 000 % 103.788 125 448.54 0.27 5.625 % NGG Finance Plc 2013/2073 * . . . . . . . . . . . . . . . . GBP 200 000 200 000 % 105.005 253 839.06 0.53 5.875 % Orange SA 2014/2049 * . . . . . . . . . . . . . . . . . . . . . GBP 330 000 % 102.637 409 389.18 0.87 7.00 % RWE AG 2015/2049 . . . . . . . . . . . . . . . . . . . . . . . . GBP 200 000 % 98.398 237 867.30 0.50 4.85 % Veolia Environnement SA 2015/2049 . . . . . . . . . . . GBP 100 000 % 102.313 123 665.71 0.26 6.50 % BG Energy Capital PLC 2012/2072* . . . . . . . . . . . . USD 300 000 300 000 % 104.65 282 418.12 0.60 5.25 % Electricite de France SA 2013/2049 * . . . . . . . . . . . USD 1 000 000 1 000 000 % 95.835 862 097.16 1.82 8.75 % Enel SpA 144A 2013/2073 * . . . . . . . . . . . . . . . . . . USD 800 000 % 114.454 823 669.58 1.74 6.00 % Hutchison Whampoa International 12 Ltd -Reg-

2012/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 % 103.482 372 354.73 0.79 7.00 % RWE AG 2012/2072 * . . . . . . . . . . . . . . . . . . . . . . . USD 150 000 800 000 % 101.898 137 495.66 0.29 5.625 % SSE Plc 2012/2049 * . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 300 000 % 102.935 648 176.34 1.37

Securities admitted to or included in organized markets 2 704 167.80 5.72 Interest-bearing securities 1.00 % Bhp Billiton Finance Ltd 2015/2079 . . . . . . . . . . . . EUR 683 000 400 000 % 106.277 725 871.91 1.54 1.00 % OMV AG 2015/2049 . . . . . . . . . . . . . . . . . . . . . . . . EUR 690 000 400 000 % 105.336 726 818.40 1.54 1.00 % Repsol International Finance 2015/2049 . . . . . . . . . EUR 200 000 200 000 200 000 % 91.543 183 086.00 0.39 1.00 % BHP Billiton Finance Ltd 2015/2077 . . . . . . . . . . . GBP 315 000 % 103.342 393 464.81 0.83 6.25 % BHP Billiton Finance USA Ltd 2015/2075 . . . . . . . . USD 300 000 200 000 % 105.978 286 001.98 0.60 5.75 % Dominion Resources, Inc. 2014/2054 * . . . . . . . . . USD 200 000 % 99.612 179 213.84 0.38 5.625 % Transcanada Trust 2015/2075 * . . . . . . . . . . . . . . . USD 250 000 % 93.25 209 710.86 0.44

Total securities portfolio 45 786 266.41 96.83 Derivatives (Minus signs denote short positions) Interest rate derivatives -79 013.86 -0.17Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . Count -10 -10 -37 700.00 -0.08UK Treasury Notes 09/2016 (IFLL) . . . . . . . . . . . . . . . . . . . . . Count -6 -6 -41 313.86 -0.09 Currency derivatives 44 242.23 0.09Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 2.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134 424.75 0.28EUR/USD 4.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -103 441.86 -0.22 Closed positions EUR/GBP 1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -36 363.35 -0.08 Currency futures (long) Open positions CHF/EUR 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 803.37 0.01USD/EUR 3.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46 819.32 0.10 Cash at bank 941 164.20 1.99


94

Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 420 033 .46 0 .89 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 85 417 103 243 .17 0 .22 Deposits in non-EU/EEA currencies U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 464 545 417 887 .57 0 .88 Other assets 769 075.52 1.63Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 723 186 .73 1 .53Receivables from exceeding the expense cap . . . . . . . . . . . . 45 888 .79 0 .10 Total assets ** 47 680 553.57 100.84 Other liabilities -175 682.74 -0.37Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -46 007 .74 -0 .10Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -129 675 .00 -0 .27 Total liabilities -394 501.81 -0.84 Net assets 47 286 051.76 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 103 .75Class CHF LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 103 .54Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101 .93Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101 .59Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 .02Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104 .63Class XD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 .68Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 104 .88Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 104 .64 Number of shares outstanding Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 625Class CHF LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 210Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 394 663Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 888Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 700Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 000Class XD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 750Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 288Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 113 Presentation of the maximum limit (according to CSSF circular 11/512)4 .0% of portfolio value (January 1, 2016 - March 30, 2016)


Presentation of the maximum limit (according to CSSF circular 11/512) 8 .0% of portfolio value (March 31, 2016 - June 30, 2016) Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 2 .551 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 3 .598 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 3 .104 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .3, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 11 228 830 .03 as of the reporting date .



95




Interest-bearing securities 1.50 % America Movil SAB de CV

2016/2024 . . . . . . . . . . . . . . . . . . . . . EUR 270 000 270 000 1.25 % Amgen, Inc. 2016/2022 . . . . . . . . . . . EUR 270 000 270 000 2.75 % Anglo American Capital PLC

2012/2019 . . . . . . . . . . . . . . . . . . . . . EUR 400 000 0.875 % Anheuser-Busch InBev SA/NV (MTN)

2016/2022 . . . . . . . . . . . . . . . . . . . . . EUR 310 000 310 000 1.50 % Anheuser-Busch InBev SA/NV (MTN)

2016/2025 . . . . . . . . . . . . . . . . . . . . . EUR 270 000 270 000 1.00 % Covestro AG (MTN) 2016/2021 . . . . . EUR 150 000 150 000 1.75 % Covestro AG 2016/2024 . . . . . . . . . . EUR 110 000 110 000 1.875 % CRH Funding BV 2015/2024 . . . . . . . EUR 150 000 1.50 % Deutsche Telekom International

Finance BV (MTN) 2016/2028 . . . . . . EUR 100 000 100 000 6.50 % Enel SpA 2013/2074 * . . . . . . . . . . . EUR 700 000 0.50 % FedEx Corp. 2016/2020 . . . . . . . . . . EUR 150 000 150 000 1.00 % FedEx Corp. 2016/2023 . . . . . . . . . . EUR 100 000 100 000 1.625 % FedEx Corp. 2016/2027 . . . . . . . . . . EUR 210 000 210 000 5.50 % GE Capital Trust II 2010/2067 * . . . . EUR 400 000 5.50 % General Electric Capital Corp

2007/2067 . . . . . . . . . . . . . . . . . . . . . EUR 200 000 0.65 % Honeywell International, Inc.

2016/2020 . . . . . . . . . . . . . . . . . . . . . EUR 160 000 160 000 1.30 % Honeywell International, Inc.

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 1.50 % Kinder Morgan, Inc. 2015/2022 . . . . . EUR 400 000 2.25 % Kraft Heinz Foods Co. 2016/2028 . . . EUR 300 000 300 000 3.75 % Petroleos Mexicanos (MTN)

2016/2019 . . . . . . . . . . . . . . . . . . . . . EUR 120 000 120 000 2.75 % RWE AG 2015/2075 . . . . . . . . . . . . . EUR 400 000 6.375 % Solvay Finance SA 2006/2104 . . . . . . EUR 200 000 4.00 % TeliaSonera AB (MTN) 2011/2022 . . . EUR 300 000 300 000 4.00 % TeliaSonera AB 2015/2022 . . . . . . . . EUR 300 000 1.625 % Vonovia Finance BV 2015/2020 . . . . EUR 500 000 2.75 % ZF North America Capital, Inc.

2015/2023 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 6.00 % Electricite de France SA (MTN)

2013/2049 * . . . . . . . . . . . . . . . . . . . GBP 500 000 5.875 % Electricite de France SA (MTN)

2014/2049 * . . . . . . . . . . . . . . . . . . . GBP 300 000



Futures exchangesEUR = EurexIFLL = ICE Futures Europe - Financial Products Division

Contracting parties for currency futuresDeutsche Bank AG Frankfurt, Morgan Stanley and Co. International PLC and State Street Bank and Trust Company



British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation


Footnotes

* Floating interest rate. ** Does not include positions with a negative balance, if such exist.



6.50 % General Electric Capital Corp 2007/2067 . . . . . . . . . . . . . . . . . . . . . GBP 400 000

5.75 % Orange SA (MTN) 2014/2049 * . . . . GBP 200 000 6.125 % Siemens Financieringsmaatschappij

NV 2006/2066 . . . . . . . . . . . . . . . . . . GBP 292 000 5.375 % Colombia Telecomunicacio

2015/2049 . . . . . . . . . . . . . . . . . . . . . USD 300 000 Securities admitted to or included in organized markets Interest-bearing securities 1.00 % Energias de Portugal SA

2015/2075 . . . . . . . . . . . . . . . . . . . . . EUR 400 000 1.00 % Repsol International Finance

2015/2075 . . . . . . . . . . . . . . . . . . . . . EUR 200 000

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Notes 10 year, UK Treasury Notes) EUR 8 431 Currency futures (short) Futures contracts to sell currencies EUR/CHF EUR 1 747EUR/GBP EUR 9 371EUR/USD EUR 18 704 Currency futures (long) Futures contracts to purchase currencies CHF/EUR EUR 1 726GBP/EUR EUR 9 071USD/EUR EUR 18 522

96

Securities traded on an exchange 123 699.94 3.12

EquitiesBarratt Developments Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 128 3 128 GBP 3 .969 15 006 .05 0 .38easyJet Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 736 736 GBP 10 .6 9 429 .79 0 .24Persimmon Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 909 909 633 GBP 14 .11 15 502 .77 0 .39Gilead Sciences, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 139 1 269 130 USD 81 .75 83 761 .33 2 .11

Investment fund units 384 662.77 9.69 In-group fund unitsDeutsche Global Liquidity Series Plc - Managed Euro Fund -Z- EUR - (0 .000%) . . . . . . . . . . . . . . . . . Units 39 19 8 EUR 9 985 .794 384 662 .77 9 .69

Total securities portfolio 508 362.71 12.81

Derivatives (Minus signs denote short positions)

Currency derivatives 125.38 0.00Receivables/payables Currency futures Currency futures (short) EUR/GBP 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 .62 0 .00EUR/JPY 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 .24 0 .00EUR/USD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0 .21 0 .00USD/GBP 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 .67 0 .00USD/JPY 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 .62 0 .00

Open positionsEUR/GBP 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 .99 0 .00EUR/JPY 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 .44 0 .00USD/GBP 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 .62 0 .00USD/JPY 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 .84 0 .00

Currency futures (long) Open positions USD/EUR 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114 .83 0 .00 Cash at bank 3 444 731.32 86.78 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 271 803 .24 6 .85 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 7 682 9 285 .75 0 .23 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 4 313 879 37 754 .64 0 .95U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 89 919 80 887 .69 2 .04 Time deposits USD deposits (DZ Privatbank S .A . 0 .01% 22/07/2016) . . . . . . EUR 550 000 550 000 .00 13 .85USD deposits (Landesbank Baden Wurttemberg 0 .01% 01/07/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 450 000 450 000 .00 11 .34USD deposits (Bayerische Landesbank 0 .01% 01/07/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 500 000 .00 12 .60USD deposits (Norddeutsche Landesbank 0 .01% 06/07/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 250 000 250 000 .00 6 .30USD deposits (Norddeutsche Landesbank 0 .01% 15/07/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 375 000 375 000 .00 9 .45USD deposits (Unicredit Bank 0 .01% 22/07/2016) . . . . . . . . . EUR 375 000 375 000 .00 9 .45USD deposits (Dekabank 0 .01% 13/07/2016) . . . . . . . . . . . . . EUR 545 000 545 000 .00 13 .72 Other assets 16 369.65 0.41Receivables from exceeding the expense cap . . . . . . . . . . . . 15 127 .41 0 .38Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 242 .24 0 .03 Total assets * 3 969 600.41 100.00 Total liabilities -11.35 0.00 Net assets 3 969 589.06 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .




97


Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .01Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .64Class LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .22Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .24Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .97Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 102 .17Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 99 .85

Number of shares outstandingClass FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 400Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 201Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 107Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 107 Presentation of the maximum limit (according to CSSF circular 11/512)14 .14% of portfolio value

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure % 0 .615 Highest market risk exposure % 1 .186 Average market risk exposure % 0 .908 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0 .00 as of the reporting date .




As of: June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus . If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are not valued at derived market values . The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses . A plus sign means that a performance-based fee may also be charged . As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds . No initial sales charges or redemption fees were paid in the reporting period .

Footnote

* Does not include positions with a negative balance, if such exist .


98




EquitiesBridgestone Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 100 800Cisco Systems, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 2 134 2 134Cummins, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 219Garmin Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 437International Business Machines Corp. . . . . . . . . Count 377 377Johnson & Johnson . . . . . . . . . . . . . . . . . . . . . . . Count 110 698QUALCOMM, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Count 1 159

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Futures contracts

Currency futures (short)

Futures contracts to sell currencies EUR/GBP EUR 2EUR/JPY EUR 2EUR/USD EUR 61USD/GBP EUR 2USD/JPY EUR 2 Currency futures (long)

Futures contracts to purchase currencies GBP/EUR EUR 2JPY/EUR EUR 2USD/EUR EUR 56USD/GBP EUR 2USD/JPY EUR 1



99


Interest-bearing securitiesAdecco SA -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 559 3 559 CHF 48 .89 160 578 .30 2 .89Ryanair Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 990 13 990 EUR 11 .455 160 255 .45 2 .88Bridgestone Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 400 6 400 JPY 3 269 183 103 .74 3 .29Central Japan Railway Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 200 100 JPY 18 125 190 353 .82 3 .43Denso Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 6 000 JPY 3 577 187 833 .27 3 .38Isuzu Motors Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 300 17 300 JPY 1 248 .5 189 032 .72 3 .40Kyocera Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 400 4 400 JPY 4 842 186 457 .47 3 .36Mitsubishi Electric Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 000 2 000 3 000 JPY 1 208 179 729 .01 3 .23Murata Manufacturing Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 1 900 1 900 JPY 11 380 189 233 .57 3 .40SMC Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 800 900 100 JPY 24 905 174 372 .85 3 .14Sumitomo Electric Industries Ltd . . . . . . . . . . . . . . . . . . . . . . Count 15 500 15 500 JPY 1 340 .5 181 844 .78 3 .27Suzuki Motor Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 200 8 200 JPY 2 753 .5 197 606 .52 3 .56Tokyo Electron Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 800 2 800 JPY 8 575 210 133 .11 3 .78Toyota Motor Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 000 4 000 JPY 5 052 176 858 .39 3 .18Telefonaktiebolaget LM Ericsson -B- . . . . . . . . . . . . . . . . . . . Count 26 993 5 613 SEK 64 .15 183 569 .23 3 .30Apple, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 238 432 USD 94 .48 190 209 .43 3 .42Applied Materials, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 986 1 913 USD 23 .6 190 770 .18 3 .43BorgWarner, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 451 6 451 USD 28 .79 167 070 .89 3 .01Cisco Systems, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 467 USD 28 .21 189 487 .82 3 .41Cummins, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 930 359 USD 109 .72 190 491 .31 3 .43Delta Air Lines, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 597 5 597 USD 35 .94 180 952 .86 3 .26Eaton Corp ., Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 351 575 USD 58 .195 175 425 .28 3 .16Fluor Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 182 323 339 USD 48 .3 181 703 .47 3 .27Garmin Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 054 5 054 USD 41 .23 187 447 .93 3 .37Goodyear Tire & Rubber Co . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 874 7 874 USD 25 .46 180 337 .43 3 .24Intel Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 612 975 USD 32 .16 191 285 .02 3 .44International Business Machines Corp . . . . . . . . . . . . . . . . . . . Count 1 440 USD 148 .85 192 816 .15 3 .47Michael Kors Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 265 4 265 USD 48 .43 185 808 .50 3 .34QUALCOMM, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 139 USD 52 .66 196 068 .74 3 .53Southwest Airlines Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 297 5 297 USD 38 .71 184 452 .78 3 .32

Total securities portfolio 5 535 290.02 99.59 Cash at bank 5 475.41 0.10 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 786 .80 0 .03 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 261 315 .85 0 .01Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 2 338 314 .19 0 .01Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 2 470 261 .83 0 .00 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 222 174 1 944 .44 0 .03Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 353 325 .88 0 .01U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 585 526 .42 0 .01 Other assets 24 304.25 0.43Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 264 .39 0 .18Receivables from exceeding the expense cap . . . . . . . . . . . . 12 254 .42 0 .22Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 785 .44 0 .03 Total assets 5 565 069.68 100.12 Other liabilities -6 729.66 -0.12Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -6 729 .66 -0 .12 Total liabilities -6 729.66 -0.12 Net assets 5 558 340.02 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .


Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 94 .43Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 94 .03Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 93 .49Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 94 .66

Number of shares outstandingClass FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 200Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 199Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 300




100


Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 079 7 079National Grid Plc . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 451Nitto Denko Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 3 300 3 300Osaka Gas Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 56 000PACCAR, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 331Parker Hannifin Corp. . . . . . . . . . . . . . . . . . . . . . Count 2 067Rolls-Royce Holdings Plc . . . . . . . . . . . . . . . . . . . Count 23 064Seagate Technology Plc . . . . . . . . . . . . . . . . . . . Count 5 900Sempra Energy . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 013SSE Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 918Sumitomo Metal Mining Co., Ltd . . . . . . . . . . . . Count 19 000 19 000Tokyo Gas Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 42 000Western Digital Corp. . . . . . . . . . . . . . . . . . . . . . Count 1 283 4 597

Securities admitted to or included in organized markets

EquitiesRolls-Royce Holdings Plc . . . . . . . . . . . . . . . . . . . Count 1 477 155 1 477 155


EquitiesAES Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 907AP Moeller - Maersk A/S . . . . . . . . . . . . . . . . . . . Count 149Centrica Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 61 955CRH Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 535 7 535E.ON AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 474Eastman Chemical Co. . . . . . . . . . . . . . . . . . . . . Count 2 868 2 868Emerson Electric Co. . . . . . . . . . . . . . . . . . . . . . . Count 4 374Exelon Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 400GDF Suez . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 159Johnson Matthey Plc . . . . . . . . . . . . . . . . . . . . . . Count 5 692 5 692Koninklijke DSM NV . . . . . . . . . . . . . . . . . . . . . . Count 3 893 3 893LyondellBasell Industries NV . . . . . . . . . . . . . . . . Count 2 387 2 387Micron Technology, Inc. . . . . . . . . . . . . . . . . . . . Count 5 708 19 454Mitsubishi Chemical Holdings Corp. . . . . . . . . . . Count 38 500 38 500Monsanto Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 276 2 276


Presentation of the maximum limit (according to CSSF circular 11/512)14.14% of portfolio value

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 9.788 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 11.653 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 10.704 The values-at-risk were calculated for the period from November 18, 2015, through December 31, 2015, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date.


As of: June 30, 2016 Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation





101

Securities traded on an exchange 318 031 652.97 84.63 Interest-bearing securities 3.50 % Votorantim Cimentos SA -Reg- 2015/2022 . . . . . . . EUR 1 200 000 1 200 000 % 87.172 1 162 856.67 0.31 7.25 % 361 Degrees International Ltd 2016/2021 . . . . . . . USD 1 000 000 2 000 000 1 000 000 % 103.828 1 038 280.00 0.28 5.95 % ABJA Investment Co. Pte Ltd 2014/2024 . . . . . . . . USD 1 100 000 500 000 200 000 % 95.014 1 045 154.00 0.28 6.50 % Abu Dhabi National Energy Co. -Reg- 2006/2036 . USD 600 000 200 000 400 000 % 128.224 769 344.00 0.20 4.375 % Abu Dhabi National Energy Co. PJSC -Reg-

2016/2026 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 718 000 718 000 % 106.376 763 779.68 0.20 4.50 % ADCB Finance Cayman Ltd (MTN) 2013/2023 . . . . USD 1 000 000 % 104.008 1 040 080.00 0.28 4.00 % African Export-Import Bank (MTN) 2016/2021** . . USD 1 250 000 1 850 000 600 000 % 100.58 1 257 250.00 0.33 9.00 % Agile Property Holdings Ltd 2015/2020** . . . . . . . USD 700 000 200 000 300 000 % 111.069 777 483.00 0.21 4.50 % AIA Group Ltd (MTN) 2016/2046 . . . . . . . . . . . . . . USD 540 000 540 000 % 109.29 590 166.00 0.16 3.20 % AIA Group Ltd 2015/2025 . . . . . . . . . . . . . . . . . . . . USD 800 000 200 000 % 102.956 823 648.00 0.22 5.00 % Akbank TAS 2012/2022 . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 102.675 410 700.00 0.11 5.125 % Akbank TAS 2015/2025** . . . . . . . . . . . . . . . . . . . . USD 700 000 300 000 % 100.944 706 608.00 0.19 6.95 % Alam Synergy Pte Ltd -Reg- 2013/2020 . . . . . . . . . USD 1 300 000 1 300 000 % 98.367 1 278 771.00 0.34 7.75 % Alfa Bank 2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 % 113.927 797 489.00 0.21 7.75 % ALFA Bank 2014/2021 . . . . . . . . . . . . . . . . . . . . . . USD 550 000 750 000 200 000 % 113.927 626 598.50 0.17 2.50 % Alibaba Group Holding Ltd 2015/2019 . . . . . . . . . . USD 2 000 000 500 000 % 101.277 2 025 540.00 0.54 3.60 % Alibaba Group Holding Ltd 2015/2024 . . . . . . . . . . USD 2 200 000 2 100 000 1 650 000 % 102.916 2 264 152.00 0.60 4.97 % Alpha Star Holding Ltd -Reg- 2014/2019 . . . . . . . . . USD 1 200 000 1 200 000 % 94.604 1 135 248.00 0.30 7.75 % ALROSA Finance SA -Reg- 2010/2020 . . . . . . . . . . USD 1 000 000 500 000 % 114.196 1 141 960.00 0.30 6.50 % Altice Financing SA 2013/2022** . . . . . . . . . . . . . . USD 1 750 000 % 100.375 1 756 562.50 0.47 6.625 % Altice Financing SA 2015/2023 . . . . . . . . . . . . . . . . USD 1 500 000 800 000 1 300 000 % 97.875 1 468 125.00 0.39 5.00 % America Movil SAB de CV 2010/2020 . . . . . . . . . . USD 1 650 000 1 950 000 1 800 000 % 110.658 1 825 857.00 0.49 3.125 % America Movil SAB de CV 2012/2022 . . . . . . . . . . USD 1 000 000 1 000 000 % 102.721 1 027 210.00 0.27 4.375 % America Movil SAB de CV 2012/2042 . . . . . . . . . . USD 1 000 000 1 000 000 % 101.425 1 014 250.00 0.27 5.375 % AngloGold Ashanti Holdings Plc 2010/2020 . . . . . . USD 600 000 600 000 % 104.51 627 060.00 0.17 5.125 % AngloGold Ashanti Holdings Plc 2012/2022 . . . . . . USD 1 250 000 1 250 000 % 102.234 1 277 925.00 0.34 8.50 % AngloGold Ashanti Holdings Plc 2013/2020 . . . . . . USD 400 000 300 000 % 106.875 427 500.00 0.11 5.00 % Arcelik AS 2013/2023** . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 700 000 700 000 % 99.215 992 150.00 0.26 7.625 % Argentine Republic Government International Bond

-Reg- 2016/2046 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 418 000 568 000 150 000 % 108.411 453 157.98 0.12 2.625 % Azure Orbit III International Finance Ltd 2016/2021 USD 700 000 1 670 000 970 000 % 101.35 709 450.00 0.19 7.375 % B Communications Ltd 144A 2014/2021 . . . . . . . . USD 2 300 000 2 300 000 % 107.344 2 468 912.00 0.66 4.125 % Baidu, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 500 000 % 105.598 1 055 980.00 0.28 4.00 % Banco BTG Pactual SA/Cayman Islands -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 600 000 1 400 000 % 86.514 1 384 224.00 0.37 6.25 % Banco de Bogota SA -Reg- 2016/2026 . . . . . . . . . . USD 1 400 000 2 500 000 1 100 000 % 101.899 1 426 586.00 0.38 6.25 % Banco do Brasil SA -Reg- 2013/2049 * ** . . . . . . . USD 2 100 000 900 000 1 300 000 % 61.319 1 287 699.00 0.34 4.125 % Banco Inbursa SA Institucion de Banca Multiple

-Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 1 200 000 700 000 % 100.247 501 235.00 0.13 4.125 % Banco Santander Mexico SA Institucion de Banca

Multiple Grupo Financiero Santand 2012/2022 . . . . USD 700 000 700 000 % 103.446 724 122.00 0.19 6.125 % Bancolombia SA 2010/2020 . . . . . . . . . . . . . . . . . . USD 500 000 % 107.322 536 610.00 0.14 5.95 % Bancolombia SA 2011/2021 . . . . . . . . . . . . . . . . . . USD 1 000 000 500 000 1 500 000 % 109.304 1 093 040.00 0.29 5.125 % Bancolombia SA 2012/2022 . . . . . . . . . . . . . . . . . . USD 400 000 850 000 950 000 % 102.409 409 636.00 0.11 5.00 % Bank of China Ltd -Reg- 2014/2024 . . . . . . . . . . . . USD 2 000 000 1 250 000 1 250 000 % 106.926 2 138 520.00 0.57 4.50 % Bank of Communications Co., Ltd 2014/2024 * . . . USD 650 000 200 000 800 000 % 103.451 672 431.50 0.18 6.125 % Bank of East Asia Ltd/The 2010/2020** . . . . . . . . . USD 700 000 700 000 % 113.05 791 350.00 0.21 3.125 % Bank of India/Jersey 2015/2020 . . . . . . . . . . . . . . . USD 500 000 500 000 % 99.301 496 505.00 0.13 4.25 % Batelco International Finance No 1 Ltd 2013/2020 . USD 500 000 % 98.605 493 025.00 0.13 6.75 % BBVA Bancomer SA/Texas -Reg- 2012/2022 . . . . . USD 1 250 000 1 300 000 3 250 000 % 111.573 1 394 662.50 0.37 4.00 % Bharat Petroleum Corp., Ltd 2015/2025 . . . . . . . . . USD 1 000 000 500 000 % 102.399 1 023 990.00 0.27 5.125 % Bharti Airtel International Netherlands BV

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 900 000 1 800 000 900 000 % 108.539 2 062 241.00 0.55 4.375 % Bharti Airtel Ltd. 2015/2025 . . . . . . . . . . . . . . . . . . USD 700 000 400 000 1 200 000 % 104.562 731 934.00 0.19 7.25 % Biostime International Holdings Ltd -Reg-

2016/2021** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 250 000 1 250 000 % 103.593 1 294 912.50 0.34 4.875 % Black Sea Trade & Development Bank (MTN)

-Reg- 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 2 410 000 1 810 000 % 104.727 628 362.00 0.17 3.875 % BOC Aviation Pte Ltd (MTN) -Reg- 2016/2026 . . . . USD 430 000 430 000 % 103.211 443 807.30 0.12 4.375 % BOC Aviation Pte Ltd 2013/2023 . . . . . . . . . . . . . . USD 500 000 700 000 950 000 % 106.957 534 785.00 0.14 3.00 % BOC Aviation Pte Ltd 2015/2020 . . . . . . . . . . . . . . USD 400 000 400 000 % 102.273 409 092.00 0.11 6.45 % Braskem Finance Ltd 2014/2024 . . . . . . . . . . . . . . USD 1 300 000 1 300 000 % 100.945 1 312 285.00 0.35 5.375 % Braskem Finance Ltd -Reg- 2012/2022 . . . . . . . . . . USD 570 000 500 000 % 98.637 562 230.90 0.15 3.95 % BRF SA 2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 200 000 % 97.262 680 834.00 0.18 7.25 % Burgan Tier 1 Financing Ltd 2014/2049 * . . . . . . . . USD 800 000 600 000 800 000 % 98.48 787 840.00 0.21 7.25 % Caixa Economica Federal -Reg- 2014/2024 * . . . . . USD 750 000 1 750 000 1 000 000 % 84.504 633 780.00 0.17 3.25 % CBQ Finance Ltd (MTN) 2016/2021 . . . . . . . . . . . . USD 1 400 000 2 000 000 600 000 % 102.444 1 434 216.00 0.38 2.75 % CCBL Cayman 1 Corp., Ltd (MTN) 2016/2021** . . USD 600 000 800 000 200 000 % 100.051 600 306.00 0.16 9.375 % Cemex Finance LLC -Reg- 2012/2022 . . . . . . . . . . USD 1 000 000 1 000 000 % 109.897 1 098 970.00 0.29 7.75 % Cemex SAB de CV 2016/2026 . . . . . . . . . . . . . . . . USD 700 000 1 750 000 1 050 000 % 105.23 736 610.00 0.20 4.875 % Cencosud SA 2012/2023 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 102.654 1 026 540.00 0.27 8.75 % Central China Real Estate Ltd 2015/2021 . . . . . . . . USD 700 000 900 000 200 000 % 105.512 738 584.00 0.20 3.125 % China Cinda Finance 2015 I Ltd (MTN) -Reg-

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 400 000 200 000 300 000 % 101.715 1 424 010.00 0.38 4.25 % China Cinda Finance 2015 I Ltd (MTN) -Reg-

2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 600 000 600 000 300 000 % 102.117 1 633 872.00 0.43 6.875 % China CITIC Bank International Ltd (MTN)

2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 496 000 200 000 % 113.114 561 045.44 0.15 6.00 % China CITIC Bank International Ltd 2013/2024 * . . USD 1 000 000 200 000 1 000 000 % 105.87 1 058 700.00 0.28


Count/ Quantity/ Purchases/ Sales/ Market price Total market % ofDescription units/ principal additions disposals value in net currency amount in the reporting period USD assets


102

4.25 % China Construction Bank Asia Corp., Ltd (MTN) 2014/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 800 000 300 000 % 102.655 821 240.00 0.22

3.875 % China Construction Bank Corp. 2015/2025 * . . . . . USD 1 500 000 700 000 700 000 % 101.507 1 522 605.00 0.40 4.00 % China Life Insurance Co. 2015/2075 * . . . . . . . . . . USD 1 600 000 1 000 000 400 000 % 100.289 1 604 624.00 0.43 6.375 % China Overseas Finance Cayman III Ltd 2013/2043 USD 500 000 % 120.179 600 895.00 0.16 3.85 % China Railway Resources Huitung Ltd 2013/2023 . USD 1 000 000 1 200 000 200 000 % 104.856 1 048 560.00 0.28 4.50 % China Resources Gas Group Ltd 2012/2022 . . . . . . USD 455 000 1 105 000 1 450 000 % 109.044 496 150.20 0.13 4.375 % China Resources Land Ltd 2014/2019 . . . . . . . . . . USD 500 000 250 000 250 000 % 105.732 528 660.00 0.14 7.50 % China Shanshui Cement Group Ltd 2015/2020 . . . . USD 200 000 % 77.351 154 702.00 0.04 5.45 % China Taiping Insurance Holdings Co., Ltd

2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 600 000 % 104.887 419 548.00 0.11 7.75 % CIFI Holdings Group Co., Ltd 2015/2020 . . . . . . . . USD 700 000 700 000 % 107.713 753 991.00 0.20 5.75 % CIMPOR Financial Operations BV 2014/2024 . . . . . USD 600 000 400 000 % 74.199 445 194.00 0.12 3.70 % CITIC Ltd (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . USD 1 500 000 2 000 000 500 000 % 100.893 1 513 395.00 0.40 6.80 % CITIC Pacific Ltd -Reg- 2012/2023 . . . . . . . . . . . . . USD 1 000 000 200 000 400 000 % 121.298 1 212 980.00 0.32 3.00 % CNOOC Finance 2013 Ltd 2013/2023 . . . . . . . . . . USD 1 750 000 1 250 000 750 000 % 99.643 1 743 752.50 0.46 3.50 % CNOOC Finance 2015 USA LLC 2015/2025 . . . . . . USD 1 800 000 200 000 % 101.736 1 831 248.00 0.49 4.25 % CNOOC Nexen Finance 2014 ULC 2014/2024 . . . . USD 1 000 000 800 000 800 000 % 106.663 1 066 630.00 0.28 2.75 % CNPC General Capital Ltd -Reg- 2014/2019 . . . . . . USD 700 000 700 000 % 101.964 713 748.00 0.19 3.875 % Coca-Cola Femsa SAB de CV 2013/2023 . . . . . . . . USD 1 000 000 1 000 000 % 106.825 1 068 250.00 0.28 5.375 % Colombia Telecomunicacio 2015/2049 . . . . . . . . . . USD 750 000 750 000 % 88.236 661 770.00 0.18 5.375 % Colombia Telecomunicaciones SA ESP -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 700 000 % 94.747 663 229.00 0.18 7.375 % Columbus International, Inc. -Reg- 2014/2021 . . . . USD 2 000 000 1 400 000 650 000 % 105.299 2 105 980.00 0.56 6.875 % Comcel Trust -Reg- 2014/2024 . . . . . . . . . . . . . . . . USD 400 000 300 000 % 97.524 390 096.00 0.10 6.75 % CorpGroup Banking SA 2013/2023 . . . . . . . . . . . . . USD 1 500 000 600 000 600 000 % 94.051 1 410 765.00 0.38 4.50 % COSL Singapore Capital Ltd 2015/2025 . . . . . . . . . USD 700 000 700 000 % 104.756 733 292.00 0.19 7.50 % Country Garden Holdings Co., Ltd 2015/2020** . . USD 500 000 1 500 000 % 107.823 539 115.00 0.14 7.25 % Country Garden Holdings Co., Ltd -Reg- 2013/2021 USD 2 200 000 2 200 000 % 106.71 2 347 620.00 0.62 3.95 % CRCC Yupeng Ltd 2014/2049 * . . . . . . . . . . . . . . . USD 1 550 000 200 000 % 103.093 1 597 941.50 0.42 8.70 % Credit Bank of Moscow Via CBOM Finance Plc

-Reg- 2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 200 000 1 200 000 % 103.517 1 242 204.00 0.33 6.00 % Croatia Government International Bond 2013/2024 USD 500 000 500 000 % 109.316 546 580.00 0.15 3.60 % DIB Sukuk Ltd 2016/2021 . . . . . . . . . . . . . . . . . . . . USD 700 000 1 600 000 900 000 % 102.108 714 756.00 0.19 3.908 % DP World Crescent Ltd -Reg- 2016/2023 . . . . . . . . USD 1 200 000 3 000 000 1 800 000 % 100.626 1 207 512.00 0.32 6.85 % DP World Ltd (MTN) -Reg- 2007/2037 . . . . . . . . . . USD 600 000 1 400 000 % 110.108 660 648.00 0.18 5.875 % Ecopetrol SA 2014/2045 . . . . . . . . . . . . . . . . . . . . . USD 1 600 000 2 600 000 2 250 000 % 86.392 1 382 272.00 0.37 5.375 % Ecopetrol SA 2015/2026 . . . . . . . . . . . . . . . . . . . . . USD 1 350 000 2 100 000 1 000 000 % 96.912 1 308 312.00 0.35 3.542 % EI Sukuk Co., Ltd 2016/2021 . . . . . . . . . . . . . . . . . USD 600 000 1 000 000 400 000 % 101.667 610 002.00 0.16 8.625 % Eldorado Intl. Finance GmbH -Reg- 2016/2021 . . . . USD 4 000 000 4 000 000 % 96.641 3 865 640.00 1.03 5.05 % Embraer Netherlands Finance BV 2015/2025 . . . . . USD 400 000 1 000 000 1 950 000 % 98.795 395 180.00 0.11 3.25 % Emirates NBD PJSC (MTN) 2014/2019 . . . . . . . . . . USD 500 000 750 000 250 000 % 102.833 514 165.00 0.14 4.25 % Empresa Nacional de Electricidad SA 2014/2024 . . USD 600 000 600 000 % 105.918 635 508.00 0.17 4.75 % ENTEL Chile SA -Reg- 2014/2026 . . . . . . . . . . . . . . USD 900 000 900 000 % 99.542 895 878.00 0.24 6.25 % ESAL GmbH -Reg- 2013/2023 . . . . . . . . . . . . . . . . . USD 800 000 1 500 000 1 800 000 % 98.627 789 016.00 0.21 12.00 % Evergrande Real Estate Group Ltd 2015/2020 . . . . USD 400 000 600 000 1 000 000 % 105.547 422 188.00 0.11 8.75 % Evergrande Real Estate Group Ltd -Reg-

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 200 000 300 000 850 000 % 99.601 1 195 212.00 0.32 6.75 % Evraz Group SA 2016/2022 . . . . . . . . . . . . . . . . . . . USD 2 200 000 3 000 000 800 000 % 101.7 2 237 400.00 0.59 6.50 % Evraz Group SA-Reg- 2013/2020** . . . . . . . . . . . . . USD 600 000 1 200 000 % 102.479 614 874.00 0.16 5.25 % Fibria Overseas Finance Ltd 2014/2024 . . . . . . . . . USD 500 000 900 000 1 400 000 % 102.591 512 955.00 0.14 6.25 % Finansbank AS/Turkey -Reg- 2014/2019 . . . . . . . . . USD 1 400 000 1 400 000 % 106.573 1 492 022.00 0.40 2.625 % First Gulf Bank PJSC (MTN) 2015/2020 . . . . . . . . . USD 400 000 250 000 % 101.041 404 164.00 0.11 4.25 % FirstRand Bank Ltd (MTN) 2015/2020 . . . . . . . . . . . USD 400 000 800 000 % 101.894 407 576.00 0.11 4.375 % Fomento Economico Mexicano SAB de CV

2013/2043 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 104.618 1 046 180.00 0.28 5.75 % Franshion Brilliant Ltd 2014/2019 . . . . . . . . . . . . . . USD 1 000 000 300 000 800 000 % 107.62 1 076 200.00 0.29 5.50 % Fresnillo Plc 2013/2023 . . . . . . . . . . . . . . . . . . . . . . USD 1 200 000 2 600 000 2 100 000 % 107.659 1 291 908.00 0.34 10.25 % Future Land Development Holdings Ltd

2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 % 110.473 662 838.00 0.18 6.00 % Gazprom Neft OAO Via GPN Capital SA

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 450 000 900 000 % 107.351 858 808.00 0.23 4.95 % Gazprom OAO -Reg- 2012/2022 . . . . . . . . . . . . . . USD 600 000 1 050 000 % 103.599 621 594.00 0.17 3.85 % Gazprom OAO Via Gaz Capital SA -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 900 000 300 000 % 101.084 909 756.00 0.24 4.96 % Gazprombank OJSC Via GPB Eurobond Finance Plc

(MTN) -Reg- 2014/2019 . . . . . . . . . . . . . . . . . . . . . . USD 1 200 000 1 200 000 2 000 000 % 103.56 1 242 720.00 0.33 7.875 % Gazprombank OJSC Via GPB Eurobond Finance Plc

2012/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 1 000 000 300 000 % 97.762 684 334.00 0.18 8.25 % Golden Legacy Pte Ltd -Reg- 2016/2021 . . . . . . . . USD 2 000 000 3 000 000 1 000 000 % 102.175 2 043 500.00 0.54 4.375 % GPN Capital SA 2012/2022 . . . . . . . . . . . . . . . . . . USD 1 600 000 200 000 % 99.049 1 584 784.00 0.42 8.00 % Greenko Dutch BV -Reg- 2014/2019 . . . . . . . . . . . . USD 800 000 1 200 000 % 107.992 863 936.00 0.23 4.875 % Grupo Bimbo SAB de CV -Reg- 2014/2044 . . . . . . . USD 1 200 000 700 000 % 100.275 1 203 300.00 0.32 7.875 % Grupo Idesa SA de CV -Reg- 2013/2020 . . . . . . . . . USD 300 000 700 000 % 101.458 304 374.00 0.08 5.00 % Grupo Televisa SAB 2014/2045** . . . . . . . . . . . . . USD 1 500 000 1 400 000 500 000 % 95.366 1 430 490.00 0.38 4.625 % Grupo Televisa SAB 2015/2026 . . . . . . . . . . . . . . . USD 400 000 400 000 500 000 % 107.301 429 204.00 0.11 6.00 % GTB Finance BV 2013/2018 . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 % 98.806 1 976 120.00 0.53 7.25 % GTH Finance BV -Reg- 2016/2023 . . . . . . . . . . . . . USD 500 000 500 000 % 104.419 522 095.00 0.14 7.25 % GTH Finance BV -Reg- 2016/2023 . . . . . . . . . . . . . USD 300 000 300 000 % 104.419 313 257.00 0.08 7.25 % GTL Trade Finance, Inc. -Reg- 2014/2044 . . . . . . . . USD 800 000 800 000 % 84.084 672 672.00 0.18 5.893 % GTLTradeFinance, Inc. 2015/2024 . . . . . . . . . . . . . USD 800 000 1 000 000 % 88.09 704 720.00 0.19 3.50 % Haitong International Finance Holdings 2015 Ltd

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 1 200 000 400 000 % 102.013 816 104.00 0.22



103

7.25 % Halyk Savings Bank of Kazakhstan JSC -Reg- 2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 1 100 000 600 000 % 106.058 530 290.00 0.14

3.25 % Huarong Finance II Co., Ltd 2016/2021 . . . . . . . . . USD 1 800 000 2 000 000 200 000 % 100.706 1 812 708.00 0.48 4.625 % Huarong Finance II Co., Ltd 2016/2026 . . . . . . . . . USD 1 400 000 1 800 000 400 000 % 103.606 1 450 484.00 0.39 4.625 % Hutchison Whampoa International 11 Ltd -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 700 000 % 112.112 784 784.00 0.21 6.375 % ICICI Bank Ltd -Reg- 2007/2022 * . . . . . . . . . . . . . . USD 800 000 1 400 000 % 101.716 813 728.00 0.22 4.25 % IDBI Bank Ltd/DIFC Dubai 2015/2020 . . . . . . . . . . . USD 450 000 400 000 2 450 000 % 103.286 464 787.00 0.12 5.75 % Indian Oil Corp., Ltd (MTN) 2013/2023 . . . . . . . . . . USD 1 100 000 1 000 000 1 400 000 % 113.446 1 247 906.00 0.33 4.875 % Industrial & Commercial Bank of China Ltd -Reg-

2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 700 000 1 900 000 200 000 % 105.991 1 801 847.00 0.48 6.50 % InRetail Shopping Malls -Reg- 2014/2021 . . . . . . . . USD 500 000 500 000 % 104.789 523 945.00 0.14 5.625 % International Bank of Azerbaijan OJSC 2014/2019 . USD 600 000 500 000 400 000 % 98.193 589 158.00 0.16 4.375 % IOI Investment L Bhd 2012/2022 . . . . . . . . . . . . . . USD 500 000 % 104.16 520 800.00 0.14 8.75 % IRSA Propiedades Comerciales SA 2016/2023** . . USD 1 000 000 1 550 000 550 000 % 106.154 1 061 540.00 0.28 4.50 % Israel Chemicals Ltd 144A 2014/2024 . . . . . . . . . . USD 800 000 1 000 000 1 000 000 % 102.576 820 604.00 0.22 6.875 % Israel Electric Corp., Ltd -Reg- 2013/2023 . . . . . . . USD 3 500 000 750 000 % 119.024 4 165 840.00 1.11 5.125 % Itau Unibanco Holding SA 2012/2023 . . . . . . . . . . . USD 1 000 000 3 350 000 2 350 000 % 99.028 990 280.00 0.26 7.25 % JBS INVESTMENTS GmbH 2014/2024 . . . . . . . . . . USD 1 500 000 1 000 000 % 103.352 1 550 280.00 0.41 7.75 % JBS Investments GmbH -Reg- 2013/2020 . . . . . . . USD 1 000 000 1 000 000 % 105.446 1 054 460.00 0.28 4.375 % JGSH Philippines Ltd -Reg- 2013/2023 . . . . . . . . . . USD 500 000 500 000 % 103.996 519 980.00 0.14 4.75 % JSW Steel Ltd 2014/2019 . . . . . . . . . . . . . . . . . . . . USD 700 000 400 000 % 92.267 645 869.00 0.17 5.25 % Klabin Finance SA -Reg- 2014/2024 . . . . . . . . . . . . USD 800 000 800 000 1 200 000 % 99.066 792 528.00 0.21 5.25 % KOC Holding AS 2016/2023 . . . . . . . . . . . . . . . . . . USD 1 666 000 2 366 000 700 000 % 103.881 1 730 657.46 0.46 3.50 % Korea Gas Corp 2015/2025 . . . . . . . . . . . . . . . . . . . USD 1 400 000 400 000 % 109.646 1 535 044.00 0.41 3.00 % Korea Hydro & Nuclear Power Co., Ltd 2012/2012 USD 1 200 000 1 200 000 % 105.795 1 269 540.00 0.34 2.625 % Korea National Oil Corp. -Reg- 2016/2026 . . . . . . . USD 750 000 1 500 000 750 000 % 101.927 764 452.50 0.20 5.20 % Krung Thai Bank PCL/Cayman Islands 2014/2024 * USD 1 900 000 1 150 000 950 000 % 104.483 1 985 177.00 0.53 5.00 % Kuwait Projects Co. 2016/2023 . . . . . . . . . . . . . . . . USD 1 250 000 2 250 000 1 000 000 % 104.725 1 309 062.50 0.35 8.975 % KWG Property Holding Ltd -Reg- 2014/2019 . . . . . USD 1 500 000 1 000 000 750 000 % 107.028 1 605 420.00 0.43 4.70 % Lenovo Group Ltd -Reg- 2014/2019 . . . . . . . . . . . . USD 1 000 000 700 000 1 450 000 % 105.548 1 055 480.00 0.28 6.00 % Li & Fung Ltd -Reg- 2012/2049 * . . . . . . . . . . . . . . USD 400 000 200 000 % 104.488 417 952.00 0.11 6.75 % Longfor Properties Co., Ltd 2013/2023 . . . . . . . . . . USD 900 000 1 200 000 800 000 % 107.931 971 379.00 0.26 4.563 % Lukoil International Finance BV 2013/2023** . . . . . USD 800 000 500 000 3 000 000 % 101.388 811 104.00 0.22 6.125 % Lukoil International Finance BV -Reg- 2010/2020 . . USD 1 000 000 1 900 000 900 000 % 109.293 1 092 930.00 0.29 7.125 % MAF Global Securities Ltd 2013/2049 * . . . . . . . . . USD 1 000 000 250 000 % 104.614 1 046 140.00 0.28 4.50 % MAF Sukuk Ltd 2015/2025 . . . . . . . . . . . . . . . . . . . USD 350 000 200 000 250 000 % 105.453 369 085.50 0.10 8.00 % Marfrig Holdings Europe BV -Reg- 2016/2023 . . . . USD 800 000 4 500 000 3 700 000 % 102.147 817 176.00 0.22 9.75 % Marquee Land Pte Ltd -Reg- 2014/2019 . . . . . . . . . USD 1 400 000 1 400 000 % 107.725 1 508 150.00 0.40 2.75 % MDC-GMTN BV -Reg- 2016/2023 . . . . . . . . . . . . . . USD 360 000 360 000 % 100.266 360 957.60 0.10 5.625 % Metalloinvest Finance Ltd 2013/2020 . . . . . . . . . . . USD 1 200 000 200 000 % 104.513 1 254 156.00 0.33 5.875 % Mexichem SAB de CV 2014/2044 . . . . . . . . . . . . . USD 1 300 000 1 100 000 1 000 000 % 91.008 1 183 104.00 0.31 8.25 % MHP SA 2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . USD 1 450 000 200 000 500 000 % 94.761 1 374 034.50 0.37 7.50 % MIE Holdings Corp. -Reg- 2014/2019 . . . . . . . . . . . USD 400 000 400 000 % 67.841 271 364.00 0.07 7.75 % Minerva Luxembourg SA -Reg- 2013/2023 . . . . . . . USD 700 000 1 300 000 600 000 % 102.373 716 611.00 0.19 8.75 % Minerva Luxembourg SA -Reg- 2014/2049 * . . . . . USD 1 700 000 200 000 250 000 % 100.539 1 709 163.00 0.45 5.55 % MMC Norilsk Nickel OJSC via MMC Finance Ltd

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 200 000 % 106.306 744 142.00 0.20 6.625 % MMC Norilsk Nickel OJSC via MMC Finance Ltd

2015/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 200 000 1 200 000 % 111.14 555 700.00 0.15 5.00 % Mobile Telesystems OJSC via MTS International

Funding Ltd -Reg- 2013/2023** . . . . . . . . . . . . . . . USD 500 000 1 000 000 % 103.185 515 925.00 0.14 6.25 % MOL Group Finance SA (MTN) 2012/2019 . . . . . . . USD 200 000 1 000 000 800 000 % 109.36 218 720.00 0.06 9.00 % Moon Wise Global Ltd. 2014/2049* . . . . . . . . . . . . USD 300 000 700 000 % 109.396 328 188.00 0.09 4.755 % MTN Mauritius Investments Ltd -Reg- 2014/2024 . USD 1 400 000 3 410 000 2 510 000 % 97.051 1 358 714.00 0.36 5.50 % Myriad International Holdings BV 2015/2025 . . . . . USD 1 950 000 250 000 800 000 % 104.223 2 032 348.50 0.54 5.25 % National Bank of Abu Dhabi 2015/2049 * . . . . . . . . USD 1 200 000 1 200 000 % 101.132 1 213 584.00 0.32 5.75 % NBK Tier 1 Financing Ltd 2015/2049 . . . . . . . . . . . USD 1 000 000 500 000 200 000 % 101.602 1 016 020.00 0.27 3.625 % Noble Group Ltd 2013/2018 . . . . . . . . . . . . . . . . . . USD 800 000 800 000 500 000 % 86.087 688 696.00 0.18 6.75 % Noble Group Ltd -Reg- 2009/2020** . . . . . . . . . . . USD 1 950 000 700 000 500 000 % 81.866 1 596 387.00 0.42 4.422 % Novatek Finance Ltd 2012/2022 . . . . . . . . . . . . . . . USD 2 000 000 500 000 1 700 000 % 100.806 2 016 120.00 0.54 6.604 % Novatek OAO via Novatek Finance Ltd -Reg-

2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 % 110.313 661 878.00 0.18 4.50 % Novolipetsk Steel via Steel Funding Ltd -Reg-

2016/2023** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 740 000 1 740 000 1 000 000 % 99.691 737 713.40 0.20 4.25 % NTPC Ltd (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . USD 800 000 2 000 000 1 200 000 % 104.615 836 920.00 0.22 4.75 % NTPC Ltd 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 110.465 441 860.00 0.12 8.875 % OAS Financial Ltd -Reg- 2013/2049 * ** . . . . . . . . USD 2 500 000 % 2.258 56 437.50 0.02 4.50 % OCP SA -Reg- 2015/2025** . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 98.055 980 550.00 0.26 4.375 % Odebrecht Finance Ltd -Reg- 2013/2025 . . . . . . . . USD 250 000 250 000 % 43.256 108 140.00 0.03 5.25 % Odebrecht Finance Ltd -Reg- 2014/2029 . . . . . . . . USD 525 000 1 775 000 1 250 000 % 40.554 212 908.50 0.06 6.75 % Odebrecht Offshore Drilling Finance Ltd -Reg-

2013/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 214 360 1 214 360 % 18.557 225 348.79 0.06 7.00 % Odebrecht Oil & Gas Finance Ltd -Reg-

2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 5.814 58 140.00 0.02 5.75 % Oi SA -Reg- 2012/2022** . . . . . . . . . . . . . . . . . . . . USD 2 200 000 1 000 000 % 15.826 348 172.00 0.09 5.375 % Oil India Ltd -Reg- 2014/2024 . . . . . . . . . . . . . . . . . USD 500 000 250 000 750 000 % 110.551 552 755.00 0.15 4.50 % Olam International Ltd (MTN) 2016/2021 . . . . . . . . USD 900 000 1 500 000 600 000 % 101.667 915 003.00 0.24 3.25 % ONGC Videsh Ltd -Reg- 2014/2019 . . . . . . . . . . . . USD 750 000 % 103.007 772 552.50 0.21 4.625 % ONGC Videsh Ltd -Reg- 2014/2024 . . . . . . . . . . . . USD 400 000 1 000 000 1 400 000 % 107.09 428 360.00 0.11 3.25 % Ooredoo International Finance Ltd 2015/2023 . . . . USD 400 000 800 000 400 000 % 101.131 404 524.00 0.11 3.75 % Ooredoo International Finance Ltd -Reg-

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 740 000 1 740 000 % 101.19 1 760 706.00 0.47



104

4.00 % Oversea Chinese Banking 2014/2024 * . . . . . . . . . USD 2 500 000 % 104.495 2 612 375.00 0.69 5.875 % OVPH Ltd 2016/2049 . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 2 000 000 1 300 000 % 106.15 743 050.00 0.20 3.75 % PCCW-HKT Capital No. 5 Ltd -Reg- 2013/2023 . . . USD 500 000 500 000 % 106.736 533 680.00 0.14 6.45 % Pertamina Persero PT -Reg- (MTN) 2014/2044 . . . . USD 1 000 000 1 000 000 % 106.507 1 065 070.00 0.28 6.00 % Pertamina Persero PT -Reg- 2012/2042 . . . . . . . . . USD 800 000 800 000 % 101.459 811 672.00 0.22 5.125 % Perusahaan Gas Negara Persero Tbk PT -Reg-

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 % 105.864 1 058 640.00 0.28 7.875 % Petrobras Global Finance BV 2009/2019 . . . . . . . . . USD 1 000 000 5 500 000 4 500 000 % 103.671 1 036 710.00 0.28 2.762 % Petrobras Global Finance BV 2013/2019 * . . . . . . . USD 500 000 500 000 % 91.126 455 630.00 0.12 4.375 % Petrobras Global Finance BV 2013/2023 . . . . . . . . . USD 4 500 000 6 350 000 3 100 000 % 80.738 3 633 210.00 0.97 4.875 % Petrobras Global Finance BV 2014/2020 . . . . . . . . . USD 1 750 000 4 500 000 3 250 000 % 93.509 1 636 407.50 0.44 8.75 % Petrobras Global Finance BV 2016/2026 . . . . . . . . . USD 5 000 000 5 000 000 % 100.28 5 014 000.00 1.33 5.50 % Petroleos de Venezuela SA -Reg- 2007/2037 . . . . . USD 1 000 000 1 000 000 % 34.867 348 670.00 0.09 5.25 % Poly Real Estate Finance -Reg- 2014/2019 . . . . . . . USD 500 000 500 000 % 107.163 535 815.00 0.14 5.625 % Polyus Gold International Ltd -Reg- 2013/2020 . . . . USD 1 200 000 1 200 000 % 105.225 1 262 700.00 0.34 4.25 % Posco 2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 108.456 542 280.00 0.14 4.63 % Powszechna Kasa Oszczednosci Bank Polski SA

Via PKO Finance AB 2012/2022 . . . . . . . . . . . . . . . USD 200 000 1 250 000 2 300 000 % 104.62 209 240.00 0.06 4.125 % Proven Honour Capital Ltd 2016/2026 . . . . . . . . . . USD 1 300 000 1 600 000 300 000 % 104.001 1 352 013.00 0.36 7.875 % Provincia de Buenos Aires/Argentina -Reg-

2016/2027** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 % 102.417 2 048 340.00 0.54 7.125 % Provincia de Cordoba -Reg- 2016/2021 . . . . . . . . . . USD 600 000 1 290 000 690 000 % 100.346 602 076.00 0.16 4.875 % PTT Exploration & Production PCL -Reg-

2014/2049 * ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 900 000 900 000 % 100.565 905 085.00 0.24 4.25 % PTT Global Chemical PCL -Reg- 2012/2022 . . . . . . USD 1 200 000 800 000 % 109.243 1 310 916.00 0.35 4.50 % PTT PCL -Reg- 2012/2042 . . . . . . . . . . . . . . . . . . . . USD 1 100 000 650 000 % 104.277 1 147 047.00 0.30 2.375 % Qatar Government International Bond -Reg-

2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 2 360 000 2 060 000 % 101.193 303 579.00 0.08 5.875 % Reliance Industries Ltd -Reg- 2013/2049 . . . . . . . . USD 1 250 000 1 250 000 % 102.351 1 279 387.50 0.34 4.125 % Reliance Industries Ltd -Reg- 2015/2025 . . . . . . . . USD 1 200 000 1 200 000 1 750 000 % 103.763 1 245 156.00 0.33 4.875 % Reliance Industries Ltd -Reg- 2015/2045** . . . . . . USD 1 000 000 % 100.326 1 003 260.00 0.27 4.199 % Rosneft Oil Co via Rosneft International Finance Ltd

-Reg- 2012/2022** . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 750 000 2 150 000 2 650 000 % 99.726 1 745 205.00 0.46 6.00 % Russian Agricultural Bank OJSC Via RSHB Capital SA

-Reg- 2011/2021 * . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 1 000 000 200 000 % 100.289 802 312.00 0.21 5.875 % Russian Foreign Bond - Eurobond -Reg- 2013/2043 USD 1 000 000 1 000 000 % 116.884 1 168 840.00 0.31 5.70 % RZD Capital Ltd 2012/2022 . . . . . . . . . . . . . . . . . . . USD 400 000 800 000 400 000 % 107.676 430 704.00 0.11 4.125 % Samarco Mineracao SA -Reg- 2012/2022 . . . . . . . . USD 2 250 000 2 250 000 500 000 % 38.999 877 477.50 0.23 5.75 % Samarco Mineracao SA -Reg- 2013/2023 . . . . . . . . USD 500 000 500 000 % 39.418 197 090.00 0.05 4.875 % San Miguel Corp. (MTN) 2013/2023 . . . . . . . . . . . . USD 1 700 000 200 000 1 500 000 % 100.074 1 701 258.00 0.45 4.50 % Sasol Financing International Plc 2012/2022 . . . . . . USD 1 000 000 % 100.259 1 002 590.00 0.27 5.50 % Sberbank of Russia 2014/2024 * . . . . . . . . . . . . . . USD 800 000 1 000 000 1 200 000 % 99.608 796 864.00 0.21 5.717 % Sberbank of Russia Via SB Capital SA 2011/2021 * USD 750 000 750 000 1 500 000 % 108.21 811 575.00 0.22 5.125 % Sberbank of Russia Via SB Capital SA -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 101.385 1 013 850.00 0.27 8.375 % Shimao Property Holdings Ltd 2015/2022** . . . . . USD 1 250 000 1 350 000 2 600 000 % 113.185 1 414 812.50 0.38 3.875 % Shinhan Bank (MTN) -Reg- 2016/2026 . . . . . . . . . . USD 500 000 500 000 % 103.444 517 220.00 0.14 2.25 % Shinhan Bank -Reg- 2015/2020** . . . . . . . . . . . . . . USD 1 000 000 200 000 % 101.387 1 013 870.00 0.27 3.914 % Sibur Securities Ltd -Reg- 2013/2018 . . . . . . . . . . . USD 800 000 800 000 1 250 000 % 101.937 815 496.00 0.22 4.125 % Sigma Alimentos SA de CV -Reg- 2016/2026 . . . . . USD 590 000 590 000 % 101.008 595 947.20 0.16 6.00 % Sino-Ocean Land Treasure Finance I Ltd (MTN)

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 800 000 % 107.301 858 408.00 0.23 4.45 % Sino-Ocean Land Treasure Finance II Ltd

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 045 000 1 045 000 1 000 000 % 104.304 2 133 016.80 0.57 3.125 % Sinopec Capital 2013 Ltd -Reg- 2013/2023 . . . . . . . USD 1 000 000 2 000 000 1 000 000 % 100.292 1 002 920.00 0.27 6.95 % Sistema International Funding SA -Reg- 2012/2019 USD 1 000 000 250 000 % 107.857 1 078 570.00 0.29 5.25 % Southern Copper Corp. 2012/2042 . . . . . . . . . . . . . USD 1 500 000 4 200 000 2 700 000 % 87.664 1 314 960.00 0.35 3.875 % Southern Copper Corp. 2015/2025 . . . . . . . . . . . . . USD 1 000 000 600 000 200 000 % 98.45 984 500.00 0.26 8.50 % Studio City Finance Ltd 2012/2020** . . . . . . . . . . . USD 1 100 000 1 300 000 1 000 000 % 101.867 1 120 537.00 0.30 3.375 % Sun Hung Kai Properties Capital Market Ltd (MTN)

2014/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 2 200 000 % 102.404 1 024 040.00 0.27 4.50 % Swire Pacific MTN Financing Ltd 2013/2023 . . . . . USD 500 000 750 000 % 112.251 561 255.00 0.15 4.375 % Swire Properties Financing Ltd (MTN) -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 750 000 2 750 000 % 111.858 838 935.00 0.22 3.625 % Swire Properties MTN Financing Ltd (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 940 000 1 340 000 400 000 % 106.552 1 001 588.80 0.27 4.50 % Talent Yield Investments Ltd -Reg- 2012/2022** . . USD 500 000 % 108.876 544 380.00 0.14 2.875 % Tencent Holdings Ltd. (MTN) -Reg- 2015/2020 . . . USD 2 500 000 1 500 000 250 000 % 102.626 2 565 650.00 0.68 3.80 % Tencent Holdings Ltd. -Reg- 2015/2025 . . . . . . . . . USD 1 500 000 1 300 000 800 000 % 105.423 1 581 345.00 0.42 5.50 % Tenedora Nemak SA de CV -Reg- 2013/2023 . . . . . USD 400 000 250 000 1 400 000 % 103.637 414 548.00 0.11 6.125 % Theta Capital Pte Ltd -Reg- 2012/2020 . . . . . . . . . . USD 800 000 800 000 % 102.369 818 952.00 0.22 8.50 % Trillion Chance Ltd 2014/2019 . . . . . . . . . . . . . . . . . USD 800 000 400 000 % 106.492 851 936.00 0.23 5.25 % Trust F/1401 -Reg- 2015/2026** . . . . . . . . . . . . . . . USD 1 300 000 1 300 000 % 101.672 1 321 736.00 0.35 6.95 % Trust F/1401 -Reg- 2016/2044 . . . . . . . . . . . . . . . . . USD 800 000 800 000 % 103.625 829 000.00 0.22 4.125 % Tupras Turkiye Petrol Rafinerileri AS 2012/2018 . . . USD 600 000 200 000 % 101.569 609 414.00 0.16 4.875 % Turk Telekomunikasyon AS 2014/2024** . . . . . . . . USD 1 350 000 300 000 200 000 % 100.147 1 351 984.50 0.36 5.25 % Turkiye Garanti Bankasi AS -Reg- 2012/2022 . . . . . USD 800 000 1 000 000 % 103.815 830 520.00 0.22 4.75 % Turkiye Halk Bankasi AS -Reg- 2015/2021 . . . . . . . USD 1 100 000 1 198 000 598 000 % 99.879 1 098 669.00 0.29 5.375 % Turkiye Is Bankasi -Reg- 2016/2021 . . . . . . . . . . . . USD 1 250 000 1 250 000 % 103.062 1 288 281.25 0.34 4.875 % Turkiye Sinai Kalkinma Bankasi AS 2016/2021 . . . . USD 400 000 1 960 000 1 560 000 % 100.322 401 288.00 0.11 4.25 % Turkiye Sise ve Cam Fabrikalari AS 2013/2020 . . . . USD 1 500 000 500 000 % 100.599 1 508 985.00 0.40 6.875 % Turkiye Vakiflar Bankasi Tao (MTN) -Reg-

2015/2025 * ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 1 700 000 1 700 000 % 101.485 1 522 275.00 0.40



105

6.25 % Unifin Financiera SAPI de CV SOFOM ENR -Reg- 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 750 000 750 000 750 000 % 97.944 734 580.00 0.20

5.875 % Union Andina de Cementos SAA -Reg- 2014/2021 USD 400 000 % 102.029 408 116.00 0.11 3.75 % United Overseas Bank Ltd 2014/2024 * ** . . . . . . USD 1 000 000 1 000 000 % 103.559 1 035 590.00 0.28 6.875 % Vale Overseas Ltd 2006/2036** . . . . . . . . . . . . . . . USD 2 250 000 2 250 000 1 000 000 % 91.552 2 059 920.00 0.55 4.375 % Vale Overseas Ltd 2012/2022** . . . . . . . . . . . . . . . USD 750 000 3 350 000 4 000 000 % 93.548 701 610.00 0.19 5.875 % Vale Overseas Ltd 2016/2021** . . . . . . . . . . . . . . . USD 3 750 000 5 000 000 1 250 000 % 100.091 3 753 412.50 1.00 6.00 % Vedanta Resources Plc -Reg- 2013/2019 . . . . . . . . USD 2 750 000 2 750 000 % 85.652 2 355 430.00 0.63 6.902 % Vnesheconombank -Reg- 2010/2020 . . . . . . . . . . . USD 750 000 750 000 % 108.749 815 617.50 0.22 6.80 % Vnesheconombank -Reg- 2010/2025 . . . . . . . . . . . USD 700 000 700 000 % 110.278 771 946.00 0.21 6.025 % Vnesheconombank Via VEB Finance Plc -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 700 000 500 000 % 105.977 1 801 609.00 0.48 7.25 % Votorantim Cimentos SA -Reg- 2011/2041 . . . . . . . USD 1 200 000 300 000 1 100 000 % 91.538 1 098 456.00 0.29 9.50 % VTB Bank OJSC -Reg- 2012/2049 * . . . . . . . . . . . . USD 2 000 000 800 000 800 000 % 106.348 2 126 960.00 0.57 6.95 % VTB Bank OJSC Via VTB Capital SA -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 800 000 1 300 000 2 500 000 % 104.763 1 885 734.00 0.50 7.25 % Wanda Properties International Co., Ltd

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 950 000 250 000 800 000 % 109.173 1 037 143.50 0.28 4.75 % Woori Bank Co., Ltd 2014/2024 . . . . . . . . . . . . . . . USD 2 100 000 600 000 2 000 000 % 105.925 2 224 425.00 0.59 5.25 % Wynn Macau Ltd -Reg- 2013/2021 . . . . . . . . . . . . . USD 1 500 000 1 500 000 % 97.62 1 464 300.00 0.39 4.00 % Yapi ve Kredi Bankasi AS 2013/2020 . . . . . . . . . . . USD 1 400 000 200 000 800 000 % 100.139 1 401 946.00 0.37 5.50 % Yapi ve Kredi Bankasi AS -Reg- 2012/2022 . . . . . . . USD 1 000 000 1 000 000 % 99.969 999 690.00 0.27 8.875 % Yasar Holdings AS -Reg- 2014/2020 . . . . . . . . . . . . USD 600 000 600 000 400 000 % 106.346 638 076.00 0.17 8.50 % YPF SA 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 800 000 3 240 000 1 440 000 % 107.2 1 929 600.00 0.51 8.50 % YPF SA -Reg- 2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 2 900 000 3 400 000 % 105.987 1 059 870.00 0.28 8.625 % Yuzhou Properties Co., Ltd 2014/2019 . . . . . . . . . . USD 700 000 700 000 % 106.508 745 556.00 0.20

Securities admitted to or included in organized markets 60 113 311.68 15.98 Interest-bearing securities 6.875 % Alfa SAB de CV -Reg- 2014/2044 . . . . . . . . . . . . . . USD 1 350 000 900 000 300 000 % 102.583 1 384 870.50 0.37 4.50 % Alibaba Group Holding Ltd 2015/2034 . . . . . . . . . . USD 700 000 700 000 800 000 % 105.672 739 704.00 0.20 4.50 % Alpek SAB de CV 2012/2022 . . . . . . . . . . . . . . . . . USD 1 000 000 750 000 950 000 % 103.425 1 034 250.00 0.27 4.00 % Andrade Gutierrez International SA -Reg-

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 72.635 363 175.00 0.10 3.50 % Baidu, Inc. 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 1 400 000 1 600 000 % 102.793 616 758.00 0.16 5.90 % Banco Bradesco SA/Cayman Islands 2010/2021 . . USD 1 200 000 1 800 000 600 000 % 103.768 1 245 216.00 0.33 5.75 % Banco Bradesco SA/Cayman Islands -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 450 000 1 800 000 2 350 000 % 103.647 466 411.50 0.12 6.125 % Banco de Credito del Peru -Reg- 2012/2027 * . . . . USD 1 500 000 1 800 000 300 000 % 109.479 1 642 185.00 0.44 9.00 % Banco do Brasil SA/Cayman -Reg- 2014/2049 * . . . USD 2 500 000 4 000 000 1 500 000 % 77.6 1 940 000.00 0.52 7.375 % Banco do Estado do Rio Grande do Sul SA -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 91.659 183 318.00 0.05 9.75 % Banco Hipotecario SA -Reg- 2015/2020 . . . . . . . . . USD 2 500 000 3 500 000 1 000 000 % 108.562 2 714 062.50 0.72 5.75 % Banco Internacional del Peru SAA -Reg-

2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 400 000 1 400 000 % 111.018 1 110 180.00 0.30 7.375 % Banco Votorantim SA -Reg- 2010/2020 . . . . . . . . . USD 1 600 000 1 600 000 800 000 % 103.787 1 660 592.00 0.44 5.55 % Bank of China Hong Kong Ltd -Reg- 2010/2020 . . . USD 2 200 000 300 000 % 110.241 2 425 302.00 0.64 7.00 % Braskem Finance Ltd -Reg- 2010/2020 . . . . . . . . . . USD 500 000 500 000 % 106.34 531 700.00 0.14 5.75 % Braskem Finance Ltd -Reg- 2011/2021 . . . . . . . . . . USD 1 000 000 400 000 % 100.871 1 008 710.00 0.27 5.15 % Cencosud SA -Reg- 2015/2025 . . . . . . . . . . . . . . . . USD 1 950 000 1 200 000 1 250 000 % 102.761 2 003 839.50 0.53 5.75 % Centrais Eletricas Brasileiras SA -Reg- 2011/2021 . USD 2 500 000 2 400 000 1 900 000 % 91.939 2 298 475.00 0.61 5.50 % China Oversea Financial KY II 2010/2020 . . . . . . . . USD 1 450 000 450 000 % 112.117 1 625 696.50 0.43 3.95 % China Overseas Fin KY V 2012/2022 . . . . . . . . . . . USD 650 000 750 000 600 000 % 104.864 681 616.00 0.18 3.40 % CNPC General Capital Ltd -Reg- 2013/2023 . . . . . . USD 1 000 000 200 000 200 000 % 102.883 1 028 830.00 0.27 5.00 % Cosan Luxembourg SA -Reg- 2013/2023 . . . . . . . . USD 100 000 1 400 000 % 94.474 94 474.00 0.03 8.25 % Cosan Overseas Ltd 2010/2049 . . . . . . . . . . . . . . . USD 500 000 250 000 % 95.684 478 420.00 0.13 6.50 % CSN Resources SA -Reg- 2010/2020 . . . . . . . . . . . USD 700 000 200 000 750 000 % 51.235 358 645.00 0.10 8.25 % Digicel Group Ltd -Reg- 2012/2020 . . . . . . . . . . . . . USD 2 100 000 3 600 000 3 000 000 % 83.664 1 756 944.00 0.47 7.125 % Digicel Group Ltd -Reg- 2014/2022 . . . . . . . . . . . . . USD 500 000 500 000 % 74.136 370 680.00 0.10 6.00 % Digicel Ltd 2013/2021 . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 % 85.934 859 340.00 0.23 5.50 % Dolphin Energy Ltd -Reg- 2012/2021 . . . . . . . . . . . USD 1 000 000 % 113.696 1 136 960.00 0.30 5.00 % Embotelladora Andina SA -Reg- 2013/2023 . . . . . . USD 1 200 000 300 000 % 109.589 1 315 068.00 0.35 8.90 % Empresas ICA SAB de CV 2011/2021 . . . . . . . . . . . USD 400 000 % 15.25 61 000.00 0.02 6.00 % ENN Energy Holdings Ltd -Reg- 2011/2021 . . . . . . USD 1 850 000 850 000 % 113.593 2 101 470.50 0.56 6.875 % FMG Resources August 2006 Pty Ltd -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 95.441 954 410.00 0.25 7.288 % Gaz Capital SA 2013/2037** . . . . . . . . . . . . . . . . . . USD 500 000 800 000 800 000 % 116.767 583 835.00 0.16 4.75 % Gerdau Trade, Inc. -Reg- 2013/2023 . . . . . . . . . . . . USD 1 500 000 2 500 000 1 000 000 % 85.134 1 277 010.00 0.34 3.625 % HKT capital no 2 Ltd 2015/2025 . . . . . . . . . . . . . . . USD 500 000 200 000 200 000 % 105.282 526 410.00 0.14 3.625 % Hutchison Whampoa International 14 Ltd -Reg-

2014/2024** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 500 000 1 300 000 % 106.215 1 593 225.00 0.42 3.00 % Hyundai Capital America (MTN) -Reg- 2015/2020 . . USD 1 600 000 1 800 000 200 000 % 103.62 1 657 920.00 0.44 3.20 % ICBCIL Finance Co Ltd 2015/2020 . . . . . . . . . . . . . USD 400 000 600 000 970 000 % 102.115 408 460.00 0.11 6.375 % Indo Energy Finance II BV -Reg- 2013/2023 . . . . . . USD 1 000 000 1 200 000 200 000 % 56.126 561 260.00 0.15 3.231 % Industrial & Commercial Bank of China Ltd (MTN)

2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 % 104.09 624 540.00 0.17 5.50 % Industrial Senior Trust 2012/2022 . . . . . . . . . . . . . . USD 400 000 200 000 % 98.506 394 024.00 0.10 4.75 % Inversiones CMPC SA -Reg- 2014/2024 . . . . . . . . . USD 1 800 000 2 300 000 500 000 % 104.464 1 880 352.00 0.50 5.50 % Itau Unibanco Holding SA -Reg- 2012/2022 . . . . . . USD 1 850 000 1 850 000 % 101.445 1 876 732.50 0.50 5.75 % JBS USA LLC / JBS USA Finance, Inc. 144A

2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 750 000 750 000 % 94.625 709 687.50 0.19



106



9.50 % Marfrig Overseas Ltd 2010/2020 . . . . . . . . . . . . . . USD 1 200 000 1 200 000 % 103.17 1 238 040.00 0.33 6.25 % Minsur SA -Reg- 2014/2024 . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 100.478 502 390.00 0.13 6.067 % Nakilat, Inc. -Reg- 2006/2033 . . . . . . . . . . . . . . . . . USD 600 000 400 000 % 113.078 678 468.00 0.18 6.40 % Nexen Energy ULC 2007/2037 . . . . . . . . . . . . . . . . USD 1 200 000 % 126.717 1 520 604.00 0.40 6.35 % Odebrecht Drilling Norbe VIII/IX Ltd -Reg-

2010/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 210 250 % 28.909 86 727.00 0.02 7.125 % Odebrecht Finance Ltd 2012/2042 . . . . . . . . . . . . . USD 1 100 000 1 100 000 1 700 000 % 43.827 482 097.00 0.13 5.125 % Pacific Rubiales Energy Corp. 2013/2023 . . . . . . . . USD 2 850 000 % 18.686 532 551.00 0.14 5.25 % QGOG Atlantic / Alaskan Rigs Ltd -Reg-

2011/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 503 650 146 825 % 82.087 413 431.18 0.11 6.875 % Sable International Finance Ltd 2015/2022 . . . . . . . USD 250 000 750 000 % 102.457 256 142.50 0.07 5.90 % Severstal OAO Via Steel Capital SA 2012/2022 . . . USD 500 000 1 100 000 % 107.506 537 530.00 0.14 8.25 % Sixsigma Networks Mexico SA de CV -Reg-

2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 250 000 % 99.319 794 552.00 0.21 5.875 % Suzano Trading Ltd -Reg- 2010/2021 . . . . . . . . . . . USD 1 000 000 500 000 1 600 000 % 103.657 1 036 570.00 0.28 5.70 % Transportadora de Gas Internacional SA ESP -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 1 300 000 900 000 % 104.254 417 016.00 0.11 4.75 % Turkiye Garanti Bank AS -Reg- 2014/2019 . . . . . . . USD 400 000 400 000 % 103.045 412 180.00 0.11 7.504 % Vimpelcom Holdings BV 2011/2022 . . . . . . . . . . . . USD 700 000 1 000 000 1 300 000 % 110.086 770 602.00 0.20 5.375 % Volcan Cia Minera SAA -Reg- 2012/2022 . . . . . . . . USD 500 000 1 300 000 800 000 % 89.37 446 850.00 0.12 6.875 % VTR Finance BV -Reg- 2014/2024 . . . . . . . . . . . . . . USD 1 700 000 500 000 300 000 % 100.106 1 701 802.00 0.45 Unlisted securities 1 402 688.00 0.37 Interest-bearing securities 7.95 % AES Andres BV Via Dominican Power Partners Via

Empresa Generadora de Electricidad It -Reg- 2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 800 000 200 000 % 103.816 622 896.00 0.16

5.50 % Bank of East Asia Ltd/The 2015/49/1* ** . . . . . . . . USD 800 000 700 000 1 400 000 % 97.474 779 792.00 0.21 Total securities portfolio 379 547 652.65 100.91

Derivatives (Minus signs denote short positions) Interest rate derivatives 99 414.10 0.03Receivables/payables Interest rate futures US Treasury Notes 30 year 09/2016 (CBT) . . . . . . . . . . . . . . . Count 50 50 84 375.00 0.03US Treasury Notes 5 year Futures 09/2016 (CBT) . . . . . . . . . Count 75 75 -24 023.24 -0.01 Option contracts Options on bond index futures Put US Treasury Notes 10 year 08/2016 130 USD (DB) . . . . . USD 200 000 39 062.34 0.01 Currency derivatives -1 997 232.47 -0.53Receivables/payables Currency futures Currency futures (short) Open positions USD/EUR 0.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 212.75 0.00 Closed positions EUR/BRL 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 233.59 0.00EUR/CNY 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132.75 0.00EUR/INR 11.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 464.49 0.00EUR/RUB 11.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 945.58 0.00USD/BRL 20 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 241 296.12 0.07USD/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58.06 0.00USD/EUR 10.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -112 837.89 -0.03USD/RUB 120 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 597.38 0.01USD/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.63 0.00


Open positionsBRL/EUR 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 282.44 0.00CHF/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -143.25 0.00CNY/EUR 0.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247.22 0.00EUR/USD 136.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 204 947.17 -0.58INR/EUR 9.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 690.70 0.00RUB/EUR 8.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234.58 0.00SGD/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 301.81 0.00

107


Swaps -6 632 502.12 -1.76Receivables/payables Credit default swaps Protection sellerArgentine Republic / 5% 20/06/2021 (OTC) (DB) . . . . . . . . . . Count 7 500 000 257 771 .93 0 .07Brazil / 1% 20/03/2019 (OTC) (DB) . . . . . . . . . . . . . . . . . . . . . Count 4 000 000 -89 501 .92 -0 .02Brazil / 1% 20/12/2020 (OTC) (CIT) . . . . . . . . . . . . . . . . . . . . . Count 5 250 000 -420 034 .60 -0 .11CDX EM 5 Years / 1% 20/12/2020 (OTC) (BC) . . . . . . . . . . . . Count 750 000 -55 754 .22 -0 .01Dubai / 5% 20/03/2019 (OTC) (BR) . . . . . . . . . . . . . . . . . . . . . Count 5 000 000 531 449 .10 0 .14Federative Republic of Brazil / 1% 20/06/2021 (OTC) (DB) . . . Count 7 000 000 -687 574 .30 -0 .18Federative Republic of Brazil / 1% 20/12/2020 (OTC) (JP) . . . Count 5 250 000 -420 034 .60 -0 .11ICICI Bank / 1% 20/03/2020 (OTC) (DB) . . . . . . . . . . . . . . . . . Count 4 500 000 -89 141 .08 -0 .03ICICI Bank / 1% 20/09/2019 (OTC) (DB) . . . . . . . . . . . . . . . . . Count 5 000 000 -51 444 .50 -0 .01Indonesia 06/09 .03 .17 144a / 1% 20/12/2020 (OTC) (DB) . . . Count 3 000 000 -87 117 .75 -0 .02iTraxx USD Asia ex-Japan IG 5 Years / 1% 20/12/2020 (OTC) (DB) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 500 000 -103 652 .32 -0 .03MARKIT CDX .EM .25 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (BC) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 250 000 -801 752 .85 -0 .21MARKIT CDX .EM .25 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 250 000 -801 752 .85 -0 .21MARKIT ITRX ASIAXJ IG 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (BC) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 000 000 -480 965 .50 -0 .13Petrobas International Finance / 1% 20/06/2019 (OTC) (CIT) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 000 000 -473 724 .96 -0 .13Petroleos Mexicanos / 1% 20/09/2021 (OTC) (DB) . . . . . . . . . Count 9 000 000 -1 005 024 .78 -0 .27Republic of Colombia / 1% 20/06/2021 (OTC) (CIT) . . . . . . . . Count 10 000 000 -511 465 .90 -0 .14Republic of Croatia 1% 20/06/2020 (OTC) (CIT) . . . . . . . . . . . Count 5 250 000 -207 767 .65 -0 .06Republic of Indonesia / 1% 20/12/2020 (OTC) (CIT) . . . . . . . . Count 5 000 000 -145 196 .25 -0 .04Republic of Indonesia / 1% 20/12/2020 (OTC) (DB) . . . . . . . . Count 2 000 000 -58 078 .50 -0 .02Russian Federation / 1% 20/12/2020 (OTC) (BC) . . . . . . . . . . Count 9 500 000 -462 844 .75 -0 .12Russian Federation / 1% 20/06/2021 (OTC) (CIT) . . . . . . . . . . Count 7 000 000 -429 757 .44 -0 .11State Bank of India / 1% 20/06/2019 (OTC) (DB) . . . . . . . . . . Count 7 000 000 -39 136 .43 -0 .01

Cash at bank 14 160 153.92 3.76 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 12 116 13 468 .65 0 .00 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 0 0 .01 0 .00Chinese renminbi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNY 638 96 .10 0 .00Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 0 0 .01 0 .00Turkish lira . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 1 0 .32 0 .00U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 14 146 588 .83 3 .76 Other assets 33 927 075.84 9.02Prepaid placement fee *** . . . . . . . . . . . . . . . . . . . . . . . . . . . 54 648 .56 0 .01Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 945 969 .12 1 .32Receivables from exceeding the expense cap . . . . . . . . . . . . 40 157 .74 0 .01Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 886 300 .42 7 .68 Receivables from share certificate transactions 199 090.28 0.05 Total assets **** 429 067 328.53 114.07 Other liabilities -42 919 561.27 -11.41Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -42 919 561 .27 -11 .41 Liabilities from share certificate transactions -270 213.10 -0.07 Total liabilities -52 953 450.70 -14.07 Net assets 376 113 877.83 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .


108


Net asset value per share Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 106 .78Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 133 .66Class LC (BRIC) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 137 .49Class LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 129 .38Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 .67Class NCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 126 .70Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 109 .31Class NDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 .30Class PFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101 .64Class PFDQH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 95 .05Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 068 .65Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 066 .59Class SGD LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 10 .12Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 145 .27Class USD ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 101 .94Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 138 .13Class USD LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 94 .51Class USD LDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 .15 Number of shares outstanding Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 105Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 426 236Class LC (BRIC) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 508Class LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 86 492Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 429 999Class NCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 141 902Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 613Class NDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 036Class PFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 155Class PFDQH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 225Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 94Class SGD LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 603Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 886 761Class USD ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 675 781Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95 349Class USD LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 368Class USD LDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 104 Composition of the reference portfolio (according to CSSF circular 11/512)JPM CEMBI in USD Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 101 .193 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 148 .597 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 124 .603 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .5, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 138 049 244 .28 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes . Total collateral pledged by third parties in connection with derivatives USD 1 044 095.00thereof: Cash at bank USD 1 044 095 .00


Futures exchanges CBT = Chicago Board of TradeDB = Deutsche Bank AG Contracting parties for derivatives (with the exception of currency futures) BR = Barclays Bank PlcCIT = Citigroup Global Markets LimitedDB = Deutsche Bank AGJP = JP Morgan Securities PLC Contracting parties for currency futures Barclays Bank PLC Wholesale and Morgan Stanley and Co . International PLC


109

Securities lending The following securities were transferred under securities loans at the reporting date:

Security description Quantity/ Limited maturity Securities loans principal amount Total market value in USD Total (– / ’000) Perpetual

4.375 % Abu Dhabi National Energy Co. PJSC -Reg- 2016/2026 USD 200 000 212 752.00 4.00 % African Export-Import Bank (MTN) 2016/2021 USD 500 000 502 900.00 9.00 % Agile Property Holdings Ltd 2015/2020 USD 700 000 777 483.00 5.125 % Akbank TAS 2015/2025 USD 600 000 605 664.00 6.50 % Altice Financing SA 2013/2022 USD 200 000 200 750.00 5.00 % Arcelik AS 2013/2023 USD 1 000 000 992 150.00 6.25 % Banco do Brasil SA -Reg- 2013/2049 * USD 1 200 000 735 828.00 6.125 % Bank of East Asia Ltd/The 2010/2020 USD 700 000 791 350.00 5.50 % Bank of East Asia Ltd/The 2015/49/1* USD 500 000 487 370.00 7.25 % Biostime International Holdings Ltd -Reg- 2016/2021 USD 1 000 000 1 035 930.00 2.75 % CCBL Cayman 1 Corp., Ltd (MTN) 2016/2021 USD 600 000 600 306.00 7.50 % Country Garden Holdings Co., Ltd 2015/2020 USD 500 000 539 115.00 6.50 % Evraz Group SA-Reg- 2013/2020 USD 600 000 614 874.00 7.288 % Gaz Capital SA 2013/2037 USD 500 000 583 835.00 5.00 % Grupo Televisa SAB 2014/2045 USD 500 000 476 830.00 3.625 % Hutchison Whampoa International 14 Ltd -Reg- 2014/2024 USD 1 500 000 1 593 225.00 8.75 % IRSA Propiedades Comerciales SA 2016/2023 USD 500 000 530 770.00 4.563 % Lukoil International Finance BV 2013/2023 USD 800 000 811 104.00 5.00 % Mobile Telesystems OJSC via MTS International Funding Ltd -Reg- 2013/2023 USD 500 000 515 925.00 6.75 % Noble Group Ltd -Reg- 2009/2020 USD 1 000 000 818 660.00 4.50 % Novolipetsk Steel via Steel Funding Ltd -Reg- 2016/2023 USD 700 000 697 837.00 8.875 % OAS Financial Ltd -Reg- 2013/2049 * USD 500 000 11 287.50 4.50 % OCP SA -Reg- 2015/2025 USD 900 000 882 495.00 5.75 % Oi SA -Reg- 2012/2022 USD 1 200 000 189 912.00 7.875 % Provincia de Buenos Aires/Argentina -Reg- 2016/2027 USD 2 000 000 2 048 340.00 4.875 % PTT Exploration & Production PCL -Reg- 2014/2049 * USD 900 000 905 085.00 4.875 % Reliance Industries Ltd -Reg- 2015/2045 USD 500 000 501 630.00 4.199 % Rosneft Oil Co via Rosneft International Finance Ltd -Reg- 2012/2022 USD 1 000 000 997 260.00 8.375 % Shimao Property Holdings Ltd 2015/2022 USD 1 000 000 1 131 850.00 2.25 % Shinhan Bank -Reg- 2015/2020 USD 500 000 506 935.00 8.50 % Studio City Finance Ltd 2012/2020 USD 1 100 000 1 120 537.00 4.50 % Talent Yield Investments Ltd -Reg- 2012/2022 USD 500 000 544 380.00 5.25 % Trust F/1401 -Reg- 2015/2026 USD 1 300 000 1 321 736.00 4.875 % Turk Telekomunikasyon AS 2014/2024 USD 500 000 500 735.00 6.875 % Turkiye Vakiflar Bankasi Tao (MTN) -Reg- 2015/2025 * USD 400 000 405 940.00 3.75 % United Overseas Bank Ltd 2014/2024 * USD 1 000 000 1 035 590.00 6.875 % Vale Overseas Ltd 2006/2036 USD 900 000 823 968.00 4.375 % Vale Overseas Ltd 2012/2022 USD 750 000 701 610.00 5.875 % Vale Overseas Ltd 2016/2021 USD 1 100 000 1 101 001.00

Total receivables from securities loans 28 854 949.50 28 854 949.50 Contracting parties for securities loans Barclays Capital Securities Limited, Citigroup Global Markets, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, Deutsche Bank London, Goldman Sachs Int., J.P. Morgan Securities plc (Fix Income), Morgan Stanley Intl. FI, Nomura International PLC, Zuercher Kantonalbank Total collateral pledged by third parties for securities loans USD 41 933 295.37 thereof: Bonds USD 31 020 149.18Equities USD 10 913 146.18 Exchange rates (indirect quotes)

As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1.344719 = USD 1Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3.210900 = USD 1Chinese renminbi . . . . . . . . . . . . . . . . CNY 6.643600 = USD 1Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0.899564 = USD 1Mexican peso . . . . . . . . . . . . . . . . . . . MXN 18.528500 = USD 1Russian rouble . . . . . . . . . . . . . . . . . . . RUB 64.253750 = USD 1Turkish lira . . . . . . . . . . . . . . . . . . . . . . TRY 2.884400 = USD 1

Notes on valuation


* Floating interest rate.** Some or all of these securities are lent.

*** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations).**** Does not include positions with a negative balance, if such exist.


110


Securities traded on an exchange Interest-bearing securities 1.50 % America Movil SAB de CV 2016/2024 EUR 600 000 600 000 2.00 % CK Hutchison Finance 16 Ltd

2016/2028 . . . . . . . . . . . . . . . . . . . . . EUR 1 060 000 1 060 000 1.75 % Fomento Economico Mexicano

SAB de CV 2016/2023 . . . . . . . . . . . EUR 1 030 000 1 030 000 3.75 % Hutchison Whampoa Europe

Finance 13 Ltd 2013/2049 * . . . . . . . EUR 500 000 500 000 3.75 % Indonesia Government International

Bond (MTN) -Reg- 2016/2028 . . . . . . EUR 1 150 000 1 150 000 2.625 % MOL Hungarian Oil & Gas Plc

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 400 000 400 000 2.75 % Petrobras Global Finance BV

2014/2018 . . . . . . . . . . . . . . . . . . . . . EUR 800 000 800 000 5.125 % Petroleos Mexicanos (MTN)

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 910 000 910 000 1.75 % State Grid Overseas Investment

2016 Ltd -Reg- 2016/2025 . . . . . . . . EUR 1 035 000 1 035 000 2.375 % Turkiye Vakiflar Bankasi TAO

2016/2021 . . . . . . . . . . . . . . . . . . . . . EUR 430 000 430 000 3.625 % Abu Dhabi National Energy Co. 2

012/2023 . . . . . . . . . . . . . . . . . . . . . . USD 2 270 000 2 270 000 8.375 % AES Gener SA -Reg- 2013/2073 * . . USD 500 000 9.875 % Agile Property Holdings Ltd 2012/2017 USD 1 000 000 8.375 % Agile Property Holdings Ltd 2014/2019 USD 400 000 400 000 6.75 % Agricola Senior Trust 2015/2020 . . . . USD 150 000 7.50 % Alfa Bank AO Via Alfa Bond Issuance

PLC 2012/2019 . . . . . . . . . . . . . . . . . USD 200 000 1 700 000 8.75 % Alternatifbank AS 2016/2026 * . . . . . USD 1 100 000 1 100 000 7.50 % Altice Financing SA 144A

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 210 000 210 000 6.125 % America Movil SAB de CV

2010/2040 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 2 000 000 6.875 % Argentine Republic Government




International Bond -Reg- 2016/2046 . USD 432 000 432 000 2.875 % Astra Sedaya Finance PT (MTN)

2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 600 000 3.466 % Axiata SPV2 Bhd 2015/2020 . . . . . . . USD 500 000 4.357 % Axiata SPV2 Bhd 2016/2026 . . . . . . . USD 1 200 000 1 200 000 2.875 % Axis Bank Ltd Via Dubai (MTN)

-Reg- 2016/2021 . . . . . . . . . . . . . . . . USD 750 000 750 000 3.25 % Axis Bank Ltd/Dubai (MTN) -Reg-

2014/2020 . . . . . . . . . . . . . . . . . . . . . USD 500 000 2 100 000 2.75 % Baidu, Inc. 2014/2019 . . . . . . . . . . . . USD 455 000 1 205 000 5.75 % Banco BTG Pactual SA/Cayman Islands

2012/2022 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 5.375 % Banco de Bogota SA -Reg- 2013/2023 USD 700 000 1 200 000 4.25 % Banco de Credito del Peru 2013/2023 USD 1 600 000 3.875 % Banco do Brasil SA 2012/2022 . . . . . USD 3 500 000 3 500 000 5.875 % Banco do Brasil SA/Cayman -Reg-

2011/2022 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 6.50 % Banco Nacional de Desenvolvimento

Economico e Social -Reg- 2009/2019 USD 500 000 500 000 5.95 % Banco Santander Mexico SA

Institucion de Banca Multiple Grupo Financiero Santand -Reg- 2013/2024 * USD 1 800 000

4.80 % Bangkok Bank PCL -Reg- 2010/2020 USD 1 500 000 3.75 % Bank Muscat SAOG (MTN) 2016/2021 USD 1 000 000 1 000 000 4.875 % BBVA Colombia SA -Reg- 2015/2025 USD 500 000 5.50 % BM&FBovespa SA -Reg- 2010/2020 . USD 800 000 7.375 % Braskem Finance Ltd -Reg- 2010/2049 USD 500 000 5.00 % Brazilian Government International

Bond 2014/2045 . . . . . . . . . . . . . . . . USD 750 000 750 000 4.75 % BRF SA -Reg- 2014/2024 . . . . . . . . . USD 1 200 000 3 700 000 8.75 % Caifu Holdings Ltd -Reg- 2013/2020 . USD 1 750 000 6.125 % CAR, Inc. -Reg- 2015/2020 . . . . . . . . USD 500 000 500 000 3.50 % CCCI Treasure Ltd 2015/2049 * . . . . USD 200 000 1 100 000 6.125 % Cemex SAB de CV 2015/2025 . . . . . USD 1 200 000 5.70 % Cemex SAB de CV -Reg- 2014/2025 USD 1 000 000 8.00 % Central China Real Estate Ltd -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . USD 600 000


4.25 % CEZ AS -Reg- 2012/2022 . . . . . . . . . USD 800 000 800 000 6.875 % Chalieco Hong Kong Corp., Ltd

2014/2049 * . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 5.375 % Cheung Kong Bond Securities 03 Ltd

(MTN) -Reg- 2013/2049 . . . . . . . . . . . USD 1 500 000 10.875 % China Aoyuan Property Group Ltd

2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 550 000 5.95 % China Overseas Finance Cayman VI Ltd

2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 750 000 5.125 % China Overseas Grand Oceans

Finance Cayman II Ltd 2014/2019 . . USD 1 000 000 6.00 % China Resources Land Ltd 2014/2024 USD 1 000 000 7.25 % China Resources Power East

Foundation Co., Ltd 2011/2049 * . . . USD 1 000 000 12.25 % CIFI Holdings Group Co., Ltd

2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 500 000 6.375 % CITIC Ltd (MTN) 2013/2020 . . . . . . . USD 750 000 2.80 % CITIC Ltd (MTN) 2016/2021 . . . . . . . USD 1 000 000 1 000 000 7.875 % CITIC Pacific Ltd 2011/2049 * . . . . . USD 700 000 4.50 % Colbun SA -Reg- 2014/2024 . . . . . . . USD 1 100 000 3.875 % Corpbanca SA 2014/2019 . . . . . . . . . USD 800 000 3.50 % COSL Singapore Capital Ltd 2015/2020 USD 1 000 000 7.50 % Country Garden Holdings Co., Ltd

-Reg- 2013/2023 . . . . . . . . . . . . . . . . USD 300 000 1 300 000 3.25 % DP World Ltd (MTN) -Reg- 2015/2020 USD 600 000 600 000 5.875 % Ecopetrol SA 2013/2023 . . . . . . . . . . USD 1 000 000 1 000 000 4.564 % EMG Sukuk Ltd 2014/2024 . . . . . . . . USD 400 000 4.875 % Emirates NBD PJSC 2013/2023 . . . . USD 750 000 6.125 % Empresa de Energia de Bogota SA ESP

-Reg- 2011/2021 . . . . . . . . . . . . . . . . USD 1 800 000 4.56 % Empresa Electrica Guacolda SA

-Reg- 2015/2025 . . . . . . . . . . . . . . . . USD 750 000 7.125 % Eskom Holdings SOC Ltd

-Reg- 2015/2025 . . . . . . . . . . . . . . . . USD 1 500 000 2 100 000 3.125 % Export-Import Bank of India (MTN)

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 2 500 000 2 500 000 2.875 % Fomento Economico Mexicano

SAB de CV 2013/2023 . . . . . . . . . . . USD 1 000 000 3.375 % Formosa Group Cayman Ltd

2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 1 250 000 6.75 % Georgian Oil and Gas Corp. JSC

-Reg- 2016/2021 . . . . . . . . . . . . . . . . USD 2 261 000 2 261 000 5.75 % Gerdau Trade, Inc. -Reg- 2010/2021 . USD 250 000 5.125 % Global Bank Corp. -Reg- 2014/2019 . USD 800 000 9.00 % Golden Legacy Pte. Ltd

-Reg- 2014/2019 . . . . . . . . . . . . . . . . USD 700 000 700 000 2.75 % GRAM International Ltd 2015/2020 . USD 800 000 4.375 % Greenland Global Investment Ltd

2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 5.875 % Greenland Global Investment Ltd

2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 5.875 % Greentown China Holdings Ltd

2015/2020 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 3.875 % Grupo Bimbo SAB de CV -Reg-

2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 400 000 1 100 000 6.125 % Grupo Televisa SAB 2015/2046 . . . . USD 750 000 1 000 000 5.50 % GrupoSura Finance SA -Reg-

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 2 480 000 2 480 000 4.20 % Haitong International Finance 2015

Ltd 2015/2020 . . . . . . . . . . . . . . . . . . USD 500 000 1 100 000 3.625 % HK BAORONG Development

2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 400 000 5.875 % Hrvatska Elektroprivreda 2015/2022 . USD 700 000 1 700 000 3.75 % Huarong Finance II Co Ltd 2015/2020 USD 1 200 000 5.50 % Huarong Finance II Co., Ltd (MTN)

2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 4.50 % Huarong Finance II Co., Ltd (MTN)

-Reg- 2015/2020 . . . . . . . . . . . . . . . . USD 500 000 4.00 % ICICI Bank Ltd/Dubai (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 2 200 000 2 200 000 3.125 % ICICI Bank Ltd/Dubai 2015/2020 . . . . USD 500 000 1 000 000 6.00 % Industrial & Commercial

Bank of China Ltd -Reg- 2014/2049 * USD 1 750 000 5.25 % InRetail Consumer -Reg- 2014/2021 . USD 550 000 2.85 % Itau Unibanco Holding SA (MTN)

-Reg- 2015/2018 . . . . . . . . . . . . . . . . USD 750 000 750 000 4.625 % KazAgro National Management

Holding JSC 2013/2023 . . . . . . . . . . USD 750 000 750 000 6.375 % KazMunayGas National Co. JSC

-Reg- 2010/2021 . . . . . . . . . . . . . . . . USD 500 000 500 000




111


3.50 % KOC Holding AS -Reg- 2013/2020 . . USD 1 750 000 2.50 % Korea Midland Power Co., Ltd

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 3 000 000 3 000 000 3.75 % Kunlun Energy Co., Ltd -Reg-

2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 200 000 1 200 000 4.80 % Kuwait Projects Co. (MTN) 2014/2019 USD 1 000 000 6.875 % Marfrig Holding Europe BV -Reg-

2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 5.00 % Mega Advance Investments Ltd

2011/2021 . . . . . . . . . . . . . . . . . . . . . USD 200 000 1 200 000 4.45 % Novolipetsk Steel via Steel Funding

Ltd -Reg- 2013/2018 . . . . . . . . . . . . . USD 400 000 400 000 5.625 % NTPC Ltd 2011/2021 . . . . . . . . . . . . . USD 1 000 000 8.375 % Offshore Drilling Holding SA

2013/2020 . . . . . . . . . . . . . . . . . . . . . USD 1 300 000 3.625 % Oman Government International

Bond -Reg- 2016/2021 . . . . . . . . . . . USD 2 000 000 2 000 000 5.00 % Ooredoo International Finance Ltd

2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 1 750 000 4.55 % Perusahaan Penerbit SBSN

Indonesia III 2016/2026 . . . . . . . . . . . USD 1 500 000 1 500 000 6.875 % Petrobras Global Finance BV 2009/2040 USD 600 000 600 000 8.375 % Petrobras Global Finance BV 2016/2021 USD 1 240 000 1 240 000 5.375 % Petrobras International Finance Co.

2011/2021 . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 6 100 000 5.25 % Petroleos de Venezuela SA -Reg-

2007/2017 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 6.375 % Petroleos Mexicanos -Reg- 2016/2021 USD 710 000 710 000 4.204 % Phosagro OAO via Phosagro Bond

Funding Ltd -Reg- 2013/2018 . . . . . . USD 600 000 3.25 % Poland Government International

Bond 2016/2026 . . . . . . . . . . . . . . . . USD 1 400 000 1 400 000 5.625 % Polyus Gold International Ltd

-Reg- 2013/2020 . . . . . . . . . . . . . . . . USD 400 000 4.125 % Proven Honour Capital Ltd

2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 1 300 000 2 500 000 9.125 % Provincia de Buenos Aires/Argentina

2016/2024 . . . . . . . . . . . . . . . . . . . . . USD 1 125 000 1 125 000 3.375 % PTT PCL -Reg- 2012/2022 . . . . . . . . . USD 400 000 400 000 4.625 % Qatar Government International

Bond -Reg- 2016/2046 . . . . . . . . . . . USD 1 000 000 1 000 000 2.754 % QIB Sukuk Ltd 2015/2020 . . . . . . . . . USD 700 000 2.875 % QNB Finance Ltd 2013/2020 . . . . . . . USD 200 000 1 200 000 3.45 % Rizal Commercial Banking Corp

2015/2021 . . . . . . . . . . . . . . . . . . . . . USD 1 090 000 9.875 % Road King Infrastructure Finance

2012 Ltd (MTN) 2012/2017 . . . . . . . . USD 750 000 6.25 % Royal Capital BV 2015/2049 * . . . . . . USD 750 000 5.10 % Russian Agricultural Bank OJSC

-Reg- 2013/2018 . . . . . . . . . . . . . . . . USD 400 000 4.875 % Samvardhana Motherson Automotive

Systems Group BV 2016/2021 . . . . . USD 1 020 000 1 020 000 7.75 % SAN Miguel Industrias Pet SA

-Reg- 2013/2020 . . . . . . . . . . . . . . . . USD 300 000 4.00 % Saudi Electricity Global SUKUK Co. 3

-Reg- 2014/2024 . . . . . . . . . . . . . . . . USD 1 300 000 1 300 000 2.625 % Shinsegae Co., Ltd 2015/2045 * . . . . USD 1 000 000 9.625 % Shui On Development Holding Ltd

2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 700 000 700 000 4.25 % SM Investments Corp 2012/2019 . . . USD 750 000 4.875 % South Africa Government International

Bond 2016/2026 . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 5.875 % Southern Copper Corp. 2015/2045 . . USD 1 800 000 1 800 000 6.875 % Southern Gas Corridor CJSC

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 1 500 000 6.85 % Sri Lanka Government International

Bond 2015/2025 . . . . . . . . . . . . . . . . USD 450 000 6.439 % State Bank of India (MTN) 2007/2049 * USD 400 000 3.622 % State Bank of India -Reg- 2014/2019 USD 750 000 4.50 % Sunshine Life Insurance Co., Ltd

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 800 000 800 000



4.375 % Swire Properties (MTN) Financing Limited 2014/2022 . . . . . . . . . . . . . . USD 1 550 000 2 250 000

4.75 % TC Ziraat Bankasi AS (MTN) -Reg- 2016/2021 . . . . . . . . . . . . . . . . USD 750 000 750 000

5.50 % Telemar Norte Leste SA -Reg- 2010/2020 . . . . . . . . . . . . . . . . USD 2 350 000

3.375 % Tencent Holdings Ltd 2014/2019 . . . USD 1 000 000 5.75 % TML Holdings Pte Ltd 2014/2021 . . USD 500 000 5.25 % Trust F/1401 2015/2026 . . . . . . . . . . USD 500 000 6.625 % Tupy Overseas SA -Reg- 2014/2024 . USD 750 000 7.85 % Turkiye Is Bankasi -Reg- 2013/2023 . USD 1 106 000 1 106 000 4.625 % Vale Overseas Ltd 2010/2020 . . . . . . USD 750 000 750 000 5.625 % Vale SA 2012/2042 . . . . . . . . . . . . . . USD 1 450 000 2 250 000 7.748 % Vimpel Communications Via VIP

Finance Ireland Ltd OJSC -Reg- 2011/2021 . . . . . . . . . . . . . . . . USD 500 000 500 000

5.95 % VimpelCom Holdings BV -Reg- 2013/2023 . . . . . . . . . . . . . . . . USD 2 000 000

6.50 % West China Cement Ltd 2014/2019 . USD 200 000 700 000 8.50 % Yapi ve Kredi Bankasi AS (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 2 700 000 2 700 000 7.125 % Zhaikmunai LLP 2012/2019 . . . . . . . . USD 400 000 400 000


Interest-bearing securities 6.50 % Ajecorp BV -Reg- 2012/2022 . . . . . . . USD 400 000 5.25 % Alfa SAB de CV -Reg- 2014/2024 . . . USD 400 000 1 300 000 9.00 % Axtel SAB de CV -Reg- 2013/2020 * USD 800 000 7.375 % B Communications Ltd 144A

2014/2021 . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 9.25 % Banco do Brasil SA -Reg-

2012/2049 * . . . . . . . . . . . . . . . . . . . USD 1 200 000 1 200 000 9.75 % Banco Hipotecario SA 2015/2020 . . . USD 150 000 1 450 000 5.875 % Banco Nacional de Costa Rica

-Reg- 2016/2021 . . . . . . . . . . . . . . . . USD 300 000 300 000 6.008 % BBVA Bancomer SA/Grand Cayman

-Reg- 2007/2022 * . . . . . . . . . . . . . . . USD 1 100 000 1 600 000 7.125 % Braskem America Finance Co.

-Reg- 2011/2041 . . . . . . . . . . . . . . . . USD 700 000 900 000 4.50 % Celulosa Arauco y Constitucion

2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 800 000 6.875 % Cent Elet Brasileiras SA 2009/2019 . USD 700 000 3.75 % Cielo SA 2012/2022 . . . . . . . . . . . . . USD 1 000 000 7.00 % CSN Islands XII Corp. 2010/2049 . . . USD 750 000 1.00 % Globo Communicacoes Part

2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 1 400 000 4.875 % Gold Fields Orogen Hold 2010/2020 . USD 200 000 800 000 4.75 % Grupo Aval Ltd 2012/2022 . . . . . . . . USD 700 000 1 200 000 6.25 % Grupo KUO SaB de CV

-Reg- 2012/2022 . . . . . . . . . . . . . . . . USD 500 000 5.875 % Intercorp Peru Ltd -Reg- 2015/2025 . USD 500 000 6.00 % ISBank 2012/2022 . . . . . . . . . . . . . . . USD 2 000 000 6.375 % Petroleos Mexicanos 2014/2045 . . . USD 1 000 000 1 000 000 9.95 % Provincia de Buenos Aires

2015/2021 . . . . . . . . . . . . . . . . . . . . . USD 600 000 1 000 000 5.298 % Ras Laffan Liquefied Natural Gas Co.,

Ltd II -Reg- 2005/2020 . . . . . . . . . . . USD 525 100 525 100 7.00 % Republic of Angola Via Northern

Lights III BV -Reg- 2012/2019 . . . . . . USD 1 312 500 1 312 500 5.375 % Samarco Mineracao SA

-Reg- 2014/2024 . . . . . . . . . . . . . . . . USD 1 000 000 5.00 % Turkiye is Bankasi A.S 2014/2021 . . . USD 294 000 1 294 000

Unlisted securities

Interest-bearing securities 7.875 % Grupo Posadas SaB de CV

2015/2022 . . . . . . . . . . . . . . . . . . . . . USD 300 000 7.25 % Latam Airlines Group SA 2015/2020 . USD 1 200 000

112



Equity index futuresContracts sold (Underlying: S & P MINI 500 Futures) USD 5 286 875 Currency futuresContracts purchasedBRL/USD USD 25 176CHF/USD USD 213CNY/USD USD 6 079EUR/BRL USD 329EUR/CNY USD 387EUR/INR USD 386EUR/RUB USD 398EUR/USD USD 364 576MXN/USD USD 2 581SGD/USD USD 147TWD/USD USD 4 497

Contracts sold EUR/BRL USD 326EUR/CNY USD 314EUR/INR USD 315EUR/RUB USD 320USD/BRL USD 20 447USD/CHF USD 315USD/CNY USD 2 994USD/EUR USD 495 369USD/INR USD 4 373USD/SGD USD 217USD/TWD USD 2 246

Interest rate futures Contracts purchased (Underlyings: US Treasury Note 10-Year, US Treasury Note 5-Year) USD 79 315 Contracts sold (Underlyings: US Treasury Note 10-Year, US Treasury Note 30-Year, US Treasury Note 5-Year) USD 69 211


113

Securities traded on an exchange 186 736 464.00 76.71 Interest-bearing securities 3.25 % Banco Latinoamericano de Comercio Exterior SA

-Reg- 2015/2020 * . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 4 600 000 % 101.222 2 024 440.00 0.83 2.25 % Chile Government International Bond 2012/2022 * USD 2 400 000 % 101.042 2 425 008.00 1.00 3.625 % Chile Government International Bond 2012/2042 . . USD 1 400 000 % 102.25 1 431 500.00 0.59 11.75 % Colombia Government International Bond

2000/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 500 000 % 132.248 3 306 200.00 1.36 7.375 % Colombia Government International Bond

2006/2037 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 500 000 900 000 % 129.895 3 247 375.00 1.33 6.125 % Colombia Government International Bond

2009/2041 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 400 000 600 000 % 115.395 3 923 430.00 1.61 4.375 % Colombia Government International Bond



2014/2044 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 200 000 1 800 000 % 110.565 2 432 430.00 1.00 5.00 % Colombia Government International Bond

2015/2045 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 700 000 % 103.617 2 797 659.00 1.15 4.75 % Corp Financiera de Desarrollo SA -Reg-

2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 1 000 000 % 105.613 1 056 130.00 0.43 3.75 % Corp Nacional del Cobre de Chile 2010/2020 . . . . . USD 700 000 % 107.006 749 042.00 0.31 4.25 % Corp Nacional del Cobre de Chile -Reg-

2012/2042 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 900 000 % 92.848 2 692 592.00 1.11 4.75 % Empresa de Transporte de Pasajeros Metro SA

-Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 % 107.219 750 533.00 0.31 4.75 % Empresa Nacional del Petroleo -Reg- 2011/2021 . . USD 500 000 % 106.373 531 865.00 0.22 3.875 % Kazakhstan Government International Bond

-Reg- 2014/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 800 000 % 101.174 1 517 610.00 0.62 6.05 % Mexico Government International Bond (MTN)

2008/2040 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 % 125.348 2 506 960.00 1.03 4.75 % Mexico Government International Bond (MTN)

2012/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 000 000 1 800 000 % 107.158 4 286 320.00 1.76 3.625 % Mexico Government International Bond

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 200 000 % 105.295 2 316 490.00 0.95 4.00 % Mexico Government International Bond

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 500 000 1 200 000 % 107.435 3 760 225.00 1.54 3.60 % Mexico Government International Bond

2014/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 % 104.318 1 043 180.00 0.43 5.25 % Namibia International Bonds 2015/2025 . . . . . . . . . USD 1 500 000 % 102.03 1 530 450.00 0.63 5.50 % Namibia International Bonds -Reg- 2011/2021 . . . . USD 1 800 000 1 200 000 % 105.827 1 904 886.00 0.78 3.75 % Panama Government Bond 2015/2025 . . . . . . . . . USD 3 000 000 % 105.219 3 156 570.00 1.30 7.125 % Panama Government International Bond

2005/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 600 000 2 100 000 1 500 000 % 131.49 4 733 640.00 1.94 6.70 % Panama Government International Bond

2006/2036 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 500 000 % 132.775 4 647 125.00 1.91 4.30 % Panama Government International Bond

2013/2053 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 500 000 2 500 000 % 99.573 2 489 325.00 1.02 4.00 % Panama Government International Bond

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 000 000 % 106.753 3 202 590.00 1.32 8.75 % Peruvian Government International Bond

2003/2033 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 5 200 000 1 600 000 % 156.678 8 147 256.00 3.35 7.35 % Peruvian Government International Bond



2010/2050 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 5 900 000 800 000 % 123.667 7 296 353.00 3.00 3.50 % Petroleos Mexicanos 2013/2023 . . . . . . . . . . . . . . . USD 2 600 000 % 94.09 2 446 340.00 1.00 5.25 % Petronas Capital Ltd -Reg- 2009/2019 . . . . . . . . . . USD 4 200 000 700 000 % 110.461 4 639 362.00 1.91 10.625 % Philippine Government International Bond

2000/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 400 000 600 000 % 164.875 2 308 250.00 0.95 9.50 % Philippine Government International Bond

2005/2030 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 700 000 300 000 % 171.479 2 915 143.00 1.20 7.75 % Philippine Government International Bond

2006/2031 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 1 000 000 % 155.396 3 107 920.00 1.28 6.375 % Philippine Government International Bond

2009/2034 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 800 000 % 145.552 2 911 040.00 1.20 4.00 % Philippine Government International Bond

2010/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 % 109.663 657 978.00 0.27 5.00 % Philippine Government International Bond

2012/2037 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 200 000 % 129.323 1 551 876.00 0.64 3.95 % Philippine Government International Bond -Reg-

2015/2040 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 % 115.187 1 727 805.00 0.71 5.125 % Poland Government International Bond

2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 100 000 1 000 000 % 112.65 3 492 150.00 1.43 5.00 % Poland Government International Bond

2011/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 5 000 000 1 000 000 % 112.788 5 639 400.00 2.32 4.00 % Poland Government International Bond

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 600 000 1 000 000 % 108.138 3 892 968.00 1.60 7.39 % Power Sector Assets & Liabilities Management

Corp. -Reg- 2009/2024 . . . . . . . . . . . . . . . . . . . . . . USD 1 700 000 % 135.795 2 308 515.00 0.95




114

7.25 % Power Sector Assets and Liabilities Management Corp. 2015/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 300 000 % 115.622 1 503 086.00 0.62

3.00 % Republic of Poland 2012/2023 * . . . . . . . . . . . . . . . USD 4 300 000 % 101.828 4 378 604.00 1.80 6.75 % Romanian Government International Bond (MTN)

-Reg- 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 6 000 000 1 000 000 % 118.55 7 113 000.00 2.92 6.125 % Romanian Government International Bond (MTN)

-Reg- 2014/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 000 000 % 125.169 5 006 760.00 2.06 4.875 % Romanian Government International Bond -Reg-

(MTN) 2014/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 300 000 1 100 000 3 700 000 % 110.55 4 753 650.00 1.95 4.375 % Romanian Government International Bond -Reg-

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 5 200 000 1 500 000 % 107.065 5 567 380.00 2.29 5.875 % South Africa Government International Bond

2007/2022 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 % 111.298 1 112 980.00 0.46 6.875 % South Africa Government International Bond


2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 000 000 % 108.068 3 242 040.00 1.33 6.25 % South Africa Government International Bond




2014/2044 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 500 000 600 000 % 104.649 1 569 735.00 0.64 4.00 % Transnet Ltd -Reg- 2012/2022 . . . . . . . . . . . . . . . . . USD 4 400 000 % 95.444 4 199 536.00 1.73 4.50 % Uruguay Government International Bond

2013/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 000 000 2 000 000 % 108.768 2 175 360.00 0.89

Securities admitted to or included in organized markets 41 405 158.00 17.01 Interest-bearing securities 3.875 % Banco del Estado de Chile -Reg- 2012/2022 . . . . . . USD 2 100 000 800 000 % 106.782 2 242 422.00 0.92 4.75 % Corp Financiera de Desarrollo SA 2012/2022 * . . . USD 1 800 000 % 106.941 1 924 938.00 0.79 3.00 % Corp Nacional del Cobre de Chile -Reg-

2012/2022 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 6 000 000 1 800 000 % 99.11 5 946 600.00 2.44 4.50 % Corp Nacional del Cobre de Chile -Reg-

2013/2023 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 900 000 % 106.005 3 074 145.00 1.26 5.625 % Corp Nacional del Cobre de Chile -Reg-

2013/2043 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 400 000 600 000 % 112.298 2 695 152.00 1.11 3.50 % Fondo MIVIVIENDA SA -Reg- 2013/2023 . . . . . . . . USD 1 700 000 % 99.999 1 699 983.00 0.70 4.875 % Petroleos Mexicanos (MTN) 2012/2022 . . . . . . . . . USD 2 300 000 1 000 000 2 400 000 % 102.298 2 352 854.00 0.97 6.625 % Petroleos Mexicanos 2006/2035 . . . . . . . . . . . . . . . USD 1 500 000 % 103.014 1 545 210.00 0.63 5.50 % Petroleos Mexicanos 2010/2021 . . . . . . . . . . . . . . . USD 3 300 000 2 100 000 % 105.544 3 482 952.00 1.43 6.50 % Petroleos Mexicanos 2011/2041 . . . . . . . . . . . . . . . USD 600 000 1 000 000 % 100.688 604 128.00 0.25 6.375 % Petroleos Mexicanos 2014/2045 . . . . . . . . . . . . . . . USD 1 800 000 % 99.5 1 791 000.00 0.74 3.50 % Petroleos Mexicanos 2016/2020 . . . . . . . . . . . . . . . USD 1 200 000 1 200 000 % 99.775 1 197 300.00 0.49 4.50 % Petroleos Mexicanos 2016/2026 . . . . . . . . . . . . . . . USD 700 000 700 000 % 96.103 672 721.00 0.28 3.125 % Petronas Capital Ltd 2015/2022 . . . . . . . . . . . . . . . USD 2 500 000 500 000 % 103.77 2 594 250.00 1.07 3.50 % Petronas Capital Ltd 2015/2025 * . . . . . . . . . . . . . . USD 5 200 000 % 105.365 5 478 980.00 2.25 4.50 % Petronas Capital Ltd 2015/2045 . . . . . . . . . . . . . . . USD 3 700 000 500 000 % 110.879 4 102 523.00 1.69

Total securities portfolio 228 141 622.00 93.72 Derivatives (Minus signs denote short positions) Currency derivatives -3 462 757.61 -1.42Receivables/payables Currency futures Currency futures (short) Closed positions USD/EUR 0.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -92.48 0.00 Currency futures (long) Open positions EUR/USD 218.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 462 665.13 -1.42 Cash at bank 15 518 483.29 6.37 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 010 114 511.17 0.05 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 15 403 972.12 6.33 Other assets 3 382 497.19 1.39Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 382 497.19 1.39



115

Total assets ** 247 042 602.48 101.48Other liabilities -139 126.09 -0.06Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -139 126 .09 -0 .06 Total liabilities -3 601 883.70 -1.48 Net assets 243 440 718.78 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class IDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101 .28Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 109 .91 Number of shares outstanding Class IDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 162 040Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Composition of the reference portfolio (according to CSSF circular 11/512)JPM EMBI Global Diversified

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 36 .367 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 41 .698 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 38 .744 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 .

In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0 .00 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .





3 .25 % Banco Latinoamericano de Comercio Exterior SA -Reg- 2015/2020 USD 500 000 506 110 .002 .25 % Chile Government International Bond 2012/2022 USD 2 400 000 2 425 008 .005 .625 % Colombia Government International Bond 2014/2044 USD 1 200 000 1 326 780 .004 .75 % Corp Financiera de Desarrollo SA 2012/2022 USD 1 500 000 1 604 115 .003 .00 % Corp Nacional del Cobre de Chile -Reg- 2012/2022 USD 2 700 000 2 675 970 .004 .50 % Corp Nacional del Cobre de Chile -Reg- 2013/2023 USD 2 000 000 2 120 100 .005 .625 % Corp Nacional del Cobre de Chile -Reg- 2013/2043 USD 2 000 000 2 245 960 .003 .875 % Kazakhstan Government International Bond -Reg- 2014/2024 USD 1 500 000 1 517 610 .003 .50 % Petronas Capital Ltd 2015/2025 USD 4 400 000 4 636 060 .003 .00 % Republic of Poland 2012/2023 USD 2 500 000 2 545 700 .004 .875 % Romanian Government International Bond -Reg- (MTN) 2014/2024 USD 4 100 000 4 532 550 .005 .875 % South Africa Government International Bond 2007/2022 USD 1 000 000 1 112 980 .005 .375 % South Africa Government International Bond 2014/2044 USD 1 500 000 1 569 735 .004 .50 % Uruguay Government International Bond 2013/2024 USD 1 000 000 1 087 680 .00

Total receivables from securities loans 29 906 358.00 29 906 358.00 Contracting parties for securities loans Barclays Capital Securities Limited, Crédit Suisse Securities (Europe) Ltd . FI, Deutsche Bank AG FI Total collateral pledged by third parties for securities loans USD 33 862 239.39thereof: Bonds USD 31 638 367 .36Equities USD 2 223 872 .02



116



Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0 .899564 = USD 1

Notes on valuation


Footnotes

* Some or all of these securities are lent . ** Does not include positions with a negative balance, if such exist .





Securities traded on an exchange Interest-bearing securities 7 .375 % Colombia Government International

Bond 2009/2019 . . . . . . . . . . . . . . . . USD 1 200 0002 .625 % Colombia Government International

Bond 2013/2023 . . . . . . . . . . . . . . . . USD 3 500 0003 .875 % Corp Nacional del Cobre de Chile

-Reg- 2011/2021 . . . . . . . . . . . . . . . . USD 2 800 0004 .125 % Development Bank of Kazakhstan

JSC 2012/2022 . . . . . . . . . . . . . . . . . USD 1 600 0002 .875 % Export-Import Bank of Malaysia

Bhd (MTN) 2012/2017 . . . . . . . . . . . . USD 1 300 0005 .50 % Namibia International Bonds -Reg-

2011/2021 . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 0003 .50 % Petroleos Mexicanos 2015/2020 . . . USD 1 200 0004 .50 % Petroleos Mexicanos 2015/2026 . . . USD 700 0007 .875 % Petronas Capital Ltd 2002/2022 . . . . USD 1 500 0005 .50 % Philippine Government International

Bond 2011/2026 . . . . . . . . . . . . . . . . USD 900 000 1 900 0004 .75 % Republic of Azerbaijan International

Bond -Reg- 2014/2024 . . . . . . . . . . . USD 1 600 000




Futures contracts to sell currenciesUSD/EUR USD 1 685 547 Currency futures (long)

Futures contracts to purchase currencies EUR/USD USD 1 393 650

117

Securities traded on an exchange 3 892 937.37 76.76 Equities Dubai Islamic Bank PJSC . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 76 135 20 955 284 820 AED 5 .11 95 280 .62 1 .88Emaar Malls Group PJSC . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 128 687 377 513 AED 2 .82 88 875 .71 1 .75Emaar Properties PJSC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 60 214 176 786 AED 6 .2 91 429 .95 1 .80Grupo de Inversiones Suramericana SA . . . . . . . . . . . . . . . . . Count 19 271 77 819 COP 38 060 225 329 .32 4 .44Hikma Pharmaceuticals Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 507 18 493 GBP 24 .36 103 259 .86 2 .04Savannah Petroleum Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 228 000 GBP 0 .236 350 661 .96 6 .91NagaCorp Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 126 000 726 000 HKD 5 .16 75 379 .31 1 .49Hanjaya Mandala Sampoerna Tbk PT . . . . . . . . . . . . . . . . . . . Count 193 500 252 000 124 000 IDR 3 800 50 062 .40 0 .99Ayala Land, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 134 100 1 375 900 PHP 38 .8 99 484 .64 1 .96BDO Unibank, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 118 030 47 380 445 750 PHP 112 252 758 .60 4 .98Globe Telecom, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 705 5 795 4 090 PHP 2 372 77 327 .61 1 .52GT Capital Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 250 3 635 30 385 PHP 1 440 227 149 .59 4 .48International Container Terminal Services, Inc . . . . . . . . . . . . . Count 177 930 86 060 420 130 PHP 61 .5 209 228 .00 4 .13Jollibee Foods Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 160 51 780 36 620 PHP 242 70 147 .16 1 .38Megaworld Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 242 000 1 157 000 10 871 000 PHP 4 .65 199 335 .24 3 .93SM Investments Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 810 31 680 19 870 PHP 967 218 359 .40 4 .31Universal Robina Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 63 120 25 420 328 300 PHP 208 251 030 .12 4 .95CP ALL PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 176 400 79 600 426 000 THB 50 .25 226 915 .91 4 .47Minor International PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 79 700 219 800 THB 40 .25 82 121 .05 1 .62Credicorp Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 829 5 421 USD 154 .33 253 919 .54 5 .01Grupo Financiero Galicia SA -ADR- . . . . . . . . . . . . . . . . . . . . . Count 8 555 53 445 USD 30 .9 237 799 .29 4 .69Pampa Energia SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 356 17 141 8 785 USD 27 .03 203 177 .94 4 .01YPF SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 678 54 822 USD 19 .41 203 904 .15 4 .02

Investment fund units 481 612.45 9.49 In-group fund units db x-trackers - FTSE Vietnam ETF -1C- EUR - (0 .650%) . . . . . Units 11 552 3 776 58 224 EUR 21 .32 246 288 .64 4 .85db x-trackers - MSCI Pakistan IM Index UCITS ETF -1C- EUR - (0 .650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 36 377 36 377 USD 1 .982 64 841 .50 1 .28db x-trackers - MSCI Pakistan IM TRN Index ETF -1C- EUR - (0 .650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 95 643 135 591 346 948 USD 1 .982 170 482 .31 3 .36 Total securities portfolio 4 374 549.82 86.25 Derivatives (Minus signs denote short positions) Derivatives on individual securities 250 976.30 4.95 Warrants on securities Equity warrants Almarai Co . 13/09/2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 5 015 30 354 USD 14 .5988 13 .13 0 .00Mouwasat Medical Services Co . 29/01/2020 . . . . . . . . . . . . . Count 4 043 18 000 13 957 USD 34 .3306 124 858 .24 2 .46Samba Financial Group 27/09/2016 . . . . . . . . . . . . . . . . . . . . . Count 26 419 77 521 USD 5 .3062 126 104 .93 2 .49 Cash at bank 218 020.35 4.30 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 117 809 .41 2 .33 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 573 692 .72 0 .01Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 129 29 .09 0 .00Czech koruna . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CZK 3 997 147 .45 0 .00Hungarian forint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HUF 33 0 .10 0 .00 Deposits in non-EU/EEA currencies Egyptian pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EGP 1 0 .09 0 .00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 79 245 9 187 .65 0 .18Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 556 975 37 .92 0 .00Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 162 112 .00 0 .00Colombian peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . COP 180 201 171 55 360 .79 1 .09Malaysian ringgit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 1 0 .22 0 .00Peruvian nuevo sol . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PEN 1 598 436 .52 0 .01Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 603 863 11 546 .06 0 .24Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 0 0 .23 0 .00South African rand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 33 001 2 017 .08 0 .04Thai baht . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 4 312 110 .37 0 .00Turkish lira . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 173 53 .80 0 .00U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 903 3 510 .68 0 .07UAE dirham . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AED 69 284 16 968 .17 0 .33




118

Other assets 255 225.84 5.03Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 838 .98 0 .10Receivables from exceeding the expense cap . . . . . . . . . . . . 37 594 .31 0 .74Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 212 792 .55 4 .19 Receivables from share certificate transactions 3 841.60 0.08 Total assets 5 102 613.91 100.61 Other liabilities -30 895.95 -0.61Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -30 895 .95 -0 .61 Total liabilities -30 895.95 -0.61 Net assets 5 071 717.96 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 .01Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 96 .26Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 95 .13Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92 .98Class SGD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 8 .01 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 929Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 31 725Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 706Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 533Class SGD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 531

Composition of the reference portfolio (according to CSSF circular 11/512)MSCI EM (EMERGING MARKETS) Constituents (January 1, 2016 - March 30, 2016)


Composition of the reference portfolio (according to CSSF circular 11/512) MSCI FRONTIER EMERGING MARKETS Index in euro (March 31, 2016 - June 30, 2016) Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 116 .610 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 147 .716 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 127 .185 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .1, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 252 052 .84 as of the reporting date .



119


As of: June 30, 2016 UAE dirham . . . . . . . . . . . . . . . . . . . . . AED 4 .083200 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1Colombian peso . . . . . . . . . . . . . . . . . . COP 3 255 .032438 = EUR 1Czech koruna . . . . . . . . . . . . . . . . . . . . CZK 27 .108521 = EUR 1Egyptian pound . . . . . . . . . . . . . . . . . . EGP 9 .871393 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Hungarian forint . . . . . . . . . . . . . . . . . . HUF 316 .719933 = EUR 1Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687 .670916 = EUR 1Kenyan shilling . . . . . . . . . . . . . . . . . . . KES 112 .387779 = EUR 1Malaysian ringgit . . . . . . . . . . . . . . . . . MYR 4 .481616 = EUR 1Nigerian naira . . . . . . . . . . . . . . . . . . . . NGN 314 .318937 = EUR 1Peruvian nuevo sol . . . . . . . . . . . . . . . PEN 3 .660607 = EUR 1Philippine peso . . . . . . . . . . . . . . . . . . PHP 52 .300337 = EUR 1Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 4 .417251 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1Thai baht . . . . . . . . . . . . . . . . . . . . . . . THB 39 .063368 = EUR 1Turkish lira . . . . . . . . . . . . . . . . . . . . . . TRY 3 .206442 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1South African rand . . . . . . . . . . . . . . . . ZAR 16 .360704 = EUR 1 Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus . If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are valued to a small portion at derived market values . The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses . A plus sign means that a performance-based fee may also be charged . As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds . No initial sales charges or redemption fees were paid in the reporting period .





Securities traded on an exchange Equities 7-Eleven Malaysia Holdings Bhd . . . . . . . . . . . . . Count 1 231 900ABS-CBN Holdings Corp . . . . . . . . . . . . . . . . . . . Count 396 000Aspen Pharmacare Holdings Ltd . . . . . . . . . . . . . Count 32 952DMCI Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 3 722 000Dubai Islamic Bank PJSC -Rights Exp 20Jun16 . Count 20 955 20 955FBN Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000InRetail Peru Corp . . . . . . . . . . . . . . . . . . . . . . . . Count 9 860InRetail Peru Corp . . . . . . . . . . . . . . . . . . . . . . . . Count 9 860 24 700Kasikornbank PCL . . . . . . . . . . . . . . . . . . . . . . . . Count 70 000Robinsons Retail Holdings Inc . . . . . . . . . . . . . . . Count 561 000


Additions DisposalsWarrants Warrants on securities Equity warrants Al Mouwasat Medical Services Co . 11/02/2016 Count 18 000

120

Securities traded on an exchange 43 357 820.42 87.35 Interest-bearing securities 9.50 % Angolan Government International Bond

2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 200 000 % 99.021 396 084.00 0.80 2.50 % Argentina Government International Bond

2005/2038 * ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 200 000 % 67.55 675 500.00 1.36 6.875 % Argentine Republic Government International

Bond -Reg- 2016/2021 . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 106.091 212 182.00 0.43 7.50 % Argentine Republic Government International

Bond -Reg- 2016/2026 . . . . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 % 108.593 651 558.00 1.31 0.00 % Banco Nacional de Desenvolvimento Economico

e Social -Reg- 2010/2020 . . . . . . . . . . . . . . . . . . . . USD 200 000 % 102.287 204 574.00 0.41 5.625 % Brazilian Government International Bond

2009/2041 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 100 000 % 95.995 575 970.00 1.16 2.625 % Brazilian Government International Bond

2012/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 90.993 272 979.00 0.55 4.25 % Brazilian Government International Bond

2013/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 98.028 294 084.00 0.59 11.75 % Colombia Government International Bond



2015/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 107.2 536 000.00 1.08 6.75 % Croatia 2015/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 109.033 218 066.00 0.44 6.625 % Croatia Government International Bond -Reg-

2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 109.319 218 638.00 0.44 5.50 % Croatia Government International Bond -Reg-

2013/2023 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 500 000 % 106.137 849 096.00 1.71 6.85 % Dominican Republic International Bond

2015/2045 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 103.181 412 724.00 0.83 5.50 % Dominican Republic International Bond -Reg-


2010/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 111.022 222 045.00 0.45 5.875 % Dominican Republic International Bond -Reg-

2013/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 104.606 104 606.00 0.21 7.625 % El Salvador Government International Bond

-Reg- 2011/2041 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 90.477 271 431.00 0.55 6.375 % El Salvador Government International Bond

-Reg- 2014/2027 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 165 000 % 88.928 355 714.00 0.72 4.75 % Empresa de Transporte de Pasajeros Metro SA

-Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 107.219 214 438.00 0.43 5.75 % Eskom Holdings SOC Ltd -Reg- 2011/2021 . . . . . . USD 800 000 % 98.702 789 616.00 1.59 5.00 % Export Credit Bank of Turkey -Reg- 2014/2021 . . . USD 500 000 500 000 % 102.958 514 790.00 1.04 6.375 % Gabonese Republic -Reg- 2013/2024 . . . . . . . . . . . USD 900 000 % 86.316 776 844.00 1.57 8.125 % Ghana Government International Bond

-Reg- 2014/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 700 000 400 000 % 85.987 257 961.00 0.52 7.625 % Hungary Government International Bond

2011/2041 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 145.4 290 800.00 0.59 5.375 % Hungary Government International Bond

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 % 111.91 447 640.00 0.90 3.75 % Indonesia Government International Bond

-Reg- 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 800 000 200 000 % 103.61 621 660.00 1.25 5.25 % Indonesia Government International Bond

-Reg- 2012/2042 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 % 106.706 746 942.00 1.50 6.375 % Instituto Costarricense de Electricidad

2013/2043 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 78.176 234 528.00 0.47 6.95 % Instituto Costarricense de Electricidad

-Reg- 2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 103.892 207 784.00 0.42 5.75 % Ivory Coast Government International Bond

-Reg- 2010/2032 * . . . . . . . . . . . . . . . . . . . . . . . . . . USD 594 000 6 000 % 93.285 554 112.90 1.12 7.625 % Jamaica Government International Bond

2014/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 111.745 335 235.00 0.68 4.625 % KazAgro National Management Holding JSC

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 % 91.688 366 752.00 0.74 3.875 % Kazakhstan Government International Bond

-Reg- 2014/2024 ** . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 101.174 505 870.00 1.02 4.875 % Kazakhstan Government International Bond

-Reg- 2014/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 440 000 % 97.872 430 636.80 0.87 9.125 % KazMunayGas National Co. JSC (MTN)

2008/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 110.952 332 856.00 0.67 7.00 % KazMunayGas National Co. JSC -Reg-

2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 110.266 220 532.00 0.44 6.375 % KazMunayGas National Co. JSC -Reg-

2010/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 109.417 328 251.00 0.66 6.875 % Kenya Government International Bond -Reg-

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 800 000 800 000 % 92.963 743 704.00 1.50 4.75 % Mexico Government International Bond (MTN)

2012/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 300 000 200 000 % 107.158 750 106.00 1.51 3.625 % Mexico Government International Bond

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 105.295 315 885.00 0.64




121

3.60 % Mexico Government International Bond 2014/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 % 104.318 625 908.00 1.26

6.25 % MFB Magyar Fejlesztesi Bank Zrt 2013/2020 . . . . . USD 800 000 200 000 % 110.738 885 900.00 1.77 5.50 % Morocco Government International Bond

-Reg- 2012/2042 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 107.581 322 743.00 0.65 5.25 % Namibia International Bonds 2015/2025 . . . . . . . . . USD 800 000 400 000 % 102.03 816 240.00 1.64 4.75 % Oman Government International Bond

-Reg- 2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 % 99.1 594 600.00 1.20 8.25 % Pakistan Government International Bond

-Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 105.875 423 500.00 0.85 7.125 % Panama Government International Bond

2005/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 131.49 525 960.00 1.06 6.70 % Panama Government International Bond

2006/2036 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 132.775 398 325.00 0.80 4.30 % Panama Government International Bond

2013/2053 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 99.573 199 146.00 0.40 5.25 % Pertamina Persero PT -Reg- 2011/2021 . . . . . . . . . USD 800 000 500 000 % 107.395 859 160.00 1.73 6.50 % Pertamina Persero PT -Reg- 2011/2041 . . . . . . . . . USD 500 000 500 000 % 106.764 533 820.00 1.08 8.75 % Peruvian Government International Bond

2003/2033 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 % 156.678 626 712.00 1.26 7.35 % Peruvian Government International Bond

2005/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 % 136.028 544 112.00 1.10 5.625 % Peruvian Government International Bond

2010/2050 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 123.667 618 335.00 1.25 9.75 % Petroleos de Venezuela SA -Reg- 2012/2035 . . . . . USD 800 000 % 40.85 326 800.00 0.66 3.50 % Petroleos Mexicanos 2013/2023 . . . . . . . . . . . . . . . USD 200 000 % 94.09 188 180.00 0.38 6.00 % Petroleum Co. of Trinidad & Tobago Ltd

-Reg- 2007/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 150 000 12 500 % 97.25 145 875.00 0.29 10.625 % Philippine Government International Bond

2000/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 400 000 % 164.875 494 625.00 1.00 6.375 % Philippine Government International Bond

2009/2034 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 145.552 727 760.00 1.47 5.00 % Poland Government International Bond

2011/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 112.788 338 364.00 0.68 8.75 % Republic of Honduras -Reg- 2013/2020 . . . . . . . . . USD 300 000 300 000 % 113.56 340 681.50 0.69 4.75 % Republic of Indonesia 2015/2026 ** . . . . . . . . . . . . USD 700 000 700 000 % 108.792 761 544.00 1.53 6.75 % Republic of Serbia -Reg- 2005/2024 * . . . . . . . . . . . USD 350 159 20 598 % 103.183 361 304.88 0.73 6.75 % Romanian Government International Bond (MTN)

-Reg- 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 118.55 592 750.00 1.19 6.125 % Romanian Government International Bond (MTN)

-Reg- 2014/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 150 000 % 125.169 187 753.50 0.38 7.50 % Russian Foreign Bond - Eurobond

-Reg- 2000/2030 * ** . . . . . . . . . . . . . . . . . . . . . . . USD 113 000 6 000 % 122.238 138 128.94 0.28 5.625 % Russian Foreign Bond - Eurobond

-Reg- 2012/2042 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 113.509 227 018.00 0.46 4.875 % Russian Foreign Bond - Eurobond

-Reg- 2013/2023 ** . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 109.225 436 900.00 0.88 6.25 % Senegal Government International Bond

-Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 95.461 477 305.00 0.96 5.875 % South Africa Government International Bond

2007/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 111.298 222 596.00 0.45 6.25 % South Africa Government International Bond

2011/2041 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 116.013 232 026.00 0.47 6.875 % Southern Gas Corridor CJSC 2016/2026 . . . . . . . . . USD 800 000 800 000 % 108.125 865 000.00 1.74 6.25 % Sri Lanka Government International Bond

-Reg- 2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 102.296 306 888.00 0.62 6.25 % Sri Lanka Government International Bond

-Reg- 2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 900 000 % 100.844 907 596.00 1.83 6.00 % Sri Lanka Government International Bond

-Reg- 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 102.196 204 392.00 0.41 4.125 % State Grid Overseas Investment 2014 Ltd

-Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 % 110.499 773 493.00 1.56 4.75 % State Oil Co. of the Azerbaijan Republic

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 % 95.954 383 816.00 0.77 5.625 % Turkey Government International Bond

2010/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 250 000 % 109.231 218 462.00 0.44 6.00 % Turkey Government International Bond

2011/2041 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 300 000 % 112.112 224 224.00 0.45 4.875 % Turkey Government International Bond

2013/2043 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 600 000 600 000 % 97.755 586 530.00 1.18 5.75 % Turkey Government International Bond

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 450 000 200 000 % 111.529 501 880.50 1.01 7.75 % Ukraine Government International Bond

2015/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 110 000 110 000 % 94.94 104 434.00 0.21 0.00 % Ukraine Government International Bond

2015/2040 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 220 000 220 713 713 % 32.773 72 100.60 0.15 7.75 % Ukraine Government International Bond

-Reg- 2015/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 98.875 395 500.00 0.80 7.75 % Ukraine Government International Bond

-Reg- 2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 140 000 140 000 % 97.878 137 029.20 0.28 7.75 % Ukraine Government International Bond

-Reg- 2015/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 110 000 110 000 % 97.378 107 115.80 0.22



122

7.75 % Ukraine Government International Bond -Reg- 2015/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 110 000 110 000 % 96.815 106 496.50 0.21





4.125 % Uruguay Government International Bond 2012/2045 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 90.23 451 150.00 0.91

4.50 % Uruguay Government International Bond 2013/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 % 108.768 435 072.00 0.88

9.25 % Venezuela Government International Bond 1997/2027 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 900 000 % 48.708 438 372.00 0.88

7.00 % Venezuela Government International Bond -Reg- 2007/2038 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 40.105 200 525.00 0.40

4.80 % Vietnam Government International Bond -Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 900 000 % 103.39 930 510.00 1.87

5.45 % Vnesheconombank -Reg- 2010/2017 . . . . . . . . . . . USD 400 000 % 103.256 413 024.00 0.82 6.902 % Vnesheconombank -Reg- 2010/2020 . . . . . . . . . . . USD 600 000 % 108.749 652 494.00 1.31 6.80 % Vnesheconombank -Reg- 2010/2025 . . . . . . . . . . . USD 250 000 250 000 % 110.278 275 695.00 0.56 5.942 % Vnesheconombank Via VEB Finance Plc

-Reg- 2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 350 000 % 104.542 365 897.00 0.74 5.375 % Zambia Government International Bond

-Reg- 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 300 000 % 78.417 313 668.00 0.63

Securities admitted to or included in organized markets 3 986 583.00 8.03 Interest-bearing securities 6.25 % Banco Nacional de Costa Rica -Reg- 2013/2023 . . . USD 200 000 % 101.242 202 484.00 0.41 4.75 % Corp Financiera de Desarrollo SA 2012/2022 . . . . . USD 500 000 % 106.941 534 705.00 1.08 3.00 % Corp Nacional del Cobre de Chile -Reg- 2012/2022 USD 350 000 % 99.11 346 885.00 0.70 5.625 % Corp Nacional del Cobre de Chile -Reg- 2013/2043 ** USD 600 000 % 112.298 673 788.00 1.36 6.625 % Croatia 2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 109.319 218 638.00 0.44 4.875 % Petroleos Mexicanos (MTN) 2012/2022 . . . . . . . . . USD 400 000 % 102.298 409 192.00 0.82 6.50 % Petroleos Mexicanos 2011/2041 . . . . . . . . . . . . . . . USD 400 000 % 100.688 402 752.00 0.81 4.25 % Petroleos Mexicanos 2016/2025 . . . . . . . . . . . . . . . USD 700 000 700 000 % 95.902 671 314.00 1.35 3.50 % Petronas Capital Ltd 2015/2025 . . . . . . . . . . . . . . . USD 500 000 500 000 % 105.365 526 825.00 1.06

Total securities portfolio 47 344 403.42 95.38 Derivatives (Minus signs denote short positions) Currency derivatives -708 787.32 -1.43Receivables/payables Currency futures Currency futures (short) Closed positions USD/EUR 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 698.41 0.00 Currency futures (long) Open positions EUR/USD 44.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -709 485.73 -1.43 Cash at bank 2 384 521.65 4.80 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 83 925 93 295.23 0.19 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 291 226.42 4.62 Other assets 1 699 632.21 3.42Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 743 350.04 1.50Receivables from exceeding the expense cap . . . . . . . . . . . . 17 581.75 0.04Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 938 700.42 1.89 Receivables from share certificate transactions 5 713.63 0.01 Total assets *** 51 434 969.32 103.61



123

Other liabilities -1 065 690.91 -2.14Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 065 690 .91 -2 .14 Liabilities from share certificate transactions -21 409.40 -0.04 Total liabilities -1 796 586.04 -3.61 Net assets 49 638 383.28 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class IDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 .25Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102 .83Class USD IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 108 .46 Number of shares outstanding Class IDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 161 033Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 272 443Class USD IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 Composition of the reference portfolio (according to CSSF circular 11/512)JPM EMBI Global Diversified



Contracting parties for currency futuresState Street Bank and Trust Company and State Street Bank London



2 .50 % Argentina Government International Bond 2005/2038 * USD 1 200 000 810 600 .005 .625 % Corp Nacional del Cobre de Chile -Reg- 2013/2043 USD 600 000 673 788 .005 .50 % Croatia Government International Bond -Reg- 2013/2023 USD 800 000 849 096 .003 .875 % Kazakhstan Government International Bond -Reg- 2014/2024 USD 300 000 303 522 .004 .75 % Republic of Indonesia 2015/2026 USD 600 000 652 752 .007 .50 % Russian Foreign Bond - Eurobond -Reg- 2000/2030 * USD 200 000 244 476 .004 .875 % Russian Foreign Bond - Eurobond -Reg- 2013/2023 USD 400 000 436 900 .004 .875 % Turkey Government International Bond 2013/2043 USD 600 000 586 530 .004 .125 % Uruguay Government International Bond 2012/2045 USD 500 000 451 150 .00

Total receivables from securities loans 5 008 814.00 5 008 814.00 Contracting parties for securities loans Deutsche Bank AG FI, Nomura International PLC Total collateral pledged by third parties for securities loans USD 5 471 226.69thereof: Bonds USD 5 004 751 .79Equities USD 466 474 .89



124


As of: June 30, 2016 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0 .899564 = USD 1

Notes on valuation


Footnotes

* Floating interest rate . ** Some or all of these securities are lent .

*** Does not include positions with a negative balance, if such exist .





Securities traded on an exchange Interest-bearing securities 8 .28 % Argentine Republic Government

International Bond 2005/2033 . . . . . . USD 280 408 8 .75 % Argentine Republic Government

International Bond 2010/2017 . . . . . . USD 300 000 7 .50 % Argentine Republic Government

International Bond -Reg- 2016/2026 . USD 171 000 171 000 5 .25 % Banco de Costa Rica -Reg-

2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 200 000 5 .75 % Banco Nacional de Desenvolvimento

Economico e Social -Reg- 2013/2023 USD 600 000 5 .95 % Bolivian Government International

Bond 2013/2023 . . . . . . . . . . . . . . . . USD 800 000 2 .625 % Colombia Government International

Bond 2013/2023 . . . . . . . . . . . . . . . . USD 700 000 5 .625 % Corp Nacional del Cobre de Chile

-Reg- 2005/2035 . . . . . . . . . . . . . . . . USD 400 000 4 .25 % Costa Rica Government International

Bond 2012/2023 . . . . . . . . . . . . . . . . USD 300 000 7 .75 % El Salvador Government International

Bond -Reg- 2002/2023 . . . . . . . . . . . USD 350 000 7 .375 % El Salvador Government International

Bond -Reg- 2009/2019 . . . . . . . . . . . USD 600 000 7 .125 % Eskom Holdings SOC Ltd

-Reg- 2015/2025 . . . . . . . . . . . . . . . . USD 200 000 5 .875 % Export Credit Bank of Turkey

-Reg- 2012/2019 . . . . . . . . . . . . . . . . USD 500 000 4 .00 % Export-Import Bank of India (MTN)

-Reg- 2013/2023 . . . . . . . . . . . . . . . . USD 500 000 6 .375 % Hungary Government International

Bond 2011/2021 . . . . . . . . . . . . . . . . USD 250 000 11 .625 % Indonesia Government International

Bond -Reg- 2009/2019 . . . . . . . . . . . USD 400 000 8 .00 % Jamaica Government International

Bond 2008/2019 . . . . . . . . . . . . . . . . USD 500 000 10 .875 % Mongolia Government International

Bond (MTN) -Reg- 2016/2021 . . . . . . USD 500 000 500 000 7 .25 % Pakistan Government International

Bond -Reg- 2014/2019 . . . . . . . . . . . USD 500 000 4 .875 % Pelabuhan Indonesia III PT

-Reg- 2014/2024 . . . . . . . . . . . . . . . . USD 1 100 000 8 .50 % Petroleos de Venezuela SA

-Reg- 2010/2017 . . . . . . . . . . . . . . . . USD 133 333 12 .75 % Petroleos de Venezuela SA

-Reg- 2011/2022 . . . . . . . . . . . . . . . . USD 200 000 4 .00 % Poland Government International

Bond 2014/2024 . . . . . . . . . . . . . . . . USD 400 000 400 000 6 .00 % Republic of Armenia

-Reg- 2013/2020 . . . . . . . . . . . . . . . . USD 200 000 4 .75 % Republic of Azerbaijan International

Bond -Reg- 2014/2024 . . . . . . . . . . . USD 300 000 600 000


4 .75 % Republic of Azerbaijan International Bond -Reg- 2014/2024 . . . . . . . . . . . USD 300 000 300 000

4 .625 % Republic of Paraguay -Reg- 2013/2023 USD 500 000 5 .10 % Russian Agricultural Bank OJSC

-Reg- 2013/2018 . . . . . . . . . . . . . . . . USD 710 000 8 .75 % Senegal Government International

Bond -Reg- 2011/2021 . . . . . . . . . . . USD 200 000 4 .665 % South Africa Government

International Bond 2012/2024 . . . . . . USD 200 000 5 .45 % State Oil Co . of the Azerbaijan

Republic 2012/2017 . . . . . . . . . . . . . USD 500 000 7 .00 % Turkey Government International

Bond 2005/2020 . . . . . . . . . . . . . . . . USD 400 000 7 .75 % Ukraine Government International

Bond -Reg- 2016/2020 . . . . . . . . . . . USD 140 000 140 000 7 .75 % Ukraine Government International







Bond -Reg- 2016/2027 . . . . . . . . . . . USD 110 000 110 000


Interest-bearing securities 4 .25 % Petroleos Mexicanos

-Reg- 2014/2025 . . . . . . . . . . . . . . . . USD 700 000 7 .50 % Ukraine Government 2015/2017 . . . . USD 1 100 000

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Futures contracts Currency futures (short) USD/EUR USD 311 197 Currency futures (long) EUR/USD USD 259 590

125

Securities traded on an exchange 161 541 539.61 91.61 Equities Ambev SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 350 000 60 000 152 000 BRL 18 .87 1 850 313 .13 1 .05Banco Bradesco SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 66 000 6 000 33 000 BRL 24 .87 459 859 .34 0 .26BB Seguridade Participacoes . . . . . . . . . . . . . . . . . . . . . . . . . Count 129 000 30 000 120 000 BRL 27 .93 1 009 406 .12 0 .57BM&FBovespa SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 237 000 214 000 BRL 17 .61 1 169 265 .10 0 .66BRF SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 000 10 000 BRL 44 .16 371 155 .25 0 .21CCR SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 252 000 60 000 266 000 BRL 16 .55 1 168 433 .03 0 .66Cielo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 120 000 20 000 47 000 BRL 33 .75 1 134 645 .80 0 .64Itau Unibanco Holding SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . Count 40 000 22 000 BRL 29 .63 332 044 .99 0 .19Agricultural Bank of China Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 770 000 300 000 4 020 000 HKD 2 .83 580 753 .20 0 .33AIA Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 775 600 213 000 223 000 HKD 46 .25 4 158 928 .46 2 .36Bank of China Ltd -H- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 397 000 1 086 000 2 255 000 HKD 3 .1 1 939 751 .18 1 .10Beijing Capital International Airport Co ., Ltd -H- . . . . . . . . . . . Count 1 125 310 131 310 108 000 HKD 8 .39 1 094 626 .74 0 .62Belle International Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 952 000 208 000 HKD 4 .55 502 204 .10 0 .28Cheung Kong Infrastructure Holdings Ltd . . . . . . . . . . . . . . . . Count 423 000 23 000 HKD 66 .55 3 263 775 .96 1 .85China Construction Bank Corp . -H- . . . . . . . . . . . . . . . . . . . . . Count 3 102 000 290 000 3 410 000 HKD 5 .13 1 844 977 .49 1 .05China Mobile Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 532 517 78 000 HKD 88 .75 5 479 409 .40 3 .11China Overseas Land & Investment Ltd . . . . . . . . . . . . . . . . . Count 692 507 214 507 222 000 HKD 24 .5 1 967 080 .64 1 .12China Overseas Property Holdings Ltd * . . . . . . . . . . . . . . . . Count 3 998 000 3 810 000 HKD 1 .13 523 785 .11 0 .30China Pacific Insurance Group Co ., Ltd . . . . . . . . . . . . . . . . . . Count 166 000 HKD 26 .1 502 320 .04 0 .29China Petroleum & Chemical Corp . -H- . . . . . . . . . . . . . . . . . . Count 1 654 447 760 000 860 000 HKD 5 .59 1 072 251 .29 0 .61China Railway Construction Corp . Ltd -H- . . . . . . . . . . . . . . . . Count 597 000 538 000 HKD 9 .69 670 702 .65 0 .38China Vanke Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 274 000 170 000 175 000 HKD 15 .2 482 865 .37 0 .27CLP Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 343 000 HKD 79 .1 3 145 592 .90 1 .78CNOOC Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 691 673 651 000 503 000 HKD 9 .63 1 888 750 .61 1 .07COSCO Pacific Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 028 000 396 000 HKD 7 .7 917 731 .74 0 .52Guangdong Investment Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 850 000 176 000 HKD 11 .84 3 912 266 .90 2 .22Hengan International Group Co ., Ltd . . . . . . . . . . . . . . . . . . . . Count 289 000 106 000 HKD 64 .65 2 166 198 .67 1 .23Industrial & Commercial Bank of China Ltd -H- . . . . . . . . . . . . Count 3 887 000 1 136 000 4 376 000 HKD 4 .29 1 933 320 .01 1 .10Lenovo Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 861 000 666 000 HKD 4 .67 466 178 .18 0 .26PetroChina Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 396 000 156 000 HKD 5 .29 856 195 .62 0 .49PICC Property & Casualty Co ., Ltd . . . . . . . . . . . . . . . . . . . . . Count 1 156 336 790 336 644 000 HKD 12 .14 1 627 551 .15 0 .92Ping An Insurance Group Co . of China Ltd . . . . . . . . . . . . . . . Count 473 000 338 000 291 000 HKD 34 .15 1 872 767 .06 1 .06Power Assets Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 302 000 HKD 71 .05 2 487 728 .25 1 .41Qinqin Foodstuffs Group Cayman Co ., Ltd . . . . . . . . . . . . . . . Count 57 800 57 800 HKD 11 73 714 .42 0 .04Samsonite International SA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 700 100 HKD 21 .4 1 737 023 .78 0 .99Sands China Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 586 276 33 876 120 800 HKD 25 .9 1 760 490 .93 1 .00Techtronic Industries Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 550 000 50 000 HKD 32 .25 2 056 479 .20 1 .17Tencent Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 155 000 19 000 HKD 176 .3 3 168 224 .32 1 .80VTech Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 000 HKD 81 .65 549 055 .31 0 .31Astra International Tbk PT . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 335 000 IDR 7 400 672 604 .94 0 .38Bank Rakyat Indonesia Persero Tbk PT . . . . . . . . . . . . . . . . . Count 1 528 000 IDR 10 800 1 123 554 .58 0 .64Indofood CBP Sukses Makmur Tbk PT . . . . . . . . . . . . . . . . . . Count 811 000 IDR 17 225 951 102 .12 0 .54Semen Indonesia Persero Tbk PT . . . . . . . . . . . . . . . . . . . . . . Count 1 237 000 IDR 9 350 787 459 .77 0 .45Telekomunikasi Indonesia Persero Tbk PT . . . . . . . . . . . . . . Count 7 468 000 IDR 3 980 2 023 645 .56 1 .15ITC Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 787 000 244 000 191 000 INR 369 3 870 450 .91 2 .19Hyundai Motor Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 000 3 000 KRW 135 500 952 396 .84 0 .54KT&G Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 54 000 5 000 KRW 136 500 5 756 553 .58 3 .26LG Chem Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 250 2 000 KRW 191 000 1 081 452 .66 0 .61Samsung Electronics Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 000 800 KRW 1425 000 3 338 660 .50 1 .89Samsung Electronics Co ., Ltd -Pref- . . . . . . . . . . . . . . . . . . . . Count 5 200 KRW 1183 000 4 804 234 .84 2 .72Shinhan Financial Group Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . Count 40 000 KRW 38 000 1 187 079 .29 0 .67SK Telecom Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 000 3 000 1 000 KRW 215 500 2 356 196 .20 1 .34Fomento Economico Mexicano SAB de CV . . . . . . . . . . . . . . Count 238 000 MXN 169 .7 1 960 878 .14 1 .11Grupo Aeroportuario del Sureste SAB de CV . . . . . . . . . . . . . Count 137 000 MXN 289 .4 1 924 912 .08 1 .09Grupo Mexico SAB de CV -B- . . . . . . . . . . . . . . . . . . . . . . . . . Count 207 000 MXN 41 .56 417 674 .24 0 .24Kimberly-Clark de Mexico SAB de CV -A- . . . . . . . . . . . . . . . . Count 376 000 176 000 MXN 43 .72 798 104 .58 0 .45British American Tobacco Malaysia Bhd . . . . . . . . . . . . . . . . . Count 47 000 47 000 MYR 52 .7 552 680 .16 0 .31DiGi .Com Bhd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 000 300 000 MYR 4 .78 533 289 .83 0 .30Gamuda Bhd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 MYR 4 .86 1 084 430 .37 0 .62IHH Healthcare Bhd 144A . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 MYR 6 .6 2 945 366 .44 1 .67Malayan Banking Bhd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 845 000 155 000 MYR 8 .14 1 534 781 .36 0 .87Petronas Chemicals Group Bhd . . . . . . . . . . . . . . . . . . . . . . . Count 700 000 MYR 6 .61 1 032 440 .19 0 .59Ayala Land, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 388 000 466 000 PHP 38 .8 1 029 714 .21 0 .58BDO Unibank, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 434 000 238 000 PHP 112 929 401 .28 0 .53Metropolitan Bank & Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 640 000 576 000 PHP 90 .35 1 105 614 .30 0 .63Philippine Long Distance Telephone Co . . . . . . . . . . . . . . . . . . Count 16 000 4 000 19 000 PHP 2 150 657 739 .55 0 .37Universal Robina Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 198 000 48 000 PHP 208 787 451 .91 0 .45Singapore Post Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 1 667 000 SGD 1 .47 392 .48 0 .00Singapore Telecommunications Ltd . . . . . . . . . . . . . . . . . . . . Count 842 600 70 000 SGD 4 .12 2 317 167 .93 1 .31Thai Beverage PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 441 000 5 441 000 SGD 0 .91 3 304 904 .82 1 .87Advanced Info Service PCL . . . . . . . . . . . . . . . . . . . . . . . . . . Count 267 000 115 000 81 000 THB 158 1 079 937 .59 0 .61Bangkok Bank PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 221 000 64 000 THB 158 .5 896 709 .66 0 .51CP ALL PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 739 000 164 000 THB 50 .25 950 628 .46 0 .54Kasikornbank PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 208 000 48 000 THB 170 905 195 .87 0 .51Minor International PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 300 000 THB 40 .25 1 339 490 .22 0 .76Siam Cement PCL -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 74 000 25 000 THB 476 901 714 .35 0 .51Turk Telekomunikasyon AS . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 300 000 TRY 6 561 369 .85 0 .32Advanced Semiconductor Engineering, Inc . 21/01/2020 . . . . Count 1 467 000 948 000 TWD 36 .65 1 499 288 .67 0 .85Asustek Computer, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 128 000 TWD 265 .5 947 666 .79 0 .54Cathay Financial Holding Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . Count 860 000 360 000 300 000 TWD 35 839 358 .83 0 .48




126

Chailease Holding Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 347 000 218 000 TWD 52.1 504 136.76 0.29Chicony Electronics Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 576 250 116 000 67 000 TWD 72.5 1 165 011.23 0.66China Life Insurance Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 788 000 412 000 TWD 24.9 547 150.41 0.31Delta Electronics, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 230 000 199 000 TWD 156 1 000 538.03 0.57Far EasTone Telecommunications Co., Ltd . . . . . . . . . . . . . . . Count 433 000 99 000 TWD 77.9 940 603.35 0.53Fubon Financial Holding Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 1 026 000 193 000 500 000 TWD 37.65 1 077 192.96 0.61Largan Precision Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 000 5 000 5 000 TWD 2 945 2 463 699.41 1.40Taiwan Cement Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 745 000 TWD 32.05 665 833.24 0.38Taiwan Mobile Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 087 000 87 000 TWD 112.5 3 410 069.52 1.93Taiwan Semiconductor Manufacturing Co., Ltd . . . . . . . . . . . Count 1 649 000 TWD 162.5 7 472 315.27 4.24Uni-President Enterprises Corp. . . . . . . . . . . . . . . . . . . . . . . . Count 1 539 000 959 000 TWD 63.5 2 725 169.45 1.55Chunghwa Telecom Co., Ltd -ADR- . . . . . . . . . . . . . . . . . . . . Count 140 000 45 000 USD 36.1 4 546 396.45 2.58Gazprom OAO -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 240 000 171 000 81 000 USD 4.292 926 514.94 0.53Lukoil PJSC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 000 15 000 9 000 USD 41.35 929 924.28 0.53Magnit OJSC -GDR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 000 9 000 5 000 USD 32.86 591 193.46 0.34MMC Norilsk Nickel OJSC -ADR- . . . . . . . . . . . . . . . . . . . . . . Count 79 000 66 000 43 000 USD 13.22 939 486.65 0.53Mobile Telesystems OJSC -ADR- . . . . . . . . . . . . . . . . . . . . . . Count 130 500 564 000 730 000 USD 7.98 936 796.95 0.53Taiwan Semiconductor Manufacturing Co., Ltd -ADR- . . . . . . Count 84 000 108 000 123 000 USD 25.905 1 957 469.25 1.11Tatneft Pao Sponsored ADR . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 000 23 000 14 000 USD 30.33 954 932.16 0.54Bidvest Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 000 44 000 44 000 ZAR 138.9 373 553.62 0.21FirstRand Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 272 000 272 000 ZAR 44.98 747 801.58 0.42MTN Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 000 47 000 ZAR 143.96 519 148.82 0.29Sanlam Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 237 000 237 000 ZAR 60.86 881 613.67 0.50Shoprite Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 62 000 ZAR 167.49 634 714.76 0.36Tiger Brands Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 31 000 31 000 ZAR 363.5 688 754.00 0.39

Total securities portfolio 161 541 539.61 91.61 Cash at bank 20 892 582.99 11.85 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 10 213 073.72 5.80 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 509 1 823.77 0.00Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 100 000 22 638.55 0.01Czech koruna . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CZK 503 18.54 0.00 Deposits in non-EU/EEA currencies Egyptian pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EGP 880 89.19 0.00Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 591 426 165 693.58 0.09Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 29 905 295 3 467 208.88 1.97Indian rupee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . INR 77 044 463 1 026 837.93 0.59Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 2 630 820 414 179 117.60 0.10Malaysian ringgit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 1 265 524 282 381.16 0.16Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 1 258 070 61 079.66 0.03New Taiwan dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 33 678 103 939 136.65 0.53Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 25 814 425 493 580.48 0.28Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 335 018 223 618.44 0.13South African rand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 1 777 344 108 634.92 0.06South Korean won . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 429 995 380 335 814.88 0.19Thai baht . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 4 499 867 115 194.04 0.07Turkish lira . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 125 691 39 199.38 0.02U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 576 668 3 217 441.62 1.82 Other assets 2 195 208.91 1.24Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 315 758.86 0.74Prepaid placement fee ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 016.93 0.02Receivables from exceeding the expense cap . . . . . . . . . . . . 9 827.81 0.01Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 839 605.31 0.47 Receivables from share certificate transactions 900 914.10 0.51 Total assets 185 530 245.61 105.21 Other liabilities -479 198.01 -0.27Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -218 626.67 -0.12Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -260 571.34 -0.15 Liabilities from share certificate transactions -8 705 430.00 -4.94 Total liabilities -9 184 628.01 -5.21 Net assets 176 345 617.60 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



127


Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 107 .30Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 .41Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101 .15Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 93 .85Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102 .64Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97 .77Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 116 .52Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 81 .97Class USD LDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 84 .04 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 077 577Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 265 213Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 221Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 921Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 047Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 815Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 842Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 640Class USD LDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 080 Composition of the reference portfolio (according to CSSF circular 11/512)MSCI EM (EMERGING MARKETS) Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 81 .943 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 88 .389 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 88 .389 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0 .00 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .



China Overseas Property Holdings Ltd Count 3 800 000 497 845 .60

Total receivables from securities loans 497 845.60 497 845.60 Contracting party for securities loans Crédit Suisse Securities (Europe) Ltd . Total collateral pledged by third parties for securities loans EUR 521 151.21 thereof: Equities EUR 521 151 .21


128


As of: June 30, 2016 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3 .569396 = EUR 1Czech koruna . . . . . . . . . . . . . . . . . . . . CZK 27 .108521 = EUR 1Egyptian pound . . . . . . . . . . . . . . . . . . EGP 9 .871393 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687 .670916 = EUR 1Indian rupee . . . . . . . . . . . . . . . . . . . . . INR 75 .030793 = EUR 1South Korean won . . . . . . . . . . . . . . . . KRW 1 280 .453642 = EUR 1Mexican peso . . . . . . . . . . . . . . . . . . . MXN 20 .597200 = EUR 1Malaysian ringgit . . . . . . . . . . . . . . . . . MYR 4 .481616 = EUR 1Philippine peso . . . . . . . . . . . . . . . . . . PHP 52 .300337 = EUR 1Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 4 .417251 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1Thai baht . . . . . . . . . . . . . . . . . . . . . . . THB 39 .063368 = EUR 1Turkish lira . . . . . . . . . . . . . . . . . . . . . . TRY 3 .206442 = EUR 1New Taiwan dollar . . . . . . . . . . . . . . . . TWD 35 .860706 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1South African rand . . . . . . . . . . . . . . . . ZAR 16 .360704 = EUR 1

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus .

If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are not valued at derived market values .

Footnotes

* Some or all of these securities are lent . ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations) .




Equities Banco Bradesco S .A . 05/02/2016 . . . . . . . . . . . . Count 3 046Banco do Brasil SA . . . . . . . . . . . . . . . . . . . . . . . Count 98 000China Life Insurance Co ., Ltd -H- . . . . . . . . . . . . Count 174 000China Shenhua Energy Co ., Ltd -H- . . . . . . . . . . . Count 205 000Gamuda Bhd - Rights Exp 26Feb2016 . . . . . . . . Count 166 666 166 666Great Wall Motor Co ., Ltd -H- . . . . . . . . . . . . . . . Count 600 000Grupo Financiero Santander Mexico SAB de CV -ADR- . . . . . . . . . . . . . . . . . . Count 44 000 119 000ICICI Bank Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . Count 56 000 128 000Larsen & Toubro Ltd . . . . . . . . . . . . . . . . . . . . . . Count 35 000MediaTek, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 163 000PTT PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 000Vale SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000



129

Securities traded on an exchange 105 134 232.00 96.39 Interest-bearing securities 1.65 % Austria Government Bond 144A 2014/2024 * . . . . EUR 1 700 000 1 000 000 % 114.365 1 944 205.00 1.78 2.40 % Austria Government Bond 2013/2034 . . . . . . . . . . . EUR 500 000 % 131.142 655 710.00 0.60 4.30 % Autonomous Community of Madrid Spain

2006/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 1 000 000 % 125.592 3 767 760.00 3.45 4.125 % Autonomous Community of Madrid Spain

2014/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 2 000 000 % 121.796 2 435 920.00 2.23 2.08 % Autonomous Community of Madrid Spain

2015/2030 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 102.027 2 040 540.00 1.87 4.25 % Ayt Cedulas Cajas Global (MTN) 2006/2023 . . . . . . EUR 2 000 000 1 000 000 % 125.933 2 518 660.00 2.31 3.125 % Banco Mare Nostrum SA 2014/2029 . . . . . . . . . . . EUR 2 000 000 2 000 000 % 107.83 2 156 600.00 1.98 3.625 % Bankia SA 2009/2016 . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 500 000 % 100.933 504 665.00 0.46 4.50 % Belgium Government Bond 144A 2011/2026 * . . . EUR 1 000 000 1 000 000 1 000 000 % 142.528 1 425 280.00 1.31 2.00 % Bulgaria Government Bond (MTN) 2015/2022 * . . . EUR 2 000 000 1 000 000 % 102.476 2 049 520.00 1.88 2.625 % Bulgaria Government International Bond (MTN)

2015/2027 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 1 000 000 % 100.512 2 010 240.00 1.84 2.95 % Bulgaria Government International Bond

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 105.527 2 110 540.00 1.94 5.625 % Bundesrepublik Deutschland 1998/2028 * . . . . . . . EUR 500 000 1 500 000 % 167.012 835 060.00 0.77 0.50 % Caja Rural de Navarra 2015/2022 . . . . . . . . . . . . . . EUR 2 000 000 3 000 000 % 101.602 2 032 040.00 1.86 4.25 % Cedulas TDA 6 Fondo de Titulizacion de Activos

2006/2031 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 134.113 2 682 260.00 2.46 4.00 % Cie de Financement Foncier SA (MTN) 2010/2025 EUR 1 000 000 1 000 000 % 133.052 1 330 520.00 1.22 5.90 % FADE - Fondo de Amortizacion

del Deficit Electrico -Reg- 2011/2021 . . . . . . . . . . . EUR 2 000 000 % 126.003 2 520 060.00 2.31 4.00 % Finland Government Bond 2009/2025 . . . . . . . . . . EUR 500 000 % 135.945 679 725.00 0.62 5.50 % France Government Bond OAT 1998/2029 * . . . . . EUR 1 000 000 % 164.845 1 648 450.00 1.51 5.75 % France Government Bond OAT 2001/2032 * . . . . . EUR 500 000 1 000 000 1 000 000 % 182.11 910 550.00 0.83 4.75 % France Government Bond OAT 2004/2035 . . . . . . . EUR 500 000 % 172.995 864 975.00 0.79 4.00 % France Government Bond OAT 2006/2038 . . . . . . . EUR 500 000 % 166.253 831 265.00 0.76 4.25 % France Government Bond OAT 2007/2023 . . . . . . . EUR 1 000 000 % 132.402 1 324 020.00 1.21 4.50 % France Government Bond OAT 2009/2041 . . . . . . . EUR 500 000 % 182.548 912 740.00 0.84 3.50 % France Government Bond OAT 2010/2026 * . . . . . EUR 1 000 000 % 132.568 1 325 680.00 1.22 2.75 % France Government Bond OAT 2012/2027 * . . . . . EUR 2 000 000 1 000 000 % 127.235 2 544 700.00 2.33 1.75 % France Government Bond OAT 2013/2023 * . . . . . EUR 1 000 000 1 000 000 % 113.348 1 133 480.00 1.04 2.25 % France Government Bond OAT 2013/2024 . . . . . . . EUR 1 000 000 % 118.348 1 183 480.00 1.09 3.25 % France Government Bond OAT 2013/2045 * . . . . . EUR 1 500 000 1 000 000 % 158.24 2 373 600.00 2.18 1.75 % France Government Bond OAT 2014/2024 * . . . . . EUR 2 000 000 1 000 000 % 114.503 2 290 060.00 2.10 2.50 % France Government Bond OAT 2014/2030 * . . . . . EUR 2 000 000 % 127.818 2 556 360.00 2.34 3.875 % Hungary Government International Bond (MTN)

2005/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 % 111.813 1 118 130.00 1.03 3.50 % Hungary Government International Bond

2006/2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 % 100.215 1 002 150.00 0.92 3.375 % Intesa Sanpaolo SpA (MTN) 2013/2025 . . . . . . . . . EUR 1 200 000 5 500 000 % 124.487 1 493 844.00 1.37 5.40 % Ireland Government Bond 2009/2025 . . . . . . . . . . . EUR 1 300 000 % 141.743 1 842 659.00 1.69 3.50 % Italy Buoni Poliennali Del Tesoro 144A 2014/2030 . EUR 1 000 000 % 122.762 1 227 620.00 1.13 3.75 % Italy Buoni Poliennali Del Tesoro 2006/2021 . . . . . . EUR 2 000 000 1 000 000 % 116.975 2 339 500.00 2.15 4.50 % Italy Buoni Poliennali Del Tesoro 2008/2019 . . . . . . EUR 1 000 000 1 000 000 % 112.018 1 120 180.00 1.03 5.50 % Italy Buoni Poliennali Del Tesoro 2012/2022 . . . . . . EUR 2 000 000 % 129.495 2 589 900.00 2.37 1.05 % Italy Buoni Poliennali Del Tesoro 2014/2019 . . . . . . EUR 1 000 000 1 000 000 2 000 000 % 103.328 1 033 280.00 0.95 3.75 % Italy Buoni Poliennali Del Tesoro 2014/2024 . . . . . . EUR 1 000 000 % 120.818 1 208 180.00 1.11 2.125 % Lithuania Government International Bond (MTN)

2014/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 % 115.135 575 675.00 0.53 4.00 % Lloyds Bank Plc (MTN) 2010/2020 . . . . . . . . . . . . . EUR 1 200 000 1 000 000 % 116.845 1 402 140.00 1.29 3.625 % Mediobanca SpA (MTN) 2013/2023 . . . . . . . . . . . . EUR 1 200 000 2 000 000 % 123.837 1 486 044.00 1.36 2.75 % Netherlands Government Bond 2014/2047 * . . . . . EUR 500 000 % 163.178 815 890.00 0.75 2.75 % Peruvian Government International Bond

2015/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 105.968 2 119 360.00 1.94 5.65 % Portugal Obrigacoes do Tesouro OT 144A

2013/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 1 000 000 % 118.96 3 568 800.00 3.27 2.875 % Portugal Obrigacoes do Tesouro OT 144A

2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 99.868 1 997 360.00 1.83 4.10 % Portugal Obrigacoes do Tesouro OT 144A

2015/2045 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 101.805 2 036 100.00 1.87 3.85 % Portugal Obrigacoes do Tesouro OT 2005/2021 . . . EUR 2 000 000 1 500 000 % 109.063 2 181 260.00 2.00 2.20 % Portugal Obrigacoes do Tesouro OT 2015/2022 . . . EUR 1 000 000 % 99.275 992 750.00 0.91 3.625 % Romanian Government International Bond (MTN)

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 % 111.085 1 110 850.00 1.02 4.625 % Romanian Government International Bond

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 2 000 000 % 115.91 1 159 100.00 1.06 3.625 % Slovakia Government Bond 2014/2029 . . . . . . . . . . EUR 500 000 % 133.955 669 775.00 0.61 1.375 % Slovakia Government Bond 2015/2027 . . . . . . . . . . EUR 500 000 % 107.94 539 700.00 0.49 5.125 % Slovenia Government Bond 2011/2026 . . . . . . . . . EUR 500 000 % 136.75 683 750.00 0.63 5.75 % Spain Government Bond 2001/2032 . . . . . . . . . . . . EUR 1 000 000 2 000 000 2 000 000 % 157.382 1 573 820.00 1.44 4.20 % Spain Government Bond 2005/2037 . . . . . . . . . . . . EUR 2 000 000 4 000 000 2 500 000 % 137.158 2 743 160.00 2.52 5.15 % Spain Government Bond 2013/2044 . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 160.452 1 604 520.00 1.47 4.00 % Spain Government Bond 2014/2064 . . . . . . . . . . . . EUR 2 000 000 2 000 000 % 138.615 2 772 300.00 2.54 5.50 % Turkey Government International Bond 2005/2017 EUR 1 000 000 1 000 000 % 103.385 1 033 850.00 0.95 5.125 % Turkey Government International Bond 2010/2020 EUR 2 000 000 1 000 000 % 112.03 2 240 600.00 2.05 4.125 % Turkey Government International Bond 2014/2023 * EUR 3 000 000 % 108.444 3 253 320.00 2.98




130

Investment fund units 3 055 500.00 2.80 In-group fund units Deutsche Invest I Global Short Duration -FCH (P)- EUR - (0.450%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 30 000 10 000 EUR 101.85 3 055 500.00 2.80 Total securities portfolio 108 189 732.00 99.19 Derivatives (Minus signs denote short positions) Interest rate derivatives 70 287.00 0.07Receivables/payables Interest rate futures Euro OAT Futures 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . Count 10 10 18 000.00 0.02Euro-BTP Futures 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . Count 30 30 115 800.00 0.11Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . Count -20 -20 822.00 0.00Euro Buxl Futures 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . Count 5 5 7 400.00 0.01 Option contracts Options on interest rate futures Call OGBL 08/2016 170 EUR (DB) . . . . . . . . . . . . . . . . . . . . . Count -100 1 000.00 0.00Call OGBL 07/2016 166 EUR (DB) . . . . . . . . . . . . . . . . . . . . . Count -100 -61 500.00 -0.06Call OGBL 07/2016 167 EUR (DB) . . . . . . . . . . . . . . . . . . . . . Count -100 -46 000.00 -0.04Call OGBL 07/2016 167.5 EUR (DB) . . . . . . . . . . . . . . . . . . . . Count -100 4 510.00 0.00Call OGBL 07/2016 168 EUR (DB) . . . . . . . . . . . . . . . . . . . . . Count -150 12 255.00 0.01Call OGBL 07/2016 168.5 EUR (DB) . . . . . . . . . . . . . . . . . . . . Count -200 20 000.00 0.02Call OGBL 08/2016 168 EUR (DB) . . . . . . . . . . . . . . . . . . . . . Count -100 -1 000.00 0.00Call OGBL 08/2016 169 EUR (DB) . . . . . . . . . . . . . . . . . . . . . Count -100 -1 000.00 0.00 Currency derivatives Receivables/payables Currency futures Cash at bank 1 837 074.68 1.68 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 496 999.76 1.37 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 174 210.53 0.00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 390 41.32 0.00 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 85 035 744.22 0.00Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 915 844.01 0.00U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 375 999 338 234.84 0.31 Other assets 1 374 392.45 1.26Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 368 207.48 1.25Receivables from exceeding the expense cap . . . . . . . . . . . . 6 184.97 0.01 Total assets ** 111 580 986.13 102.30 Other liabilities -118 013.52 -0.11Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -118 013.52 -0.11 Liabilities from share certificate transactions -2 281 375.83 -2.09 Total liabilities -2 508 889.35 -2.30 Net assets 109 072 096.78 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



131


Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 150 .84Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 144 .88Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 114 .45Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 139 .59 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 279 604Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 154 338Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 314 803Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 60 948 Composition of the reference portfolio (according to CSSF circular 11/512)70% iBoxx EUR Sovereigns in EUR Constituents, 30% iBoxx EUR Collateralized Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 82 .928 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 175 .480 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 125 .655 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .5, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 35 311 567 .40 as of the reporting date .


Futures exchangesEUR = Eurex

Contracting party for derivatives (with the exception of currency futures)DB = Deutsche Bank

Securities lending



4 .50 % Belgium Government Bond 144A 2011/2026 EUR 1 000 000 1 425 280 .00 2 .00 % Bulgaria Government Bond (MTN) 2015/2022 EUR 2 000 000 2 049 520 .00 2 .50 % France Government Bond OAT 2014/2030 EUR 2 000 000 2 556 360 .00 1 .65 % Austria Government Bond 144A 2014/2024 EUR 1 700 000 1 944 205 .00 1 .75 % France Government Bond OAT 2014/2024 EUR 2 000 000 2 290 060 .00 2 .75 % France Government Bond OAT 2012/2027 EUR 2 000 000 2 544 700 .00 3 .25 % France Government Bond OAT 2013/2045 EUR 1 000 000 1 582 400 .00 1 .75 % France Government Bond OAT 2013/2023 EUR 1 000 000 1 133 480 .00 4 .125 % Autonomous Community of Madrid Spain 2014/2024 EUR 1 200 000 1 461 552 .00 2 .75 % Netherlands Government Bond 2014/2047 EUR 500 000 815 890 .00 4 .125 % Turkey Government International Bond 2014/2023 EUR 2 900 000 3 144 876 .00 3 .50 % France Government Bond OAT 2010/2026 EUR 1 000 000 1 325 680 .00 5 .625 % Bundesrepublik Deutschland 1998/2028 EUR 500 000 835 060 .00 5 .50 % France Government Bond OAT 1998/2029 EUR 1 000 000 1 648 450 .00 5 .75 % France Government Bond OAT 2001/2032 EUR 500 000 910 550 .00

Total receivables from securities loans 25 668 063.00 25 668 063.00 Contracting parties for securities loans BNP Paribas Arbitrage SNC, Barclays Capital Securities Limited, Crédit Suisse AG, Crédit Suisse Securities (Europe) Ltd . FI, Deutsche Bank AG FI, HSBC Bank PLC, UBS AG London Branch, Unicredit Bank AG Total collateral pledged by third parties for securities loans EUR 29 426 407.84 thereof: Bonds EUR 8 933 898 .53Equities EUR 20 492 509 .31


132


As of: June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9 .432959 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus . If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are not valued at derived market values . The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses . A plus sign means that a performance-based fee may also be charged . As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds . No initial sales charges or redemption fees were paid in the reporting period . Footnote







Interest-bearing securities 5 .75 % Autonomous Community of Madrid

Spain 2013/2018 . . . . . . . . . . . . . . . . EUR 1 000 000 4 .00 % Belgium Government Bond

2006/2022 . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 4 .25 % Belgium Government Bond

2011/2021 . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 4 .25 % Belgium Government Bond

2012/2022 . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 5 .50 % Bundesrepublik Deutschland

2000/2031 . . . . . . . . . . . . . . . . . . . . . EUR 500 000 1 .75 % Bundesrepublik Deutschland

2012/2022 . . . . . . . . . . . . . . . . . . . . . EUR 5 700 000 4 .875 % Catalunya Banc SA 2007/2017 . . . . . EUR 2 000 000 3 .75 % France Government Bond OAT

2005/2021 . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 2 .50 % France Government Bond OAT




2012/2022 . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 4 .50 % Ireland Government Bond

2004/2020 . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 5 .00 % Ireland Government Bond

2010/2020 . . . . . . . . . . . . . . . . . . . . . EUR 700 000 3 .40 % Ireland Government Bond

2014/2024 . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 6 .00 % Italy Buoni Poliennali Del Tesoro



2004/2020 . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 3 000 000 4 .00 % Italy Buoni Poliennali Del Tesoro


2014/2019 . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 3 000 000 2 .50 % Italy Buoni Poliennali Del Tesoro

2014/2024 . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 1 .75 % Netherlands Government Bond 144A

2013/2023 . . . . . . . . . . . . . . . . . . . . . EUR 1 500 000 3 .25 % Netherlands Government Bond



2012/2033 . . . . . . . . . . . . . . . . . . . . . EUR 500 000 2 .00 % Netherlands Government Bond

2014/2024 . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 4 .50 % Republic of South Africa

2012/2016 . . . . . . . . . . . . . . . . . . . . . EUR 1 500 000 5 .25 % Romanian Government International

Bond 2011/2016 . . . . . . . . . . . . . . . . EUR 3 400 000 1 .625 % Sampo Bank Oyj 2012/2019 . . . . . . . EUR 997 000 4 .00 % Spain Government Bond 2010/2020 . EUR 1 000 000 2 .75 % Spain Government Bond 2014/2019 . EUR 4 000 000 3 .80 % Spain Government Bond 2014/2024 . EUR 1 000 000 Investment fund units In-group fund units db x-trackers II - MTS Ex-Bank of Italy Aggregate ETF -1D- EUR - (0 .100%) Units 80 000

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro BTP Futures, Euro Buxl Futures, Euro OAT Futures, Germany Federal Republic Notes 10 year EUR 128 477 Contracts sold (Underlyings: Euro BTP Futures, Euro Buxl Futures, Euro OAT Futures) EUR 111 202


133

Securities traded on an exchange 1 761 771 267.45 90.77 Interest-bearing securities 2.625 % AIB Mortgage Bank (MTN) 2013/2016 . . . . . . . . . . EUR 5 000 000 % 100.191 5 009 550.00 0.26 3.125 % AIB Mortgage Bank 2013/2018 . . . . . . . . . . . . . . . . EUR 10 000 000 10 000 000 % 106.921 10 692 100.00 0.55 1.75 % Anglo American Capital Plc (MTN) 2014/2018 . . . . EUR 25 000 000 % 99.096 24 774 000.00 1.28 1.50 % Anglo American Capital Plc (MTN) 2015/2018 . . . . EUR 10 000 000 % 91.062 9 106 200.00 0.47 5.75 % Autonomous Community of Madrid Spain

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 20 000 000 % 109.042 21 808 400.00 1.12 6.75 % Banca Carige SpA 2012/2017 . . . . . . . . . . . . . . . . . EUR 23 500 000 33 500 000 10 000 000 % 104.375 24 528 125.00 1.26 3.50 % Banca Monte dei Paschi di Siena SpA 2012/2017 . EUR 60 000 000 % 102.215 61 329 000.00 3.16 4.00 % Banco Popular Espanol SA 2006/2016 . . . . . . . . . . EUR 10 000 000 5 000 000 % 101.173 10 117 300.00 0.52 4.125 % Banco Popular Espanol SA 2010/2018 . . . . . . . . . . EUR 13 000 000 3 000 000 % 107.397 13 961 610.00 0.72 1.50 % Banco Santander Totta SA (MTN) 2014/2017 . . . . . EUR 36 000 000 % 101.275 36 459 000.00 1.88 1.625 % Banco Santander Totta SA (MTN) 2014/2019 . . . . . EUR 10 000 000 1 600 000 20 000 000 % 104.878 10 487 800.00 0.54 0.10 % Bank of Montreal 2016/2019 . . . . . . . . . . . . . . . . . . EUR 7 400 000 7 400 000 % 100.776 7 457 424.00 0.38 4.125 % Bankinter SA 2012/2017 . . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 % 102.985 10 298 500.00 0.53 0.50 % BMW Finance NV (MTN) 2014/2018 . . . . . . . . . . . EUR 60 000 000 33 000 000 % 101.358 60 814 800.00 3.13 4.25 % CaixaBank SA 2006/2017 . . . . . . . . . . . . . . . . . . . . EUR 25 000 000 % 102.42 25 605 000.00 1.32 4.00 % CaixaBank SA 2012/2017 . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 5 000 000 % 102.528 10 252 800.00 0.53 1.875 % Credito Emiliano SpA (MTN) 2014/2019 . . . . . . . . . EUR 23 000 000 3 000 000 % 105.203 24 196 690.00 1.25 1.00 % Deutsche Bank AG (MTN) 2016/2019 * . . . . . . . . . EUR 55 000 000 55 000 000 % 100.547 55 300 850.00 2.85 1.50 % Deutsche Pfandbriefbank AG (MTN) 2014/2019 . . . EUR 7 000 000 7 000 000 % 103.058 7 214 060.00 0.37 1.125 % Deutsche Pfandbriefbank AG (MTN) 2016/2020 * . EUR 27 000 000 27 000 000 % 101.99 27 537 300.00 1.42 1.875 % FADE - Fondo de Amortizacion

del Deficit Electrico (MTN) 2014/2017 . . . . . . . . . . EUR 65 000 000 10 000 000 % 102.392 66 554 800.00 3.43 2.625 % Glencore Finance Dubai Ltd (MTN) 2012/2018 . . . . EUR 5 000 000 % 102.126 5 106 300.00 0.26 4.50 % Ireland Government Bond 2004/2020 . . . . . . . . . . . EUR 20 000 000 20 000 000 % 117.99 23 598 000.00 1.22 4.50 % Ireland Government Bond 2007/2018 * . . . . . . . . . EUR 20 000 000 20 000 000 % 111.153 22 230 600.00 1.15 5.00 % Ireland Government Bond 2010/2020 . . . . . . . . . . . EUR 10 000 000 % 122.413 12 241 300.00 0.63 5.25 % Italy Buoni Poliennali Del Tesoro 2002/2017 . . . . . . EUR 50 000 000 % 105.83 52 915 000.00 2.73 4.00 % Italy Buoni Poliennali Del Tesoro 2007/2017 * . . . . EUR 90 000 000 % 102.443 92 198 700.00 4.75 4.50 % Italy Buoni Poliennali Del Tesoro 2008/2018 . . . . . . EUR 35 000 000 15 000 000 % 109.46 38 311 000.00 1.97 4.75 % Italy Buoni Poliennali Del Tesoro 2012/2017 . . . . . . EUR 60 000 000 % 104.515 62 709 000.00 3.23 2.15 % Italy Buoni Poliennali Del Tesoro 2013/2017 * . . . . EUR 30 019 500 211 200 15 163 800 % 102.965 30 909 578.18 1.59 2.50 % Italy Buoni Poliennali Del Tesoro 2014/2019 . . . . . . EUR 40 000 000 40 000 000 % 106.99 42 796 000.00 2.21 1.65 % Italy Buoni Poliennali Del Tesoro -Reg- 2014/2020 . EUR 15 007 050 20 009 400 5 002 350 % 105.73 15 866 953.97 0.82 1.00 % KBC Groep NV (MTN) 2016/2021 . . . . . . . . . . . . . . EUR 20 000 000 20 000 000 % 101.88 20 376 000.00 1.05 3.00 % Kutxabank SA 2013/2017 . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 % 101.786 10 178 600.00 0.52 1.00 % LeasePlan Corp NV (MTN) 2016/2020 . . . . . . . . . . EUR 10 000 000 10 000 000 % 101.239 10 123 900.00 0.52 1.75 % Nykredit Realkredit A/S (MTN) 2013/2018 . . . . . . . EUR 10 000 000 13 000 000 3 000 000 % 102.872 10 287 200.00 0.53 1.75 % Nykredit Realkredit A/S (MTN) 2013/2019 . . . . . . . EUR 10 000 000 10 000 000 % 103.944 10 394 400.00 0.54 3.75 % Petroleos Mexicanos (MTN) 2016/2019 . . . . . . . . . EUR 30 000 000 35 000 000 5 000 000 % 104.615 31 384 500.00 1.62 1.10 % Santander Consumer Finance SA 2015/2018 . . . . . EUR 55 000 000 15 000 000 % 101.56 55 858 000.00 2.88 0.50 % Sinopec Group Overseas Development 2015 Ltd

-Reg- 2015/2018 * . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 80 000 000 35 000 000 % 100.53 80 424 000.00 4.14 1.75 % Slovenia Government Bond -Reg- 2014/2017 . . . . . EUR 50 000 000 % 102.338 51 169 000.00 2.64 4.00 % Slovenia Government International Bond

2007/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 % 107.315 10 731 500.00 0.55 4.70 % Slovenia Government International Bond

2013/2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 % 101.53 10 153 000.00 0.52 5.50 % Spain Government Bond 2002/2017 . . . . . . . . . . . . EUR 80 000 000 % 106.14 84 912 000.00 4.38 3.80 % Spain Government Bond 2006/2017 . . . . . . . . . . . . EUR 40 000 000 10 000 000 % 102.327 40 930 800.00 2.11 4.30 % Spain Government Bond 2009/2019 . . . . . . . . . . . . EUR 30 000 000 % 114.315 34 294 500.00 1.77 4.85 % Spain Government Bond 2010/2020 . . . . . . . . . . . . EUR 20 000 000 % 120.428 24 085 600.00 1.24 4.25 % Spain Government Bond 2011/2016 . . . . . . . . . . . . EUR 40 000 000 % 101.468 40 587 200.00 2.09 4.50 % Spain Government Bond 2012/2018 . . . . . . . . . . . . EUR 30 000 000 % 107.382 32 214 600.00 1.66 3.30 % Spain Government Bond 2013/2016 . . . . . . . . . . . . EUR 45 000 000 15 000 000 % 100.26 45 117 000.00 2.33 2.10 % Spain Government Bond 2013/2017 . . . . . . . . . . . . EUR 20 000 000 10 000 000 % 101.943 20 388 600.00 1.05 3.75 % Spain Government Bond 2013/2018 . . . . . . . . . . . . EUR 10 000 000 10 000 000 % 109.06 10 906 000.00 0.56 3.375 % Turkiye Garanti Bankasi AS (MTN) 2014/2019 . . . . EUR 35 000 000 % 103.186 36 115 100.00 1.86 2.375 % Turkiye Vakiflar Bankasi TAO 2016/2021 . . . . . . . . EUR 4 330 000 4 330 000 % 100.511 4 352 126.30 0.22 4.00 % UniCredit SpA (MTN) 2012/2018 . . . . . . . . . . . . . . . EUR 10 000 000 % 106.485 10 648 500.00 0.55 2.875 % Unione di Banche Italiane SCpA (MTN)

2014/2019 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 20 000 000 % 106.159 21 231 800.00 1.09 5.00 % Veneto Banca SpA 2012/2017 . . . . . . . . . . . . . . . . EUR 50 000 000 % 103.42 51 710 000.00 2.66 0.75 % Volkswagen Leasing GmbH 2015/2020 . . . . . . . . . EUR 80 000 000 1 000 000 % 101.012 80 809 600.00 4.16

Investment fund units 140 753 724.25 7.25 In-group fund unitsDeutsche Global Liquidity Series Plc - Deutsche Managed Euro Ultra Short Fixed Income Fund -Accumulate- EUR - (0.200%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 200 200 EUR 10 044.44 2 008 888.00 0.10DWS Institutional - DWS Institutional Money Plus -I- EUR - (0.160%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 9 875 18 135 20 360 EUR 14 050.11 138 744 836.25 7.15 Total securities portfolio 1 902 524 991.70 98.02




134

Cash at bank 5 042 214.28 0.26 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 042 214 .28 0 .26 Other assets 30 688 702.04 1.58Prepaid placement fee ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . 710 613 .33 0 .04Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 594 621 .67 1 .27Receivables from exceeding the expense cap . . . . . . . . . . . . 79 200 .55 0 .00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 304 266 .49 0 .27 Receivables from share certificate transactions 19 113 972.51 0.98 Total assets 1 957 369 880.53 100.84 Other liabilities -1 021 518.50 -0.05Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 021 518 .50 -0 .05 Liabilities from share certificate transactions -15 399 010.31 -0.79 Total liabilities -16 420 528.81 -0.84 Net assets 1 940 949 351.72 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 153 .52Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 147 .01Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .67Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 137 .48Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .02Class PFDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97 .30Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 011 .76Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 010 .01 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 581 809Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 889 506Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 011 367Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 184 151 Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 264 001Class PFDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 135 195Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Composition of the reference portfolio (according to CSSF circular 11/512)iBoxx EUR Overall 1-3 Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 134 .939 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 197 .083 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 159 .809 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0 .00 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .



135

Securities lending



1.00 % Deutsche Bank AG (MTN) 2016/2019 EUR 7 800 000 7 842 666.00 1.125 % Deutsche Pfandbriefbank AG (MTN) 2016/2020 EUR 2 700 000 2 753 730.00 4.50 % Ireland Government Bond 2007/2018 EUR 1 500 000 1 667 295.00 4.00 % Italy Buoni Poliennali Del Tesoro 2007/2017 EUR 3 000 000 3 073 290.00 2.15 % Italy Buoni Poliennali Del Tesoro 2013/2017 EUR 17 900 000 18 430 735.00 0.50 % Sinopec Group Overseas Development 2015 Ltd -Reg- 2015/2018 EUR 1 700 000 1 709 010.00 2.875 % Unione di Banche Italiane SCpA (MTN) 2014/2019 EUR 20 000 000 21 231 800.00 Total receivables from securities loans 56 708 526.00 56 708 526.00 Contracting parties for securities loans Banco Santander S.A., Barclays Capital Securities Limited, Citigroup Global Markets, Deutsche Bank AG FI, HSBC Bank PLC FI, Zuercher Kantonalbank Total collateral pledged by third parties for securities loans EUR 61 190 887.13 thereof: Bonds EUR 48 105 819.55Equities EUR 13 085 067.58 Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnotes





Securities traded on an exchange Interest-bearing securities 0.625 % Anheuser-Busch InBev SA/NV

(MTN) 2016/2020 . . . . . . . . . . . . . . . EUR 20 000 000 20 000 000 4.688 % Autonomous Community

of Madrid Spain 2010/2020 . . . . . . . . EUR 4 000 000 4 000 000 3.50 % AyT Cedulas Cajas Global

2005/2016 . . . . . . . . . . . . . . . . . . . . . EUR 20 000 000 0.25 % Banque Federative du Credit

Mutuel SA (MTN) 2016/2019 . . . . . . EUR 30 000 000 30 000 000 0.50 % Berkshire Hathaway, Inc. 2016/2020 EUR 12 480 000 12 480 000 0.25 % Daimler AG (MTN) 2016/2020 . . . . . . EUR 13 060 000 13 060 000 0.50 % FedEx Corp. 2016/2020 . . . . . . . . . . EUR 8 820 000 8 820 000 0.65 % Honeywell International, Inc.

2016/2020 . . . . . . . . . . . . . . . . . . . . . EUR 30 000 000 30 000 000 4.25 % Italy Buoni Poliennali Del Tesoro

2009/2020 . . . . . . . . . . . . . . . . . . . . . EUR 10 000 000 2.25 % Italy Buoni Poliennali Del Tesoro


2013/2018 . . . . . . . . . . . . . . . . . . . . . EUR 15 000 000 0.75 % Merck Financial Services GmbH

015/2019 . . . . . . . . . . . . . . . . . . . . . . EUR 6 667 000 15 000 000 6.50 % Romanian Government International

Bond 2008/2018 . . . . . . . . . . . . . . . . EUR 10 000 000 5.00 % Turkey Government International Bond

2006/2016 . . . . . . . . . . . . . . . . . . . . . EUR 15 000 000

0.329 % Volkswagen Bank GmbH (MTN) 2013/2016 * . . . . . . . . . . . . . . . . . . . EUR 15 000 000

0.75 % WPP Finance 2013 2015/2019 . . . . . EUR 5 020 000


Value (’000)Futures contracts Interest rate futures Contracts purchased (Underlying: Germany Federal Republic Notes 10 year) EUR 25 198 Option contracts Options on interest rate derivatives Options on bond index futures Call options purchased (Underlying: OGBL) EUR 637 Put options purchased (Underlying: OGBL) EUR 55



136

Securities traded on an exchange 1 270 758 839.92 89.05 Interest-bearing securities 1.125 % 2i Rete Gas SpA (MTN) 2014/2020 . . . . . . . . . . . . . EUR 4 060 000 % 102.988 4 181 312.80 0.29 4.25 % Aareal Bank AG 2014/2026 * . . . . . . . . . . . . . . . . . EUR 4 000 000 1 637 000 % 102.731 4 109 240.00 0.29 7.625 % Aareal Bank AG 2014/2049 * . . . . . . . . . . . . . . . . . EUR 4 000 000 1 800 000 % 95.817 3 832 680.00 0.27 7.125 % ABN AMRO Bank NV 2012/2022 . . . . . . . . . . . . . . EUR 4 000 000 % 125.815 5 032 600.00 0.35 1.125 % Achmea Bank NV (MTN) 2015/2022 . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 101.111 4 044 440.00 0.28 2.50 % Achmea BV 2013/2020 . . . . . . . . . . . . . . . . . . . . . . EUR 8 000 000 8 000 000 4 500 000 % 109.507 8 760 560.00 0.61 1.50 % Adecco International Financial Services BV (MTN)

2015/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 % 105.666 5 283 300.00 0.37 0.50 % Air Liquide Finance SA (MTN) 2016/2022 . . . . . . . . EUR 4 100 000 4 100 000 % 101.535 4 162 935.00 0.29 1.25 % Air Liquide Finance SA (MTN) 2016/2028 . . . . . . . . EUR 3 500 000 3 500 000 % 104.312 3 650 920.00 0.26 1.375 % Airbus Group Finance BV (MTN) 2016/2031 . . . . . . EUR 4 620 000 4 620 000 % 102.315 4 726 953.00 0.33 1.125 % Akzo Nobel NV (MTN) 2016/2026 . . . . . . . . . . . . . . EUR 5 000 000 5 000 000 % 102.622 5 131 100.00 0.36 1.375 % Alfa Laval Treasury International AB (MTN)

2014/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 750 000 3 280 000 % 104.117 1 822 047.50 0.13 1.875 % Alimentation Couche-Tard, Inc. 2016/2026 . . . . . . . EUR 5 160 000 5 160 000 % 103.733 5 352 622.80 0.37 3.50 % Allianz Finance II BV (MTN) 2012/2022 . . . . . . . . . . EUR 3 000 000 % 118.777 3 563 310.00 0.25 0.00 % Allianz Finance II BV (MTN) 2016/2020 . . . . . . . . . . EUR 4 200 000 4 200 000 % 99.892 4 195 464.00 0.29 1.375 % Allianz Finance II BV (MTN) 2016/2031 . . . . . . . . . . EUR 4 000 000 6 100 000 2 100 000 % 104.827 4 193 080.00 0.29 2.241 % Allianz SE 2015/2045 * . . . . . . . . . . . . . . . . . . . . . . EUR 4 000 000 2 000 000 % 93.779 3 751 160.00 0.26 4.125 % Allied Irish Banks PLC 2015/2025* . . . . . . . . . . . . . EUR 2 000 000 2 790 000 % 93.326 1 866 520.00 0.13 6.375 % America Movil SAB de CV 2013/2073 * . . . . . . . . . EUR 2 000 000 2 568 000 568 000 % 112.447 2 248 940.00 0.16 1.50 % America Movil SAB de CV 2016/2024 . . . . . . . . . . EUR 4 000 000 6 500 000 2 500 000 % 101.041 4 041 640.00 0.28 1.25 % Amgen, Inc. 2016/2022 . . . . . . . . . . . . . . . . . . . . . . EUR 5 940 000 5 940 000 % 103.432 6 143 860.80 0.43 2.50 % Anglo American Capital Plc 2012/2018 ** . . . . . . . EUR 4 000 000 % 99.483 3 979 320.00 0.28 1.50 % Anheuser-Busch InBev SA/NV (MTN) 2016/2025 . . EUR 5 600 000 7 950 000 2 350 000 % 105.444 5 904 864.00 0.41 2.00 % Anheuser-Busch InBev SA/NV (MTN) 2016/2028 . . EUR 6 000 000 7 330 000 1 330 000 % 107.995 6 479 700.00 0.45 2.75 % Anheuser-Busch InBev SA/NV (MTN) 2016/2036 . . EUR 6 500 000 9 210 000 2 710 000 % 115.739 7 523 035.00 0.53 1.50 % Arkema SA (MTN) 2015/2025 . . . . . . . . . . . . . . . . . EUR 5 200 000 % 104.325 5 424 900.00 0.38 3.375 % ASML Holding NV 2013/2023 . . . . . . . . . . . . . . . . . EUR 7 000 000 2 000 000 % 117.176 8 202 320.00 0.57 5.125 % Assicurazioni Generali SpA (MTN) 2009/2024. . . . . EUR 2 770 000 % 128.812 3 568 092.40 0.25 7.75 % Assicurazioni Generali SpA 2012/2042 *. . . . . . . . . EUR 4 000 000 % 116.002 4 640 080.00 0.33 0.25 % AstraZeneca Plc (MTN) 2016/2021 . . . . . . . . . . . . . EUR 2 620 000 2 620 000 % 100.356 2 629 327.20 0.18 2.40 % AT&T, Inc. 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . EUR 3 205 000 % 109.578 3 511 974.90 0.25 2.45 % AT&T, Inc. 2015/2035 . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 4 000 000 % 103.207 1 032 070.00 0.07 2.875 % Atlantia SpA (MTN) 2013/2021 . . . . . . . . . . . . . . . . EUR 5 000 000 % 111.928 5 596 400.00 0.39 4.125 % Autonomous Community of Madrid Spain

2014/2024 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 % 121.796 6 089 800.00 0.43 4.125 % Autoroutes du Sud de la France SA (MTN)

2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 500 000 % 115.197 4 031 895.00 0.28 1.00 % Autoroutes du Sud de la France SA (MTN)

2016/2026 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 200 000 3 200 000 % 102.506 3 280 192.00 0.23 1.875 % Autostrade per l‘Italia SpA 2015/2025 . . . . . . . . . . EUR 3 844 000 % 108.982 4 189 268.08 0.29 1.75 % Autostrade per l‘Italia SpA 2015/2026 . . . . . . . . . . EUR 5 000 000 % 107.188 5 359 400.00 0.38 5.25 % AXA SA (MTN) 2010/2040 * . . . . . . . . . . . . . . . . . . EUR 3 000 000 % 110.565 3 316 950.00 0.23 1.00 % Banco Bilbao Vizcaya Argentaria SA

2016/2021 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 5 000 000 % 101.405 5 070 250.00 0.36 1.625 % Bank of America Corp 2015/2022 . . . . . . . . . . . . . . EUR 3 650 000 % 105.056 3 834 544.00 0.27 1.875 % Bank of America Corp. (MTN) 2013/2019 . . . . . . . . EUR 4 820 000 % 104.253 5 024 994.60 0.35 1.375 % Bank of America Corp. (MTN) 2014/2021 . . . . . . . . EUR 4 000 000 2 258 000 % 103.98 4 159 200.00 0.29 4.25 % Bank of Ireland 2014/2024 * . . . . . . . . . . . . . . . . . . EUR 2 000 000 5 000 000 3 000 000 % 97.444 1 948 880.00 0.14 1.25 % Bank of Ireland 2015/2020 ** . . . . . . . . . . . . . . . . . EUR 798 000 4 202 000 % 102.226 815 763.48 0.06 3.00 % Banque Federative du Credit Mutuel SA (MTN)

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 490 000 % 106.731 3 724 911.90 0.26 1.625 % Banque Federative du Credit Mutuel SA (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 7 300 000 7 300 000 % 106.956 7 807 788.00 0.55 6.00 % Barclays Bank Plc (MTN) 2008/2018 . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 107.834 4 313 360.00 0.30 2.625 % Barclays PLC 2015/2025* . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 870 000 % 94.172 1 883 440.00 0.13 1.875 % BASF SE (MTN) 2013/2021 . . . . . . . . . . . . . . . . . . . EUR 5 000 000 7 000 000 2 000 000 % 108.635 5 431 750.00 0.38 3.75 % Bayer AG 2014/2074 * ** . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 % 101.875 3 056 250.00 0.21 2.375 % BBVA Senior Finance SAU (MTN) 2014/2019 . . . . . EUR 4 000 000 % 105.219 4 208 760.00 0.29 3.125 % Belfius Bank SA/NV 2016/2026 . . . . . . . . . . . . . . . . EUR 3 600 000 3 600 000 % 100.939 3 633 804.00 0.25 2.375 % Belgacom SA (MTN) 2014/2024 . . . . . . . . . . . . . . . EUR 600 000 600 000 % 114.475 686 850.00 0.05 0.75 % Berkshire Hathaway, Inc. 2015/2023** . . . . . . . . . EUR 4 500 000 3 000 000 % 100.531 4 523 895.00 0.32 1.30 % Berkshire Hathaway, Inc. 2016/2024 . . . . . . . . . . . EUR 3 140 000 3 140 000 % 103.724 3 256 933.60 0.23 2.15 % Berkshire Hathaway, Inc. 2016/2028 . . . . . . . . . . . EUR 2 360 000 2 360 000 % 108.114 2 551 490.40 0.18 4.00 % Bharti Airtel International Netherlands BV

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 6 139 000 % 107.306 6 587 515.34 0.46 1.25 % BlackRock, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . EUR 5 000 000 % 101.673 5 083 650.00 0.36 0.75 % BMW Finance NV (MTN) 2016/2024 . . . . . . . . . . . EUR 5 445 000 5 445 000 % 102.224 5 566 096.80 0.39 1.526 % BP Capital Markets Plc (MTN) 2014/2022 . . . . . . . . EUR 4 000 000 4 000 000 % 105.248 4 209 920.00 0.29 1.373 % BP Capital Markets Plc (MTN) 2016/2022 . . . . . . . . EUR 6 000 000 6 000 000 % 104.218 6 253 080.00 0.44 2.875 % BPCE SA (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . EUR 2 600 000 2 600 000 % 100.735 2 619 110.00 0.18 2.75 % BPCE SA 2015/2027* . . . . . . . . . . . . . . . . . . . . . . . EUR 2 900 000 % 101.33 2 938 570.00 0.21 2.00 % Brisa Concessao Rodoviaria SA (MTN) 2016/2023 . EUR 3 400 000 3 400 000 % 102.199 3 474 766.00 0.24 1.875 % Brisa Concessao Rodoviaria SA 2015/2025 . . . . . . EUR 3 400 000 % 98.869 3 361 546.00 0.24 1.50 % British Sky Broadcasting Group Plc (MTN)

2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 500 000 % 103.149 4 641 705.00 0.33 2.50 % Cargill, Inc. (MTN) 2014/2023 . . . . . . . . . . . . . . . . . EUR 3 000 000 % 111.971 3 359 130.00 0.24 2.625 % Carlsberg Breweries A/S (MTN) 2012/2022 ** . . . . EUR 3 000 000 % 111.907 3 357 210.00 0.24 1.125 % Carnival Corp 2015/2019 . . . . . . . . . . . . . . . . . . . . . EUR 4 940 000 % 102.251 5 051 199.40 0.35




137

1.75 % Carrefour SA (MTN) 2014/2022 . . . . . . . . . . . . . . . . EUR 5 000 000 % 107.755 5 387 750.00 0.38 3.248 % Casino Guichard Perrachon SA (MTN) 2014/2024 . EUR 3 000 000 % 104.738 3 142 140.00 0.22 3.00 % Centrica Plc 2015/2076 * . . . . . . . . . . . . . . . . . . . . EUR 1 420 000 1 420 000 3 000 000 % 93.191 1 323 312.20 0.09 5.75 % Cirsa Funding Luxembourg SA -Reg- 2016/2021** EUR 1 870 000 1 870 000 % 102.867 1 923 612.90 0.13 4.25 % Citigroup, Inc. (MTN) 2005/2030 * ** . . . . . . . . . . . EUR 1 360 000 1 360 000 % 116.058 1 578 388.80 0.11 7.375 % Citigroup, Inc. (MTN) 2009/2019 . . . . . . . . . . . . . . . EUR 3 500 000 % 122.257 4 278 995.00 0.30 1.75 % Citigroup, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 104.118 4 164 720.00 0.29 4.00 % CNP Assurances 2014/2049 * . . . . . . . . . . . . . . . . EUR 3 000 000 % 93.446 2 803 380.00 0.20 0.75 % Coca-Cola Co. 2015/2023 . . . . . . . . . . . . . . . . . . . . EUR 4 550 000 % 102.238 4 651 829.00 0.33 1.625 % Coca-Cola Co. 2015/2035 . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 % 105.172 5 258 600.00 0.37 0.75 % Coca-Cola European Partners Plc 2016/2022 . . . . . EUR 3 380 000 3 380 000 % 100.843 3 408 493.40 0.24 7.75 % Commerzbank AG (MTN) 2011/2021 . . . . . . . . . . . EUR 4 000 000 4 000 000 % 119.441 4 777 640.00 0.33 5.50 % Cooperatieve Centrale Raiffeisen-

Boerenleenbank BA/Netherlands 2015/2049 * . . . . EUR 4 500 000 1 229 000 % 95.605 4 302 225.00 0.30 1.00 % Covestro AG (MTN) 2016/2021 . . . . . . . . . . . . . . . . EUR 4 570 000 4 570 000 % 103.208 4 716 605.60 0.33 1.75 % Covestro AG 2016/2024 . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 5 000 000 % 106.433 5 321 650.00 0.37 4.25 % Credit Agricole Assurances SA 2015/2049 . . . . . . . EUR 3 000 000 1 500 000 % 94.61 2 838 300.00 0.20 2.375 % Credit Agricole SA/London (MTN) 2014/2024 . . . . . EUR 3 500 000 % 112.527 3 938 445.00 0.28 0.75 % Credit Agricole SA/London (MTN) 2016/2022 . . . . . EUR 3 800 000 3 800 000 % 101.068 3 840 584.00 0.27 3.25 % Credit Mutuel Arkea SA (MTN) 2016/2026 . . . . . . . EUR 1 100 000 1 100 000 % 102.38 1 126 180.00 0.08 1.00 % Credit Suisse AG/London (MTN) 2016/2023 . . . . . . EUR 6 060 000 6 060 000 % 100.319 6 079 331.40 0.43 1.375 % Credit Suisse AG/London 2014/2022 . . . . . . . . . . . EUR 2 500 000 2 690 000 % 103.372 2 584 300.00 0.18 1.40 % Daimler AG (MTN) 2016/2024 ** . . . . . . . . . . . . . . EUR 4 610 000 4 610 000 % 106.839 4 925 277.90 0.35 1.375 % Daimler AG (MTN) 2016/2028 . . . . . . . . . . . . . . . . . EUR 3 500 000 3 500 000 % 104.592 3 660 720.00 0.26 1.125 % Danone SA (MTN) 2015/2025 . . . . . . . . . . . . . . . . . EUR 3 300 000 2 400 000 % 103.467 3 414 411.00 0.24 2.75 % Danske Bank A/S (MTN) 2014/2026 * . . . . . . . . . . EUR 2 900 000 % 104.238 3 022 902.00 0.21 0.75 % Danske Bank A/S (MTN) 2016/2023 . . . . . . . . . . . . EUR 4 030 000 4 030 000 % 101.041 4 071 952.30 0.29 3.125 % Delhaize Group SA 2012/2020 . . . . . . . . . . . . . . . . EUR 1 200 000 1 200 000 % 110.589 1 327 068.00 0.09 4.375 % Demeter Investments BV 2015/2049 * . . . . . . . . . EUR 3 000 000 3 080 000 % 95.963 2 878 890.00 0.20 1.25 % Deutsche Bank AG (MTN) 2014/2021 ** . . . . . . . . EUR 7 800 000 % 101.348 7 905 144.00 0.55 1.125 % Deutsche Bank AG (MTN) 2015/2025 ** . . . . . . . . EUR 5 500 000 % 96.111 5 286 105.00 0.37 1.00 % Deutsche Bank AG (MTN) 2016/2019 . . . . . . . . . . . EUR 6 600 000 6 600 000 % 100.547 6 636 102.00 0.46 2.75 % Deutsche Boerse AG 2015/2041* . . . . . . . . . . . . . EUR 2 580 000 % 102.533 2 645 351.40 0.19 1.125 % Deutsche Pfandbriefbank AG (MTN) 2016/2020 . . . EUR 4 400 000 4 400 000 % 101.99 4 487 560.00 0.31 1.25 % Deutsche Post AG (MTN) 2016/2026 . . . . . . . . . . . EUR 5 000 000 5 000 000 % 104.884 5 244 200.00 0.37 4.25 % Deutsche Telekom International Finance BV (MTN)

2010/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 123.571 4 942 840.00 0.35 0.625 % Deutsche Telekom International Finance BV (MTN)

2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 6 140 000 3 140 000 % 102.209 3 066 270.00 0.21 1.50 % Deutsche Telekom International Finance BV (MTN)

2016/2028 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 020 000 5 020 000 % 105.239 5 282 997.80 0.37 1.00 % DH Europe Finance SA 2015/2019 . . . . . . . . . . . . . EUR 4 795 000 % 102.779 4 928 253.05 0.35 2.25 % DS Smith Plc 2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 4 400 000 % 103.738 4 564 472.00 0.32 4.50 % Dufry Finance SCA (MTN) -Reg- 2014/2022** . . . . EUR 1 880 000 % 104.977 1 973 567.60 0.14 2.375 % EDP Finance BV (MTN) 2016/2023 . . . . . . . . . . . . . EUR 5 675 000 5 675 000 % 104.343 5 921 465.25 0.41 2.625 % EDP Finance BV 2014/2022 . . . . . . . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 105.345 4 213 800.00 0.30 4.50 % eircom Finance DAC -Reg- 2016/2022 . . . . . . . . . . EUR 1 880 000 1 880 000 % 99.411 1 868 926.80 0.13 5.00 % Electricite de France SA (MTN) 2014/2049 * . . . . . EUR 4 000 000 5 000 000 1 000 000 % 94.253 3 770 120.00 0.26 1.00 % Eli Lilly & Co. 2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 4 600 000 % 103.829 4 776 134.00 0.33 1.375 % Enagas Financiaciones SAU (MTN) 2016/2028 . . . . EUR 2 800 000 2 800 000 % 104.115 2 915 220.00 0.20 3.25 % Eneco Holding NV 2014/2049 * ** . . . . . . . . . . . . . EUR 4 650 000 % 99.561 4 629 586.50 0.32 3.25 % Energa Finance AB (MTN) 2013/2020 . . . . . . . . . . . EUR 5 438 000 % 108.322 5 890 550.36 0.41 3.00 % Engie SA (MTN) 2012/2023 . . . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 117.134 1 171 340.00 0.08 3.75 % Eni SpA (MTN) 2013/2025 . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 % 124.044 3 721 320.00 0.26 1.50 % Eni SpA (MTN) 2015/2026 . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 104.209 2 084 180.00 0.15 0.75 % Eni SpA (MTN) 2016/2022 . . . . . . . . . . . . . . . . . . . . EUR 3 500 000 3 500 000 % 101.831 3 564 085.00 0.25 3.494 % ESB Finance Ltd (MTN) 2013/2024 . . . . . . . . . . . . . EUR 1 200 000 1 200 000 % 120.614 1 447 368.00 0.10 2.125 % ESB Finance Ltd (MTN) 2015/2027 . . . . . . . . . . . . . EUR 2 500 000 1 420 000 % 110.773 2 769 325.00 0.19 1.875 % ESB Finance Ltd (MTN) 2016/2031 . . . . . . . . . . . . . EUR 5 580 000 5 580 000 % 104.043 5 805 599.40 0.41 1.50 % Eurogrid GmbH (MTN) 2016/2028 . . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 104.524 4 180 960.00 0.29 1.625 % Eurogrid GmbH 2015/2023 . . . . . . . . . . . . . . . . . . . EUR 1 800 000 % 108.172 1 947 096.00 0.14 2.625 % Eutelsat SA 2013/2020 ** . . . . . . . . . . . . . . . . . . . . EUR 8 000 000 2 700 000 % 106.383 8 510 640.00 0.60 1.125 % Eutelsat SA 2016/2021 . . . . . . . . . . . . . . . . . . . . . . EUR 2 500 000 2 500 000 % 100.816 2 520 400.00 0.18 5.25 % EWE AG 2009/2021 ** . . . . . . . . . . . . . . . . . . . . . . EUR 4 848 000 % 123.63 5 993 582.40 0.42 1.134 % FCE Bank Plc (MTN) 2015/2022 ** . . . . . . . . . . . . . EUR 3 890 000 3 890 000 % 100.493 3 909 177.70 0.27 0.50 % FedEx Corp. 2016/2020 . . . . . . . . . . . . . . . . . . . . . . EUR 3 720 000 3 720 000 % 100.78 3 749 016.00 0.26 1.00 % FedEx Corp. 2016/2023 . . . . . . . . . . . . . . . . . . . . . . EUR 2 470 000 2 470 000 % 101.322 2 502 653.40 0.18 1.625 % FedEx Corp. 2016/2027 . . . . . . . . . . . . . . . . . . . . . . EUR 5 240 000 5 240 000 % 101.795 5 334 058.00 0.37 3.375 % Ferrovial Emisiones SA (MTN) -Reg- 2013/2021 . . . EUR 4 000 000 4 000 000 % 113.798 4 551 920.00 0.32 2.50 % Ferrovial Emisiones SA -Reg- 2014/2024 . . . . . . . . EUR 1 900 000 1 900 000 % 110.81 2 105 390.00 0.15 1.25 % Gas Natural Fenosa Finance BV (MTN) 2016/2026 . EUR 2 700 000 2 700 000 % 101.596 2 743 092.00 0.19 3.389 % Gazprom OAO Via Gaz Capital SA (MTN)

2013/2020** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 500 000 3 500 000 % 103.631 3 627 085.00 0.25 3.00 % GDF Suez 2014/2049 * . . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 % 102.88 3 086 400.00 0.22 0.80 % GE Capital European Funding (MTN) 2015/2017 . . EUR 5 500 000 996 000 % 103.359 5 684 745.00 0.40 1.50 % Gecina SA (MTN) 2015/2025 . . . . . . . . . . . . . . . . . . EUR 4 000 000 % 104.695 4 187 800.00 0.29 2.00 % Gecina SA 2015/2024 . . . . . . . . . . . . . . . . . . . . . . . EUR 4 500 000 % 108.746 4 893 570.00 0.34 2.625 % Glencore Finance Dubai Ltd (MTN) 2012/2018 . . . . EUR 3 500 000 % 102.126 3 574 410.00 0.25 5.25 % Glencore Finance Europe SA (MTN) 2010/2017 ** EUR 3 500 000 % 103.304 3 615 640.00 0.25 3.375 % Glencore Finance Europe SA (MTN) 2013/2020 ** EUR 3 000 000 % 102.228 3 066 840.00 0.21 1.625 % Glencore Finance Europe SA (MTN) 2014/2022 . . . EUR 3 000 000 % 91.177 2 735 310.00 0.19 1.75 % Glencore Finance Europe SA (MTN) 2015/2025 . . . EUR 3 000 000 % 83.39 2 501 700.00 0.18 2.00 % Goldman Sachs Group Inc/The 2015/2023 . . . . . . . EUR 3 370 000 % 105.38 3 551 306.00 0.25



138

2.625 % Goldman Sachs Group, Inc. (MTN) 2013/2020 . . . . EUR 2 680 000 % 108.069 2 896 249.20 0.20 0.75 % Goldman Sachs Group, Inc./The (MTN) 2016/2019 EUR 4 925 000 4 925 000 % 101.28 4 988 040.00 0.35 1.00 % Heineken NV (MTN) 2016/2026 . . . . . . . . . . . . . . . EUR 5 330 000 5 330 000 % 101.449 5 407 231.70 0.38 3.25 % Hera SpA (MTN) 2013/2021 . . . . . . . . . . . . . . . . . . EUR 4 000 000 % 114.99 4 599 600.00 0.32 1.375 % Holcim Finance Luxembourg SA (MTN) 2016/2023 EUR 5 560 000 5 560 000 % 103.241 5 740 199.60 0.40 0.65 % Honeywell International, Inc. 2016/2020 . . . . . . . . . EUR 3 110 000 3 110 000 % 101.508 3 156 898.80 0.22 1.30 % Honeywell International, Inc. 2016/2023 . . . . . . . . . EUR 1 320 000 2 420 000 1 100 000 % 104.276 1 376 443.20 0.10 7.50 % HP Pelzer Holding GmbH (MTN) -Reg- 2014/2021 . EUR 2 780 000 % 105.511 2 933 205.80 0.21 3.125 % HSBC Holdings Plc (MTN) 2016/2028 . . . . . . . . . . . EUR 4 650 000 4 650 000 % 101.758 4 731 747.00 0.33 6.352 % HT1 Funding GmbH 2006/2049 * . . . . . . . . . . . . . . EUR 1 100 000 % 100.426 1 104 686.00 0.08 3.75 % Hutchison Whampoa Europe Finance 13 Ltd

2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 500 000 % 102.545 3 589 075.00 0.25 5.451 % Hydra Dutch Holdings 2BV -Reg- 2014/2019 * . . . . EUR 3 000 000 % 100 3 000 000.00 0.21 1.125 % Iberdrola International BV (MTN) 2016/2026 . . . . . . EUR 4 100 000 4 100 000 % 101.828 4 174 948.00 0.29 1.875 % Iberdrola International BV 2014/2024 . . . . . . . . . . . EUR 1 300 000 1 300 000 % 109.196 1 419 548.00 0.10 2.375 % IE2 Holdco SAU 2015/2023 . . . . . . . . . . . . . . . . . . . EUR 7 000 000 % 102.792 7 195 440.00 0.50 2.125 % Illinois Tool Works, Inc. 2015/2030 . . . . . . . . . . . . . EUR 3 635 000 % 110.846 4 029 252.10 0.28 0.70 % ING Bank NV (MTN) 2015/2020 . . . . . . . . . . . . . . . EUR 4 000 000 % 101.94 4 077 600.00 0.29 3.50 % ING Bank NV 2013/2023 * ** . . . . . . . . . . . . . . . . . EUR 4 000 000 % 105.064 4 202 560.00 0.29 1.125 % Intesa Sanpaolo SpA (MTN) 2015/2022 ** . . . . . . . EUR 4 936 000 % 99.584 4 915 466.24 0.34 0.998 % Intesa Sanpaolo SpA -Reg- 2014/2019 * ** . . . . . . EUR 4 820 000 % 100.583 4 848 100.60 0.34 2.375 % IPIC GMTN Ltd 2012/2018 . . . . . . . . . . . . . . . . . . . EUR 2 810 000 % 104.26 2 929 706.00 0.21 1.125 % ISS Global A/S (MTN) 2014/2020 . . . . . . . . . . . . . . EUR 8 000 000 3 000 000 % 102.194 8 175 520.00 0.57 1.75 % JAB Holdings BV 2016/2023 . . . . . . . . . . . . . . . . . . EUR 6 300 000 6 300 000 % 103.346 6 510 798.00 0.46 0.25 % Johnson & Johnson 2016/2022 . . . . . . . . . . . . . . . EUR 3 480 000 3 480 000 % 101.538 3 533 522.40 0.25 1.65 % Johnson & Johnson 2016/2035 . . . . . . . . . . . . . . . EUR 5 440 000 5 440 000 % 110.45 6 008 480.00 0.42 2.625 % JPMorgan Chase & Co. (MTN) 2013/2021 . . . . . . . EUR 4 407 000 % 110.445 4 867 311.15 0.34 1.50 % JPMorgan Chase & Co. (MTN) 2016/2026 . . . . . . . EUR 4 690 000 4 690 000 % 102.826 4 822 539.40 0.34 1.875 % KBC Groep NV (MTN) 2015/2027 * ** . . . . . . . . . . EUR 2 000 000 3 000 000 % 97.249 1 944 980.00 0.14 5.625 % KBC Groep NV 2014/2049 * . . . . . . . . . . . . . . . . . . EUR 4 000 000 1 000 000 % 94.929 3 797 160.00 0.27 0.875 % Kering (MTN) 2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 3 000 000 % 102.012 3 060 360.00 0.21 2.375 % Kerry Group Financial Services 2015/2025 . . . . . . . EUR 6 000 000 % 112.399 6 743 940.00 0.47 1.50 % Kinder Morgan, Inc. 2015/2022 ** . . . . . . . . . . . . . EUR 2 500 000 2 500 000 3 500 000 % 96.235 2 405 875.00 0.17 1.00 % Koninklijke DSM NV (MTN) 2015/2025 . . . . . . . . . . EUR 3 000 000 3 000 000 % 103.211 3 096 330.00 0.22 4.25 % Koninklijke KPN NV (MTN) 2012/2022 . . . . . . . . . . EUR 4 407 000 % 120.369 5 304 661.83 0.37 3.25 % Koninklijke KPN NV 2012/2021 . . . . . . . . . . . . . . . . EUR 2 600 000 2 600 000 % 112.863 2 934 438.00 0.21 1.50 % Kraft Heinz Foods Co. 2016/2024 . . . . . . . . . . . . . . EUR 2 040 000 2 040 000 % 103.606 2 113 562.40 0.15 2.25 % Kraft Heinz Foods Co. 2016/2028 . . . . . . . . . . . . . . EUR 5 960 000 5 960 000 % 105.469 6 285 952.40 0.44 2.75 % La Banque Postale SA 2015/2027 . . . . . . . . . . . . . . EUR 3 300 000 % 101.53 3 350 490.00 0.23 2.875 % LBBW (MTN) 2014/2026 * . . . . . . . . . . . . . . . . . . . EUR 4 000 000 1 000 000 % 99.442 3 977 680.00 0.28 1.00 % LeasePlan Corp NV (MTN) 2016/2020 . . . . . . . . . . EUR 1 900 000 1 900 000 % 101.239 1 923 541.00 0.13 4.25 % Lehman Brothers Holdings 2006/2016 * . . . . . . . . EUR 850 000 % 0 0.85 0.00 6.875 % Lincoln Finance Ltd 2016/2021 . . . . . . . . . . . . . . . . EUR 2 900 000 2 900 000 % 107.315 3 112 135.00 0.22 6.50 % Lloyds Bank Plc (MTN) 2010/2020 . . . . . . . . . . . . . EUR 5 000 000 5 000 000 % 115.381 5 769 050.00 0.40 3.779 % Madrilena Red de Gas Finance BV (MTN)

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 500 000 % 108.065 4 862 925.00 0.34 1.90 % Magna International Inc 2015/2023 . . . . . . . . . . . . . EUR 3 180 000 % 106.9 3 399 420.00 0.24 5.75 % Main Capital Funding II LP 2006/2049 . . . . . . . . . . EUR 500 000 % 101.688 508 437.50 0.04 1.10 % MasterCard Inc 2015/2022 . . . . . . . . . . . . . . . . . . . EUR 3 670 000 % 103.707 3 806 046.90 0.27 0.50 % McDonald‘s Corp. 2016/2021 . . . . . . . . . . . . . . . . . EUR 2 200 000 2 200 000 % 101.222 2 226 884.00 0.16 1.75 % McDonald‘s Corp. 2016/2028 . . . . . . . . . . . . . . . . . EUR 2 000 000 2 000 000 % 104.816 2 096 320.00 0.15 1.625 % Mediobanca SpA (MTN) 2016/2021 . . . . . . . . . . . . EUR 4 760 000 4 760 000 % 102.241 4 866 671.60 0.34 1.125 % Merck & Co., Inc. 2014/2021 . . . . . . . . . . . . . . . . . EUR 3 250 000 % 104.846 3 407 495.00 0.24 1.375 % Merck Financial Services GmbH 2015/2022 . . . . . . EUR 5 000 000 % 106.916 5 345 800.00 0.37 3.375 % Merck KGaA 2014/2074 * . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 102.542 2 050 840.00 0.14 1.25 % Molson Coors Brewing Co. 2016/2024 . . . . . . . . . . EUR 6 000 000 6 000 000 % 100.604 6 036 240.00 0.42 1.50 % Mondi Finance Plc (MTN) 2016/2024 ** . . . . . . . . . EUR 2 500 000 5 385 000 2 885 000 % 102.934 2 573 350.00 0.18 2.375 % Morgan Stanley (MTN) 2014/2021 . . . . . . . . . . . . . EUR 4 848 000 % 108.056 5 238 554.88 0.37 1.75 % Morgan Stanley (MTN) 2016/2024 . . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 102.961 4 118 440.00 0.29 4.00 % MPT Operating Partnership LP / MPT Finance Corp

2015/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 790 000 % 104.245 3 950 885.50 0.28 1.75 % Nasdaq, Inc. 2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 5 000 000 % 102.971 5 148 550.00 0.36 1.00 % National Australia Bank Ltd (MTN) 2014/2024 * . . . EUR 3 000 000 3 000 000 % 100.369 3 011 070.00 0.21 1.00 % Nederlandse Gasunie NV (MTN) 2016/2026 . . . . . . EUR 5 840 000 5 840 000 % 103.7 6 056 080.00 0.42 1.50 % Nomura Europe Finance NV (MTN) 2014/2021 ** . EUR 5 000 000 % 102.702 5 135 100.00 0.36 1.125 % Nomura Europe Finance NV 2015/2020 . . . . . . . . . EUR 5 057 000 % 101.302 5 122 842.14 0.36 0.60 % OMV AG (MTN) 2014/2018 . . . . . . . . . . . . . . . . . . . EUR 4 500 000 720 000 % 101.416 4 563 720.00 0.32 1.00 % OMV AG 2015/2049 . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 2 000 000 % 103.543 2 070 860.00 0.15 1.00 % Orange SA (MTN) 2016/2025 . . . . . . . . . . . . . . . . . EUR 4 500 000 4 500 000 % 102.58 4 616 100.00 0.32 5.25 % Orange SA 2014/2049 * ** . . . . . . . . . . . . . . . . . . . EUR 2 270 000 1 050 000 % 107.423 2 438 502.10 0.17 2.50 % Origin Energy Finance Ltd (MTN) 2013/2020 . . . . . EUR 2 790 000 310 000 % 102.573 2 861 786.70 0.20 4.00 % Origin Energy Finance Ltd 2014/2074 * . . . . . . . . . EUR 3 000 000 1 500 000 % 87.408 2 622 240.00 0.18 3.25 % Petrobras Global Finance BV 2012/2019 . . . . . . . . . EUR 2 000 000 % 93.515 1 870 300.00 0.13 3.75 % Petroleos Mexicanos (MTN) 2016/2019 . . . . . . . . . EUR 6 110 000 6 110 000 % 104.615 6 391 976.50 0.45 1.625 % PGE Sweden AB 2014/2019 ** . . . . . . . . . . . . . . . EUR 5 000 000 % 101.977 5 098 850.00 0.36 2.324 % PKO Finance AB (MTN) 2014/2019 ** . . . . . . . . . . EUR 3 500 000 % 103.534 3 623 690.00 0.25 5.25 % Play Finance 2 SA -Reg- 2014/2019 ** . . . . . . . . . . EUR 4 500 000 % 102.672 4 620 240.00 0.32 0.75 % Pohjola Bank Oyj (MTN) 2015/2022 . . . . . . . . . . . . EUR 3 700 000 % 102.18 3 780 660.00 0.26 2.20 % Portugal Obrigacoes do Tesouro OT 2015/2022 . . . EUR 3 000 000 5 000 000 2 000 000 % 99.275 2 978 250.00 0.21 0.875 % PPG Industries, Inc. 2015/2022 ** . . . . . . . . . . . . . EUR 7 250 000 % 102.47 7 429 075.00 0.52 2.875 % Prologis International Funding II SA (MTN)

2014/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 821 000 2 821 000 % 110.801 3 125 696.21 0.22 1.875 % Proximus SADP 2015/2025 . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 111.119 2 222 380.00 0.16



139

3.25 % Rentokil Initial Plc (MTN) 2013/2021 . . . . . . . . . . . . EUR 4 416 000 % 111.819 4 937 927.04 0.35 1.00 % RTE Reseau de Transport d‘Electricite SA (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 100 000 2 100 000 % 101.553 2 132 613.00 0.15 2.00 % RTE Reseau de Transport d‘Electricite SA (MTN)

2016/2036 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 3 000 000 % 108.376 3 251 280.00 0.23 1.625 % RTE Reseau de Transport d‘Electricite SA

2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 % 108.125 3 243 750.00 0.23 6.50 % RWE Finance BV (MTN) 2009/2021 . . . . . . . . . . . . EUR 2 300 000 2 300 000 % 128.06 2 945 380.00 0.21 3.00 % RWE Finance BV 2013/2024 . . . . . . . . . . . . . . . . . . EUR 5 000 000 5 000 000 5 390 000 % 113.648 5 682 400.00 0.40 1.125 % Ryanair Ltd (MTN) 2015/2023 . . . . . . . . . . . . . . . . . EUR 7 500 000 7 500 000 % 100.995 7 574 625.00 0.53 1.875 % SANEF SA 2015/2026 . . . . . . . . . . . . . . . . . . . . . . . EUR 6 200 000 % 109.165 6 768 230.00 0.47 1.125 % Sanofi (MTN) 2016/2028 . . . . . . . . . . . . . . . . . . . . . EUR 3 400 000 3 400 000 % 103.625 3 523 250.00 0.25 2.50 % Sanofi 2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 200 000 % 115.451 6 003 452.00 0.42 0.90 % Santander Consumer Finance -Reg- SA 2015/2020 EUR 5 000 000 % 100.038 5 001 900.00 0.35 1.10 % Santander Consumer Finance SA 2015/2018 . . . . . EUR 5 000 000 % 101.56 5 078 000.00 0.36 1.375 % Santander International Debt SAU (MTN)

2016/2021 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 5 000 000 % 102.809 5 140 450.00 0.36 8.25 % Santos Finance Ltd (MTN) 2010/2070 * . . . . . . . . . EUR 2 500 000 2 500 000 % 101.751 2 543 775.00 0.18 3.00 % Scor SE 2015/2046 * . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 500 000 2 500 000 % 97.058 2 426 450.00 0.17 3.625 % Scor SE 2016/2048 * . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 700 000 2 700 000 % 98.474 2 658 798.00 0.19 1.25 % Shell International Finance BV (MTN) 2016/2028 . . EUR 5 000 000 6 630 000 1 630 000 % 104.202 5 210 100.00 0.37 7.50 % Silk Bidco AS -Reg- 2015/2022 . . . . . . . . . . . . . . . . EUR 3 000 000 % 101.868 3 056 040.00 0.21 2.375 % SKF AB 2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . EUR 6 051 000 % 107.838 6 525 277.38 0.46 1.875 % Sky Plc (MTN) 2014/2023 . . . . . . . . . . . . . . . . . . . . EUR 3 467 000 % 104.03 3 606 720.10 0.25 2.25 % Sky Plc (MTN) 2015/2025 . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 3 000 000 % 105.105 3 153 150.00 0.22 1.25 % Smiths Group Plc 2015/2023 . . . . . . . . . . . . . . . . . EUR 5 000 000 % 97.876 4 893 800.00 0.34 1.50 % Snam SpA (MTN) 2014/2023 . . . . . . . . . . . . . . . . . EUR 3 000 000 % 106.417 3 192 510.00 0.22 1.125 % Societe Des Autoroutes Paris-Rhin-Rhone (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 102.723 4 108 920.00 0.29 2.75 % Solvay SA 2015/2027 . . . . . . . . . . . . . . . . . . . . . . . EUR 2 800 000 % 113.149 3 168 172.00 0.22 1.00 % Southern Power Co. 2016/2022 . . . . . . . . . . . . . . . EUR 3 710 000 3 710 000 % 101.022 3 747 916.20 0.26 2.625 % SPP-Distribucia AS 2014/2021 ** . . . . . . . . . . . . . . EUR 3 000 000 % 107.267 3 218 010.00 0.23 5.625 % SSE Plc 2012/2049 * . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 000 000 % 104.152 4 166 080.00 0.29 0.625 % Swedbank AB 2015/2021 . . . . . . . . . . . . . . . . . . . . EUR 3 051 000 2 809 000 % 102.17 3 117 206.70 0.22 1.375 % Swiss Re Admin Re Ltd 2016/2023 ** . . . . . . . . . . EUR 6 940 000 6 940 000 % 102.006 7 079 216.40 0.50 3.987 % Telefonica Emisiones SAU (MTN) 2013/2023 . . . . . EUR 4 000 000 4 000 000 % 119.827 4 793 080.00 0.34 1.46 % Telefonica Emisiones SAU (MTN) 2016/2026 . . . . . EUR 7 000 000 12 600 000 5 600 000 % 101.187 7 083 090.00 0.50 3.961 % Telefonica Emisiones SAU 2013/2021 . . . . . . . . . . EUR 3 000 000 % 116.019 3 480 570.00 0.24 4.00 % Telekom Finanzmanagement GmbH 2012/2022 . . . EUR 8 000 000 8 000 000 % 119.731 9 578 480.00 0.67 1.00 % TenneT Holding BV (MTN) 2016/2026 . . . . . . . . . . EUR 3 340 000 3 340 000 % 102.612 3 427 240.80 0.24 1.875 % TenneT Holding BV (MTN) 2016/2036 . . . . . . . . . . EUR 2 450 000 2 450 000 % 107.815 2 641 467.50 0.19 0.875 % TenneT Holding BV 2015/2021 . . . . . . . . . . . . . . . . EUR 3 020 000 % 103.596 3 128 599.20 0.22 0.75 % Thales SA 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . EUR 5 700 000 5 700 000 % 101.577 5 789 889.00 0.41 5.50 % The Royal Bank of Scotland Plc (MTN) 2010/2020 . EUR 3 000 000 % 116.794 3 503 820.00 0.25 2.15 % Thermo Fisher Scientific Inc 2015/2022 . . . . . . . . . EUR 2 484 000 % 107.377 2 667 244.68 0.19 1.95 % Time Warner Inc 2015/2023 . . . . . . . . . . . . . . . . . . EUR 1 215 000 1 541 000 % 106.698 1 296 380.70 0.09 0.625 % Toronto-Dominion Bank/The (MTN) 2016/2021 . . . EUR 3 000 000 3 000 000 % 101.566 3 046 980.00 0.21 3.875 % TOTAL SA (MTN) 2016/2049 * . . . . . . . . . . . . . . . . EUR 3 340 000 3 340 000 % 103.907 3 470 493.80 0.24 1.00 % Total SA 2015/2049 * . . . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 3 000 000 % 92.969 2 789 070.00 0.20 1.50 % Transmission Finance DAC (MTN) 2016/2023 . . . . EUR 4 060 000 4 060 000 % 102.697 4 169 498.20 0.29 2.50 % Transurban Finance Co. Pty Ltd 2013/2020 . . . . . . EUR 3 000 000 % 107.54 3 226 200.00 0.23 1.875 % Transurban Finance Co., Pty Ltd (MTN) 2014/2024 EUR 2 500 000 1 000 000 % 104.631 2 615 775.00 0.18 2.375 % Turkiye Vakiflar Bankasi TAO 2016/2021 . . . . . . . . EUR 2 380 000 2 380 000 % 100.511 2 392 161.80 0.17 1.25 % UBS AG/London (MTN) 2014/2021 . . . . . . . . . . . . . EUR 4 660 000 % 104.869 4 886 895.40 0.34 1.75 % UBS Group Funding Jersey Ltd 2015/2022 ** . . . . EUR 3 900 000 % 104.449 4 073 511.00 0.29 1.375 % Unibail-Rodamco SE (MTN) 2014/2022 . . . . . . . . . . EUR 3 000 000 % 106.219 3 186 570.00 0.22 2.00 % Unibail-Rodamco SE (MTN) 2016/2036 . . . . . . . . . . EUR 4 170 000 4 170 000 % 110.346 4 601 428.20 0.32 3.25 % UniCredit SpA (MTN) 2014/2021 . . . . . . . . . . . . . . . EUR 5 000 000 5 000 000 3 210 000 % 109.066 5 453 300.00 0.38 6.95 % UniCredit SpA (MTN) -Reg- 2012/2022 ** . . . . . . . EUR 1 000 000 1 000 000 % 112.648 1 126 480.00 0.08 1.125 % United Technologies Corp. 2016/2021 . . . . . . . . . . EUR 5 670 000 5 670 000 % 103.339 5 859 321.30 0.41 2.25 % Urenco Finance NV 2015/2022 ** . . . . . . . . . . . . . EUR 3 500 000 2 890 000 % 106.457 3 725 995.00 0.26 1.625 % Valeo SA (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 106.13 4 245 200.00 0.30 1.625 % Verizon Communications, Inc. 2014/2024 . . . . . . . . EUR 4 000 000 4 000 000 % 105.841 4 233 640.00 0.30 0.75 % Vivendi SA 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . EUR 4 100 000 4 100 000 % 101.157 4 147 437.00 0.29 3.035 % Vnesheconombank Via VEB Finance Plc -Reg-

2013/2018 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 000 000 4 000 000 % 102.229 4 089 160.00 0.29 2.20 % Vodafone Group Plc (MTN) 2016/2026 . . . . . . . . . . EUR 3 770 000 3 770 000 % 106.397 4 011 166.90 0.28 0.75 % Volkswagen Financial Services AG 2015/2021 . . . . EUR 4 000 000 % 100.65 4 026 000.00 0.28 3.875 % Volkswagen International Finance NV 2013/2049 * EUR 2 000 000 2 000 000 % 102.792 2 055 840.00 0.14 5.125 % Volkswagen International Finance NV

2013/2049 * ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 % 107.666 2 153 320.00 0.15 3.50 % Volkswagen International Finance NV 2015/2049 * EUR 2 000 000 2 000 000 % 90.351 1 807 020.00 0.13 2.375 % Volkswagen Leasing GmbH 2012/2022 . . . . . . . . . EUR 3 000 000 % 108.605 3 258 150.00 0.23 2.25 % VONOVIA Finance BV 2015/2023 . . . . . . . . . . . . . EUR 5 000 000 3 100 000 % 110.589 5 529 450.00 0.39 1.625 % Vonovia Finance BV 2015/2020 . . . . . . . . . . . . . . . . EUR 5 000 000 2 100 000 % 105.121 5 256 050.00 0.37 4.00 % Vonovia Finance BV 2015/2049 . . . . . . . . . . . . . . . . EUR 2 500 000 2 500 000 % 101.64 2 541 000.00 0.18 1.375 % Wells Fargo & Co. (MTN) 2016/2026 . . . . . . . . . . . EUR 3 500 000 5 890 000 2 390 000 % 102.132 3 574 620.00 0.25 1.875 % Wendel SA 2015/2020 . . . . . . . . . . . . . . . . . . . . . . EUR 2 800 000 2 800 000 % 103.663 2 902 564.00 0.20 2.875 % Wolters Kluwer NV 2013/2023 . . . . . . . . . . . . . . . . EUR 4 874 000 % 114.2 5 566 108.00 0.39 1.00 % Wuerth Finance International BV (MTN) 2015/2022 EUR 5 600 000 600 000 % 104.454 5 849 424.00 0.41



140

2.75 % ZF North America Capital, Inc. 2015/2023 . . . . . . . EUR 2 500 000 2 500 000 % 102.9 2 572 500.00 0.18 7.436 % BNP Paribas SA 2007/2049 * ** . . . . . . . . . . . . . . . GBP 2 000 000 % 104.458 2 525 167.42 0.18 6.125 % Siemens Financieringsmaatschappij NV 2006/2066 GBP 2 301 000 % 100.584 2 797 460.72 0.20 6.25 % ABN Amro Bank NV (MTN) 2012/2022 * . . . . . . . . USD 2 500 000 % 104.372 2 347 232.34 0.16 8.25 % Aviva Plc 2012/2049 . . . . . . . . . . . . . . . . . . . . . . . . USD 6 170 000 % 105.961 5 881 163.85 0.41 5.375 % Colombia Telecomunicacio 2015/2049 . . . . . . . . . . USD 2 705 000 % 88.236 2 147 064.78 0.15 7.875 % Credit Suisse Group Guernsey I Ltd -Reg-

2011/2041 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 5 288 000 % 100.567 4 783 866.02 0.34 3.50 % Jaguar Land Rover Automotive Plc 144A

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 000 000 1 500 000 % 99.5 2 685 198.54 0.19 2.35 % Lloyds Bank Plc 2014/2019 . . . . . . . . . . . . . . . . . . . USD 2 000 000 4 933 000 % 100.394 1 806 216.56 0.13 3.00 % Molson Coors Brewing Co. 2016/2026 . . . . . . . . . . USD 1 865 000 1 865 000 % 100.152 1 680 236.94 0.12 4.20 % Newell Rubbermaid, Inc. 2016/2026 . . . . . . . . . . . . USD 790 000 790 000 % 108.667 772 248.08 0.05 4.875 % Nordea Bank AB -Reg- 2010/2020 . . . . . . . . . . . . . USD 5 000 000 1 170 000 % 110.826 4 984 753.99 0.35 8.375 % Petrobras Global Finance BV 2016/2021 . . . . . . . . . USD 3 090 000 3 090 000 % 103.065 2 864 849.12 0.20 2.00 % Santander Bank NA 2015/2018 . . . . . . . . . . . . . . . . USD 6 232 000 % 99.727 5 590 778.24 0.39 5.75 % Skandinaviska Enskilda Banken AB (MTN)

2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 000 000 % 95.317 2 572 312.25 0.18 8.25 % Societe Generale SA (MTN) 2013/2049 * . . . . . . . . USD 2 500 000 2 500 000 % 99.287 2 232 875.27 0.16 8.375 % Sprint Communications Inc 2009/2017 . . . . . . . . . . USD 4 500 000 % 102.924 4 166 422.87 0.29 2.45 % Sumitomo Mitsui Banking Corp. 2015/2020 . . . . . . USD 3 000 000 3 042 000 % 102.254 2 759 520.52 0.19 5.25 % Svenska Handelsbanken AB 2015/2049 * . . . . . . . USD 3 500 000 2 719 000 % 95.061 2 992 970.87 0.21 5.50 % Swedbank AB 2015/2049 * ** . . . . . . . . . . . . . . . . USD 3 000 000 2 600 000 % 98.226 2 650 817.20 0.19 6.80 % Transocean, Inc. 2007/2038 . . . . . . . . . . . . . . . . . . USD 6 000 000 % 63 3 400 351.92 0.24 5.125 % UBS AG 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 000 000 1 500 000 % 102.164 3 676 122.26 0.26

Securities admitted to or included in organized markets 85 510 144.85 6.00 Interest-bearing securities 1.50 % Enexis Holding NV 2015/2023 . . . . . . . . . . . . . . . . . EUR 2 280 000 % 108.315 2 469 582.00 0.17 1.125 % ISS Global A/S 2015/2021 . . . . . . . . . . . . . . . . . . . . EUR 2 720 000 % 102.237 2 780 846.40 0.20 1.50 % JPMorgan Chase & Co 2015/2022 . . . . . . . . . . . . . EUR 3 245 000 % 105.111 3 410 851.95 0.24 1.00 % OMV AG 2015/2049 . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 805 000 1 805 000 % 105.336 1 901 314.80 0.13 1.375 % SNAM Spa 2015/2023 . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 2 000 000 2 930 000 % 105.563 2 111 260.00 0.15 1.50 % Thermo Fisher Scientific 2015/2020 . . . . . . . . . . . . EUR 2 250 000 % 103.856 2 336 760.00 0.17 1.00 % Toyota Motor Credit Corp 2015/2021 . . . . . . . . . . . EUR 3 795 000 % 103.813 3 939 703.35 0.28 1.50 % Wells Fargo + Company 2015/2022 . . . . . . . . . . . . EUR 2 460 000 % 105.077 2 584 894.20 0.18 4.125 % CRH Financial UK Plc 2015/2029 . . . . . . . . . . . . . . GBP 1 780 000 % 110.879 2 385 545.91 0.17 2.50 % ABN AMRO Bank NV -Reg- 2013/2018 . . . . . . . . . USD 4 500 000 1 551 000 % 102.311 4 141 588.16 0.29 6.463 % AXA SA -Reg- 2006/2049 * . . . . . . . . . . . . . . . . . . . USD 5 000 000 % 104.372 4 694 464.69 0.33 6.25 % BHP Billiton Finance USA Ltd 2015/2075 . . . . . . . . USD 1 930 000 % 106.063 1 841 421.81 0.13 2.50 % BPCE SA (MTN) 2014/2019 . . . . . . . . . . . . . . . . . . USD 5 288 000 % 102.479 4 874 817.84 0.34 4.42 % Diamond 1 Finance Corp. Via Diamond 2

Finance Corp. 144A 2016/2021 . . . . . . . . . . . . . . . . USD 6 460 000 6 460 000 % 103.001 5 985 577.05 0.42 6.25 % Enel Finance International SA -Reg- 2007/2017 . . . USD 5 288 000 % 105.66 5 026 134.66 0.35 2.45 % ING Bank NV 2015/2020 . . . . . . . . . . . . . . . . . . . . . USD 5 000 000 % 102.299 4 601 224.88 0.32 3.875 % Intesa Sanpaolo SpA 2013/2018 . . . . . . . . . . . . . . . USD 5 000 000 % 102.386 4 605 137.98 0.32 2.70 % Mizuho Bank Ltd 2015/2020 . . . . . . . . . . . . . . . . . . USD 3 750 000 % 102.836 3 469 033.63 0.24 3.50 % RCI Banque SA -Reg- 2013/2018 . . . . . . . . . . . . . . USD 4 000 000 2 170 000 % 103.117 3 710 413.64 0.26 6.875 % Sable International Finance Ltd 2015/2022 . . . . . . . USD 3 610 000 % 102.457 3 327 215.30 0.23 5.20 % Societe Generale SA -Reg- (MTM) 2011/2021 . . . . USD 5 000 000 % 114.593 5 154 186.87 0.36 5.75 % Stanley Black & Decker, Inc. 2013/2053 * . . . . . . . USD 2 480 000 % 106.166 2 368 488.32 0.17 2.20 % Swedbank AB 144A 2015/2020 . . . . . . . . . . . . . . . USD 5 778 000 % 101.452 5 273 151.12 0.37 5.625 % Transcanada Trust 2015/2075 * . . . . . . . . . . . . . . . USD 3 000 000 % 93.25 2 516 530.29 0.18

Investment fund units 34 837 906.18 2.44 In-group fund unitsDeutsche Invest I - Corporate Hybrid Bonds -FC- EUR - (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 100 000 EUR 101.67 10 167 000.00 0.71Deutsche Invest I - Financial Hybrid Bonds -I- EUR - (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 100 000 EUR 94.67 9 467 000.00 0.66Deutsche Invest I - Global Corporate Bonds -ID- EUR - (0.400%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 120 229 EUR 100.49 12 081 806.18 0.85Deutsche Invest I - I Multi Credit -FCH- EUR - (0.600%) . . . . Units 30 000 EUR 104.07 3 122 100.00 0.22

Total securities portfolio 1 391 106 890.95 97.49 Derivatives (Minus signs denote short positions) Interest rate derivatives -1 953 014.35 -0.14Receivables/payables Interest rate futuresEuro SCHATZ Futures 09/2016 (EUR) . . . . . . . . . . . . . . . . . . Count 840 840 218 400.00 0.02Germany Federal Republic Bonds 5 year 09/2016 (EUR) . . . . Count -50 -50 -61 000.00 0.00UK Treasury Notes 09/2016 (IFLL) . . . . . . . . . . . . . . . . . . . . . Count -25 -25 -157 433.08 -0.01US Treasury Notes 10 year Futures 09/2016 (CBT) . . . . . . . . Count -153 -153 -431 179.37 -0.04US Treasury Notes 30 year 09/2016 (CBT) . . . . . . . . . . . . . . . Count -20 -20 -176 398.89 -0.01US Treasury Notes 5 year Futures 09/2016 (CBT) . . . . . . . . . Count -801 -801 -1 345 403.02 -0.10



141

Currency derivatives -1 553 452.97 -0.11Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 6.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 293 987.00 0.02EUR/USD 143 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 849 181.62 -0.13 Cash at bank 12 589 837.64 0.88 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 849 236.84 0.27 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 398 332 481 464.01 0.03 Deposits in non-EU/EEA currencies Swiss franc CHF 679 627.02 0.00U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 880 569 4 390 384.57 0.31 Time deposits USD deposits (DZ Privatbank S.A. 0.01% 22/01/2016). . . . . . USD 4 300 000 3 868 125.20 0.27 Other assets 19 952 761.17 1.39Prepaid placement fee *** . . . . . . . . . . . . . . . . . . . . . . . . . . . 321 960.10 0.02Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 707 010.74 0.88Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 923 790.33 0.49 Receivables from share certificate transactions 16 919 382.01 1.19 Total assets **** 1 441 083 000.42 100.99 Other liabilities -8 623 391.34 -0.60Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -8 623 391.34 -0.60 Liabilities from share certificate transactions -1 453 817.88 -0.10 Total liabilities -14 097 805.19 -0.99 Net assets 1 426 985 195.23 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 158.21Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106.70Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 153.65Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 121.99Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 148.41Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105.24Class PFDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.54Class GBP CH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 103.88Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 031.56Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 029.76 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 087 095Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 016 406Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 989 413Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 201 607Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 265 616Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 78 813Class PFDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 98 977Class GBP CH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 Composition of the reference portfolio (according to CSSF circular 11/512)iBoxx EUR Corporates in EUR Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 99.234 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 125.640 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 110.875



142


The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.3, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 328 595 898.93 as of the reporting date. Market abbreviations

Futures exchanges CBT = Chicago Board of TradeEUR = EurexIFLL = ICE Futures Europe - Financial Products Division

Contracting parties for currency futuresBayerische Landesbank, Citigroup Global Markets Limited, Goldman Sachs International and Société Générale



2.50 % Anglo American Capital Plc 2012/2018 EUR 800 000 795 864.00 4.125 % Autonomous Community of Madrid Spain 2014/2024 EUR 4 500 000 5 480 820.00 1.00 % Autoroutes du Sud de la France SA (MTN) 2016/2026 EUR 500 000 512 530.00 1.00 % Banco Bilbao Vizcaya Argentaria SA 2016/2021 EUR 5 000 000 5 070 250.00 1.25 % Bank of Ireland 2015/2020 EUR 4 000 000 4 089 040.00 3.75 % Bayer AG 2014/2074 * EUR 1 700 000 1 731 875.00 0.75 % Berkshire Hathaway, Inc. 2015/2023 EUR 3 000 000 3 015 930.00 2.625 % Carlsberg Breweries A/S (MTN) 2012/2022 EUR 500 000 559 535.00 5.75 % Cirsa Funding Luxembourg SA -Reg- 2016/2021 EUR 1 000 000 1 028 670.00 4.25 % Citigroup, Inc. (MTN) 2005/2030 * EUR 600 000 696 348.00 1.40 % Daimler AG (MTN) 2016/2024 EUR 3 100 000 3 312 009.00 1.25 % Deutsche Bank AG (MTN) 2014/2021 EUR 7 000 000 7 094 360.00 1.125 % Deutsche Bank AG (MTN) 2015/2025 EUR 3 700 000 3 556 107.00 4.50 % Dufry Finance SCA (MTN) -Reg- 2014/2022 EUR 1 422 000 1 492 772.94 3.25 % Eneco Holding NV 2014/2049 * EUR 1 000 000 995 610.00 2.625 % Eutelsat SA 2013/2020 EUR 4 500 000 4 787 235.00 5.25 % EWE AG 2009/2021 EUR 2 100 000 2 596 230.00 1.134 % FCE Bank Plc (MTN) 2015/2022 EUR 1 900 000 1 909 367.00 3.389 % Gazprom OAO Via Gaz Capital SA (MTN) 2013/2020 EUR 1 900 000 1 968 989.00 5.25 % Glencore Finance Europe SA (MTN) 2010/2017 EUR 3 500 000 3 615 640.00 3.375 % Glencore Finance Europe SA (MTN) 2013/2020 EUR 700 000 715 596.00 3.50 % ING Bank NV 2013/2023 * EUR 4 000 000 4 202 560.00 1.125 % Intesa Sanpaolo SpA (MTN) 2015/2022 EUR 1 000 000 995 840.00 0.998 % Intesa Sanpaolo SpA -Reg- 2014/2019 * EUR 3 000 000 3 017 490.00 1.875 % KBC Groep NV (MTN) 2015/2027 * EUR 700 000 680 743.00 1.50 % Kinder Morgan, Inc. 2015/2022 EUR 2 500 000 2 405 875.00 1.50 % Mondi Finance Plc (MTN) 2016/2024 EUR 1 300 000 1 338 142.00 1.50 % Nomura Europe Finance NV (MTN) 2014/2021 EUR 5 000 000 5 135 100.00 5.25 % Orange SA 2014/2049 * EUR 1 300 000 1 396 499.00 1.625 % PGE Sweden AB 2014/2019 EUR 1 500 000 1 529 655.00 2.324 % PKO Finance AB (MTN) 2014/2019 EUR 1 800 000 1 863 612.00 5.25 % Play Finance 2 SA -Reg- 2014/2019 EUR 500 000 513 360.00 0.875 % PPG Industries, Inc. 2015/2022 EUR 1 200 000 1 229 640.00 1.375 % Santander International Debt SAU (MTN) 2016/2021 EUR 4 500 000 4 626 405.00 2.625 % SPP-Distribucia AS 2014/2021 EUR 2 400 000 2 574 408.00 1.375 % Swiss Re Admin Re Ltd 2016/2023 EUR 1 500 000 1 530 090.00 1.75 % UBS Group Funding Jersey Ltd 2015/2022 EUR 1 800 000 1 880 082.00 6.95 % UniCredit SpA (MTN) -Reg- 2012/2022 EUR 1 000 000 1 126 480.00 2.25 % Urenco Finance NV 2015/2022 EUR 700 000 745 199.00 3.035 % Vnesheconombank Via VEB Finance Plc -Reg- 2013/2018 EUR 4 000 000 4 089 160.00 5.125 % Volkswagen International Finance NV 2013/2049 * EUR 700 000 753 662.00 7.436 % BNP Paribas SA 2007/2049 * GBP 2 000 000 2 525 167.42 6.25 % BHP Billiton Finance USA Ltd 2015/2075 USD 1 900 000 1 812 798.66 2.70 % Mizuho Bank Ltd 2015/2020 USD 2 500 000 2 312 689.08 5.50 % Swedbank AB 2015/2049 * USD 3 000 000 2 650 817.19

Total receivables from securities loans 105 960 252.29 105 960 252.29 Contracting parties for securities loans Barclays Capital Securities Limited, Citigroup Global Markets, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, HSBC Bank PLC FI, J.P. Morgan Securities plc (Fix Income), Morgan Stanley Intl. FI, Unicredit Bank AG, Zuercher Kantonalbank Total collateral pledged by third parties for securities loans EUR 113 640 831.35 thereof: Bonds EUR 109 506 372.92Equities EUR 4 134 458.43

143



Interest-bearing securities1.125 % Abbey National Treasury Services Plc/

London (MTN) 2015/2022 . . . . . . . . . EUR 4 860 0006.375 % ABN AMRO Bank NV (MTN)

2011/2021 . . . . . . . . . . . . . . . . . . . . . EUR 4 000 0004.25 % Achmea BV (MTN) 2015/2049 * . . . . EUR 3 000 0001.75 % Anglo American Capital Plc (MTN)

2014/2018 . . . . . . . . . . . . . . . . . . . . . EUR 1 500 000 1 500 0002.75 % Anglo American Capital PLC

2012/2019 . . . . . . . . . . . . . . . . . . . . . EUR 750 000 750 0001.75 % AP Moeller - Maersk A/S (MTN)

2016/2021 . . . . . . . . . . . . . . . . . . . . . EUR 2 170 000 2 170 0002.875 % Assicurazioni Generali SpA (MTN)

2014/2020 . . . . . . . . . . . . . . . . . . . . . EUR 5 000 0005.50 % Assicurazioni Generali SpA

2015/2047* . . . . . . . . . . . . . . . . . . . . EUR 3 500 0003.375 % Aviva Plc (MTN) 2015/2045 * . . . . . . EUR 2 800 00010.24 % Baggot Securities Ltd -Reg-

2013/2049 . . . . . . . . . . . . . . . . . . . . . EUR 5 790 0003.00 % Banque Federative du Credit

Mutuel SA 2015/2025 . . . . . . . . . . . . EUR 2 100 0002.125 % Barclays Bank Plc (MTN) 2014/2021 . EUR 4 340 0008.00 % Barclays Plc 2013/2049 * . . . . . . . . . EUR 1 000 0001.875 % BASF SE (MTN) 2016/2021 . . . . . . . . EUR 7 000 000 7 000 0002.875 % BNP Paribas SA (MTN) 2016/2026 . . EUR 3 930 000 3 930 0001.953 % BP Capital Markets Plc (MTN)

2016/2025 . . . . . . . . . . . . . . . . . . . . . EUR 3 500 000 3 500 0001.875 % Carnival Corp. 2015/2022 . . . . . . . . . EUR 3 000 0004.625 % Cemex Finance LLC -Reg-

2016/2024 . . . . . . . . . . . . . . . . . . . . . EUR 1 650 000 1 650 0008.75 % Cirsa Funding Luxembourg SA

-Reg- 2010/2018 . . . . . . . . . . . . . . . . EUR 2 832 4380.875 % Credit Agricole SA/London (MTN)

2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 4 800 0001.875 % CRH Funding BV 2015/2024 . . . . . . . EUR 2 165 0000.625 % Daimler AG 2015/2020 . . . . . . . . . . . EUR 5 020 0000.50 % Danske Bank A/S (MTN) 2016/2021 . EUR 2 685 000 2 685 0000.75 % Danske Bank AS (MTN) 2015/2020 . EUR 5 000 0000.375 % Deutsche Post AG (MTN)

2016/2021 . . . . . . . . . . . . . . . . . . . . . EUR 3 910 000 3 910 0001.70 % DH Europe Finance SA 2015/2022 . . EUR 3 365 0002.375 % Diageo Finance Plc (MTN)

2014/2026 . . . . . . . . . . . . . . . . . . . . . EUR 4 100 000


1.75 % easyJet Plc (MTN) 2016/2023 . . . . . . EUR 1 470 000 1 470 0004.25 % Electricite de France SA (MTN)

2013/2049 * . . . . . . . . . . . . . . . . . . . EUR 3 000 0005.375 % Electricite de France SA (MTN)

2013/2049 * . . . . . . . . . . . . . . . . . . . EUR 4 000 000 4 000 0003.625 % EnBW Energie Baden-

Wuerttemberg AG (MTN) 2014/2076 * EUR 4 000 0001.966 % Enel Finance International NV (MTN)

2015/2025 . . . . . . . . . . . . . . . . . . . . . EUR 5 000 0005.875 % EP Energy AS (MTN) -Reg-

2012/2019 . . . . . . . . . . . . . . . . . . . . . EUR 1 500 0002.125 % EXOR SpA 2015/2022 . . . . . . . . . . . . EUR 5 650 0002.375 % GDF Suez (MTN) 2014/2026 . . . . . . . EUR 500 000 500 0001.25 % Glencore Finance Europe SA (MTN)

2015/2021 . . . . . . . . . . . . . . . . . . . . . EUR 3 000 0001.375 % Goldman Sachs Group Inc/The (MTN)

2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 5 290 0002.25 % HeidelbergCement AG (MTN)

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 5 150 000 5 150 0000.625 % HSBC France SA 2015/2020 . . . . . . . EUR 3 900 0000.50 % International Business Machines Corp.

2016/2021 . . . . . . . . . . . . . . . . . . . . . EUR 4 740 000 4 740 0002.125 % JAB Holdings BV 2015/2022 . . . . . . . EUR 3 800 0002.375 % KBC Groep NV (MTN) 2014/2024 * . EUR 2 500 0001.00 % Linde Finance BV (MTN) 2016/2028 . EUR 5 592 000 5 592 0001.25 % Lloyds Bank PLC (MTN) 2015/2025 . EUR 3 000 0001.375 % Lloyds Bank Plc 2015/2022 . . . . . . . . EUR 7 000 0006.375 % Lloyds Banking Group Plc

2014/2049 * . . . . . . . . . . . . . . . . . . . EUR 2 500 0002.10 % MasterCard Inc 2015/2027 . . . . . . . . EUR 3 830 0002.625 % Merck KGaA 2014/2074 * . . . . . . . . . EUR 2 000 0000.875 % Metropolitan Life Global Funding I

2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 6 000 0002.625 % MOL Hungarian Oil & Gas Plc

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 4 060 000 4 060 0001.875 % Morgan Stanley 2014/2023 . . . . . . . . EUR 4 900 0000.75 % National Grid North America, Inc. (MTN)

2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 6 000 0001.00 % Nordea Bank AB (MTN) 2016/2023 . EUR 6 980 000 6 980 0001.875 % Nordea Bank AB 2015/2025* . . . . . . EUR 2 781 0001.875 % Petroleos Mexicanos (MTN)

2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 3 000 0001.20 % Praxair, Inc. 2016/2024 . . . . . . . . . . . EUR 4 460 000 4 460 0001.375 % Prologis LP 2014/2020 . . . . . . . . . . . EUR 4 100 000


As of: June 30, 2016 Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period.

Footnotes

* Floating interest rate. ** Some or all of these securities are lent.

*** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations).**** Does not include positions with a negative balance, if such exist.




144



1.50 % Scentre Management Ltd (MTN) 2014/2020 . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000

0.625 % Schlumberger Finance France SAS 2016/2019 . . . . . . . . . . . . . . . . . . . . . EUR 1 340 000 1 340 000

3.75 % Schneider Electric SE (MTN) 2011/2018 . . . . . . . . . . . . . . . . . . . . . EUR 1 300 000 1 300 000

5.00 % Snam SpA (MTN) 2012/2019 . . . . . . EUR 3 142 0000.75 % Societe Generale SA 2015/2020 . . . . EUR 1 200 0005.869 % Solvay Finance SA 2015/2049 . . . . . . EUR 2 175 0003.625 % Standard Chartered Plc 2012/2022 . . EUR 5 000 000 5 000 0004.00 % Standard Chartered Plc 2013/2025 * EUR 2 500 0001.625 % Statoil ASA (MTN) 2015/2035 . . . . . . EUR 2 500 0002.50 % Suez Environnement Co.

2015/2049 * . . . . . . . . . . . . . . . . . . . EUR 2 500 0002.25 % Sumitomo Mitsui Banking Corp.

2013/2020 . . . . . . . . . . . . . . . . . . . . . EUR 750 000 750 0000.50 % Svenska Cellulosa AB SCA (MTN)

2015/2020 . . . . . . . . . . . . . . . . . . . . . EUR 5 579 0001.875 % Swisscom AG via Lunar Funding V

2014/2021 . . . . . . . . . . . . . . . . . . . . . EUR 4 000 0001.75 % TDC A/S (MTN) 2015/2027 . . . . . . . . EUR 4 400 000 4 400 0001.625 % TeliaSonera AB (MTN) 2015/2035 . . . EUR 4 500 0001.25 % Teva Pharmaceutical Finance

Netherlands II BV 2015/2023 . . . . . . EUR 4 203 0002.25 % Total SA (MTN) 2015/2049 * . . . . . . EUR 4 000 0001.10 % Tyco Electronics Group SA

2015/2023 . . . . . . . . . . . . . . . . . . . . . EUR 5 000 0001.125 % UBS AG 2015/2020 . . . . . . . . . . . . . . EUR 4 665 0001.625 % Verizon Communications, Inc.

2014/2024 . . . . . . . . . . . . . . . . . . . . . EUR 6 000 0002.625 % Verizon Communications, Inc.

2014/2031 . . . . . . . . . . . . . . . . . . . . . EUR 3 000 0001.625 % Volkswagen International Finance NV

(MTN) 2015/2030 . . . . . . . . . . . . . . . EUR 2 500 0005.875 % Wendel SA 2012/2019 . . . . . . . . . . . EUR 3 700 000 3 700 0000.75 % WPP Finance 2013 2015/2019 . . . . . EUR 4 040 0002.125 % Yorkshire Building Society (MTN)

2014/2019 . . . . . . . . . . . . . . . . . . . . . EUR 1 970 0005.136 % Credit Agricole SA (MTN)

2006/2049 * . . . . . . . . . . . . . . . . . . . GBP 5 000 0004.375 % Global Switch Holdings Ltd (MTN)

2013/2022 . . . . . . . . . . . . . . . . . . . . . GBP 3 500 0003.65 % Anheuser-Busch InBev Finance, Inc.

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 10 826 000 10 826 0004.90 % Anheuser-Busch InBev Finance, Inc.

2016/2046 . . . . . . . . . . . . . . . . . . . . . USD 4 370 000 4 370 0004.125 % AT&T, Inc. 2016/2026 . . . . . . . . . . . . USD 4 890 000 4 890 0002.05 % Bank of America NA 2015/2018 . . . . USD 5 880 0004.20 % ConocoPhillips Co. 2016/2021 . . . . . USD 5 320 000 5 320 0008.375 % Cooperatieve Centrale Raiffeisen-

Boerenleenbank BA 2011/2049 * . . . USD 5 000 0006.25 % Credit Suisse Group AG -Reg-

2014/2049 * . . . . . . . . . . . . . . . . . . . USD 5 000 0006.25 % GTH Finance BV -Reg- 2016/2020 . . USD 1 950 000 1 950 0003.80 % Halliburton Co 2015/2025 . . . . . . . . . USD 2 260 0005.625 % HSBC Holdings Plc 2014/2049 * . . . USD 4 220 0005.25 % KOC Holding AS 2016/2023 . . . . . . . USD 4 728 000 4 728 0003.50 % Lloyds Bank Plc 2015/2025 . . . . . . . . USD 5 000 0002.50 % Lowe‘s Cos, Inc. 2016/2026 . . . . . . . USD 6 630 000 6 630 0002.50 % McGraw-Hill Financial IN

2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 1 465 0004.125 % Proven Honour Capital Ltd

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 3 700 000 3 700 0006.75 % QBE Insurance Group Ltd

2014/2044 * . . . . . . . . . . . . . . . . . . . USD 2 000 0006.40 % Royal Bank of Scotland Group Plc

2009/2019 . . . . . . . . . . . . . . . . . . . . . USD 6 170 0004.50 % Sysco Corp. 2016/2046 . . . . . . . . . . . USD 1 395 000 1 395 0003.60 % Time Warner, Inc. 2015/2025 . . . . . . USD 5 000 000



Interest-bearing securities 2.00 % Apple Inc 2015/2027 . . . . . . . . . . . . . EUR 5 495 000 0.875 % BMW Finance NV 2015/2020 . . . . . . EUR 9 000 000 1.00 % CNP Assurances 2015/2047 . . . . . . . EUR 3 000 000 1.25 % Shell International Finance

2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 8 000 000 1.50 % Societe Des Autoroutes 2015/2024 . EUR 1 800 000 4.40 % Hewlett Packard Enterprise Co

2015/2022 . . . . . . . . . . . . . . . . . . . . . USD 5 000 000 5.25 % Intesa Sanpaolo SpA 2014/2024 . . . . USD 4 000 000 4.45 % Solvay Finance (America) 2015/2025 USD 3 720 000 5.50 % Virgin Media Secured Finance

Plc 144A 2016/2026 . . . . . . . . . . . . . USD 800 000 800 000

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Futures contracts Interest rate futures Contracts purchased (Underlyings: Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, UK Treasury Notes, US Treasury Note 10-Year, US Treasury Note 30-Year, US Treasury Note 5-Year) EUR 311 569 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 28 138EUR/USD EUR 298 436 Currency futures (long)

Futures contracts to purchase currencies GBP/EUR EUR 47 946USD/EUR EUR 481 636

Swaps Credit default swaps Protection buyer (Underlying: MARKIT ITRX EUR XOVER) EUR 125 000

145

Securities traded on an exchange 748 145 339.88 85.57 Interest-bearing securities 6.50 % Selecta Group BV -Reg- 2014/2020 . . . . . . . . . . . . CHF 1 030 000 % 81.348 773 255.34 0.09 6.75 % UPC Holding BV (MTN) -Reg- 2013/2023 . . . . . . . . CHF 2 700 000 400 000 % 107.56 2 680 114.70 0.31 5.625 % 3AB Optique Developpement SAS -Reg-

2014/2019 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 461 000 % 99.388 1 452 058.68 0.17 7.875 % Adria Bidco BV 2013/2020 . . . . . . . . . . . . . . . . . . . EUR 700 000 1 500 000 % 105.53 738 710.00 0.08 9.875 % Agrokor D.D. -Reg- 2012/2019 . . . . . . . . . . . . . . . . EUR 500 000 % 105.734 528 670.00 0.06 9.125 % Agrokor dd 2012/2020 ** . . . . . . . . . . . . . . . . . . . . EUR 1 845 000 % 106.598 1 966 733.10 0.22 7.25 % Aldesa Financial Services SA -Reg- (MTN)

2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 860 000 % 72.751 1 353 168.60 0.15 5.25 % Alliance Data Systems Corp 2015/2023 . . . . . . . . . EUR 9 950 000 5 450 000 % 98.325 9 783 337.50 1.12 5.25 % Altice Financing SA -Reg- (MTN) 2015/2023 . . . . . . EUR 3 300 000 2 800 000 % 101.237 3 340 821.00 0.38 6.50 % Altice Financing SA -Reg- 2013/2022 ** . . . . . . . . . EUR 3 780 000 1 230 000 % 105.584 3 991 075.20 0.46 6.25 % Altice Luxembourg SA 2015/2025 . . . . . . . . . . . . . EUR 4 500 000 % 92.011 4 140 495.00 0.47 3.50 % Anglo American Capital Plc (MTN) 2012/2022 . . . . EUR 1 500 000 1 500 000 % 94.571 1 418 565.00 0.16 1.75 % Anglo American Capital Plc (MTN) 2014/2018 . . . . EUR 6 800 000 7 340 000 540 000 % 99.096 6 738 528.00 0.77 1.50 % Anglo American Capital Plc (MTN) 2015/2018 . . . . EUR 2 000 000 2 000 000 % 91.062 1 821 240.00 0.21 2.50 % Anglo American Capital Plc 2012/2018 . . . . . . . . . . EUR 2 000 000 6 270 000 4 270 000 % 99.483 1 989 660.00 0.23 2.75 % Anglo American Capital PLC 2012/2019 ** . . . . . . EUR 4 300 000 4 300 000 % 98.473 4 234 339.00 0.48 1.75 % Anglo American Capital Plc 2013/2017 . . . . . . . . . . EUR 3 000 000 3 000 000 % 99.571 2 987 130.00 0.34 4.125 % Ardagh Packaging Finance Plc Via Ardagh

Holdings USA, Inc. -Reg- 2016/2023 ** . . . . . . . . . EUR 1 850 000 1 850 000 % 101.855 1 884 317.50 0.22 6.75 % Ardagh Packaging Finance Plc Via Ardagh

Holdings USA, Inc. -Reg- 2016/2024 . . . . . . . . . . . . EUR 1 000 000 1 500 000 500 000 % 101.898 1 018 980.00 0.12 4.875 % Areva SA (MTN) 2009/2024 . . . . . . . . . . . . . . . . . . EUR 6 950 000 6 950 000 % 81.5 5 664 250.00 0.65 3.50 % Areva SA (MTN) 2010/2021 . . . . . . . . . . . . . . . . . . EUR 3 150 000 3 150 000 % 83.165 2 619 697.50 0.30 3.25 % Areva SA (MTN) 2013/2020 . . . . . . . . . . . . . . . . . . EUR 700 000 700 000 % 83.325 583 275.00 0.07 3.125 % Areva SA (MTN) 2014/2023 . . . . . . . . . . . . . . . . . . EUR 800 000 800 000 % 78.834 630 672.00 0.07 6.00 % Avis Budget Finance Plc -Reg- 2013/2021 . . . . . . . EUR 1 105 000 % 103.173 1 140 061.65 0.13 5.50 % Belden, Inc. (MTN) -Reg- 2013/2023 . . . . . . . . . . . . EUR 1 000 000 % 101.135 1 011 350.00 0.12 5.875 % BiSoho SAS -Reg- 2016/2023 ** . . . . . . . . . . . . . . EUR 1 440 000 1 440 000 % 103.28 1 487 232.00 0.17 4.375 % Boparan Finance Plc (MTN) -Reg- 2014/2021 ** . . EUR 668 000 % 92.477 617 746.36 0.07 10.00 % Bormioli Rocco Holdings SA -Reg- 2011/2018 ** . . EUR 1 658 000 % 102.062 1 692 187.96 0.19 7.375 % BUT SAS -Reg- 2014/2019 . . . . . . . . . . . . . . . . . . . EUR 4 405 000 2 000 000 1 500 000 % 104.106 4 585 869.30 0.52 7.50 % Cable Communications Systems NV -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 590 000 % 105.199 2 724 654.10 0.31 3.375 % Campofrio Food Group SA 2015/2022 . . . . . . . . . . EUR 2 220 000 1 000 000 % 101.42 2 251 524.00 0.26 7.50 % Carlson Wagonlit BV -Reg- 2012/2019 . . . . . . . . . . EUR 380 000 % 104.08 395 504.00 0.05 3.311 % Casino Guichard Perrachon SA (MTN) 2013/2023 . EUR 2 000 000 2 000 000 % 107.658 2 153 160.00 0.25 3.248 % Casino Guichard Perrachon SA (MTN) 2014/2024 . EUR 2 000 000 2 000 000 % 104.738 2 094 760.00 0.24 2.33 % Casino Guichard Perrachon SA (MTN) 2014/2025 . EUR 3 800 000 3 800 000 % 99.052 3 763 976.00 0.43 2.798 % Casino Guichard Perrachon SA (MTN) 2014/2026 . EUR 5 900 000 5 900 000 % 102.827 6 066 793.00 0.69 4.625 % Cemex Finance LLC -Reg- 2016/2024 . . . . . . . . . . EUR 3 140 000 3 140 000 % 98.38 3 089 132.00 0.35 4.375 % Cemex SAB de CV 2015/2023 . . . . . . . . . . . . . . . . EUR 2 648 000 708 000 % 97.599 2 584 421.52 0.30 8.25 % CeramTec Group GmbH 2013/2021 . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 105.93 1 059 300.00 0.12 8.25 % Cerberus Nightingale 1 SARL 2015/2020 . . . . . . . . EUR 2 000 000 % 102.947 2 058 940.00 0.24 5.875 % Cirsa Funding Luxembourg SA 2015/2023 . . . . . . . EUR 4 200 000 1 000 000 1 500 000 % 101.315 4 255 230.00 0.49 5.75 % Cirsa Funding Luxembourg SA -Reg- 2016/2021 . . EUR 1 250 000 1 250 000 % 102.867 1 285 837.50 0.15 7.75 % CMA CGM SA 2015/2021 ** . . . . . . . . . . . . . . . . . EUR 2 843 000 % 76.654 2 179 273.22 0.25 6.25 % CNH Industrial Finance Europe SA (MTN)

2011/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 843 000 % 107.797 908 728.71 0.10 2.75 % CNH Industrial Finance Europe SA 2015/2019 . . . . EUR 1 000 000 1 150 000 % 102.376 1 023 760.00 0.12 7.00 % Constellium NV -Reg- 2014/2023 ** . . . . . . . . . . . . EUR 2 110 000 % 81.488 1 719 396.80 0.20 7.50 % Cooperativa Muratori & Cementisti-CMC

di Ravenna SC -Reg- 2014/2021 ** . . . . . . . . . . . . EUR 2 700 000 % 83.663 2 258 901.00 0.26 11.75 % Corral Petroleum Holdings AB -Reg- 2016/2021 . . . EUR 9 050 000 9 050 000 % 94.808 8 580 124.00 0.98 5.50 % Cott Finance Corp. (MTN) -Reg- 2016/2024 ** . . . . EUR 3 000 000 3 950 000 950 000 % 102.495 3 074 850.00 0.35 3.375 % Crown European Holdings SA -Reg- 2015/2025 . . . EUR 6 570 000 1 000 000 % 100.261 6 587 147.70 0.75 9.00 % Dakar Finance SA 2015/2020 ** . . . . . . . . . . . . . . . EUR 6 650 000 6 650 000 % 97.537 6 486 210.50 0.74 4.75 % Darling Global Finance BV 2015/2022 . . . . . . . . . . . EUR 3 000 000 2 800 000 % 101.768 3 053 040.00 0.35 5.50 % Dry Mix Solutions Investissements SAS

2016/2023 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 590 000 4 590 000 % 101.09 4 640 031.00 0.53 4.122 % Dry Mix Solutions Investissements SAS -Reg-

2014/2021 * ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 940 000 1 000 000 % 99.019 2 911 158.60 0.33 4.50 % Dufry Finance SCA 2015/2023 . . . . . . . . . . . . . . . . EUR 2 400 000 900 000 % 104.798 2 515 152.00 0.29 5.125 % EC Finance PLC 2014/2021 ** . . . . . . . . . . . . . . . . EUR 1 500 000 1 500 000 % 104.437 1 566 555.00 0.18 4.50 % eircom Finance DAC -Reg- 2016/2022 ** . . . . . . . . EUR 6 530 000 6 530 000 % 99.411 6 491 538.30 0.74 5.375 % Ence Energia y Celulosa SA 2015/2022 ** . . . . . . . EUR 1 500 000 995 000 % 105.75 1 586 250.00 0.18 6.50 % Enel SpA 2013/2074 * . . . . . . . . . . . . . . . . . . . . . . . EUR 1 400 000 1 000 000 % 108.273 1 515 822.00 0.17 6.25 % Ephios BondCo 2015/2022 . . . . . . . . . . . . . . . . . . . EUR 2 000 000 720 000 % 105.843 2 116 860.00 0.24 5.75 % Europcar Groupe SA 2015/2022 ** . . . . . . . . . . . . EUR 880 000 1 000 000 % 104.085 915 948.00 0.10 3.625 % Faurecia 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 5 000 000 % 101.408 5 070 400.00 0.58 7.75 % Fiat Finance & Trade SA (MTN) 2012/2016 . . . . . . EUR 2 090 000 % 102.044 2 132 719.60 0.24 6.75 % Fiat Finance & Trade SA (MTN) 2013/2019 . . . . . . EUR 5 000 000 2 000 000 % 112.467 5 623 350.00 0.64 4.75 % Fiat Finance & Trade SA (MTN) 2014/2022 ** . . . . EUR 1 200 000 % 107.443 1 289 316.00 0.15 9.00 % FTE Verwaltungs GmbH 2013/2020 . . . . . . . . . . . . EUR 2 750 000 500 000 % 105.703 2 906 832.50 0.33 5.375 % Galapagos SA -Reg- 2014/2021 . . . . . . . . . . . . . . . . EUR 510 000 % 93.037 474 488.70 0.05 7.25 % Gamenet SpA -Reg- 2013/2018 ** . . . . . . . . . . . . . EUR 2 500 000 900 000 % 101.552 2 538 800.00 0.29 7.50 % Garfunkelux Holdco 3 SA 2015/2022 . . . . . . . . . . . EUR 700 000 500 000 % 98.275 687 925.00 0.08 3.375 % Gas Natural Fenosa Finance BV 2015/2049 . . . . . . EUR 3 000 000 3 000 000 % 89.421 2 682 630.00 0.31




146

5.75 % Gates Global LLC / Gates Global Co. -Reg- 2014/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 630 000 % 84.749 1 381 408.70 0.16

3.60 % Gazprom OAO Via Gaz Capital SA (MTN) 2014/2021 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 100 000 % 103.731 5 290 281.00 0.61

9.375 % GCL Holdings SCA -Reg- 2011/2018 . . . . . . . . . . . . EUR 600 000 % 102.126 612 756.00 0.07 7.50 % Geo Debt Finance SCA -Reg- 2013/2018 . . . . . . . . EUR 1 000 000 700 000 % 96.804 968 040.00 0.11 10.375 % Geo Travel Finance SCA 2011/2019 ** . . . . . . . . . EUR 1 459 543 % 94.677 1 381 851.39 0.16 3.50 % Gestamp Funding Luxembourg SA -Reg-

2016/2023 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 435 000 2 435 000 1 000 000 % 102.215 1 466 785.25 0.17 6.00 % GIE PSA Tresorerie 2003/2033 ** . . . . . . . . . . . . . EUR 2 300 000 1 500 000 % 117.929 2 712 367.00 0.31 3.75 % GOODYEAR DUNLOP Tires 2015/2023 . . . . . . . . . EUR 2 000 000 % 103.848 2 076 960.00 0.24 7.375 % Greif Nevada Holdings, Inc. SCS -Reg- (MTN)

2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 038 000 578 000 % 117.648 1 221 186.24 0.14 5.125 % Grupo Antolin Dutch BV 2015/2022 ** . . . . . . . . . . EUR 1 000 000 1 350 000 % 104.593 1 045 930.00 0.12 3.50 % Hanesbrands Finance Luxembourg SCA -Reg-

2016/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 890 000 5 890 000 % 101.259 5 964 155.10 0.68 2.25 % HeidelbergCement AG (MTN) 2016/2023 . . . . . . . . EUR 5 720 000 5 720 000 % 102.197 5 845 668.40 0.67 2.25 % HeidelbergCement AG (MTN) 2016/2024 . . . . . . . . EUR 1 750 000 1 750 000 % 100.446 1 757 805.00 0.20 7.50 % HeidelbergCement Finance Luxembourg BV

2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 820 000 % 123.09 2 240 238.00 0.26 9.50 % HeidelbergCement Finance Luxembourg SA (MTN)

2011/2018 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 350 000 % 121.33 6 491 155.00 0.74 6.25 % Hema Bondco I BV -Reg- 2014/2019 . . . . . . . . . . . EUR 700 000 500 000 % 76.221 533 547.00 0.06 5.25 % Hema Bondco I BV -Reg- 2014/2019 * . . . . . . . . . . EUR 500 000 500 000 % 72.619 363 095.00 0.04 6.75 % Holdikks SAS -Reg- 2014/2021 . . . . . . . . . . . . . . . . EUR 200 000 580 000 % 95.865 191 730.00 0.02 7.00 % Holding Medi-Partenaires SAS -Reg- 2013/2020. . . EUR 3 950 000 2 450 000 % 104.723 4 136 558.50 0.47 6.875 % HomeVi SAS -Reg- 2014/2021 . . . . . . . . . . . . . . . . EUR 4 000 000 1 140 000 % 106.251 4 250 040.00 0.49 7.50 % HP Pelzer Holding GmbH (MTN) -Reg- 2014/2021 . EUR 1 720 000 % 105.511 1 814 789.20 0.21 5.125 % Huntsman International LLC 2014/2021 . . . . . . . . . EUR 4 872 000 1 000 000 1 600 000 % 101.645 4 952 144.40 0.57 5.451 % Hydra Dutch Holdings 2BV -Reg- 2014/2019 * . . . . EUR 1 376 000 1 000 000 % 100 1 376 000.00 0.16 8.00 % Hydra Dutch Holdings 2BV -Reg- 2015/2019 . . . . . EUR 2 090 734 860 062 % 108.091 2 259 894.96 0.26 6.50 % Ineos Group Holdings SA 2013/2018 ** . . . . . . . . . EUR 4 000 000 2 000 000 % 101.486 4 059 440.00 0.46 4.125 % International Game Technology Plc -Reg-

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 790 000 % 104.997 829 476.30 0.09 4.75 % International Game Technology Plc -Reg-

2015/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 250 000 550 000 % 103.782 1 297 275.00 0.15 6.00 % InterXion Holding NV 2013/2020 . . . . . . . . . . . . . . . EUR 4 590 000 1 250 000 % 105.126 4 825 283.40 0.55 6.00 % Intralot Capital Luxembourg SA 2014/2021 . . . . . . EUR 1 000 000 % 91.592 915 920.00 0.10 8.25 % JH-Holding Finance SA -Reg- 2015/2021 . . . . . . . . EUR 3 100 000 500 000 % 107.357 3 328 067.00 0.38 8.75 % Kirk Beauty One GmbH 2015/2023 ** . . . . . . . . . . EUR 2 500 000 % 106.57 2 664 250.00 0.30 7.25 % La Financiere Atalian SAS 2013/2020 . . . . . . . . . . . EUR 1 840 000 1 840 000 % 106.459 1 958 845.60 0.22 5.419 % Lecta SA 2012/2018 ** . . . . . . . . . . . . . . . . . . . . . . EUR 1 700 000 1 700 000 % 98.861 1 680 637.00 0.19 8.875 % Lecta SA -Reg- (MTN) 2012/2019 . . . . . . . . . . . . . . EUR 150 000 % 103.685 155 527.50 0.02 7.125 % LGE HoldCo VI BV -Reg- 2014/2024 . . . . . . . . . . . . EUR 1 000 000 % 110.753 1 107 530.00 0.13 6.875 % Lincoln Finance Ltd 2016/2021 . . . . . . . . . . . . . . . . EUR 5 800 000 5 800 000 % 107.315 6 224 270.00 0.71 3.875 % LKQ Italia Bondco SpA -Reg- 2016/2024 ** . . . . . . EUR 3 000 000 3 000 000 % 103.101 3 093 030.00 0.35 7.00 % Lock AS -Reg- 2014/2021 . . . . . . . . . . . . . . . . . . . . EUR 1 830 000 % 102.007 1 866 728.10 0.21 9.50 % Lock Lower Holding AS -Reg- 2014/2022 ** . . . . . EUR 1 350 000 % 98.76 1 333 260.00 0.15 7.75 % LSF9 Balta Issuer SA 2015/2022 ** . . . . . . . . . . . . EUR 1 450 000 1 450 000 1 070 000 % 105.94 1 536 130.00 0.18 5.50 % Main Capital Funding LP 2005/2049 ** . . . . . . . . . EUR 1 500 000 % 101.75 1 526 250.00 0.17 8.50 % Manutencoop Facility Management SpA

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 218 000 1 000 000 % 82.992 1 010 842.56 0.12 3.875 % Matterhorn Telecom SA -Reg- 2015/2022 . . . . . . . EUR 10 110 000 2 000 000 1 500 000 % 96.766 9 783 042.60 1.12 8.25 % Mercury Bondco PLC 2015/2021 ** . . . . . . . . . . . . EUR 6 800 000 2 000 000 2 700 000 % 99.25 6 749 000.00 0.77 8.00 % Mercury Bondco Plc -Reg- 2015/2021 * ** . . . . . . EUR 2 700 000 2 700 000 % 98.769 2 666 763.00 0.31 2.75 % Merlin Entertainments Plc 2015/2022 . . . . . . . . . . . EUR 6 800 000 4 300 000 % 97.542 6 632 856.00 0.76 6.875 % Monitchem HoldCo 2 SA -Reg- 2014/2022 . . . . . . . EUR 4 000 000 4 000 000 % 88.433 3 537 320.00 0.40 5.25 % Monitchem HoldCo 3 SA -Reg- 2014/2021 ** . . . . EUR 1 500 000 % 99.112 1 486 680.00 0.17 5.75 % MPT Operating Partnership LP (MTN) 2013/2020 . EUR 1 860 000 500 000 % 105.265 1 957 929.00 0.22 4.00 % MPT Operating Partnership LP / MPT Finance Corp

2015/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 890 000 % 104.245 4 055 130.50 0.46 3.00 % Novalis SAS -Reg- 2015/2022 . . . . . . . . . . . . . . . . . EUR 5 400 000 2 200 000 % 99.653 5 381 262.00 0.62 5.375 % Numericable Group SA -Reg- 2014/2022 . . . . . . . . EUR 4 900 000 4 000 000 % 101.833 4 989 817.00 0.57 5.625 % Numericable Group SA -Reg- 2014/2024 ** . . . . . . EUR 9 000 000 4 000 000 1 000 000 % 101.04 9 093 600.00 1.04 8.50 % Nyrstar Netherlands Holdings BV -Reg-

2014/2019 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 7 950 000 2 000 000 1 100 000 % 101.255 8 049 772.50 0.92 4.75 % Obrascon Huarte Lain SA 2014/2022 . . . . . . . . . . . EUR 1 600 000 % 68.009 1 088 144.00 0.12 5.50 % Obrascon Huarte Lain SA 2015/2023 . . . . . . . . . . . EUR 4 000 000 3 000 000 % 68.625 2 745 000.00 0.31 4.00 % OHL Investments SA 2013/2018 . . . . . . . . . . . . . . EUR 600 000 600 000 % 89.89 539 343.00 0.06 6.75 % OI European Group BV -Reg- 2010/2020 . . . . . . . . EUR 430 000 % 117.367 504 678.10 0.06 4.875 % OI European Group BV -Reg- 2013/2021 . . . . . . . . EUR 175 000 % 110.605 193 558.75 0.02 7.75 % Onorato Armatori SpA -Reg- 2016/2023 ** . . . . . . EUR 6 150 000 6 150 000 % 96.066 5 908 059.00 0.68 4.75 % Ontex Group NV -Reg- 2014/2021 . . . . . . . . . . . . . EUR 740 000 % 106.382 787 226.80 0.09 4.00 % Orange SA (MTN) 2014/2049 * . . . . . . . . . . . . . . . . EUR 800 000 % 104.069 832 552.00 0.10 7.875 % Origin Energy Finance Ltd (MTN) 2011/2071 * . . . EUR 500 000 % 98.39 491 950.00 0.06 4.00 % Origin Energy Finance Ltd 2014/2074 * . . . . . . . . . EUR 1 735 000 % 87.408 1 516 528.80 0.17 6.50 % Ovako AB -Reg- (MTN) 2014/2019 ** . . . . . . . . . . . EUR 3 000 000 1 400 000 800 000 % 71.935 2 158 050.00 0.25 5.25 % Paprec Holding 2015/2022 ** . . . . . . . . . . . . . . . . . EUR 3 700 000 1 000 000 % 101.304 3 748 248.00 0.43 5.169 % Paroc Group Oy -Reg- (MTN) 2014/2020 * ** . . . . EUR 1 400 000 % 96.5 1 351 000.00 0.15 8.50 % Paternoster Holding III GmbH -Reg- 2015/2023 ** EUR 6 070 000 500 000 1 000 000 % 91.316 5 542 881.20 0.63 9.00 % Perstorp Holding AB 2012/2017 ** . . . . . . . . . . . . EUR 5 135 000 2 835 000 % 100.363 5 153 640.05 0.59 3.25 % Petrobras Global Finance BV 2012/2019 . . . . . . . . . EUR 1 114 000 % 93.515 1 041 757.10 0.12 4.25 % Petrobras Global Finance BV 2012/2023 ** . . . . . . EUR 4 625 000 3 000 000 % 80.716 3 733 115.00 0.43



147

3.75 % Petrobras Global Finance BV 2014/2021 . . . . . . . . . EUR 2 835 000 1 000 000 % 87.855 2 490 689.25 0.28 4.75 % Petrobras Global Finance BV 2014/2025 . . . . . . . . . EUR 900 000 % 80.603 725 427.00 0.08 7.875 % Pfleiderer GmbH -Reg- (MTN) 2014/2019 . . . . . . . . EUR 1 100 000 100 000 270 000 % 103.73 1 141 030.00 0.13 5.25 % Play Finance 2 SA -Reg- 2014/2019 . . . . . . . . . . . . EUR 953 000 1 000 000 % 102.672 978 464.16 0.11 7.75 % Play Topco SA -Reg- 2014/2020 . . . . . . . . . . . . . . . EUR 2 200 000 % 102.15 2 247 300.00 0.26 4.432 % ProGroup AG 2015/2022 ** . . . . . . . . . . . . . . . . . . EUR 2 200 000 % 100.381 2 208 382.00 0.25 5.125 % ProGroup AG -Reg- 2015/2022 . . . . . . . . . . . . . . . . EUR 440 000 % 105.637 464 802.80 0.05 6.00 % PSPC Escrow Corp. -Reg- 2015/2023 . . . . . . . . . . . EUR 6 930 000 2 000 000 % 85.149 5 900 825.70 0.68 3.625 % PVH Corp. -Reg- 2016/2024 . . . . . . . . . . . . . . . . . . EUR 3 150 000 3 150 000 % 102.209 3 219 583.50 0.37 8.50 % Rain CII Carbon LLC 2012/2021 ** . . . . . . . . . . . . . EUR 2 380 000 % 76.75 1 826 650.00 0.21 6.625 % Rapid Holding GmbH -Reg- 2015/2022 . . . . . . . . . . EUR 4 220 000 % 103.5 4 367 700.00 0.50 3.25 % Rexel SA 2015/2022 . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 960 000 % 100.995 1 979 502.00 0.23 3.50 % Rexel SA 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 960 000 2 960 000 % 101.194 2 995 342.40 0.34 6.75 % RPG Byty Sro -Reg- 2013/2020 ** . . . . . . . . . . . . . EUR 3 300 000 % 103.357 3 410 781.00 0.39 3.50 % RWE AG 2015/2075* . . . . . . . . . . . . . . . . . . . . . . . EUR 4 800 000 1 300 000 % 78.123 3 749 904.00 0.43 8.25 % Safari Holding Verwaltungs GmbH -Reg-

2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 590 000 200 000 % 105.664 1 680 057.60 0.19 4.125 % Samvardhana Motherson Automotive Systems

Group BV -Reg- 2014/2021 . . . . . . . . . . . . . . . . . . . EUR 2 050 000 % 100.747 2 065 313.50 0.24 3.375 % Sappi Papier Holding GmbH 2015/2022 . . . . . . . . . EUR 6 050 000 2 000 000 % 101.123 6 117 941.50 0.70 4.00 % Sappi Papier Holding GmbH 2016/2023 . . . . . . . . . EUR 6 500 000 6 500 000 % 102.677 6 674 005.00 0.76 3.25 % Schaeffler Finance BV 2015/2025 . . . . . . . . . . . . . . EUR 11 200 000 5 000 000 1 000 000 % 102.667 11 498 704.00 1.32 6.875 % Schaeffler Holding Finance BV -Reg- 2013/2018 . . EUR 375 000 625 000 % 102.575 384 656.25 0.04 9.875 % Schmolz + Bickenbach Luxembourg SA -Reg-

2012/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 244 055 % 100.669 4 272 447.85 0.49 4.625 % SES SA 2016/2049 * . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 250 000 2 250 000 % 99.451 2 237 647.50 0.26 5.625 % SGD Group SAS -Reg- 2014/2019 . . . . . . . . . . . . . . EUR 500 000 % 102.461 512 305.00 0.06 2.75 % SGL Carbon SE 2012/2018 . . . . . . . . . . . . . . . . . . . EUR 5 600 000 5 600 000 % 89.75 5 026 000.00 0.57 7.50 % Silk Bidco AS -Reg- 2015/2022 . . . . . . . . . . . . . . . . EUR 4 770 000 2 000 000 % 101.868 4 859 103.60 0.56 5.125 % Smurfit Kappa Acquisitions -Reg- 2012/2018 . . . . . EUR 540 000 % 108.036 583 394.40 0.07 7.625 % Snai SpA 2015/2018 . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 480 000 540 000 % 101.679 1 016 790.00 0.12 4.75 % SoftBank Group Corp 2015/2025 . . . . . . . . . . . . . . EUR 9 000 000 500 000 3 870 000 % 108.015 9 721 350.00 1.11 5.25 % SoftBank Group Corp. 2015/2027 ** . . . . . . . . . . . EUR 2 000 000 2 000 000 % 108.271 2 165 420.00 0.25 5.425 % Solvay Finance SA 2013/2049 * . . . . . . . . . . . . . . . EUR 7 580 000 7 000 000 % 102.7 7 784 660.00 0.89 5.869 % Solvay Finance SA 2015/2049 . . . . . . . . . . . . . . . . . EUR 8 765 000 6 000 000 % 104.464 9 156 269.60 1.05 5.118 % Solvay Finance SA 2015/49/1* . . . . . . . . . . . . . . . . EUR 380 000 % 103.229 392 270.20 0.04 2.875 % SPCM SA -Reg- 2015/2023 . . . . . . . . . . . . . . . . . . . EUR 8 500 000 8 500 000 % 96.37 8 191 450.00 0.94 3.625 % TA Manufacturing Ltd 2015/2023 ** . . . . . . . . . . . EUR 2 620 000 500 000 % 94.356 2 472 127.20 0.28 7.875 % Techem Energy Metering Service GmbH & Co., KG

2012/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 100 000 % 105.509 2 215 689.00 0.25 7.75 % Telecom Italia Finance SA (MTN) 2003/2033 . . . . . EUR 605 000 % 133.542 807 929.10 0.09 3.625 % Telecom Italia SpA/Milano (MTN) 2016/2026 . . . . . EUR 2 910 000 2 910 000 % 103.367 3 007 979.70 0.34 7.625 % Telefonica Europe BV 2013/2049 * . . . . . . . . . . . . . EUR 8 900 000 5 000 000 % 111.182 9 895 198.00 1.13 5.875 % Telefonica Europe BV 2014/2049 * . . . . . . . . . . . . . EUR 5 700 000 3 100 000 % 102.335 5 833 095.00 0.67 4.20 % Telefonica Europe BV 2015/2049 . . . . . . . . . . . . . . EUR 2 000 000 2 000 000 % 99.578 1 991 560.00 0.23 6.75 % Telenet Finance V Luxembourg SCA -Reg-

2012/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 110 000 % 110.291 2 327 140.10 0.27 4.125 % Tereos Finance Groupe I SA 2016/2023 ** . . . . . . EUR 7 200 000 7 200 000 % 99.221 7 143 912.00 0.82 2.50 % Tesco Corporate Treasury Services Plc

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 % 97.882 489 410.00 0.06 5.125 % Tesco Plc (MTN) 2007/2047 . . . . . . . . . . . . . . . . . . EUR 1 450 000 % 96.155 1 394 247.50 0.16 7.375 % THOM Europe SAS -Reg- 2014/2019 . . . . . . . . . . . EUR 2 100 000 % 104.828 2 201 388.00 0.25 7.75 % Thomas Cook Finance Plc 2013/2020 ** . . . . . . . . EUR 2 730 000 % 98.444 2 687 521.20 0.31 6.75 % Thomas Cook Finance Plc -Reg- 2015/2021 ** . . . EUR 1 000 000 1 000 000 % 92.995 929 950.00 0.11 6.375 % Trinseo Materials Operating SCA /

Trinseo Materials Finance, Inc. -Reg- 2015/2022 . . EUR 2 600 000 % 101.375 2 635 750.00 0.30 5.00 % Trionista HoldCo GmbH 2013/2020 . . . . . . . . . . . . EUR 220 000 % 102.806 226 173.20 0.03 7.375 % TVN Finance Corp III AB -Reg- 2013/2020 ** . . . . . EUR 2 192 000 % 106.076 2 325 185.92 0.27 5.625 % Unitymedia Hessen GmbH & Co. /

Unitymedia NRW GmbH -Reg- 2013/2023 . . . . . . . EUR 1 412 000 % 105.888 1 495 138.56 0.17 5.50 % Unitymedia Hessen GmbH & Co. KG -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 215 000 135 000 % 105.682 1 284 036.30 0.15 5.75 % Unitymedia Hessen GmbH & Co. KG -Reg-

2012/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 240 000 810 000 270 000 % 105.872 3 430 252.80 0.39 3.50 % Unitymedia Hessen GmbH & Co. KG -Reg-

2015/2027 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 500 000 2 500 000 % 96.717 2 417 925.00 0.28 4.00 % Unitymedia Hessen GmbH & Co., KG

2014/2025 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 12 500 000 4 500 000 1 660 000 % 101.158 12 644 750.00 1.45 6.25 % Unitymedia NRW GmbH 2013/2029 . . . . . . . . . . . . EUR 520 000 1 500 000 % 111.361 579 077.20 0.07 4.00 % UPCB Finance IV Ltd -Reg- 2015/2027 . . . . . . . . . . EUR 2 000 000 2 000 000 % 97.209 1 944 180.00 0.22 3.75 % Vale SA (MTN) 2012/2023 ** . . . . . . . . . . . . . . . . . EUR 4 290 000 4 290 000 % 89.516 3 840 236.40 0.44 6.00 % Verisure Holding AB 2015/2022 ** . . . . . . . . . . . . . EUR 2 880 000 % 106.819 3 076 387.20 0.35 7.50 % Viridian Group FundCo II Ltd -Reg- 2015/2020 . . . . EUR 3 170 000 1 000 000 % 103.969 3 295 817.30 0.38 6.625 % Vivacom 2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 470 000 % 101.989 2 519 128.30 0.29 3.25 % Volvo Car AB 2016/2021 ** . . . . . . . . . . . . . . . . . . EUR 780 000 1 780 000 1 000 000 % 103.129 804 406.20 0.09 4.50 % VRX Escrow Corp. 2015/2023 . . . . . . . . . . . . . . . . . EUR 9 060 000 3 500 000 % 75.882 6 874 909.20 0.79 9.50 % WFS Global Holdings 2015/2022 ** . . . . . . . . . . . . EUR 3 450 000 3 450 000 810 000 % 93.591 3 228 889.50 0.37 4.125 % Wind Acquisition Finance SA 2015/2020 * . . . . . . . EUR 310 000 % 98.684 305 920.40 0.04 4.00 % Wind Acquisition Finance SA -Reg- 2014/2020 . . . . EUR 7 700 000 7 300 000 % 99.084 7 629 468.00 0.87 3.951 % Wind Acquisition Finance SA -Reg- 2014/2020 * . . EUR 2 030 000 % 97.459 1 978 417.70 0.23 7.00 % Wind Acquisition Finance SA -Reg- 2014/2021 . . . . EUR 3 000 000 3 000 000 % 97.964 2 938 920.00 0.34 5.75 % XPO Logistics, Inc. 2015/2021 . . . . . . . . . . . . . . . . EUR 1 500 000 % 94.659 1 419 885.00 0.16 2.75 % ZF North America Capital, Inc. 2015/2023 . . . . . . . EUR 16 000 000 9 000 000 2 000 000 % 102.9 16 464 000.00 1.87



148

4.625 % Ziggo Bond Finance BV 2015/2025 . . . . . . . . . . . . . EUR 2 000 000 2 000 000 % 95.781 1 915 620.00 0.22 3.625 % Ziggo BV (MTN) -Reg- 2013/2020 . . . . . . . . . . . . . . EUR 700 000 700 000 % 102.291 716 037.00 0.08 3.75 % Ziggo Secured Finance BV 2015/2025 . . . . . . . . . . EUR 6 000 000 6 000 000 % 97.979 5 878 740.00 0.67 8.875 % Zinc Capital SA (MTN) 2011/2018 ** . . . . . . . . . . . EUR 3 107 000 % 100.101 3 110 138.07 0.36 7.875 % Zobele Holding SpA -Reg- 2013/2018 ** . . . . . . . . EUR 1 630 000 % 101.605 1 656 161.50 0.19 5.50 % AA Bond Co., Ltd 2015/2022 . . . . . . . . . . . . . . . . . GBP 1 000 000 1 000 000 % 95.693 1 156 641.17 0.13 9.50 % Arqiva Broadcast Finance Plc (MTN) -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 970 000 % 106.929 1 253 677.16 0.14 7.50 % BIBBY Offshore Services Plc -Reg- 2014/2021 ** . GBP 2 220 000 1 000 000 % 68.812 1 846 455.25 0.21 6.625 % Enel SpA 2014/2076 * . . . . . . . . . . . . . . . . . . . . . . . GBP 1 700 000 % 102.385 2 103 796.52 0.24 11.00 % Garfunkelux Holdco 2 SA 2015/2023 ** . . . . . . . . . GBP 1 500 000 % 91.59 1 660 572.32 0.19 5.338 % Gazprom OAO Via Gaz Capital SA (MTN)

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 2 571 000 % 105.245 3 270 559.28 0.37 7.00 % GHD Bondco Plc -Reg- 2014/2020 . . . . . . . . . . . . . GBP 6 800 000 1 000 000 % 94.782 7 790 283.40 0.89 7.00 % Infinis Plc -Reg- 2013/2019 . . . . . . . . . . . . . . . . . . . GBP 600 000 % 100.5 728 846.02 0.08 3.875 % Jaguar Land Rover Automotive Plc -Reg-

2015/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 500 000 500 000 % 94.278 569 769.03 0.07 9.50 % Keystone Financing 2014/2019 . . . . . . . . . . . . . . . . GBP 1 290 000 500 000 % 101.728 1 586 166.20 0.18 6.875 % Koninklijke KPN NV (MTN) 2013/2073 * . . . . . . . . . GBP 3 500 000 2 500 000 % 103.788 4 390 698.98 0.50 6.75 % MEIF Renewable Energy UK Plc -Reg-

2015/2020 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 3 330 000 % 100.606 4 049 361.89 0.46 7.00 % Mizzen Bondco 2014/2021 . . . . . . . . . . . . . . . . . . . GBP 1 595 695 307 775 % 95.819 1 848 076.71 0.21 6.25 % Moy Park Bondco Plc -Reg- 2014/2021 . . . . . . . . . GBP 1 230 000 % 100.395 1 492 573.31 0.17 6.50 % New Look Secured Issuer 2015/2022 . . . . . . . . . . . GBP 1 400 000 % 92.274 1 561 442.01 0.18 6.25 % Petrobras Global Finance BV (MTN) 2011/2026 . . . GBP 1 000 000 % 80.47 972 640.79 0.11 5.375 % Petrobras Global Finance BV 2012/2029 . . . . . . . . . GBP 2 000 000 % 72.583 1 754 621.25 0.20 6.375 % Telecom Italia SpA (MTN) 2004/2019 . . . . . . . . . . . GBP 4 900 000 % 110.208 6 527 211.37 0.75 5.875 % Telecom Italia SpA (MTN) 2006/2023 . . . . . . . . . . . GBP 4 300 000 % 112.316 5 837 522.39 0.67 5.801 % Tesco Property Finance 4 Plc -Reg- 2011/2040 . . . GBP 1 971 800 2 756 % 93.495 2 228 279.43 0.25 7.75 % Thomas Cook Group Plc (MTN) 2010/2017 . . . . . . GBP 550 000 550 000 % 103.365 687 154.94 0.08 5.125 % Virgin Media Secured Finance Plc (MTN) -Reg-

2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 8 200 000 % 98.042 9 717 274.92 1.11 6.00 % Virgin Media Secured Finance Plc -Reg-

2013/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 3 060 000 900 000 % 103.364 3 823 043.23 0.44 4.25 % William Hill Plc 2013/2020 . . . . . . . . . . . . . . . . . . . . GBP 1 000 000 1 000 000 % 101.486 1 226 661.15 0.14 7.50 % Altice Financing SA 144A 2016/2026 . . . . . . . . . . . USD 1 470 000 1 470 000 % 97.375 1 287 647.15 0.15 9.375 % Anglo American Capital Plc -Reg- 2009/2019 . . . . . USD 3 000 000 3 000 000 % 114.005 3 076 643.81 0.35 6.50 % ArcelorMittal 2011/2021 ** . . . . . . . . . . . . . . . . . . . USD 4 200 000 2 000 000 % 103.019 3 892 231.71 0.45 7.25 % ArcelorMittal 2012/2022 ** . . . . . . . . . . . . . . . . . . . USD 3 500 000 % 105.672 3 327 055.44 0.38 4.375 % CNH Industrial Capital LLC 2015/2020 ** . . . . . . . . USD 3 000 000 3 000 000 % 100.641 2 715 990.61 0.31 4.875 % CNH Industrial Capital LLC 2016/2021 . . . . . . . . . . USD 3 600 000 3 600 000 % 102.062 3 305 223.03 0.38 6.25 % International Game Technology Plc 144A

2015/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 550 000 1 550 000 % 100.75 1 404 781.63 0.16 10.00 % Medya Holding International Ltd 1996/2049 . . . . . . USD 2 500 000 2 500 000 % 0 2.25 0.00 8.00 % Novasep Holding SAS -Reg- 2012/2016 . . . . . . . . . USD 500 000 % 91.438 411 269.42 0.05 4.375 % Petrobras Global Finance BV 2013/2023 ** . . . . . . USD 5 000 000 % 80.738 3 631 449.91 0.42 4.875 % Samvardhana Motherson Automotive

Systems Group BV 2016/2021 . . . . . . . . . . . . . . . . USD 2 070 000 2 070 000 % 100.65 1 874 201.11 0.21 7.75 % Sappi Papier Holding GmbH 2012/2017 . . . . . . . . . USD 1 500 000 % 103.503 1 396 613.59 0.16

Securities admitted to or included in organized markets 62 913 039.44 7.19 Interest-bearing securities 4.375 % Ball Corp 2015/2023 ** . . . . . . . . . . . . . . . . . . . . . . EUR 8 520 000 6 900 000 % 108.185 9 217 362.00 1.05 4.375 % Hertz Holdings Netherlands 2015/2019 ** . . . . . . . EUR 1 350 000 350 000 % 102.946 1 389 771.00 0.16 7.375 % Interoute Finco 2015/2020 ** . . . . . . . . . . . . . . . . . EUR 2 170 000 % 106.451 2 309 986.70 0.26 1.00 % OMV AG 2015/2049 . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 090 000 1 000 000 % 105.336 4 308 242.40 0.49 1.00 % Repsol International Finance 2015/2075 . . . . . . . . . EUR 5 000 000 5 000 000 % 85.29 4 264 500.00 0.49 4.875 % Telenet Finance VI 2015/2027 ** . . . . . . . . . . . . . . EUR 5 800 000 500 000 % 102.058 5 919 364.00 0.68 7.75 % Cognita Financing Plc 2015/2021 . . . . . . . . . . . . . . GBP 1 680 000 % 102.003 2 071 289.02 0.24 2.625 % Anglo American Capital Plc 2012/2017 . . . . . . . . . . USD 3 000 000 3 000 000 % 99.975 2 698 017.33 0.31 5.50 % Barry Callebaut Services NV 144A 2013/2023 . . . . USD 1 183 000 1 183 000 % 108.3 1 152 511.50 0.13 6.00 % Bombardier Inc 2014/2022 . . . . . . . . . . . . . . . . . . . USD 4 500 000 1 000 000 % 86.375 3 496 492.82 0.40 7.875 % Constellium NV 144A 2016/2021 ** . . . . . . . . . . . . USD 3 620 000 3 620 000 % 103.125 3 358 184.86 0.38 4.42 % Diamond 1 Finance Corp. Via Diamond 2

Finance Corp. 144A 2016/2021 . . . . . . . . . . . . . . . . USD 1 900 000 1 900 000 % 103.001 1 760 463.84 0.20 9.875 % FAGE USA Dairy Industry, Inc. 144A 2010/2020 . . USD 1 115 000 % 104.125 1 044 388.18 0.12 4.50 % Fresenius US Finance II Inc 2015/2023 . . . . . . . . . USD 11 050 000 10 100 000 % 102.5 10 188 686.75 1.17 10.375 % Platform Specialty Products Corp. 144A

2015/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 500 000 3 500 000 % 100.75 3 172 087.55 0.36 9.25 % Prime Security Services Borrower LLC /

Prime Finance, Inc. 144A 2016/2023 . . . . . . . . . . . USD 800 000 800 000 % 105.875 761 930.71 0.09 6.00 % SPCM SA 144A 2013/2022 . . . . . . . . . . . . . . . . . . . USD 2 210 000 2 210 000 % 102.75 2 042 707.44 0.23 8.00 % Teck Resources Ltd 144A 2016/2021 . . . . . . . . . . . USD 260 000 260 000 % 103.125 241 195.60 0.03 6.50 % T-Mobile USA Inc 2015/2026 . . . . . . . . . . . . . . . . . USD 1 220 000 2 000 000 % 105.36 1 156 292.37 0.13 6.00 % T-Mobile USA, Inc. 2016/2024 . . . . . . . . . . . . . . . . USD 1 700 000 1 700 000 % 104.03 1 590 887.93 0.18 10.50 % Western Digital, Corp. 144A 2016/2024 . . . . . . . . . USD 800 000 800 000 % 106.812 768 677.44 0.09



149

Unlisted securities 16 411 364.46 1.88 Interest-bearing securities 12.00 % Cammell Laird Holdings Plc -Reg- 2000/2010 . . . . . EUR 13 250 000 % 0 13.25 0.00 6.125 % Chemours Co./The 2016/2023 ** . . . . . . . . . . . . . . EUR 7 790 000 7 790 000 % 80.015 6 233 168.50 0.71 4.25 % Huntsman International LLC 2016/2025 ** . . . . . . EUR 3 250 000 3 250 000 % 91.095 2 960 587.50 0.34 5.75 % Infor US, Inc. 2016/2022 . . . . . . . . . . . . . . . . . . . . . EUR 2 670 000 2 670 000 % 86.375 2 306 212.50 0.27 6.875 % Entertainment One Ltd 2015/2022 . . . . . . . . . . . . . GBP 4 000 000 130 000 % 101.584 4 911 382.71 0.56

Total securities portfolio 827 469 743.78 94.64 Derivatives (Minus signs denote short positions) Currency derivatives 368 612.70 0.04Receivables/payables Currency futures Currency futures (short) Open positions EUR/CHF 3.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 142.84 0.00EUR/GBP 62.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -162 882.58 -0.02EUR/SEK 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -264.43 0.00 EUR/USD 67 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 346 248.36 0.04 Closed positions EUR/GBP 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 518.53 0.00EUR/USD 4.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59 985.96 0.01 Currency futures (long) Open positions USD/EUR 7.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99 901.08 0.01 Cash at bank 25 503 996.48 2.92 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 11 133 735.92 1.27 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 936 554 1 132 012.84 0.13 Deposits in non-EU/EEA currencies Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 138 873 128 161.57 0.01U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 11 212 10 086.15 0.00 Time deposits EUR deposits (Norddeutsche Landesbank 0.01% 01/07/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 100 000.00 1.49 Other assets 16 059 691.65 1.84Prepaid placement fee *** . . . . . . . . . . . . . . . . . . . . . . . . . . . 216 602.97 0.02Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 976 043.28 1.61Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 867 045.40 0.21 Receivables from share certificate transactions 10 677 836.60 1.21 Total assets **** 880 244 546.75 100.67 Other liabilities -2 105 535.68 -0.24Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -762 758.34 -0.09Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 342 777.34 -0.15 Liabilities from share certificate transactions -3 618 668.30 -0.41 Total liabilities -5 888 869.52 -0.67 Net assets 874 355 677.23 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



150


Net asset value per share Class CHF FCH CHF 99.67Class FC EUR 137.04Class FD EUR 104.07Class LC EUR 134.62Class LD EUR 112.36Class NC EUR 122.93Class ND EUR 101.52Class PFC EUR 107.38Class PFDQ EUR 100.31Class SEK FCH SEK 1 034.29Class SEK LCH SEK 1 031.91Class USD FCH USD 110.52Class USD LCH USD 109.60Class USD LDMH USD 100.87 Number of shares outstanding Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 111Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 438 603Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 666 666Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 478 263Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 115 770Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 96 448Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 093Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 321Class PFDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 76 548Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 628Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 647Class USD LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 156 Composition of the reference portfolio (according to CSSF circular 11/512)ML Euro BB-B Non-Financial Fixed & Floating Rate HY Constrained Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 111.766 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 137.245 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 124.530 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.2, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 140 877 603.69 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes.


Contracting parties for currency futuresDeutsche Bank AG Frankfurt and State Street Bank and Trust Company

Securities lending



5.625 % 3AB Optique Developpement SAS -Reg- 2014/2019 EUR 1 400 000 1 391 432.00 9.125 % Agrokor dd 2012/2020 EUR 500 000 532 990.00 6.50 % Altice Financing SA -Reg- 2013/2022 EUR 3 700 000 3 906 608.00 2.75 % Anglo American Capital PLC 2012/2019 EUR 3 186 000 3 137 349.78 4.125 % Ardagh Packaging Finance Plc Via Ardagh Holdings USA, Inc. -Reg- 2016/2023 EUR 1 800 000 1 833 390.00 4.375 % Ball Corp 2015/2023 EUR 1 000 000 1 081 850.00 5.875 % BiSoho SAS -Reg- 2016/2023 EUR 1 440 000 1 487 232.00 4.375 % Boparan Finance Plc (MTN) -Reg- 2014/2021 EUR 650 000 601 100.50 10.00 % Bormioli Rocco Holdings SA -Reg- 2011/2018 EUR 1 100 000 1 122 682.00 6.125 % Chemours Co./The 2016/2023 EUR 4 600 000 3 680 690.00 7.75 % CMA CGM SA 2015/2021 EUR 2 800 000 2 146 312.00 7.00 % Constellium NV -Reg- 2014/2023 EUR 2 110 000 1 719 396.80 7.50 % Cooperativa Muratori & Cementisti-CMC di Ravenna SC -Reg- 2014/2021 EUR 2 700 000 2 258 901.00 5.50 % Cott Finance Corp. (MTN) -Reg- 2016/2024 EUR 3 000 000 3 074 850.00


151



9.00 % Dakar Finance SA 2015/2020 EUR 2 000 000 1 950 740.00 4.122 % Dry Mix Solutions Investissements SAS -Reg- 2014/2021 * EUR 1 940 000 1 920 968.60 5.125 % EC Finance PLC 2014/2021 EUR 1 500 000 1 566 555.00 4.50 % eircom Finance DAC -Reg- 2016/2022 EUR 1 900 000 1 888 809.00 5.375 % Ence Energia y Celulosa SA 2015/2022 EUR 1 500 000 1 586 250.00 5.75 % Europcar Groupe SA 2015/2022 EUR 800 000 832 680.00 4.75 % Fiat Finance & Trade SA (MTN) 2014/2022 EUR 1 200 000 1 289 316.00 7.25 % Gamenet SpA -Reg- 2013/2018 EUR 2 500 000 2 538 800.00 3.60 % Gazprom OAO Via Gaz Capital SA (MTN) 2014/2021 EUR 5 000 000 5 186 550.00 10.375 % Geo Travel Finance SCA 2011/2019 EUR 1 900 000 1 798 863.00 3.50 % Gestamp Funding Luxembourg SA -Reg- 2016/2023 EUR 1 400 000 1 431 010.00 6.00 % GIE PSA Tresorerie 2003/2033 EUR 1 800 000 2 122 722.00 5.125 % Grupo Antolin Dutch BV 2015/2022 EUR 1 000 000 1 045 930.00 9.50 % HeidelbergCement Finance Luxembourg SA (MTN) 2011/2018 EUR 2 300 000 2 790 590.00 4.375 % Hertz Holdings Netherlands 2015/2019 EUR 1 000 000 1 029 460.00 4.25 % Huntsman International LLC 2016/2025 EUR 2 600 000 2 368 470.00 6.50 % Ineos Group Holdings SA 2013/2018 EUR 4 000 000 4 059 440.00 7.375 % Interoute Finco 2015/2020 EUR 1 500 000 1 596 765.00 8.75 % Kirk Beauty One GmbH 2015/2023 EUR 2 500 000 2 664 250.00 5.419 % Lecta SA 2012/2018 EUR 1 700 000 1 680 637.00 3.875 % LKQ Italia Bondco SpA -Reg- 2016/2024 EUR 3 000 000 3 093 030.00 9.50 % Lock Lower Holding AS -Reg- 2014/2022 EUR 1 350 000 1 333 260.00 7.75 % LSF9 Balta Issuer SA 2015/2022 EUR 500 000 529 700.00 5.50 % Main Capital Funding LP 2005/2049 EUR 500 000 508 750.00 8.25 % Mercury Bondco PLC 2015/2021 EUR 6 400 000 6 352 000.00 8.00 % Mercury Bondco Plc -Reg- 2015/2021 * EUR 2 700 000 2 666 763.00 5.25 % Monitchem HoldCo 3 SA -Reg- 2014/2021 EUR 1 500 000 1 486 680.00 5.625 % Numericable Group SA -Reg- 2014/2024 EUR 1 000 000 1 010 400.00 8.50 % Nyrstar Netherlands Holdings BV -Reg- 2014/2019 EUR 7 950 000 8 049 772.50 7.75 % Onorato Armatori SpA -Reg- 2016/2023 EUR 6 100 000 5 860 026.00 6.50 % Ovako AB -Reg- (MTN) 2014/2019 EUR 3 300 000 2 373 855.00 5.25 % Paprec Holding 2015/2022 EUR 3 700 000 3 748 248.00 5.169 % Paroc Group Oy -Reg- (MTN) 2014/2020 * EUR 100 000 96 500.00 8.50 % Paternoster Holding III GmbH -Reg- 2015/2023 EUR 6 070 000 5 542 881.20 9.00 % Perstorp Holding AB 2012/2017 EUR 500 000 501 815.00 4.25 % Petrobras Global Finance BV 2012/2023 EUR 2 000 000 1 614 320.00 4.432 % ProGroup AG 2015/2022 EUR 230 000 230 876.30 8.50 % Rain CII Carbon LLC 2012/2021 EUR 600 000 460 500.00 6.75 % RPG Byty Sro -Reg- 2013/2020 EUR 2 400 000 2 480 568.00 5.25 % SoftBank Group Corp. 2015/2027 EUR 2 000 000 2 165 420.00 3.625 % TA Manufacturing Ltd 2015/2023 EUR 2 600 000 2 453 256.00 4.875 % Telenet Finance VI 2015/2027 EUR 500 000 510 290.00 4.125 % Tereos Finance Groupe I SA 2016/2023 EUR 7 200 000 7 143 912.00 7.75 % Thomas Cook Finance Plc 2013/2020 EUR 1 000 000 984 440.00 6.75 % Thomas Cook Finance Plc -Reg- 2015/2021 EUR 1 000 000 929 950.00 7.375 % TVN Finance Corp III AB -Reg- 2013/2020 EUR 1 900 000 2 015 444.00 3.50 % Unitymedia Hessen GmbH & Co. KG -Reg- 2015/2027 EUR 650 000 628 660.50 4.00 % Unitymedia Hessen GmbH & Co., KG 2014/2025 EUR 500 000 505 790.00 3.75 % Vale SA (MTN) 2012/2023 EUR 4 200 000 3 759 672.00 6.00 % Verisure Holding AB 2015/2022 EUR 2 480 000 2 649 111.20 3.25 % Volvo Car AB 2016/2021 EUR 600 000 618 774.00 9.50 % WFS Global Holdings 2015/2022 EUR 2 950 000 2 760 934.50 8.875 % Zinc Capital SA (MTN) 2011/2018 EUR 1 700 000 1 701 717.00 7.875 % Zobele Holding SpA -Reg- 2013/2018 EUR 1 000 000 1 016 050.00 7.50 % BIBBY Offshore Services Plc -Reg- 2014/2021 GBP 2 200 000 1 829 820.52 11.00 % Garfunkelux Holdco 2 SA 2015/2023 GBP 1 500 000 1 660 572.32 6.75 % MEIF Renewable Energy UK Plc -Reg- 2015/2020 GBP 2 300 000 2 796 856.56 6.50 % ArcelorMittal 2011/2021 USD 500 000 463 360.92 7.25 % ArcelorMittal 2012/2022 USD 3 500 000 3 327 055.45 4.375 % CNH Industrial Capital LLC 2015/2020 USD 3 000 000 2 715 990.60 7.875 % Constellium NV 144A 2016/2021 USD 3 362 000 3 118 844.59 4.375 % Petrobras Global Finance BV 2013/2023 USD 500 000 363 144.99 Total receivables from securities loans 163 382 601.82 163 382 601.82 Contracting parties for securities loans BNP Paribas Arbitrage SNC, BNP Paribas S.A., Barclays Capital Securities Limited, Citigroup Global Markets, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, Goldman Sachs Int., HSBC Bank PLC FI, J.P. Morgan Securities plc (Fix Income), Morgan Stanley Intl. FI, UBS AG London Branch, Zuercher Kantonalbank Total collateral pledged by third parties for securities loans EUR 177 177 606.30 thereof: Bonds EUR 133 220 707.70Equities EUR 43 956 898.60


As of: June 30, 2016 Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

152





Securities traded on an exchange Equities Avery Weigh Tronix . . . . . . . . . . . . . . . . . . . . . . . Count 416 325

Interest-bearing securities 7 .875 % Aguila 3 SA -Reg- 2011/2018 . . . . . . CHF 4 000 000 2 .85 % Gazprom OAO Via Gaz Capital SA

(MTN) 2013/2019 . . . . . . . . . . . . . . . CHF 5 250 000 4 .375 % Areva SA (MTN) 2009/2019 . . . . . . . EUR 4 500 000 4 500 000 3 .50 % BALL Corp 2015/2020 . . . . . . . . . . . . EUR 1 100 000 6 .625 % Boing Group Financing Plc (MTN)

-Reg- 2014/2019 . . . . . . . . . . . . . . . . EUR 700 000 6 .375 % Cerved Group SpA (MTN) -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . EUR 265 000 6 .125 % Chemours Co . 2015/2023 . . . . . . . . . EUR 1 800 000 5 040 000 8 .75 % Cirsa Funding Luxembourg SA -Reg-

2010/2018 . . . . . . . . . . . . . . . . . . . . . EUR 354 055 4 .625 % Constellium NV 2014/2021 . . . . . . . . EUR 361 000 4 .00 % Crown European Holdings SA -Reg-

2014/2022 . . . . . . . . . . . . . . . . . . . . . EUR 1 190 000 11 .75 % Eileme 2 AB -Reg- 2012/2020 . . . . . . EUR 5 800 000 9 .25 % eircom Finance Ltd 2013/2020 . . . . . EUR 600 000 7 .00 % Financiere Gaillon 8 SAS -Reg-

(MTN) 2014/2019 . . . . . . . . . . . . . . . EUR 1 240 000 5 .25 % FMC Finance VII SA -Reg-

2011/2021 . . . . . . . . . . . . . . . . . . . . . EUR 1 325 000 6 .50 % FMC Finance VIII SA 2011/2018 . . . . EUR 2 200 000 6 .50 % GCS Holdco Finance I SA

2013/2018 . . . . . . . . . . . . . . . . . . . . . EUR 1 300 000 6 .75 % Goodyear Dunlop Tires Europe BV

-Reg- 2011/2019 . . . . . . . . . . . . . . . . EUR 900 000 6 .625 % Grupo Isolux Corsan Finance BV

-Reg- 2014/2021 . . . . . . . . . . . . . . . . EUR 1 420 000 5 .294 % Guala Closures SpA 2012/2019 * . . . EUR 805 000 8 .00 % Heidelberger Druckmaschinen AG

-Reg- 2015/2022 . . . . . . . . . . . . . . . . EUR 1 000 000 1 400 000 6 .352 % HT1 Funding GmbH 2006/2049 * . . . EUR 2 000 000 4 .25 % Huntsman International LLC

2015/2025 . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 3 250 000 5 .75 % Infor US, Inc . 2015/2022 . . . . . . . . . . EUR 2 670 000 6 .00 % InterXion Holding NV 2016/2020 . . . . EUR 800 000 800 000 9 .75 % Intralot Finance Luxembourg SA

2013/2018 . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 7 .125 % IVS Group SA -Reg- 2013/2020 . . . . . EUR 2 605 000 3 .75 % Jarden Corp . -Reg- 2014/2021 . . . . . EUR 1 200 000 10 .625 % Kerling Plc -Reg- 2010/2017 . . . . . . . EUR 2 500 000 6 .75 % KION Finance SA (MTN) -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . EUR 2 300 000 7 .25 % La Financiere Atalian SAS

2016/2020 . . . . . . . . . . . . . . . . . . . . . EUR 1 840 000 1 840 000 5 .50 % Lafarge SA (MTN) 2009/2019 . . . . . . EUR 406 000 4 .75 % Lafarge SA (MTN) 2013/2020 . . . . . . EUR 1 250 000 4 .875 % Loxam SAS -Reg- 2014/2021 . . . . . . EUR 390 000 3 .50 % Loxam SAS -Reg- 2016/2023 . . . . . . EUR 3 220 000 3 220 000 9 .00 % Magnolia BC SA (MTN) -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . EUR 255 000

5 .75 % Main Capital Funding II LP 2006/2049 EUR 2 000 000 4 .875 % Matterhorn Telecom Holding SA

-Reg- 2015/2023 . . . . . . . . . . . . . . . . EUR 640 000 4 .50 % New Look Secured Issuer

2015/2022 * . . . . . . . . . . . . . . . . . . . EUR 650 000 6 .75 % Nokia Oyj (MTN) 2009/2019 . . . . . . . EUR 1 000 000 4 .932 % Novacap International SAS -Reg-

(MTN) 2014/2019 * . . . . . . . . . . . . . . EUR 700 000 4 .50 % Novafives SAS -Reg- 2014/2021 . . . . EUR 1 050 000 6 .25 % Paroc Group Oy -Reg- 2014/2020 . . . EUR 130 000 2 .75 % Petrobras Global Finance BV

2014/2018 . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 3 080 000 7 .375 % Peugeot SA (MTN) 2013/2018 . . . . . EUR 1 100 000 6 .50 % Peugeot SA (MTN) 2013/2019 . . . . . EUR 1 800 000 5 .125 % Rexel SA -Reg- 2013/2020 . . . . . . . . EUR 490 000 3 .50 % Schaeffler Finance BV (MTN) -Reg-

2014/2022 . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 7 .625 % Snai SpA -Reg- 2013/2018 . . . . . . . . EUR 480 000 4 .625 % SoftBank Group Corp 2013/2020 . . . EUR 1 400 000 4 .00 % SoftBank Group Corp 2015/2022 . . . EUR 1 760 000 11 .00 % Stork Technical Services 2012/2017 . EUR 1 167 000 5 .25 % Telecom Italia SpA (MTN)

2005/2055 . . . . . . . . . . . . . . . . . . . . . EUR 500 000 6 .625 % Telenet Finance III Luxembourg SCA

-Reg- 2011/2021 . . . . . . . . . . . . . . . . EUR 1 500 000 3 .75 % Telenet Finance IV Luxembourg SCA

-Reg- 2011/2021 * . . . . . . . . . . . . . . . EUR 1 170 000 1 570 000 9 .875 % TMF Group Holding BV 2012/2019 . . EUR 590 000 6 .50 % WEPA Hygieneprodukte GmbH

-Reg- 2013/2020 . . . . . . . . . . . . . . . . EUR 730 000 9 .50 % WFS Global Holding SAS -Reg-

2016/2022 . . . . . . . . . . . . . . . . . . . . . EUR 350 000 350 000 4 .625 % Areva SA (MTN) 2011/2017 . . . . . . . EUR 1 300 000 1 300 000 8 .625 % Johnston Press Bond Plc -Reg-

2014/2019 . . . . . . . . . . . . . . . . . . . . . GBP 1 880 000 6 .875 % Pendragon Plc 2013/2020 . . . . . . . . . GBP 360 000 7 .00 % Priory Group No 3 Plc -Reg-

2011/2018 . . . . . . . . . . . . . . . . . . . . . GBP 520 372 10 .85 % ArcelorMittal 2009/2019 . . . . . . . . . . USD 2 500 000 10 .00 % Medya Holding International Ltd

1996/2049 . . . . . . . . . . . . . . . . . . . . . USD 2 500 000 5 .50 % Telemar Norte Leste SA -Reg-

2010/2020 . . . . . . . . . . . . . . . . . . . . . USD 9 500 000 Securities admitted to or included in organized markets Interest-bearing securities 1 .00 % Bhp Billiton Finance Ltd 2015/2079 . EUR 2 390 000 11 .625 % Eileme 2 AB 2012/2020 . . . . . . . . . . USD 2 870 000 5 .125 % Goodyear Tire & Rubber Co/The

2015/2023 . . . . . . . . . . . . . . . . . . . . . USD 530 000

Unlisted securities Interest-bearing securities 3 .75 % Newell Brands, Inc . -Reg-

2016/2021 . . . . . . . . . . . . . . . . . . . . . EUR 1 200 000 1 200 000


Notes on valuation


Footnotes

* Floating interest rate . ** Some or all of these securities are lent . *** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations) . **** Does not include positions with a negative balance, if such exist .

153

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Futures contracts Currency futures (short) Futures contracts to sell currencies EUR/CHF EUR 17 559EUR/GBP EUR 233 284EUR/USD EUR 238 390 Currency futures (long) Futures contracts to purchase currencies CHF/EUR EUR 14 666GBP/EUR EUR 158 687USD/EUR EUR 187 627


154

Securities traded on an exchange 1 635 351 140.15 93.62 Interest-bearing securities 5.00 % Belgium Government Bond 144A 2004/2035 * . . . EUR 30 000 000 % 176.95 53 085 000.00 3.04 2.15 % Belgium Government Bond 144A 2016/2066 . . . . . EUR 20 000 000 20 000 000 % 124.998 24 999 600.00 1.43 5.50 % Belgium Government Bond 1998/2028 * . . . . . . . . EUR 25 000 000 5 000 000 % 160.055 40 013 750.00 2.29 4.00 % Belgium Government Bond 2012/2032 * . . . . . . . . EUR 10 000 000 % 152.473 15 247 300.00 0.87 6.50 % Bundesrepublik Deutschland 1997/2027 * . . . . . . . EUR 35 000 000 % 174.173 60 960 550.00 3.49 5.50 % Bundesrepublik Deutschland 2000/2031 * . . . . . . . EUR 40 000 000 % 179.56 71 824 000.00 4.11 6.00 % France Government Bond OAT 1994/2025 * . . . . . EUR 50 000 000 % 154.92 77 460 000.00 4.43 5.50 % France Government Bond OAT 1998/2029 * . . . . . EUR 20 000 000 % 164.845 32 969 000.00 1.89 5.75 % France Government Bond OAT 2001/2032 * . . . . . EUR 30 000 000 % 182.11 54 633 000.00 3.13 3.50 % France Government Bond OAT 2010/2026 * . . . . . EUR 10 000 000 % 132.568 13 256 800.00 0.76 2.25 % France Government Bond OAT 2013/2024 * . . . . . EUR 10 000 000 % 118.348 11 834 800.00 0.68 3.25 % France Government Bond OAT 2013/2045 * . . . . . EUR 10 000 000 % 158.24 15 824 000.00 0.91 5.40 % Ireland Government Bond 2009/2025 . . . . . . . . . . . EUR 30 000 000 10 000 000 % 141.743 42 522 900.00 2.43 5.00 % Ireland Government Bond 2010/2020 * . . . . . . . . . EUR 20 000 000 % 122.413 24 482 600.00 1.40 3.90 % Ireland Government Bond 2013/2023 -Reg- . . . . . . EUR 20 000 000 % 124.89 24 978 000.00 1.43 3.40 % Ireland Government Bond 2014/2024 . . . . . . . . . . . EUR 10 000 000 10 000 000 % 123.39 12 339 000.00 0.71 2.40 % Ireland Government Bond 2014/2030 . . . . . . . . . . . EUR 20 000 000 % 120.345 24 069 000.00 1.38 9.00 % Italy Buoni Poliennali Del Tesoro 1993/2023 * . . . . EUR 80 000 000 40 000 000 % 157.46 125 968 000.00 7.21 6.50 % Italy Buoni Poliennali Del Tesoro 1997/2027 * . . . . EUR 22 000 000 % 151.832 33 403 040.00 1.91 5.25 % Italy Buoni Poliennali Del Tesoro 1998/2029 . . . . . . EUR 15 000 000 % 143.06 21 459 000.00 1.23 5.00 % Italy Buoni Poliennali Del Tesoro 2003/2034 . . . . . . EUR 5 000 000 % 146.577 7 328 850.00 0.42 3.75 % Italy Buoni Poliennali Del Tesoro 2010/2021 * . . . . EUR 13 000 000 10 000 000 % 115.973 15 076 490.00 0.86 5.50 % Italy Buoni Poliennali Del Tesoro 2012/2022 * . . . . EUR 20 000 000 % 129.495 25 899 000.00 1.48 5.50 % Italy Buoni Poliennali Del Tesoro 2012/2022 . . . . . . EUR 25 000 000 % 129.837 32 459 250.00 1.86 2.15 % Italy Buoni Poliennali Del Tesoro 2013/2017 * . . . . EUR 120 078 000 20 852 000 30 693 400 % 102.965 123 638 312.70 7.08 3.75 % Italy Buoni Poliennali Del Tesoro 2013/2021 * . . . . EUR 20 000 000 % 116.227 23 245 400.00 1.33 4.50 % Italy Buoni Poliennali Del Tesoro 2013/2023 . . . . . . EUR 10 500 000 % 124.84 13 108 200.00 0.75 2.15 % Italy Buoni Poliennali Del Tesoro 2014/2021 . . . . . . EUR 10 000 000 % 109.058 10 905 800.00 0.62 1.65 % Italy Buoni Poliennali Del Tesoro -Reg- 2014/2020 . EUR 150 070 500 106 187 000 1 049 000 % 105.73 158 669 539.65 9.08 1.65 % Italy Buoni Poliennali Del Tesoro -Reg- 2014/2020 . EUR 10 000 000 % 105.735 10 573 500.00 0.61 5.50 % Netherlands Government Bond 1998/2028 * . . . . . EUR 20 000 000 10 000 000 % 162.218 32 443 600.00 1.86 2.25 % Slovenia Government Bond 2014/2022 * . . . . . . . . EUR 17 000 000 % 110.808 18 837 360.00 1.08 2.125 % Slovenia Government Bond 2015/2025 . . . . . . . . . EUR 5 940 000 % 110.075 6 538 455.00 0.37 2.25 % Slovenia Government Bond 2016/2032 . . . . . . . . . EUR 7 640 000 7 640 000 % 106.477 8 134 842.80 0.47 5.40 % Spain Government Bond 144A 2013/2023 . . . . . . . EUR 30 000 000 10 000 000 % 131.215 39 364 500.00 2.25 6.00 % Spain Government Bond 1998/2029 . . . . . . . . . . . . EUR 50 000 000 25 000 000 % 151.74 75 870 000.00 4.34 4.80 % Spain Government Bond 2008/2024 . . . . . . . . . . . . EUR 10 000 000 5 000 000 % 129.095 12 909 500.00 0.74 4.30 % Spain Government Bond 2009/2019 . . . . . . . . . . . . EUR 20 000 000 % 114.315 22 863 000.00 1.31 4.00 % Spain Government Bond 2010/2020 . . . . . . . . . . . . EUR 20 000 000 % 115.073 23 014 600.00 1.32 4.85 % Spain Government Bond 2010/2020 . . . . . . . . . . . . EUR 30 000 000 % 120.428 36 128 400.00 2.07 4.65 % Spain Government Bond 2010/2025 . . . . . . . . . . . . EUR 10 000 000 % 130.47 13 047 000.00 0.75 5.85 % Spain Government Bond 2011/2022 . . . . . . . . . . . . EUR 90 000 000 10 000 000 % 130.5 117 450 000.00 6.72 5.90 % Spain Government Bond 2011/2026 . . . . . . . . . . . . EUR 10 000 000 % 143.525 14 352 500.00 0.82 3.80 % Spain Government Bond 2014/2024 . . . . . . . . . . . . EUR 10 000 000 3 000 000 % 121.637 12 163 700.00 0.70

Investment fund units 85 213 917.15 4.88 In-group fund units DWS Institutional - DWS Institutional Money Plus -I- EUR - (0.160%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 6 065 16 120 10 055 EUR 14 050.11 85 213 917.15 4.88 Total securities portfolio 1 720 565 057.30 98.50 Derivatives (Minus signs denote short positions) Interest rate derivatives -1 467 020.00 -0.08Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) Count 50 50 178 500.00 0.01 Option contracts Options on interest rate futures Call OGBL 08/2016 167 EUR (DB) Count -129 -834 020.00 -0.05Call OGBL 08/2016 165 EUR (DB) Count -300 -1 292 000.00 -0.07Put OGBL 08/2016 161 EUR (DB) Count -100 36 000.00 0.00Put OGBL 08/2016 162.5 EUR (DB) Count -700 444 500.00 0.03




155


Cash at bank 10 222 255.98 0.59 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 10 222 255 .98 0 .59 Other assets 20 571 790.37 1.18Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 571 790 .37 1 .18 Receivables from share certificate transactions 482 354.69 0.02 Total assets ** 1 752 500 458.34 100.33 Other liabilities -847 916.97 -0.05Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -847 916 .97 -0 .05 Liabilities from share certificate transactions -2 834 845.42 -0.16 Total liabilities -5 808 782.39 -0.33 Net assets 1 746 691 675.95 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 .79Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 .09Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 191 .30Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 122 .49Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 178 .21 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 981 146Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 711 093Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 353 053Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 741 878Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 132 930

Composition of the reference portfolio (according to CSSF circular 11/512)CITI - EMU Government Bond Index, in EUR terms Constituents



156



Futures exchangesDB = Deutsche Bank AGEUR = Eurex

Securities lending



5.00 % Belgium Government Bond 144A 2004/2035 EUR 30 000 000 53 085 000.00 5.50 % Belgium Government Bond 1998/2028 EUR 25 000 000 40 013 750.00 4.00 % Belgium Government Bond 2012/2032 EUR 10 000 000 15 247 300.00 6.50 % Bundesrepublik Deutschland 1997/2027 EUR 35 000 000 60 960 550.00 5.50 % Bundesrepublik Deutschland 2000/2031 EUR 40 000 000 71 824 000.00 6.00 % France Government Bond OAT 1994/2025 EUR 50 000 000 77 460 000.00 5.50 % France Government Bond OAT 1998/2029 EUR 20 000 000 32 969 000.00 5.75 % France Government Bond OAT 2001/2032 EUR 30 000 000 54 633 000.00 3.50 % France Government Bond OAT 2010/2026 EUR 8 500 000 11 268 280.00 2.25 % France Government Bond OAT 2013/2024 EUR 10 000 000 11 834 800.00 3.25 % France Government Bond OAT 2013/2045 EUR 9 940 000 15 729 056.00 5.00 % Ireland Government Bond 2010/2020 EUR 9 000 000 11 017 170.00 9.00 % Italy Buoni Poliennali Del Tesoro 1993/2023 EUR 40 000 000 62 984 000.00 6.50 % Italy Buoni Poliennali Del Tesoro 1997/2027 EUR 5 000 000 7 591 600.00 3.75 % Italy Buoni Poliennali Del Tesoro 2010/2021 EUR 13 000 000 15 076 490.00 5.50 % Italy Buoni Poliennali Del Tesoro 2012/2022 EUR 20 000 000 25 899 000.00 2.15 % Italy Buoni Poliennali Del Tesoro 2013/2017 EUR 41 000 000 42 215 650.00 3.75 % Italy Buoni Poliennali Del Tesoro 2013/2021 EUR 20 000 000 23 245 400.00 5.50 % Netherlands Government Bond 1998/2028 EUR 20 000 000 32 443 600.00 2.25 % Slovenia Government Bond 2014/2022 EUR 12 900 000 14 294 232.00 Total receivables from securities loans 679 791 878.00 679 791 878.00 Contracting parties for securities loansBNP Paribas Arbitrage SNC, Banco Santander S.A., Barclays Capital Securities Limited, Commerzbank Frankfurt, Crédit Suisse AG, HSBC Bank PLC, Morgan Stanley Intl. FI, UBS AG London Branch Total collateral pledged by third parties for securities loans EUR 723 650 255.38 thereof: Bonds EUR 100 585 646.53Equities EUR 623 064 608.85

Notes on valuation


Footnotes

* Some or all of these securities are lent. ** Does not include positions with a negative balance, if such exist.

157





Interest-bearing securities 4.25 % Belgium Government Bond

2012/2022 . . . . . . . . . . . . . . . . . . . . . EUR 15 000 000 4.25 % France Government Bond OAT

2007/2023 . . . . . . . . . . . . . . . . . . . . . EUR 17 000 000 4.50 % Ireland Government Bond


2013/2017 . . . . . . . . . . . . . . . . . . . . . EUR 134 800 80 024 400 3.45 % Spain Government Bond 144A

2016/2066 . . . . . . . . . . . . . . . . . . . . . EUR 12 000 000 12 000 000 5.75 % Spain Government Bond 2001/2032 . EUR 20 000 000 4.90 % Spain Government Bond 2007/2040 . EUR 5 000 000 25 000 000 4.60 % Spain Government Bond 2009/2019 . EUR 20 000 000

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Futures contracts Interest rate futures Contracts purchased (Underlying: Germany Federal Republic Notes 10 year) EUR 20 944 Contracts sold (Underlying: Euro BTP Futures) EUR 13 885 Option contracts Options on interest rate derivatives Options on bond index futures Call options purchased (Underlying: OGBL) EUR 1 086 Put options purchased (Underlying: OGBL) EUR 1 154


158

Securities traded on an exchange 65 094 531.10 100.17 Equities Helvetia Holding AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 087 1 380 CHF 503 1 432 990 .92 2 .21VZ Holding AG * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 026 3 142 CHF 285 .25 1 849 577 .87 2 .85Jyske Bank A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 765 11 968 DKK 252 .7 909 095 .88 1 .40Aalberts Industries NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 48 387 21 637 EUR 26 .99 1 305 965 .13 2 .01Altran Technologies SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 141 466 63 252 EUR 11 .945 1 689 811 .37 2 .60Anima Holding SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 183 514 82 055 EUR 4 .208 772 226 .91 1 .19Applus Services SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 181 471 186 350 4 879 EUR 8 .744 1 586 782 .42 2 .44Banca Sistema SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 383 838 171 638 EUR 2 .016 773 817 .41 1 .19Basic-Fit NV 144A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 99 541 99 541 EUR 13 .8 1 373 665 .80 2 .11CompuGroup Medical AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 346 22 511 EUR 36 .655 1 845 432 .63 2 .84Dialog Semiconductor Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 707 17 306 EUR 26 .755 1 035 605 .79 1 .59Elior SCA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 390 31 474 EUR 19 .645 1 382 811 .55 2 .13Euronext NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 806 39 806 EUR 33 .05 1 315 588 .30 2 .03Flow Traders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 355 16 701 EUR 30 .595 1 142 876 .23 1 .76Grupo Catalana Occidente SA . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 853 20 503 EUR 24 .62 1 128 900 .86 1 .74Huhtamaki Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 689 19 980 EUR 36 .85 1 646 789 .65 2 .53Industria Macchine Automatiche SpA . . . . . . . . . . . . . . . . . . Count 28 258 30 485 EUR 54 .5 1 540 061 .00 2 .37KBC Ancora . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 755 19 563 EUR 29 .46 1 289 022 .30 1 .98Koninklijke Wessanen NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 213 615 95 514 EUR 9 .5 2 029 342 .50 3 .12Melia Hotels International SA . . . . . . . . . . . . . . . . . . . . . . . . . Count 164 653 73 622 EUR 9 .57 1 575 729 .21 2 .43Moncler SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 103 090 46 095 EUR 14 .02 1 445 321 .80 2 .22Nexans SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 389 20 294 EUR 37 .5 1 702 087 .50 2 .62Ontex Group NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 473 50 891 EUR 27 .68 1 203 332 .64 1 .85OSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 775 14 653 EUR 45 .89 1 504 044 .75 2 .31OVS SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 223 943 100 135 EUR 5 .215 1 167 862 .75 1 .80Refresco Gerber NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 99 802 44 625 EUR 13 .43 1 340 340 .86 2 .06Rheinmetall AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 980 9 828 EUR 53 .09 1 166 918 .20 1 .80Sartorius AG -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 460 22 845 3 406 EUR 65 .73 2 002 135 .80 3 .08Scout24 AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 244 19 784 EUR 33 .945 1 501 862 .58 2 .31SRP Groupe SA * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 75 219 33 629 EUR 18 .3 1 376 507 .70 2 .12Teleperformance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 657 9 683 EUR 76 .35 1 653 511 .95 2 .54Tokmanni Group Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 214 380 220 144 5 764 EUR 6 .62 1 419 195 .60 2 .18Unipol Gruppo Finanziario SpA . . . . . . . . . . . . . . . . . . . . . . . . Count 431 104 288 995 157 215 EUR 2 .044 881 176 .58 1 .36B&M European Value Retail SA . . . . . . . . . . . . . . . . . . . . . . . Count 324 785 145 228 GBP 2 .526 991 625 .73 1 .53Berkeley Group Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 091 18 372 GBP 24 .83 1 233 223 .82 1 .90CMC Markets Plc 144A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 436 572 603 382 166 810 GBP 2 .67 1 408 917 .67 2 .17Cranswick Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 563 26 186 GBP 20 .77 1 470 206 .33 2 .26Inchcape Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 155 365 69 469 GBP 6 .195 1 163 356 .92 1 .79Keller Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 88 129 39 406 GBP 9 .015 960 291 .43 1 .48Rightmove Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 563 12 324 GBP 35 .78 1 192 024 .82 1 .83SSP Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 368 459 442 319 73 860 GBP 2 .784 1 239 872 .07 1 .91UBM Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 186 317 186 317 GBP 6 .167 1 388 809 .87 2 .14Europris ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 314 134 140 462 NOK 35 .5 1 197 631 .31 1 .84Leroy Seafood Group ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 154 18 848 NOK 395 .3 1 789 556 .64 2 .75Skandiabanken ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 298 162 133 322 NOK 52 .75 1 689 097 .04 2 .60Dometic Group AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 272 636 285 700 113 678 SEK 54 .8 1 583 856 .50 2 .44Nobina AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 381 497 170 592 SEK 44 .4 1 795 668 .51 2 .76

Total securities portfolio 65 094 531.10 100.17 Derivatives (Minus signs denote short positions) Currency derivatives 76 292.74 0.12Receivables/payables Currency futures Currency futures (short) Closed positions EUR/GBP 1 .5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 688 .33 0 .01 Currency futures (long) Open positions GBP/EUR 6 .4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68 604 .41 0 .11




159

Cash at bank 256 920.49 0.40Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 29 775 35 989 .17 0 .06Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 74 353 9 993 .85 0 .02Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 930 071 99 883 .99 0 .15Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 925 424 98 105 .37 0 .15 Deposits in non-EU/EEA currencies Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 10 814 9 979 .55 0 .02U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 300 2 968 .56 0 .00 Other assets 1 584 463.73 2.43Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282 826 .81 0 .44Receivables from exceeding the expense cap . . . . . . . . . . . . 7 781 .53 0 .01Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 293 855 .39 1 .98 Receivables from share certificate transactions 69 000.68 0.10 Total assets 67 081 208.74 103.22 Short-term liabilities -242 132.36 -0.37EUR loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR -242 132 .36 -0 .37 Other liabilities -1 394 569.09 -2.15Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 394 569 .09 -2 .15 Liabilities from share certificate transactions -457 542.45 -0.70 Total liabilities -2 094 243.90 -3.22 Net assets 64 986 964.84 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .


Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 199 .19Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 211 .39Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 183 .52Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 187 .85Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 172 .00 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 362Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 623Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 62 942Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 104 419Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 79 519 Composition of the reference portfolio (according to CSSF circular 11/512)DJ Stoxx Europe Small 200 TR EUR




160



SRP Groupe SA Count 70 027 1 281 494.10VZ Holding AG Count 5 163 1 359 147.53

Total receivables from securities loans 2 640 641.63 2 640 641.63 Contracting parties for securities loans Citigroup Global Markets, Merrill Lynch International, UBS AG London Branch Total collateral pledged by third parties for securities loans EUR 2 698 304.25 thereof: Bonds EUR 419 046.11Equities EUR 2 279 258.14


As of: June 30, 2016 Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation


Footnote

* Some or all of these securities are lent.




Securities traded on an exchange Equities Aareal Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . . Count 57 733Essentra Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 181 288Ingenico . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 370Interserve Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 258 117Nordex SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 68 772Permanent TSB Group Holdings Plc . . . . . . . . . . Count 473 661UBM Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 297 003 297 003Zumtobel AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 110 976


Equities Edag Engineering Group AG . . . . . . . . . . . . . . . . Count 99 034


Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Futures contracts Equity index futures Contracts sold (Underlying: DJ Stoxx Europe Small 20) EUR 2 787 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 21 279 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 21 058

161


Interest-bearing securities 4.25 % Aareal Bank AG 2014/2026 * . . . . . . . . . . . . . . . . EUR 100 000 % 102.731 102 731.00 0.75 7.625 % Aareal Bank AG 2014/2049 * . . . . . . . . . . . . . . . . . EUR 400 000 % 95.817 383 268.00 2.78 4.125 % Allied Irish Banks PLC 2015/2025* . . . . . . . . . . . . . EUR 400 000 % 93.326 373 304.00 2.71 7.375 % Allied Irish Banks PLC 2015/2049 . . . . . . . . . . . . . . EUR 200 000 200 000 200 000 % 88.185 176 370.00 1.28 5.00 % ASR Nederland NV 2014/2049 * . . . . . . . . . . . . . . EUR 180 000 % 98.957 178 122.60 1.29 7.75 % Assicurazioni Generali SpA 2012/2042 * . . . . . . . . EUR 200 000 % 116.002 232 004.00 1.69 5.50 % Assicurazioni Generali SpA 2015/2047* . . . . . . . . EUR 130 000 % 102.678 133 481.40 0.97 4.25 % Bank of Ireland 2014/2024 * . . . . . . . . . . . . . . . . . EUR 300 000 % 97.444 292 332.00 2.12 7.375 % Bank of Ireland 2015/2049 . . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 400 000 % 93.11 186 220.00 1.35 4.00 % Bankia SA (MTN) 2014/2024 * . . . . . . . . . . . . . . . EUR 200 000 % 94.935 189 870.00 1.38 8.625 % Bankinter SA 2016/2049 * . . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 % 103.508 207 016.00 1.50 2.375 % Banque Federative du Credit Mutuel SA (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 300 000 % 99.629 298 887.00 2.17 6.50 % Barclays Plc 2014/2049 * . . . . . . . . . . . . . . . . . . . EUR 200 000 % 88.836 177 672.00 1.29 3.50 % BBVA Sub Capital Unipers -Reg- 2014/2024 * . . . EUR 200 000 % 101.976 203 952.00 1.48 3.125 % Belfius Bank SA/NV 2016/2026 . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 100.939 100 939.00 0.73 2.875 % BPCE SA (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 100.735 100 735.00 0.73 2.75 % BPCE SA 2015/2027* . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 101.33 101 330.00 0.74 4.25 % CNP Assurances 2014/2045* . . . . . . . . . . . . . . . . EUR 200 000 200 000 % 95.382 190 764.00 1.39 5.50 % Cooperatieve Centrale Raiffeisen-

Boerenleenbank BA/Netherlands 2015/2049 * . . . EUR 250 000 % 95.605 239 012.50 1.74 6.50 % Credit Agricole SA -Reg- 2014/2049 * . . . . . . . . . EUR 200 000 % 94.564 189 128.00 1.37 3.25 % Credit Mutuel Arkea SA (MTN) 2016/2026 . . . . . . EUR 100 000 100 000 % 102.38 102 380.00 0.74 5.75 % Danske Bank A/S 2014/2049 * . . . . . . . . . . . . . . . EUR 200 000 % 98.578 197 156.00 1.43 5.00 % Deutsche Bank AG (MTN) 2010/2020 . . . . . . . . . EUR 150 000 % 105.474 158 211.00 1.15 4.75 % DNB Bank ASA (MTN) 2012/2022 * . . . . . . . . . . . EUR 200 000 200 000 % 102.644 205 288.00 1.49 3.125 % HSBC Holdings Plc (MTN) 2016/2028 . . . . . . . . . . . EUR 200 000 200 000 % 101.758 203 516.00 1.48 7.00 % Intesa Sanpaolo SpA (MTN) 2016/2049 * . . . . . . . EUR 200 000 200 000 % 92.638 185 276.00 1.35 6.625 % Intesa Sanpaolo SpA 2013/2023 . . . . . . . . . . . . . . . EUR 200 000 % 116.128 232 256.00 1.69 1.875 % KBC Groep NV (MTN) 2015/2027 * . . . . . . . . . . . . EUR 100 000 % 97.249 97 249.00 0.71 5.625 % KBC Groep NV 2014/2049 * . . . . . . . . . . . . . . . . . . EUR 200 000 100 000 100 000 % 94.929 189 858.00 1.38 5.05 % La Mondiale SAM 2014/49/1* . . . . . . . . . . . . . . . . EUR 200 000 % 97.482 194 964.00 1.42 10.50 % Royal Bank of Scotland Plc (MTN) 2012/2022 * . . EUR 200 000 % 106.248 212 496.00 1.54 3.25 % Santander Issuances SAU (MTN) 2016/2026 . . . . EUR 300 000 300 000 % 97.238 291 714.00 2.12 5.75 % UniCredit SpA (MTN) 2013/2025 * . . . . . . . . . . . . EUR 100 000 % 103.735 103 735.00 0.75 6.75 % UniCredit SpA 2014/2049 * . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 % 80.373 160 746.00 1.17 4.25 % Unione di Banche Italiane SpA (MTN) 2016/2026 * EUR 100 000 200 000 100 000 % 97.822 97 822.00 0.71 5.844 % HSBC Bank Capital Funding Sterling 1 LP

2003/2049 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 106 000 % 107.145 137 276.52 1.00 7.00 % Lloyds Banking Group PLC 2015/2049 . . . . . . . . . GBP 200 000 % 94.601 228 688.43 1.66 4.80 % ABN AMRO Bank NV (MTN) -Reg- 2016/2026 . . . USD 200 000 200 000 % 104.437 187 895.53 1.36 8.25 % Aquarius + Investments Plc for Swiss

Reinsurance Co., Ltd. (MTN) 2012/2049 * . . . . . . USD 200 000 % 106.07 190 833.51 1.39 6.75 % Australia & New Zealand Banking Group Ltd/

United Kingdom -Reg- 2016/2049 * . . . . . . . . . . . USD 200 000 200 000 % 103.447 186 114.39 1.35 9.00 % Banco Bilbao Vizcaya Argentaria SA 2015/2049 . . USD 200 000 % 100.096 180 085.52 1.31 6.375 % Banco Santander SA -Reg- 2014/2049 * . . . . . . . . . USD 200 000 % 87.893 158 130.76 1.15 4.20 % Bank of America Corp. (MTN) 2014/2024 . . . . . . . USD 150 000 % 103.601 139 793.59 1.02 4.40 % Citigroup Inc 2015/2025 . . . . . . . . . . . . . . . . . . . . USD 200 000 % 104.505 188 017.87 1.37 8.125 % Credit Agricole SA -Reg- 2016/2049 * . . . . . . . . . . USD 200 000 200 000 % 99.83 179 606.95 1.30 6.25 % Credit Suisse Group AG -Reg- 2014/2049 * . . . . . USD 200 000 200 000 200 000 % 94.519 170 051.78 1.23 7.875 % Friends Life Holdings PLC 2015/2049 . . . . . . . . . . . USD 300 000 % 107.994 291 442.54 2.12 5.95 % Goldman Sachs Group Inc/The 2006/2027 . . . . . . USD 200 000 % 115.298 207 435.86 1.51 6.00 % ING Groep NV 2015/2049 . . . . . . . . . . . . . . . . . . . USD 200 000 % 93.688 168 556.70 1.22 6.50 % ING Groep NV 2015/2049 * . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 91.661 164 909.87 1.20 4.35 % Morgan Stanley 2014/2026 . . . . . . . . . . . . . . . . . . USD 150 000 % 104.806 141 419.56 1.03 5.75 % Skandinaviska Enskilda Banken AB (MTN)

2014/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 200 000 % 95.317 342 974.97 2.49 7.875 % Societe Generale SA -Reg- 2013/2049 * . . . . . . . . . USD 200 000 200 000 200 000 % 92.032 165 577.35 1.20 6.875 % UBS Group AG 2016/2049 * . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 98.101 176 496.26 1.28 4.30 % Wells Fargo & Co 2015/2027 . . . . . . . . . . . . . . . . USD 150 000 % 108.172 145 961.46 1.06 5.95 % Wells Fargo Capital X 2006/2036 . . . . . . . . . . . . . USD 100 000 % 104.938 94 398.45 0.69 Securities admitted to or included in organized markets 1 624 280.34 11.80 Interest-bearing securities 1.00 % ABN AMRO Bank NV 2015/2049 . . . . . . . . . . . . . EUR 400 000 200 000 % 93.412 373 648.00 2.71 6.463 % AXA SA -Reg- 2006/2049 * . . . . . . . . . . . . . . . . . . . USD 300 000 150 000 % 104.372 281 667.88 2.05 5.71 % Intesa Sanpaolo SpA 144A 2016/2026 . . . . . . . . . USD 300 000 300 000 % 95.319 257 236.62 1.87 5.017 % Intesa Sanpaolo SpA 2014/2024 . . . . . . . . . . . . . . . USD 200 000 % 91.958 165 444.21 1.20 7.90 % JPMorgan Chase & Co. 2008/2049 * . . . . . . . . . . USD 200 000 % 101.812 183 172.82 1.33 5.30 % Lloyds Banking Group Plc 2015/2045 . . . . . . . . . . USD 200 000 % 105.32 189 484.16 1.38 5.45 % Morgan Stanley 2014/2049 . . . . . . . . . . . . . . . . . . USD 200 000 % 96.506 173 626.65 1.26

Total securities portfolio 12 159 753.71 88.33




162


Derivatives (Minus signs denote short positions) Interest rate derivatives -80 190.74 -0.58Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . Count -6 -6 -24 480 .00 -0 .18UK Treasury Notes 09/2016 (IFLL) . . . . . . . . . . . . . . . . . . . . . Count -2 -2 -12 377 .09 -0 .09US Treasury Notes 30 year 09/2016 (CBT) . . . . . . . . . . . . . . . Count -3 -3 -25 974 .88 -0 .18US Treasury Notes 5 year Futures 09/2016 (CBT) . . . . . . . . . Count -10 -10 -17 358 .77 -0 .13 Currency derivatives 30 868.60 0.22Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 0 .3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -118 .36 0 .00EUR/USD 6 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 986 .96 0 .22 Cash at bank 1 324 703.48 9.62 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 677 868 .04 4 .92 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 44 172 53 390 .26 0 .39 Deposits in non-EU/EEA currencies U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 659 703 593 445 .18 4 .31 Other assets 347 163.90 2.52Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165 959 .46 1 .21Receivables from exceeding the expense cap . . . . . . . . . . . . 8 901 .95 0 .06Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172 302 .49 1 .25 Total assets ** 13 862 608.05 100.69 Other liabilities -15 333.42 -0.11Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -15 333 .42 -0 .11 Total liabilities -95 642.52 -0.69 Net assets 13 766 965.53 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .


Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 95 .27Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 94 .80Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 95 .45

Number of shares outstandingClass FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 000Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 120 000Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 Presentation of the maximum limit (according to CSSF circular 11/512)8% of portfolio value

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure % 3 .159 Highest market risk exposure % 7 .540 Average market risk exposure % 6 .232


163


The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.6, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 7 919 279.32 as of the reporting date.


Futures exchanges CBT = Chicago Board of TradeIFLL = ICE Futures Europe - Financial Products DivisionEUR = Eurex

Contracting parties for currency futuresMorgan Stanley and Co. International PLC and State Street Bank and Trust Company


As of December 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation


Footnotes


164






Interest-bearing securities0.00 % Allianz Finance II BV (MTN)

2016/2020 . . . . . . . . . . . . . . . . . . . . . EUR 200 000 200 0007.00 % Banco Bilbao Vizcaya Argentaria SA

-Reg- 2014/2049 * . . . . . . . . . . . . . . . EUR 200 000 200 0006.25 % Banco Santander SA 2014/2049 * . . EUR 300 0002.625 % BNP Paribas SA (MTN) 2014/2027 * EUR 100 0002.875 % BNP Paribas SA (MTN) 2016/2026 . . EUR 120 000 120 0009.00 % Delta Lloyd Levensverzekering NV

2012/2042 . . . . . . . . . . . . . . . . . . . . . EUR 150 0004.625 % NN Group NV -Reg- 2014/2044 * . . . EUR 200 0005.50 % Vienna Insurance Group AG Wiener

Versicherung Gruppe 2013/2043 * . . EUR 200 0005.125 % Aviva Plc (MTN) 2015/2050 * . . . . . . GBP 150 0006.875 % Nationwide Building Society (MTN)

2014/2049 * . . . . . . . . . . . . . . . . . . . GBP 300 0007.375 % BNP Paribas SA 2015/2049 . . . . . . . . USD 200 0008.375 % Cooperatieve Centrale Raiffeisen-

Boerenleenbank BA 2011/2049 * . . . USD 100 0007.875 % Credit Suisse Group Guernsey I Ltd

2011/2041 . . . . . . . . . . . . . . . . . . . . . USD 150 0005.75 % DNB Bank ASA 2015/2049 * . . . . . . USD 6.875 % HSBC Holdings Plc 2016/2049 * . . . USD 200 000 200 0005.50 % Nordea Bank AB -Reg- 2014/2049 * . USD 1.00 % Societe Generale 2015/2049 . . . . . . . USD 300 0005.25 % Svenska Handelsbanken AB

2015/2049 * . . . . . . . . . . . . . . . . . . . USD 200 0005.50 % Swedbank AB 2015/2049 * . . . . . . . USD 200 000

Securities admitted to or included in organized markets Interest-bearing securities 1.00 % CNP Assurances 2015/2047 . . . . . . . EUR 100 0001.00 % Barclays Plc 2015/2049 . . . . . . . . . . . GBP 200 0006.375 % HSBC Holdings Plc 2015/2049 * . . . USD 200 0007.70 % Intesa Sanpaolo SpA 2015/2049 . . . . USD 200 000 500 0007.50 % Royal Bank of Scotland Group PLC

2015/2049 . . . . . . . . . . . . . . . . . . . . . USD 400 000

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Notes 10 year, UK Treasury Notes, US Treasury Note 30-Year, US Treasury Note 5-Year, US Treasury Ultra Bond) EUR 9 881 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 2 470EUR/USD EUR 11 346 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 2 573USD/EUR EUR 11 557

165

Securities traded on an exchange 537 081 341.35 98.42 Equities Aareal Bank AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 105 533 3 595 EUR 27 .995 2 954 396 .34 0 .54Allianz SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 308 311 8 703 13 158 EUR 126 .15 38 893 432 .65 7 .13Amadeus Fire AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 772 1 831 EUR 56 .1 3 016 609 .20 0 .55BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 451 214 33 887 63 421 EUR 68 .1 30 727 673 .40 5 .63Bayer AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 074 66 869 46 436 EUR 88 .9 35 566 578 .60 6 .52Bayerische Motoren Werke AG -Pref- . . . . . . . . . . . . . . . . . . . Count 253 010 27 089 EUR 57 .3 14 497 473 .00 2 .66Bechtle AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 633 1 452 EUR 94 .52 4 029 671 .16 0 .74Brenntag AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 52 920 1 803 EUR 42 .825 2 266 299 .00 0 .42Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 118 919 53 000 41 824 EUR 168 .5 20 037 851 .50 3 .67Covestro AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 103 413 89 540 111 495 EUR 39 .555 4 090 501 .22 0 .75Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 655 630 71 338 EUR 53 .03 34 768 058 .90 6 .37Deutsche Annington Immobilien SE . . . . . . . . . . . . . . . . . . . Count 198 417 109 694 EUR 32 .765 6 501 133 .01 1 .19Deutsche Bank AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 277 710 371 380 EUR 12 .25 3 401 947 .50 0 .62Deutsche Boerse AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 159 590 62 399 EUR 72 .78 11 614 960 .20 2 .13Deutsche Lufthansa AG -Reg- * . . . . . . . . . . . . . . . . . . . . . . . Count 816 344 771 971 EUR 10 .435 8 518 549 .64 1 .56Deutsche Pfandbriefbank AG . . . . . . . . . . . . . . . . . . . . . . . . . Count 330 613 36 295 EUR 8 .771 2 899 806 .62 0 .54Deutsche Post AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 019 633 233 504 145 932 EUR 25 .055 25 546 904 .82 4 .68Deutsche Telekom AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 754 103 443 066 EUR 15 .13 11 409 578 .39 2 .09Dialog Semiconductor Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 260 76 094 EUR 26 .755 10 708 956 .30 1 .96DO & CO AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 028 12 972 EUR 78 .95 3 397 060 .60 0 .62Duerr AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 143 28 143 EUR 67 .49 1 899 371 .07 0 .35Evotec AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 490 139 130 000 12 267 EUR 3 .776 1 850 764 .86 0 .34Fraport AG Frankfurt Airport Services Worldwide . . . . . . . . . . Count 41 138 1 401 EUR 47 .825 1 967 424 .85 0 .36Freenet AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 332 058 410 048 EUR 22 .97 7 627 372 .26 1 .40Fresenius SE & Co . KGaA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 170 739 125 221 EUR 64 .95 11 089 498 .05 2 .03Hannover Rueck SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 900 1 189 EUR 93 .06 3 247 794 .00 0 .60HeidelbergCement AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 141 12 030 EUR 67 .06 7 721 355 .46 1 .41Henkel AG & Co . KGaA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . Count 154 137 154 137 96 924 EUR 108 .55 16 731 571 .35 3 .08Hornbach Holding AG + Co KGA . . . . . . . . . . . . . . . . . . . . . . . Count 68 461 7 163 EUR 61 .59 4 216 512 .99 0 .77Infineon Technologies AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 596 691 65 150 EUR 12 .93 7 715 214 .63 1 .41Jenoptik AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 221 879 21 925 EUR 14 .72 3 266 058 .88 0 .60K+S AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 109 260 3 721 EUR 18 .13 1 980 883 .80 0 .36KION Group AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 76 814 8 814 EUR 43 .485 3 340 256 .79 0 .61LANXESS AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 819 6 343 EUR 39 .075 2 337 427 .43 0 .43Linde AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 117 169 90 000 60 420 EUR 124 14 528 956 .00 2 .66Merck KGaA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 110 972 51 201 4 355 EUR 90 .16 10 005 235 .52 1 .83MTU Aero Engines AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 514 42 472 1 023 EUR 83 .94 6 086 825 .16 1 .12Muenchener Rueckversicherungs AG -Reg- . . . . . . . . . . . . . . Count 100 375 12 469 2 994 EUR 148 .5 14 905 687 .50 2 .73Nordex SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 192 008 96 121 77 328 EUR 25 .415 4 879 883 .32 0 .89OSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 190 789 44 444 131 672 EUR 45 .89 8 755 307 .21 1 .60ProSiebenSat .1 Media AG . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 67 959 7 827 EUR 38 .755 2 633 751 .05 0 .48SAP AG * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 597 549 56 113 EUR 66 .85 39 946 150 .65 7 .32Siemens AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 356 717 38 403 EUR 90 .93 32 436 276 .81 5 .95Sixt SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 87 822 9 921 EUR 46 .195 4 056 937 .29 0 .74Sixt SE -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 66 487 22 265 EUR 35 .4 2 353 639 .80 0 .43SMA Solar Technology AG . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 90 683 102 673 11 990 EUR 44 .15 4 003 654 .45 0 .73Software AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 227 349 232 712 5 363 EUR 30 .385 6 907 999 .37 1 .27Stada Arzneimittel AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 159 001 340 783 EUR 46 .435 7 383 211 .44 1 .35STO SE & Co . KGaA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 800 2 648 EUR 102 .9 2 243 220 .00 0 .41Symrise AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 50 000 EUR 60 .65 3 032 500 .00 0 .56TUI AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 375 223 375 223 EUR 10 .15 3 808 513 .45 0 .70United Internet AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 69 575 7 189 EUR 36 .875 2 565 578 .13 0 .47Wirecard AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 248 932 503 069 344 358 EUR 39 .2 9 758 134 .40 1 .79Zalando SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 195 448 111 244 110 673 EUR 23 .785 4 648 730 .68 0 .85Zooplus AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 149 1 900 EUR 126 .85 2 302 200 .65 0 .42

Investment fund units 4 276 436.40 0.78 In-group fund units BB Biotech AG EUR - (0 .400%) . . . . . . . . . . . . . . . . . . . . . . . Units 103 797 88 412 7 471 EUR 41 .2 4 276 436 .40 0 .78 Total securities portfolio 541 357 777.75 99.20 Derivatives (Minus signs denote short positions) Derivatives on individual securities -61 870.00 -0.01 Securities options Receivables/payables Equity options Put Deutsche Telekom 12/2016 13 .5 EUR (DB) . . . . . . . . . . . - 134 500 .00 -61 870 .00 -0 .01 Equity index derivatives 548 911.08 0.10Receivables/payables




166

Equity index futures Dax Index 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 184 184 548 911 .08 0 .10 Currency derivatives 2 407 423.21 0.44Receivables/payables Currency futures Currency futures (short) Closed positions EUR/USD 26 .5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317 252 .82 0 .06 Currency futures (long) Open positions USD/EUR 159 .7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 090 170 .39 0 .38 Cash at bank 11 990 105.29 2.20 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 987 974 .30 0 .91 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 969 1 171 .01 0 .00 Deposits in non-EU/EEA currencies Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 109 398 100 959 .98 0 .02 Time deposits EUR deposits (DEKABANK 0 .01% 01/07/2016) . . . . . . . . . . . EUR 6 900 000 6 900 000 .00 1 .27 Other assets 2 493 674.80 0.46Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 869 426 .95 0 .35Prepaid placement fee ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 675 .81 0 .00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 608 572 .04 0 .11 Receivables from share certificate transactions 2 347 073.51 0.43 Total assets *** 561 144 965.64 102.83 Other liabilities -3 536 464.04 -0.65Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -718 223 .11 -0 .13Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 818 240 .93 -0 .52 Liabilities from share certificate transactions -11 829 728.70 -2.17 Total liabilities -15 428 062.74 -2.83 Net assets 545 716 902.90 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 150 .01Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 145 .78Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 143 .74Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 141 .65Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97 .15Class GBP CH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 83 .26Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 85 .62Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 108 .65Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 115 .81 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 033 689Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 640 356Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 885 401Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 127 172Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 678Class GBP CH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 132Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 528Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 413 052



167

Composition of the reference portfolio (according to CSSF circular 11/512)GERM CDAX PERFORMANCE unhedged Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 98 .657 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 133 .185 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 118 .145 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .2, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 107 411 303 .34 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .


Futures exchangesDB = Deutsche Bank AG

Contracting parties for currency futuresState Street Bank London and State Street Bank and Trust Company



Deutsche Lufthansa AG -Reg- Count 780 000 8 139 300 .00SAP AG Count 65 000 4 345 250 .00 Total receivables from securities loans 12 484 550.00 12 484 550.00 Contracting parties for securities loans Deutsche Bank London, Merrill Lynch International Total collateral pledged by third parties for securities loans EUR 13 185 211.04 thereof: Bonds EUR 1 081 209 .62Equities EUR 12 104 001 .42


As of: June 30, 2016 Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1 .083580 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1 Notes on valuation


Footnotes

* Some or all of these securities are lent .** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations) .

*** Does not include positions with a negative balance, if such exist .


168




Securities traded on an exchange Equities Adidas AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 97 179Hugo Boss AG . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 421Indus Holding AG . . . . . . . . . . . . . . . . . . . . . . . . Count 2 488 2 488Porsche Automobil Holding SE -Pref- . . . . . . . . . Count 107 375Rocket Internet AG . . . . . . . . . . . . . . . . . . . . . . . Count 148 135SAF-Holland SA . . . . . . . . . . . . . . . . . . . . . . . . . . Count 257 842Volkswagen AG -Pref- . . . . . . . . . . . . . . . . . . . . . Count 78 432


Value (’000)Futures contracts Equity index futures Contracts sold (Underlyings: Dax Index) EUR 694 079 Currency futures (short) Futures contracts to sell currencies EUR/USD EUR 1 088 960 Currency futures (long) Futures contracts to purchase currencies USD/EUR EUR 896 652 Option contracts Securities options Equity options Put options purchased (Underlyings: Deutsche Post AG, Henkel, Hugo Boss AG, Linde) EUR 1 291


169

Securities traded on an exchange 640 955 263.16 99.76 Equities Australian Agricultural Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 7 664 108 156 308 AUD 1.765 10 059 462.70 1.57Coca-Cola Amatil Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 194 565 31 140 23 734 AUD 8.23 7 311 021.82 1.14GrainCorp Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 413 001 224 037 AUD 8.63 15 485 910.91 2.41Select Harvests Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 934 399 43 294 18 178 AUD 6.74 4 683 394.27 0.73BrasilAgro - Co Brasileira de Propriedades Agricolas . . . . . . . Count 1 591 952 23 500 BRL 11.98 5 939 638.41 0.92Fertilizantes Heringer SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 129 055 BRL 1.75 1 160 374.43 0.18M Dias Branco SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 113 213 2 309 BRL 101.8 3 589 362.30 0.56Metalfrio Solutions SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 114 023 BRL 2.49 88 422.96 0.01Minerva SA/Brazil . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 615 478 73 711 BRL 8.93 10 055 192.79 1.56Santos Brasil Participacoes SA . . . . . . . . . . . . . . . . . . . . . . . . Count 706 494 114 932 BRL 12.45 2 739 372.23 0.43Sao Martinho SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 230 698 4 706 BRL 53.03 3 810 120.20 0.59SLC Agricola SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 428 548 65 323 BRL 14.79 20 398 712.17 3.17Wilson Sons Ltd -BDR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 569 851 5 445 BRL 32 5 679 165.34 0.88Feronia, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 151 CAD 0.1 38 520.56 0.01Aryzta AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 295 609 41 990 5 457 CHF 35.18 10 668 914.72 1.66Syngenta AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 378 31 556 CHF 374.1 3 599 189.33 0.56Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 661 EUR 116.4 7 202 311.79 1.12Bayer AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 64 025 64 025 EUR 88.9 6 327 312.45 0.98Ebro Puleva SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 142 630 239 956 EUR 20.49 3 248 783.52 0.51KTG Agrar AG-BR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 130 490 2 660 EUR 1.89 274 161.82 0.04KWS Saat AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 149 652 3 053 EUR 297 49 409 095.96 7.69Naturex . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 769 178 EUR 71.59 697 863.31 0.11OCI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 133 084 65 868 EUR 12.34 1 825 613.92 0.28Sintal Agriculture -Reg- -GDR- . . . . . . . . . . . . . . . . . . . . . . . . . Count 411 992 EUR 0 45.80 0.00Vilmorin & Cie SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 427 232 73 116 EUR 57.3 27 213 620.82 4.24Viscofan SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 883 689 EUR 49.16 1 851 661.78 0.29Diageo Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 98 740 98 740 GBP 20.235 2 684 619.50 0.42Tate & Lyle Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 196 483 15 836 935 554 GBP 6.6 1 742 429.94 0.27China Agri-Industries Holdings Ltd . . . . . . . . . . . . . . . . . . . . . Count 15 392 262 313 818 HKD 2.55 5 058 741.33 0.79China BlueChemical Ltd -H- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 172 737 574 506 HKD 1.36 4 938 189.99 0.77China Merchants Holdings International Co., Ltd . . . . . . . . . . Count 1 116 148 22 535 HKD 20.6 2 963 390.27 0.46CPMC Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 533 658 112 700 HKD 3.29 2 346 432.46 0.37WH Group Ltd 144A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 289 658 3 941 959 HKD 6.08 8 846 759.29 1.38Grupo Comercial Chedraui SA de CV . . . . . . . . . . . . . . . . . . . Count 492 701 7 275 MXN 44.6 1 185 981.84 0.18Food Empire Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 644 400 127 600 SGD 0.31 1 988 398.01 0.31Petra Foods Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 138 000 224 700 SGD 2.89 2 440 320.55 0.38Charoen Pokphand Foods PCL . . . . . . . . . . . . . . . . . . . . . . . . Count 9 389 147 3 018 300 THB 28.75 7 681 786.46 1.20Adecoagro SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 318 106 222 931 USD 10.56 3 359 199.36 0.52Agrium, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 572 125 10 990 117 241 USD 88.63 50 707 438.75 7.89Ambev SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 952 012 1 259 690 USD 5.865 11 448 550.38 1.78Aramark Services, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 83 315 83 315 USD 32.79 2 731 898.85 0.43Archer-Daniels-Midland Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 118 371 2 416 USD 41.8 4 947 907.80 0.77Bunge Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 440 647 157 423 6 134 USD 58.92 25 962 921.24 4.04CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 964 368 359 665 46 766 USD 23.72 46 594 808.96 7.25ConAgra Foods, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 348 23 348 USD 46.43 1 084 047.64 0.17Darling International, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 578 754 397 456 USD 14.71 8 513 471.34 1.33FMC Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95 644 34 159 USD 45.02 4 305 892.88 0.67Green Plains, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 155 674 3 176 USD 18.36 2 858 174.64 0.44GrubHub, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 282 43 282 USD 31.45 1 361 218.90 0.21Hain Celestial Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 278 43 278 USD 47.99 2 076 911.22 0.32Hershey Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 876 43 604 USD 98.15 4 699 029.40 0.73International Flavors & Fragrances, Inc. . . . . . . . . . . . . . . . . . Count 9 100 9 100 USD 124.15 1 129 765.00 0.18Israel Chemicals Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 65 934 219 170 USD 3.85 253 845.90 0.04Mondelez International, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 134 039 16 672 42 147 USD 43.1 5 777 080.90 0.90Monsanto Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 278 735 61 888 74 806 USD 103.09 28 734 791.15 4.47Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 111 261 35 688 55 889 USD 25.3 53 414 903.30 8.31Noodles & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 328 355 6 699 USD 9.82 3 224 446.10 0.50Potash Corp. of Saskatchewan, Inc. . . . . . . . . . . . . . . . . . . . . Count 2 518 396 131 451 USD 15.73 39 614 369.08 6.17Sintal Agriculture -Reg- -GDR- . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 106 829 USD 0 110.68 0.00SunOpta, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 248 076 201 471 41 749 USD 4.08 9 172 150.08 1.43The Andersons, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 533 964 78 993 USD 35.22 18 806 212.08 2.93Thermo Fisher Scientific, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 065 225 USD 145.35 1 608 297.75 0.25TreeHouse Foods, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 205 760 2 915 8 027 USD 99.53 20 479 292.80 3.19Tyson Foods, Inc. -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 727 14 529 USD 65.1 1 609 727.70 0.25Union Agriculture Group SA . . . . . . . . . . . . . . . . . . . . . . . . . . Count 698 334 USD 10.2 7 123 006.80 1.11United Natural Foods, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 288 584 5 889 USD 45.45 13 116 142.80 2.04US Foods Holding Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 140 589 140 589 USD 24.05 3 381 165.45 0.53WhiteWave Foods Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 832 53 832 USD 45.37 2 442 357.84 0.38Yum! Brands, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 666 50 064 USD 82.16 3 258 958.56 0.51Zoetis, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 252 16 415 USD 47.04 905 614.08 0.14Shoprite Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 617 883 12 605 ZAR 167.49 7 031 712.16 1.09Tiger Brands Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 161 368 3 293 ZAR 363.5 3 985 545.64 0.62

Total securities portfolio 640 955 263.16 99.76 Cash at bank 2 448 650.68 0.38




170

Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 894 610 994 492 .44 0 .15 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 106 142 .55 0 .00Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 904 227 .48 0 .00Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 0 0 .00 0 .00 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 833 619 .66 0 .00Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 4 1 .32 0 .00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 2 404 647 309 921 .18 0 .05Israeli shekel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ILS 0 0 .03 0 .00Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 348 18 .81 0 .00Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 0 0 .01 0 .00Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 0 0 .28 0 .00South African rand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 1 346 91 .48 0 .00U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 143 135 .44 0 .18 Time deposits Other assets 1 490 917.06 0.23Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 823 960 .18 0 .13Prepaid placement fee * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 248 .99 0 .00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 658 707 .89 0 .10 Receivables from share certificate transactions 636 825.85 0.10 Total assets 645 531 656.75 100.47 Other liabilities -1 813 520.49 -0.28Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -849 913 .83 -0 .13Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -963 606 .66 -0 .15 Liabilities from share certificate transactions -1 252 228.26 -0.19 Total liabilities -3 065 748.75 -0.47 Net assets 642 465 908.00 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per shareClass FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 130 .64Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 119 .64Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 111 .12Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 112 .14Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 88 .68Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 128 .35Class GBP LD DS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 93 .92Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 112 .65Class USD IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 82 .33Class USD JD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 86 .82Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 104 .55

Number of shares outstandingClass FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 729 604Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 558 649Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 113Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 259 038Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 807Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 176 618Class GBP LD DS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 631Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 215 659Class USD IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 839Class USD JD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 84 332Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 763 947



171

Composition of the reference portfolio (according to CSSF circular 11/512)S&P Global Agribusiness Equity Index

Market risk exposure (value-at-risk) (according to CSSF circular 11/512)

Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 87 .764 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 101 .843 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 96 .840 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 .

In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0 .00 as of the reporting date .



Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .344719 = USD 1Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3 .210900 = USD 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .298400 = USD 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 0 .974750 = USD 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 6 .692600 = USD 1Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0 .899564 = USD 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .744241 = USD 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 7 .758900 = USD 1Israeli shekel . . . . . . . . . . . . . . . . . . . . ILS 3 .852450 = USD 1Mexican peso . . . . . . . . . . . . . . . . . . . MXN 18 .528500 = USD 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 8 .376300 = USD 1Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 3 .973600 = USD 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .347700 = USD 1Thai baht . . . . . . . . . . . . . . . . . . . . . . . THB 35 .140000 = USD 1South African rand . . . . . . . . . . . . . . . . ZAR 14 .717500 = USD 1

Notes on valuation


Footnote

* The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations) .


172




Securities traded on an exchange Equities BISI International Tbk PT . . . . . . . . . . . . . . . . . . . Count 12 450 805Credicorp Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 310CSX Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 62 319Dow Chemical Co . . . . . . . . . . . . . . . . . . . . . . . . . Count 286 061Fresh Market, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 428 399Ingredion, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 725Intrepid Potash, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 217 793Minerva SA/Brazil -Rights Exp 25Feb16 . . . . . . . Count 1 903 391 1 903 391Panera Bread Co . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 526Rumo Logistica Operadora Multimodal SA . . . . . Count 699 963Rumo Logistica Operadora Multinational 01/02/2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 251 500


Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Futures contracts Currency futures (short) Futures contracts to sell currencies EUR/AUD USD 1EUR/BRL USD 3USD/EUR USD 7USD/ZAR USD 112


Futures contracts to purchase currenciesEUR/BRL USD 2

173

Securities traded on an exchange 826 384 812.74 81.08 Interest-bearing securities 5.25 % Australia Government Bond 2006/2019 . . . . . . . . . AUD 20 500 000 % 109.717 15 046 251.30 1.48 4.25 % Australia Government Bond 2014/2026 . . . . . . . . . AUD 38 178 000 38 178 000 % 120.006 30 649 024.73 3.01 4.25 % Queensland Treasury Corp. 144A 2012/2023 . . . . . AUD 26 722 000 26 722 000 % 113.048 20 208 420.43 1.99 7.125 % ABN AMRO Bank NV 2012/2022 . . . . . . . . . . . . . . EUR 6 000 000 % 125.815 7 548 900.00 0.74 0.267 % Adagio III CLO Plc 2006/2022 * . . . . . . . . . . . . . . . EUR 3 407 365 54 691 % 96.5 3 288 107.28 0.32 3.25 % Alliander NV 2013/2049 * . . . . . . . . . . . . . . . . . . . . EUR 11 900 000 % 105 12 495 000.00 1.23 4.125 % Allied Irish Banks PLC 2015/2025* . . . . . . . . . . . . . EUR 5 640 000 % 93.326 5 263 586.40 0.52 5.125 % America Movil SAB de CV 2013/2073 * . . . . . . . . . EUR 4 500 000 % 105.319 4 739 355.00 0.46 4.75 % Banco Espanol de Credito SA 2012/2017 . . . . . . . . EUR 3 000 000 % 102.73 3 081 900.00 0.30 3.50 % Banco Popular Espanol SA (MTN) 2013/2017 . . . . . EUR 3 000 000 % 104.209 3 126 270.00 0.31 4.00 % Banco Popular Espanol SA 2006/2016 . . . . . . . . . . EUR 3 000 000 % 101.173 3 035 190.00 0.30 4.625 % Bank of America Corp. (MTN) 2010/2017 . . . . . . . . EUR 1 000 000 % 105.056 1 050 560.00 0.10 4.125 % Bankinter SA 2012/2017 . . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 % 102.985 3 089 550.00 0.30 6.625 % Barclays Bank PLC 2011/2022 . . . . . . . . . . . . . . . . EUR 4 427 000 % 118.166 5 231 208.82 0.51 3.50 % BBVA Sub Capital Unipers -Reg- 2014/2024 * . . . . EUR 6 000 000 11 500 000 % 101.976 6 118 560.00 0.60 3.375 % Bharti Airtel International Netherlands BV -Reg-

2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 000 000 % 108.132 4 325 280.00 0.42 2.25 % Bundesrepublik Deutschland 2010/2020 ** . . . . . . EUR 10 308 058 10 000 000 % 112.232 11 568 939.65 1.14 3.00 % Bundesrepublik Deutschland 2010/2020 ** . . . . . . EUR 5 818 696 % 114.665 6 672 007.77 0.65 3.00 % CaixaBank SA 2013/2018 . . . . . . . . . . . . . . . . . . . . EUR 3 000 000 % 105.26 3 157 800.00 0.31 2.875 % Caja Rural de Navarra 2013/2018 . . . . . . . . . . . . . . EUR 3 000 000 % 105.703 3 171 090.00 0.31 1.875 % Corp Andina de Fomento (MTN) 2014/2021 . . . . . . EUR 3 580 000 % 106.649 3 818 034.20 0.37 3.875 % Credit Suisse AG/London (MTN) 2010/2017 . . . . . . EUR 1 100 000 % 102.203 1 124 233.00 0.11 1.375 % Credit Suisse AG/London 2014/2019 . . . . . . . . . . . EUR 10 000 000 % 103.512 10 351 200.00 1.02 0.10 % Deutsche Bundesrepublik Inflation Linked Bond

2015/2026 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 41 457 381 41 552 150 94 769 % 110.9 45 976 235.81 4.51 4.875 % DONG Energy A/S (MTN) 2013/3013 * . . . . . . . . . . EUR 4 500 000 % 105.323 4 739 535.00 0.47 7.375 % EnBW Energie Baden-Wuerttemberg AG (MTN)

2011/2072 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 000 000 % 104.148 9 373 320.00 0.92 6.25 % ESB Finance Ltd 2012/2017 . . . . . . . . . . . . . . . . . . EUR 442 000 % 107.563 475 428.46 0.05 3.50 % France Government Bond OAT 2010/2020 . . . . . . . EUR 1 500 000 % 115.19 1 727 850.00 0.17 4.125 % Gas Natural Capital Markets SA (MTN) 2012/2017 . EUR 2 200 000 % 103.349 2 273 678.00 0.22 3.875 % GDF Suez 2013/2049 * . . . . . . . . . . . . . . . . . . . . . . EUR 4 600 000 % 104.66 4 814 360.00 0.47 4.25 % German Postal Pensions Securitisation 2 Plc

2006/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 20 000 000 % 102.374 20 474 800.00 2.01 0.161 % Highlander Euro CDO III BV 2007/2023 * . . . . . . . . EUR 1 421 258 112 767 % 98.5 1 399 938.77 0.14 2.50 % Hutchison Whampoa Europe Finance 12 Ltd

2012/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 100 000 % 102.302 1 125 322.00 0.11 3.75 % Hutchison Whampoa Europe Finance 13 Ltd

2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 700 000 % 102.545 9 946 865.00 0.98 2.875 % Indonesia Government International Bond (MTN)

-Reg- 2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 719 000 4 719 000 % 104.375 4 925 456.25 0.48 3.75 % Indonesia Government International Bond (MTN)

-Reg- 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 070 000 9 070 000 % 101.22 9 180 654.00 0.90 3.375 % Intesa Sanpaolo SpA (MTN) 2013/2025 . . . . . . . . . EUR 1 000 000 % 124.487 1 244 870.00 0.12 0.10 % John Deere Bank SA (MTN) 2016/2020 * . . . . . . . . EUR 2 695 000 2 695 000 % 99.953 2 693 733.35 0.26 6.125 % Koninklijke KPN NV 2013/2049 * . . . . . . . . . . . . . . EUR 4 000 000 % 106.715 4 268 600.00 0.42 2.125 % Maexim Secured Funding Ltd 2013/2019 . . . . . . . . EUR 8 871 000 % 103.528 9 183 924.53 0.90 2.40 % Mediobanca SpA 2013/2018 . . . . . . . . . . . . . . . . . . EUR 4 000 000 % 104.966 4 198 640.00 0.41 1.625 % Mexico Government Bond (MTN) 2015/2024 . . . . . EUR 4 650 000 % 100.89 4 691 385.00 0.46 2.019 % National Westminster Bank Plc (MTN)

1999/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 000 000 % 90.667 8 160 030.00 0.80 1.75 % Netherlands Government Bond 144A

2013/2023 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 000 000 % 114.323 10 289 070.00 1.01 3.50 % Netherlands Government Bond 2010/2020 ** . . . . EUR 4 500 000 % 116.548 5 244 660.00 0.51 0.256 % OCI Euro Fund I BV 2007/2024 * . . . . . . . . . . . . . . EUR 705 364 950 060 % 99.85 704 306.09 0.07 5.50 % Petroleos Mexicanos (MTN) 2009/2017 . . . . . . . . . EUR 1 000 000 % 102.485 1 024 850.00 0.10 3.75 % Petroleos Mexicanos (MTN) 2016/2019 . . . . . . . . . EUR 11 320 000 11 320 000 % 104.615 11 842 418.00 1.16 0.266 % Silverstone Master Issuer Plc 2015/2070 * . . . . . . EUR 10 400 000 % 99.528 10 350 924.58 1.02 4.375 % Snam SpA (MTN) 2012/2016 . . . . . . . . . . . . . . . . . EUR 307 000 % 100.09 307 276.30 0.03 2.375 % Snam SpA (MTN) 2013/2017 . . . . . . . . . . . . . . . . . EUR 845 000 % 102.402 865 296.90 0.08 5.811 % Telefonica Emisiones SAU 2012/2017 . . . . . . . . . . EUR 1 000 000 % 106.811 1 068 110.00 0.10 5.625 % Telekom Austria AG 2013/2049* . . . . . . . . . . . . . . EUR 4 400 000 % 105.035 4 621 540.00 0.45 4.125 % Terna Rete Elettrica Nazionale SpA (MTN)

2012/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 49 000 % 102.644 50 295.56 0.00 5.50 % The Royal Bank of Scotland Plc (MTN) 2010/2020 . EUR 6 400 000 % 116.794 7 474 816.00 0.73 2.25 % Total SA (MTN) 2015/2049 * . . . . . . . . . . . . . . . . . . EUR 9 310 000 % 96.849 9 016 641.90 0.88 3.00 % Vattenfall AB 2015/2077 * . . . . . . . . . . . . . . . . . . . EUR 3 050 000 % 82.177 2 506 398.50 0.25 4.45 % Veolia Environnement SA 2013/2049 * . . . . . . . . . EUR 8 800 000 % 105.162 9 254 256.00 0.91 0.43 % WPP Finance 2013 (MTN) 2015/2018 . . . . . . . . . . . EUR 1 000 000 % 100.382 1 003 820.00 0.10 8.875 % Zinc Capital SA (MTN) 2011/2018 . . . . . . . . . . . . . . EUR 3 558 000 3 558 000 % 100.101 3 561 593.58 0.35 1.875 % Abbey National Treasury Services Plc (MTN)

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 6 600 000 % 100.533 8 019 938.79 0.79 1.375 % BASF SE (MTN) 2014/2017 . . . . . . . . . . . . . . . . . . . GBP 3 500 000 % 100.851 4 266 450.67 0.42 1.875 % BMW Finance NV (MTN) 2015/2020 ** . . . . . . . . . GBP 6 190 000 % 102.189 7 645 629.94 0.75 5.125 % Citigroup, Inc. (MTN) 2003/2018 . . . . . . . . . . . . . . . GBP 10 000 000 10 000 000 % 106.846 12 914 474.64 1.27 1.437 % Duncan Funding 2016-1 Plc 2016/2063 * . . . . . . . . GBP 12 000 000 12 000 000 % 99.751 14 468 238.98 1.42 1.504 % Gosforth Funding 2016-2 Plc 2016/2058 * . . . . . . . GBP 2 757 000 2 757 000 % 99.958 3 330 986.01 0.33 6.125 % Siemens Financieringsmaatschappij NV 2006/2066 GBP 1 515 000 4 926 000 % 100.584 1 841 874.40 0.18 6.375 % UBS AG, Jersey 2007/2024 . . . . . . . . . . . . . . . . . . GBP 3 215 000 % 111.965 4 350 926.40 0.43




174

1.75 % United Kingdom Gilt 2011/2017 . . . . . . . . . . . . . . . GBP 26 500 000 % 100.827 32 295 439.19 3.17 1.00 % United Kingdom Gilt 2012/2017 . . . . . . . . . . . . . . . GBP 26 600 000 % 100.89 32 437 564.17 3.18 0.10 % Japan Government Two Year Bond 2015/2017 . . . JPY 7 206 000 000 % 100.44 63 343 679.72 6.21 1.625 % ABB Finance USA, Inc. 2012/2017 . . . . . . . . . . . . . USD 500 000 % 100.54 452 210.82 0.04 4.25 % ABN AMRO Bank NV -Reg- 2012/2017 . . . . . . . . . USD 2 300 000 % 101.703 2 104 232.22 0.21 3.75 % AerCap Ireland Capital Ltd Via AerCap Global

Aviation Trust 2015/2019 . . . . . . . . . . . . . . . . . . . . USD 2 420 000 2 420 000 % 101.125 2 201 435.51 0.22 4.625 % AerCap Ireland Capital Ltd Via AerCap Global

Aviation Trust 2015/2020 . . . . . . . . . . . . . . . . . . . . USD 1 550 000 1 550 000 % 103.375 1 441 382.64 0.14 4.125 % Ally Financial, Inc. 2015/2022 . . . . . . . . . . . . . . . . . USD 1 610 000 1 610 000 % 97.172 1 407 340.17 0.14 6.00 % Bank of America Corp 2007/2017 . . . . . . . . . . . . . . USD 6 500 000 % 105.116 6 146 277.77 0.60 5.75 % Bank of America Corp. 2007/2017 . . . . . . . . . . . . . USD 16 800 000 9 800 000 % 105.847 15 996 313.31 1.57 1.625 % BP Capital Markets Plc 2012/2017 . . . . . . . . . . . . . USD 2 700 000 % 100.443 2 439 582.48 0.24 5.875 % Cemex SAB de CV -Reg- 2013/2019 . . . . . . . . . . . . USD 16 200 000 8 200 000 % 102.647 14 958 682.43 1.47 2.15 % Citigroup Inc 2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 17 000 000 % 100.982 15 442 761.21 1.52 2.45 % Citizens Bank NA/Providence RI (MTN) 2014/2019 USD 2 790 000 2 790 000 % 101.166 2 539 035.09 0.25 2.50 % Citizens Bank NA/Providence RI (MTN) 2016/2019 USD 3 165 000 3 165 000 % 101.522 2 890 467.47 0.28 2.30 % Citizens Bank NA/RI 2015/2018 . . . . . . . . . . . . . . . USD 5 360 000 % 101.204 4 879 715.86 0.48 1.90 % CVS Health Corp 2015/2018 . . . . . . . . . . . . . . . . . . USD 18 000 000 % 101.324 16 406 617.05 1.61 3.20 % DNB Bank ASA -Reg- 2012/2017 . . . . . . . . . . . . . . USD 1 600 000 % 101.476 1 460 546.50 0.14 1.922 % Fannie Mae Connecticut Avenue Securities

2015/2025 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 991 136 1 525 965 % 100.078 1 792 550.68 0.18 2.943 % Ford Motor Credit Co LLC 2016/2019 . . . . . . . . . . . USD 9 000 000 9 000 000 % 102.855 8 327 218.97 0.82 7.00 % Ginnie Mae I pool 1999/2029 . . . . . . . . . . . . . . . . . USD 6 285 160 % 101.446 5 735.35 0.00 7.00 % Ginnie Mae I pool 1999/2029 . . . . . . . . . . . . . . . . . USD 6 130 443 % 103.513 5 708.17 0.00 1.50 % HSBC USA, Inc. 2014/2017 . . . . . . . . . . . . . . . . . . . USD 8 000 000 % 99.78 7 180 643.69 0.70 6.25 % Hungary Government International Bond

2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 8 765 000 8 765 000 % 111.129 8 762 164.32 0.86 6.00 % JPMorgan Chase & Co 2007/2018 . . . . . . . . . . . . . USD 8 000 000 % 106.889 7 692 279.71 0.75 2.25 % JPMorgan Chase & Co 2015/2020 . . . . . . . . . . . . . USD 8 000 000 % 101.372 7 295 248.14 0.72 2.00 % JPMorgan Chase & Co. 2012/2017 . . . . . . . . . . . . . USD 2 700 000 % 100.888 2 450 390.75 0.24 4.00 % Magyar Export-Import Bank Zrt -Reg- 2014/2020 . . USD 1 427 000 1 427 000 % 102.125 1 310 955.98 0.13 7.75 % Majapahit Holding BV -Reg- 2009/2020 . . . . . . . . . USD 4 910 000 4 910 000 % 114.5 5 057 303.83 0.50 5.95 % Mexico Government International Bond (MTN)

2008/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 000 000 % 111.9 7 046 284.81 0.69 2.00 % Nomura Holdings, Inc. (MTN) 2013/2016 . . . . . . . . USD 2 000 000 % 100.16 1 802 006.60 0.18 1.50 % PNC Bank NA 2015/2018 . . . . . . . . . . . . . . . . . . . . USD 12 079 000 % 100.428 10 912 393.65 1.07 1.85 % PNC Bank NA 2015/2018 . . . . . . . . . . . . . . . . . . . . USD 6 510 000 % 101.107 5 920 989.35 0.58 11.00 % Rabobank Nederland 2014/2049 * . . . . . . . . . . . . . USD 7 000 000 % 120.941 7 615 591.88 0.75 7.50 % Regions Bank/Birmingham AL 2008/2018 . . . . . . . USD 1 000 000 1 000 000 % 109.389 984 024.06 0.10 2.25 % Regions Bank/Birmingham AL 2015/2018 . . . . . . . USD 10 000 000 % 100.698 9 058 384.59 0.89 7.00 % RWE AG 2012/2072 * . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 101.898 458 318.86 0.04 2.75 % Sinopec Group Overseas Development 2012 Ltd

-Reg- 2012/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 100 000 % 101.179 1 001 186.85 0.10 5.625 % SSE Plc 2012/2049 * . . . . . . . . . . . . . . . . . . . . . . . . USD 5 000 000 % 102.935 4 629 831.02 0.45 2.125 % Swedbank AB 2012/2017 . . . . . . . . . . . . . . . . . . . . USD 1 200 000 % 101.048 1 090 795.11 0.11 1.20 % Toyota Motor Credit Corp. (MTN) 2016/2018 . . . . . USD 12 040 000 12 040 000 % 100.331 10 866 600.34 1.07 0.625 % United States Treasury Note/Bond 2012/2017 . . . . USD 20 000 000 % 100.068 18 003 578.65 1.77 1.90 % UnitedHealth Group Inc 2015/2018 . . . . . . . . . . . . . USD 4 630 000 % 101.518 4 228 226.56 0.41 5.75 % Wachovia Corp. (MTN) 2008/2018 . . . . . . . . . . . . . USD 5 000 000 % 106.94 4 809 968.71 0.47 4.25 % Wal-Mart Stores, Inc. 2011/2021 . . . . . . . . . . . . . . USD 5 000 000 % 113.223 5 092 566.74 0.50 2.25 % WellPoint, Inc. 2014/2019 . . . . . . . . . . . . . . . . . . . . USD 10 000 000 % 100.946 9 080 693.77 0.89 Securities admitted to or included in organized markets 103 296 066.51 10.13 Interest-bearing securities 0.35 % Harvest CLO III-A SA 2006/2021 * . . . . . . . . . . . . . EUR 1 345 989 1 346 972 % 99.86 1 344 104.76 0.13 2.00 % Banque Federative du Credit Mutuel SA (MTN)

-Reg- 2016/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 913 000 7 913 000 % 101.058 7 193 561.01 0.71 1.55 % Citigroup, Inc. 2014/2017 . . . . . . . . . . . . . . . . . . . . USD 10 000 000 % 100.272 9 020 063.16 0.89 2.75 % CNPC General Capital Ltd -Reg- 2012/2017 . . . . . . USD 1 100 000 % 101.124 1 000 642.61 0.10 2.05 % Commonwealth Bank of Australia/New York NY

(MTN) 2016/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3 166 000 3 166 000 % 101.534 2 891 708.24 0.28 3.48 % Diamond 1 Finance Corp. Via Diamond 2

Finance Corp. 144A 2016/2019 . . . . . . . . . . . . . . . . USD 4 290 000 4 290 000 % 102.192 3 943 721.68 0.39 2.589 % Fannie Mae Connecticut Avenue Securities

2016/2028 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 780 383 7 919 312 138 929 % 101.222 7 084 482.18 0.70 2.439 % Fannie Mae Connecticut Avenue Securities

2016/2028 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 429 468 7 495 413 65 945 % 100.742 6 732 887.97 0.66 0.00 % Freddie Mac Structured Agency Credit Risk

Debt Notes 2015/2017 * . . . . . . . . . . . . . . . . . . . . . USD 5 360 119 277 800 % 100.077 4 825 506.15 0.47 1.875 % Freddie Mac Structured Agency Credit Risk

Debt Notes 2016/2028 * . . . . . . . . . . . . . . . . . . . . . USD 16 763 287 17 369 300 606 013 % 100.355 15 133 149.23 1.48 1.546 % Freddie Mac Structured Agency Credit Risk

Debt Notes 2016/2028 * . . . . . . . . . . . . . . . . . . . . . USD 6 500 000 6 500 000 % 100.055 5 850 383.69 0.57 2.70 % Glencore Finance Canada Ltd -Reg- 2012/2017 . . . USD 8 000 000 % 99.975 7 194 712.87 0.71 5.625 % Jaguar Land Rover Automotive Plc 2013/2023 . . . . USD 2 220 000 2 220 000 % 104.373 2 084 362.29 0.20 1.875 % Nordea Bank AB 2015/2018 . . . . . . . . . . . . . . . . . . USD 4 050 000 % 101.042 3 681 196.70 0.36 8.00 % Petroleos Mexicanos 2009/2019 . . . . . . . . . . . . . . . USD 7 000 000 % 111.811 7 040 680.53 0.69 4.25 % Petroleos Mexicanos 2016/2025 . . . . . . . . . . . . . . . USD 990 000 990 000 % 95.902 854 072.87 0.08 2.25 % Roche Holdings, Inc. 2014/2019 . . . . . . . . . . . . . . . USD 10 000 000 % 103.192 9 282 780.83 0.91 2.65 % Swedbank AB 144A 2016/2021 . . . . . . . . . . . . . . . USD 5 550 000 5 550 000 % 103.574 5 171 015.01 0.51 3.832 % Taco Bell Funding LLC 144A 2016/2046 . . . . . . . . . USD 3 252 545 3 252 545 % 101.407 2 967 034.73 0.29



175

Unlisted securities 11 811 051.04 1.16 Interest-bearing securities 1.572 % Connecticut Avenue Securities 2015/2025 * . . . . . USD 3 132 899 2 157 325 % 99.9 2 815 411.04 0.28 1.783 % OCP CLO Ltd 2015/2027 * . . . . . . . . . . . . . . . . . . . USD 10 000 000 % 100 8 995 640.00 0.88

Investment fund units 55 570 460.56 5.45 In-group fund units Deutsche Global Liquidity Series Plc - Managed Euro Fund -Z- EUR - (0.000%) . . . . . . . . . . . . . . . . . Units 4 314 9 395 9 550 EUR 9 985.794 43 082 060.56 4.22Deutsche Invest I - I Multi Credit -FCH- EUR - (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 120 000 EUR 104.07 12 488 400.00 1.23 Total securities portfolio 997 062 390.85 97.82 Derivatives (Minus signs denote short positions) Interest rate derivatives -3 029 825.08 -0.29Receivables/payables Interest rate futures US Treasury Notes 5 year Futures 09/2016 (CBT) . . . . . . . . . Count -597 -597 -1 023 731.99 -0.11US Treasury Notes 10 year Futures 09/2016 (CBT) . . . . . . . . Count 245 245 75 760.16 0.02US Treasury Notes 2 year Futures 09/2016 (CBT) . . . . . . . . . Count -109 -109 -223 373.25 -0.02Euro SCHATZ Futures 09/2016 (EUR) . . . . . . . . . . . . . . . . . . Count -318 -318 -41 340.00 0.00Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . Count -253 -253 -1 544 340.00 -0.15Germany Federal Republic Bonds 5 year 09/2016 (EUR) . . . . Count -220 -220 -272 800.00 -0.03 Currency derivatives -6 684 021.20 -0.66Receivables/payables Currency futures Currency futures (short) Open positions EUR/AUD 99.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 588 940.88 -0.16EUR/GBP 103 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 277 707.08 0.71EUR/JPY 7210 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -9 674 073.48 -0.95EUR/USD 398 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 417 868.79 0.14 Closed positions EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12.16 0.00EUR/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.75 0.00 Currency futures (long) Open positions CHF/EUR 40.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186 294.87 0.02GBP/EUR 76.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 469 169.67 -0.44SEK/EUR 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -259.62 0.00USD/EUR 12.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166 529.80 0.02 Option contracts -118 332.20 -0.01 Options on inflation Put CPI US Inflation Floor EUR (221.400) Str. 117.35 09/01/2025 (OTC) (DB) . . . . . . . . . . . . . . . . . . . . . . . . Count 27 000 000 -129 490.65 -0.01Put CPI US Inflation Floor USD 98.600 Str. 238.54 03/11/2024 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . Count -34 000 000 -45 077.35 0.00Put HICP Inflation Floor USD 262.400 Str. 249.58 09/01/2025 (OTC) (DB) . . . . . . . . . . . . . . . . . . . . . . . . Count -32 000 000 47 127.08 0.00Put HICP Inflation Floor EUR (78.300) Str. 116.91 03/11/2024 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . Count 27 000 000 9 108.72 0.00 Swaps 4 752 705.77 0.47Receivables/payables Inflation swaps 12M CPTFE Inflation / 0.852% 25/05/2021 (OTC) (JP) . . . . . Count 52 000 000 322 197.20 0.03 12M CPTFE Inflation / 1.169% 25/05/2026 (OTC) (JP) . . . . . Count 52 000 000 -915 434.00 -0.0912M CPTFE Inflation / 1.471% 05/05/2026 (OTC) (JP) . . . . . Count 52 000 000 -769 568.80 -0.0812M USCP Inflation / 1.637% 25/05/2021 (OTC) (JP) . . . . . . Count 60 000 000 -241 894.56 -0.0212M USCP Inflation / 1.812% 25/05/2026 (OTC) (JP) . . . . . . Count 60 000 000 563 567.85 0.06 12M USCP Inflation / 2.043% 05/05/2026 (OTC) (JP) . . . . . . Count 60 000 000 455 922.42 0.04



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Interest rate swaps 1M Libor / 1.165% 24/06/2021 (OTC) (GS) . . . . . . . . . . . . . . . Count 100 000 000 757 927.65 0.073M Euribor / 1.7901% 27/12/2021 (OTC) (DB) . . . . . . . . . . . . Count 5 000 000 -522 651.50 -0.053M Libor / 1.23% 06/08/2018 (OTC) (JP) . . . . . . . . . . . . . . . . Count 60 000 000 -514 840.27 -0.053M Libor / 2.1% 25/05/2026 (OTC) (JP) . . . . . . . . . . . . . . . . . Count 60 000 000 -845 716.10 -0.083M Libor / 2.182% 05/05/2026 (OTC) (JP) . . . . . . . . . . . . . . . Count 60 000 000 -1 063 203.69 -0.106M Euribor / 0.001% 23/06/2019 (OTC) (DB) . . . . . . . . . . . . . Count 55 300 000 -61 012.49 -0.016M Euribor / 0.107% 21/07/2017 (OTC) (JP) . . . . . . . . . . . . . Count 25 000 000 -79 042.50 -0.016M Euribor / 0.569% 13/06/2018 (OTC) (DB) . . . . . . . . . . . . . Count 30 000 000 -445 335.00 -0.046M Euribor / 1.115% 25/05/2026 (OTC) (JP) . . . . . . . . . . . . . Count 52 000 000 750 568.00 0.086M Euribor / 1.152% 05/05/2026 (OTC) (JP) . . . . . . . . . . . . . Count 52 000 000 874 645.20 0.096M Euribor / 1.2865% 17/06/2022 (OTC) (DB) . . . . . . . . . . . . Count 19 000 000 -1 462 925.90 -0.146M Euribor / 1.692% 26/03/2022 (OTC) (DB) . . . . . . . . . . . . . Count 15 000 000 -1 379 211.00 -0.146M HICP / 1.04% 12/11/2020 (OTC) (ML) . . . . . . . . . . . . . . . Count 10 000 000 -249 407.00 -0.026M Libor / 1.451% 24/06/2021 (OTC) (GS) . . . . . . . . . . . . . . . Count 100 000 000 -765 708.88 -0.08 Credit default swaps Protection seller Banco Santander SA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . Count 10 000 000 342 199.40 0.03Brazil 13/07.01.25 / 1% 20/12/2020 (OTC) (ML) . . . . . . . . . . . Count 9 000 000 647 739.35 0.06Intesa Sanpaolo SpA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . Count 3 200 000 327 654.05 0.03Intesa Sanpaolo SpA / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . Count 1 800 000 184 305.40 0.02MARKIT CDX.NA.IG.26 06/19 - Serie 26 / 1% 20/06/2019 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 66 000 000 -842 883.17 -0.08MARKIT CDX.NA.IG.26 06/26 - Serie 26 / 1% 20/06/2026 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 000 000 610 984.16 0.06People‘s Republic of China / 1% 20/06/2021 (OTC) (DB) . . . . Count 23 000 000 214 615.01 0.02Republic of South Africa / 1% 20/06/2021 (OTC) (GS) . . . . . . Count 22 000 000 1 646 198.60 0.17Société Générale SA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . Count 20 000 000 -56 501.20 -0.01Standard Chartered Bank / 1% 20/06/2021 (OTC) (JP) . . . . . . Count 7 000 000 207 214.11 0.02UniCredit SpA / 1% 20/06/2021 (OTC) (GS) . . . . . . . . . . . . . . Count 9 500 000 1 388 548.69 0.14UniCredit SpA / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . Count 5 500 000 803 896.61 0.08Unione di Banche Italiane SpA / 1% 20/06/2021 (OTC) (JP) . . Count 3 200 000 184 473.63 0.02Unione di Banche Italiane SpA / 1% 20/06/2021 (OTC) (JP) . . Count 1 800 000 103 766.42 0.01 Protection buyer Brazil 13/07.01.25 / 1% 20/06/2020 (OTC) (DB) . . . . . . . . . . . Count 2 500 000 136 838.10 0.01CMW BK AU / 1% 20/03/2020 (OTC) (ML) . . . . . . . . . . . . . . . Count 10 000 000 126 831.23 0.01Deutsche Bank AG / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . . . Count 20 000 000 -1 106 167.80 -0.11MARKIT CDX.NA.IG.26 06/21 - Serie 26 / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 000 000 770 918.25 0.08MARKIT CDX.NA.IG.26 06/21 - Serie 26 / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 000 405 725.86 0.04MARKIT ITRX EUR XOVER 06/21 - Serie 25 / 5% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 000 2 679 185.00 0.26MARKIT ITRX EUROPE 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 000 347 484.00 0.03MARKIT ITRX EUROPE 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 40 000 000 277 987.20 0.03Mediobanca SpA / 1% 20/06/2019 (OTC) (GS) . . . . . . . . . . . . Count 10 000 000 -231 059.80 -0.02United Kingdom of Great Britain / 1% 20/06/2021 (OTC) (GS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 000 000 1 270 540.15 0.12Volkswagen AG / 1% 20/12/2016 (OTC) (GS) . . . . . . . . . . . . . Count 9 600 000 30 035.52 0.00Wal-Mart / 1% 20/03/2020 (OTC) (JP) . . . . . . . . . . . . . . . . . . Count 5 000 000 -126 699.63 -0.01 Cash at bank 26 204 914.14 2.57 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 17 604 242.12 1.72 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 2 246 444 2 715 276.14 0.27 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 6 331 802 55 415.30 0.01Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 32 22.23 0.00Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 633 30.75 0.00U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 6 480 837 5 829 927.60 0.57 Other assets 105 117 675.28 10.31Prepaid placement fee *** . . . . . . . . . . . . . . . . . . . . . . . . . . . 804 695.79 0.08Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 334 142.21 0.92Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94 978 837.28 9.31 Receivables from share certificate transactions 237 624.52 0.01 Total assets **** 1 154 234 992.26 113.25


177


Other liabilities -103 759 739.15 -10.18Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -103 759 739 .15 -10 .18 Liabilities from share certificate transactions -550 878.96 -0.06 Total liabilities -135 002 478.29 -13.25 Net assets 1 019 232 513.97 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .


Net asset value per share Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 98 .31Class CHF FDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 97 .10Class CHF ICH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 99 .07Class CHF LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 97 .90Class CHF LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 96 .92Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 113 .84Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97 .51Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .40Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97 .41Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 .61Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97 .95Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .46Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .67Class PFDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 96 .93Class GBP CH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 100 .54Class GBP DH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 98 .90Class GBP IDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 98 .82Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 005 .46Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 002 .44Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 .49Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 .22 Number of shares outstanding Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 103Class CHF FDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 103Class CHF ICH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 389 870Class CHF LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 128Class CHF LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 103Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 164 947Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 202 481Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 256 185Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 521 809Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 338 196Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 309 127Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 267 657Class PFDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 344 506Class GBP CH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 926Class GBP DH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 160 726Class GBP IDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 612 446Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 949Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 89 215 Presentation of the maximum limit (according to CSSF circular 11/512)10% of portfolio value

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 0 .357 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 0 .761 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 0 .530 The values-at-risk were calculated for the period from January 1, 2015, through December 31, 2015, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 1 .7, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 2 158 190 568 .86 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .


178

Total collateral pledged by third parties in connection with derivatives EUR 7 860 000.00thereof: Cash at bank EUR 7 860 000.00


Futures exchangesCBT = Chicago Board of TradeEUR = Eurex

Contracting parties for derivatives (with the exception of currency futures)DB = Deutsche Bank AGGS = Goldman Sachs InternationalJP = JPMorgan Securities PlcML = Merrill Lynch International

Contracting parties for currency futuresCrédit Suisse London Branch (GFX), Deutsche Bank AG Frankfurt, Goldman Sachs International, JP Morgan Securities PLC, Morgan Stanley and Co. International PLC, State Street Bank and Trust Company and UBS AG London

Securities lending



1.875 % BMW Finance NV (MTN) 2015/2020 GBP 1 600 000 1 976 253.30 3.00 % Bundesrepublik Deutschland 2010/2020 EUR 2 800 000 3 210 620.00 3.50 % Netherlands Government Bond 2010/2020 EUR 4 500 000 5 244 660.00 0.10 % Deutsche Bundesrepublik Inflation Linked Bond 2015/2026 EUR 40 000 000 44 360 000.00 1.75 % Netherlands Government Bond 144A 2013/2023 EUR 9 000 000 10 289 070.00 2.25 % Bundesrepublik Deutschland 2010/2020 EUR 10 000 000 11 223 200.00 Total receivables from securities loans 76 303 803.30 76 303 803.30 Contracting parties for securities loans BNP Paribas Arbitrage SNC, Barclays Capital Securities Limited, Deutsche Bank AG FI, J.P. Morgan Securities plc (Fix Income), Morgan Stanley Intl. FI Total collateral pledged by third parties for securities loans EUR 80 922 659.05 thereof: Bonds EUR 2 518 682.32Equities EUR 78 403 976.73 Exchange rates (indirect quotes)


Australian dollar . . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1Mexican peso . . . . . . . . . . . . . . . . . . . MXN 20.597200 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation


Footnotes


*** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). **** Does not include positions with a negative balance, if such exist.


179




Securities traded on an exchange Interest-bearing securities 3.50 % AyT Cedulas Cajas Global

2005/2016 . . . . . . . . . . . . . . . . . . . . . EUR 3 000 0007.00 % Bank of America Corp. (MTN)

2009/2016 . . . . . . . . . . . . . . . . . . . . . EUR 1 600 0003.00 % Bayer AG 2014/2075 * . . . . . . . . . . . EUR 7 230 0004.25 % Bundesrepublik Deutschland

2007/2017 . . . . . . . . . . . . . . . . . . . . . EUR 27 500 0001.50 % Bundesrepublik Deutschland

2014/2024 . . . . . . . . . . . . . . . . . . . . . EUR 14 300 0001.25 % Credit Suisse Group Funding

Guernsey Ltd (MTN) 2015/2022 . . . . EUR 20 000 0003.875 % Danske Bank A/S (MTN) 2011/2016 . EUR 1 100 0003.50 % Enel SpA 2010/2016 . . . . . . . . . . . . . EUR 1 100 0004.875 % Eni SpA 2011/2017 . . . . . . . . . . . . . . EUR 1 900 0001.875 % FCE Bank Plc (MTN) 2013/2016 . . . . EUR 1 800 0003.75 % France Government Bond OAT

2009/2019 . . . . . . . . . . . . . . . . . . . . . EUR 1 500 0008.375 % Intesa Sanpaolo SpA 2009/2049 * . . EUR 5 000 0003.90 % Ireland Government Bond

2013/2023 -Reg- . . . . . . . . . . . . . . . . EUR 3 500 0007.375 % Linde Finance BV 2006/2066 * . . . . . EUR 8 000 0002.25 % Mediobanca SpA 2014/2019 . . . . . . . EUR 10 000 0006.75 % OMV AG (MTN) 2011/2049 * . . . . . . EUR 4 400 0004.25 % Repsol International Finance BV (MTN)

2011/2016 . . . . . . . . . . . . . . . . . . . . . EUR 3 000 0001.10 % Santander Consumer Finance SA

2015/2018 . . . . . . . . . . . . . . . . . . . . . EUR 2 900 0005.25 % Siemens Financieringsmaatschappij NV

2006/2066 * . . . . . . . . . . . . . . . . . . . EUR 7 747 0003.125 % UBS AG (MTN) 2012/2016 . . . . . . . . EUR 900 0004.125 % GE Capital UK Funding (MTN)

2010/2017 . . . . . . . . . . . . . . . . . . . . . GBP 3 500 0002.875 % Walgreens Boots Alliance, Inc.

2014/2020 . . . . . . . . . . . . . . . . . . . . . GBP 1 340 0005.00 % New Zealand Government Bond

2010/2019 . . . . . . . . . . . . . . . . . . . . . NZD 38 000 0006.25 % Argentine Republic Government

International Bond -Reg- 2016/2019 . USD 1 254 000 1 254 0006.25 % Argentine Republic Government

International Bond -Reg- 2016/2019 . USD 1 089 000 1 089 0003.75 % Barclays Bank Plc 2014/2024 . . . . . . USD 4 700 0003.25 % Deutsche Bank AG 2011/2016 . . . . . USD 1 100 0004.375 % Royal Bank of Scotland Plc

2011/2016 . . . . . . . . . . . . . . . . . . . . . USD 2 100 000 Securities admitted to or included in organized markets Interest-bearing securities 2.375 % BNP Paribas SA 2012/2017 . . . . . . . . USD 2 500 0003.00 % Daimler Finance North America LLC

144A 2011/2016 . . . . . . . . . . . . . . . . USD 7 000 0003.875 % Danske Bank A/S (MTN) -Reg-

2011/2016 . . . . . . . . . . . . . . . . . . . . . USD 2 200 0006.50 % Intesa Sanpaolo SpA 144A

2011/2021 . . . . . . . . . . . . . . . . . . . . . USD 5 100 0004.25 % Petroleos Mexicanos -Reg-

2014/2025 . . . . . . . . . . . . . . . . . . . . . USD 990 0000.375 % United States Treasury Inflation

Indexed Bonds 2015/2025 . . . . . . . . USD 27 060 11 059 620 Unlisted securities Interest-bearing securities 1.822 % Freddie Mac Structured Agency

Credit Risk Debt Notes 2014/2024 * USD 35 836


Value (’000)Futures contracts Interest rate futures Contracts purchased (Underlyings: 90DAY EUR Futures, Euro Bobl, Euro Bund, Euro Buxl Futures, Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, UK Treasury Notes, US Treasury Note 10-Year, US Treasury Note 2-Year, US Treasury Note 5-Year) EUR 1 211 867 Contracts sold (Underlyings: Euro SCHATZ Futures, UK Treasury Notes, US Treasury Note 10-Year) EUR 96 459 Currency futures (short) Futures contracts to sell currencies EUR/AUD EUR 108 546EUR/CHF EUR 306 960EUR/GBP EUR 1 085 512EUR/JPY EUR 49EUR/NZD EUR 49 363EUR/SEK EUR 124EUR/USD EUR 1 398 381 Currency futures (long) Futures contracts to purchase currencies CHF/EUR EUR 242 279GBP/EUR EUR 516 225JPY/EUR EUR 98NZD/EUR EUR 25 072SEK/EUR EUR 104USD/EUR EUR 371 399 Swaps Interest rate swaps (Underlyings: 12M CPTFE Inflation, 3M Libor, 6M Euribor) EUR 689 190(Underlyings: 12M USCP Inflation, 1M Libor, 3M Libor, 6M Libor) USD 558 100 Credit default swaps Protection seller (Underlyings: Deutsche Bank AG, Intesa Sanpaolo, iTraxx Europe 5 Years, MARKIT ITRX EUROPE, Mediobanca SpA, Volkswagen AG) EUR 310 600(Underlyings: CDX.NA., MARKIT CDX., United Kingdom of Great Britain) USD 300 000 Protection buyer (Underlyings: Banco Santander SA, CDX EM, Intesa Sanpaolo SpA, iTraxx Europe Senior Financials 5 Years, Société Générale SA, UniCredit, Unione di Banche Italiane SpA) EUR 189 155(Underlyings: Standard Chartered Bank) GBP 14 000(Underlyings: Brazil, CDX.NA., MARKIT CDX, People‘s Republic of China, Republic of South Africa, South Africa) USD 337 000


180

Securities traded on an exchange 15 029 205.50 75.55 Interest-bearing securities 5.25 % Australia Government Bond 2006/2019 . . . . . . . . . AUD 265 000 279 000 % 109.717 194 500.32 0.98 4.25 % Australia Government Bond 2014/2026 . . . . . . . . . AUD 757 000 757 000 % 120.006 607 714.17 3.05 4.25 % Queensland Treasury Corp. 144A 2012/2023 . . . . . AUD 533 000 533 000 % 113.048 403 079.41 2.03 7.125 % ABN AMRO Bank NV 2012/2022 . . . . . . . . . . . . . . EUR 135 000 % 125.815 169 850.25 0.85 3.25 % Alliander NV 2013/2049 * . . . . . . . . . . . . . . . . . . . . EUR 422 000 % 105 443 100.00 2.24 4.125 % Allied Irish Banks PLC 2015/2025* . . . . . . . . . . . . . EUR 110 000 % 93.326 102 658.60 0.52 5.125 % America Movil SAB de CV 2013/2073 * . . . . . . . . . EUR 200 000 % 105.319 210 638.00 1.06 4.75 % Banco Espanol de Credito SA 2012/2017 . . . . . . . . EUR 100 000 100 000 % 102.73 102 730.00 0.52 4.00 % Banco Popular Espanol SA 2006/2016 . . . . . . . . . . EUR 100 000 % 101.173 101 173.00 0.51 4.125 % Bankinter SA 2012/2017 . . . . . . . . . . . . . . . . . . . . . EUR 50 000 % 102.985 51 492.50 0.26 6.625 % Barclays Bank PLC 2011/2022 . . . . . . . . . . . . . . . . EUR 100 000 % 118.166 118 166.00 0.59 3.50 % BBVA Sub Capital Unipers -Reg- 2014/2024 * . . . . EUR 100 000 300 000 % 101.976 101 976.00 0.51 3.375 % Bharti Airtel International Netherlands BV -Reg-

2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 % 108.132 108 132.00 0.54 1.50 % Bundesrepublik Deutschland 2014/2024 . . . . . . . . EUR 137 000 % 114.753 157 211.61 0.79 0.50 % Bundesrepublik Deutschland 2015/2025 . . . . . . . . EUR 170 000 % 106.588 181 199.60 0.91 3.00 % CaixaBank SA 2013/2018 . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 105.26 105 260.00 0.53 1.375 % Credit Suisse AG/London 2014/2019 . . . . . . . . . . . EUR 250 000 % 103.512 258 780.00 1.30 1.25 % Credit Suisse Group Funding Guernsey Ltd (MTN)

2015/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 97.775 195 550.00 0.98 0.10 % Deutsche Bundesrepublik Inflation Linked Bond

2015/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 851 255 853 644 2 389 % 110.9 944 041.78 4.75 4.875 % DONG Energy A/S (MTN) 2013/3013 * . . . . . . . . . . EUR 153 000 % 105.323 161 144.19 0.81 7.375 % EnBW Energie Baden-Wuerttemberg AG (MTN)

2011/2072 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 305 000 % 104.148 317 651.40 1.60 4.875 % Eni SpA 2011/2017 . . . . . . . . . . . . . . . . . . . . . . . . . EUR 20 000 % 106.232 21 246.40 0.11 3.75 % France Government Bond OAT 2009/2019 . . . . . . . EUR 62 500 50 000 % 114.095 71 309.38 0.36 3.50 % France Government Bond OAT 2010/2020 . . . . . . . EUR 62 500 50 000 % 115.19 71 993.75 0.36 3.875 % GDF Suez 2013/2049 * . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 % 104.66 104 660.00 0.53 4.25 % German Postal Pensions Securitisation 2 Plc

2006/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 350 000 % 102.374 358 309.00 1.80 2.50 % Hutchison Whampoa Europe Finance 12 Ltd

2012/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 % 102.302 102 302.00 0.51 3.75 % Hutchison Whampoa Europe Finance 13 Ltd

2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 345 000 % 102.545 353 780.25 1.78 2.875 % Indonesia Government International Bond (MTN)

-Reg- 2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 104.375 104 375.00 0.52 3.75 % Indonesia Government International Bond (MTN)

-Reg- 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 160 000 160 000 % 101.22 161 952.00 0.81 3.90 % Ireland Government Bond 2013/2023 -Reg- . . . . . . EUR 36 995 % 124.89 46 203.06 0.23 0.10 % John Deere Bank SA (MTN) 2016/2020 * . . . . . . . . EUR 100 000 100 000 % 99.953 99 953.00 0.50 6.125 % Koninklijke KPN NV 2013/2049 * . . . . . . . . . . . . . . EUR 200 000 % 106.715 213 430.00 1.07 2.125 % Maexim Secured Funding Ltd 2013/2019 . . . . . . . . EUR 200 000 % 103.528 207 055.00 1.04 2.40 % Mediobanca SpA 2013/2018 . . . . . . . . . . . . . . . . . . EUR 80 000 % 104.966 83 972.80 0.42 1.625 % Mexico Government Bond (MTN) 2015/2024 . . . . . EUR 100 000 % 100.89 100 890.00 0.51 1.75 % Netherlands Government Bond 144A 2013/2023 . . EUR 75 210 % 114.323 85 982.33 0.43 3.75 % Petroleos Mexicanos (MTN) 2016/2019 . . . . . . . . . EUR 240 000 240 000 % 104.615 251 076.00 1.26 5.625 % Telekom Austria AG 2013/2049* . . . . . . . . . . . . . . EUR 150 000 % 105.035 157 552.50 0.79 5.50 % The Royal Bank of Scotland Plc (MTN) 2010/2020 . EUR 171 000 % 116.794 199 717.74 1.00 2.25 % Total SA (MTN) 2015/2049 * . . . . . . . . . . . . . . . . . . EUR 100 000 % 96.849 96 849.00 0.49 3.00 % Vattenfall AB 2015/2077 * . . . . . . . . . . . . . . . . . . . EUR 115 000 % 82.177 94 503.55 0.48 4.45 % Veolia Environnement SA 2013/2049 * . . . . . . . . . EUR 300 000 % 105.162 315 486.00 1.59 8.875 % Zinc Capital SA (MTN) 2011/2018 . . . . . . . . . . . . . . EUR 100 000 100 000 % 100.101 100 101.00 0.50 1.875 % Abbey National Treasury Services Plc (MTN)

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 200 000 % 100.533 243 028.45 1.22 1.375 % BASF SE (MTN) 2014/2017 . . . . . . . . . . . . . . . . . . . GBP 84 000 % 100.851 102 394.82 0.51 1.875 % BMW Finance NV (MTN) 2015/2020 . . . . . . . . . . . GBP 123 000 58 000 % 102.189 151 924.47 0.76 1.504 % Gosforth Funding 2016-2 Plc 2016/2058 * . . . . . . . GBP 100 000 100 000 % 99.958 120 819.22 0.61 6.125 % Siemens Financieringsmaatschappij NV

2006/2066 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 53 000 174 000 % 100.584 64 435.21 0.32 6.375 % UBS AG, Jersey 2007/2024 . . . . . . . . . . . . . . . . . . GBP 58 000 % 111.965 78 492.61 0.39 1.75 % United Kingdom Gilt 2011/2017 . . . . . . . . . . . . . . . GBP 706 447 % 100.827 860 944.01 4.33 0.10 % Japan Government Two Year Bond 2015/2017 . . . JPY 46 000 000 % 100.44 404 358.77 2.03 4.125 % Ally Financial, Inc. 2015/2022 . . . . . . . . . . . . . . . . . USD 30 000 30 000 % 97.172 26 223.73 0.13 6.00 % Bank of America Corp 2007/2017 . . . . . . . . . . . . . . USD 120 000 % 105.116 113 469.74 0.57 5.75 % Bank of America Corp. 2007/2017 . . . . . . . . . . . . . USD 340 000 280 000 % 105.847 323 734.91 1.63 5.875 % Cemex SAB de CV -Reg- 2013/2019 . . . . . . . . . . . . USD 400 000 200 000 % 102.647 369 350.18 1.87 2.15 % Citigroup Inc 2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 330 000 100 000 % 100.982 299 771.25 1.51 1.90 % CVS Health Corp 2015/2018 . . . . . . . . . . . . . . . . . . USD 327 000 % 101.324 298 053.55 1.50 2.943 % Ford Motor Credit Co LLC 2016/2019 . . . . . . . . . . . USD 200 000 200 000 % 102.855 185 049.31 0.93 1.50 % HSBC USA, Inc. 2014/2017 . . . . . . . . . . . . . . . . . . . USD 200 000 % 99.78 179 516.09 0.90 6.25 % Hungary Government International Bond

2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 199 000 199 000 % 111.129 198 935.62 1.00 6.00 % JPMorgan Chase & Co 2007/2018 . . . . . . . . . . . . . USD 182 000 % 106.889 174 999.36 0.88 2.25 % JPMorgan Chase & Co 2015/2020 . . . . . . . . . . . . . USD 157 000 % 101.372 143 169.24 0.72 2.00 % JPMorgan Chase & Co. 2012/2017 . . . . . . . . . . . . . USD 86 000 % 100.888 78 049.48 0.39 7.75 % Majapahit Holding BV -Reg- 2009/2020 . . . . . . . . . USD 100 000 100 000 % 114.5 103 000.08 0.52 5.95 % Mexico Government International Bond (MTN)

2008/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 140 000 % 111.9 140 925.70 0.71 2.00 % Nomura Holdings, Inc. (MTN) 2013/2016 . . . . . . . . USD 17 000 % 100.16 15 317.06 0.08




181



1.50 % PNC Bank NA 2015/2018 . . . . . . . . . . . . . . . . . . . . USD 250 000 250 000 % 100.428 225 854.66 1.14 1.85 % PNC Bank NA 2015/2018 . . . . . . . . . . . . . . . . . . . . USD 250 000 % 101.107 227 380.54 1.14 11.00 % Rabobank Nederland 2014/2049 * . . . . . . . . . . . . . USD 75 000 % 120.941 81 595.63 0.41 5.625 % SSE Plc 2012/2049 * . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 102.935 185 193.24 0.93 1.20 % Toyota Motor Credit Corp. (MTN) 2016/2018 . . . . . USD 256 000 256 000 % 100.331 231 050.64 1.16 0.625 % United States Treasury Note/Bond 2012/2017 . . . . USD 400 000 400 000 % 100.068 360 071.58 1.81 1.90 % UnitedHealth Group Inc 2015/2018 . . . . . . . . . . . . . USD 96 000 % 101.518 87 669.49 0.44 5.75 % Wachovia Corp. (MTN) 2008/2018 . . . . . . . . . . . . . USD 143 000 % 106.94 137 565.10 0.69 4.25 % Wal-Mart Stores, Inc. 2011/2021 . . . . . . . . . . . . . . USD 143 000 % 113.223 145 647.41 0.73 2.25 % WellPoint, Inc. 2014/2019 . . . . . . . . . . . . . . . . . . . . USD 256 000 % 100.946 232 465.76 1.17 Securities admitted to or included in organized markets 1 956 184.66 9.83 Interest-bearing securities 2.00 % Banque Federative du Credit Mutuel SA (MTN) -Reg-

2016/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 101.058 181 816.28 0.91 1.55 % Citigroup, Inc. 2014/2017 . . . . . . . . . . . . . . . . . . . . USD 256 000 % 100.272 230 913.62 1.16 3.48 % Diamond 1 Finance Corp. Via Diamond 2

Finance Corp. 144A 2016/2019 . . . . . . . . . . . . . . . . USD 85 000 85 000 % 102.192 78 139.01 0.39 2.589 % Fannie Mae Connecticut Avenue Securities

2016/2028 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 165 150 168 099 2 949 % 101.222 150 378.52 0.76 2.439 % Fannie Mae Connecticut Avenue Securities

2016/2028 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 155 501 156 881 1 380 % 100.742 140 921.15 0.71 1.875 % Freddie Mac Structured Agency

Credit Risk Debt Notes 2016/2028 * . . . . . . . . . . . USD 332 770 344 800 12 030 % 100.355 300 409.91 1.51 1.546 % Freddie Mac Structured Agency

Credit Risk Debt Notes 2016/2028 * . . . . . . . . . . . USD 150 000 150 000 % 100.055 135 008.86 0.68 2.70 % Glencore Finance Canada Ltd -Reg- 2012/2017 . . . USD 163 000 % 99.975 146 592.27 0.74 8.00 % Petroleos Mexicanos 2009/2019 . . . . . . . . . . . . . . . USD 135 000 % 111.811 135 784.55 0.68 4.25 % Petroleos Mexicanos 2016/2025 . . . . . . . . . . . . . . . USD 30 000 30 000 % 95.902 25 881.00 0.13 2.25 % Roche Holdings, Inc. 2014/2019 . . . . . . . . . . . . . . . USD 200 000 % 103.192 185 655.62 0.93 2.65 % Swedbank AB 144A 2016/2021 . . . . . . . . . . . . . . . USD 200 000 200 000 % 103.574 186 342.88 0.94 3.832 % Taco Bell Funding LLC 144A 2016/2046 . . . . . . . . . USD 63 955 63 955 % 101.407 58 340.99 0.29

Investment fund units 9 546.42 0.05 In-group fund units Deutsche Global Liquidity Series Plc - Managed Euro Fund -Z- EUR - (0.000%) Units 1 50 49 EUR 9 985.794 9 546.42 0.05 Total securities portfolio 16 994 936.58 85.43 Derivatives (Minus signs denote short positions) Equity index derivatives -43 448.94 -0.22Receivables/payables Equity index futures MSCI World Index 09/2016 (DB) . . . . . . . . . . . . . . . . . . . . . . . Count -46 -46 -43 448.94 -0.22 Interest rate derivatives -62 237.91 -0.31Receivables/payables Interest rate futures US Treasury Notes 2 year Futures 09/2016 (CBT) . . . . . . . . . Count -4 -4 -7 266.80 -0.04Euro SCHATZ Futures 09/2016 (EUR) . . . . . . . . . . . . . . . . . . Count -18 -18 -2 340.00 -0.01Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . Count -6 -6 -38 260.00 -0.19Germany Federal Republic Bonds 5 year 09/2016 (EUR) . . . Count -2 -2 -2 480.00 -0.01US Treasury Notes 5 year Futures 09/2016 (CBT) . . . . . . . . . Count -10 -10 -17 147.94 -0.09US Treasury Notes 10 year Futures 09/2016 (CBT) . . . . . . . . Count 17 17 5 256.83 0.03 Currency derivatives 54 760.36 0.28Receivables/payables Currency futures Currency futures (short) Open positions EUR/AUD 1.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -29 159.29 -0.15EUR/GBP 1.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102 453.16 0.53EUR/JPY 47.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -63 566.03 -0.32EUR/USD 9.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 868.47 0.18USD/GBP 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 867.84 0.01USD/TWD 4.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 653.48 -0.01 Closed positions EUR/USD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 614.20 -0.01

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Option contracts Currency options Call USD CALL/CNH 11/2016 6.6 USD (ML) . . . . . . . . . . . . . . Count 1 000 000 22 614.14 0.11Call USD CALL/CNH 11/2016 6.95 USD (ML) . . . . . . . . . . . . . Count -2 000 000 -14 222.11 -0.07 Options on currency futures Call Currency Call Option EUR/USD 02/2017 1.23 EUR (CIT) . Count -300 000 -1 422.00 -0.01Put Currency Call Option EUR/USD 02/2017 1.07 EUR (CIT) . Count 300 000 4 909.50 0.02 Currency futures (long) Open positions CHF/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99.29 0.00SEK/EUR 3.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -414.93 0.00 Swaps 155 406.99 0.78Receivables/payables Inflation swaps 12M CPTFE Inflation / 1.169% 25/05/2026 (OTC) (JP) . . . . . . Count 1 250 000 -22 005.62 -0.1112M CPTFE Inflation / 1.471% 05/05/2026 (OTC) (JP) . . . . . . Count 1 250 000 -18 499.25 -0.0912M CPTFE Inflation / 0.852% 25/05/2021 (OTC) (JP) . . . . . . Count 1 250 000 7 745.13 0.0412M USCP Inflation / 1.637% 25/05/2021 (OTC) (JP) . . . . . . Count 1 437 500 -5 795.39 -0.0312M USCP Inflation / 2.043% 05/05/2026 (OTC) (JP) . . . . . . Count 1 437 500 10 923.14 0.0512M USCP Inflation / 1.812% 25/05/2026 (OTC) (JP) . . . . . . Count 1 437 500 13 502.15 0.07 Interest rate swaps 1M Libor / 1.165% 24/06/2021 (OTC) (GS) . . . . . . . . . . . . . . Count 2 000 000 15 158.55 0.08 3M Libor / 1.23% 06/08/2018 (OTC) (JP) . . . . . . . . . . . . . . . . Count 440 000 -3 775.50 -0.023M Libor / 2.1% 25/05/2026 (OTC) (JP) . . . . . . . . . . . . . . . . . Count 1 437 500 -20 261.95 -0.10 3M Libor / 2.182% 05/05/2026 (OTC) (JP) . . . . . . . . . . . . . . . Count 1 437 500 -25 472.59 -0.133M Libor / 2.56% 06/07/2025 (OTC) (BNP) . . . . . . . . . . . . . . . Count 120 000 -11 576.15 -0.06 6M Euribor / 0.001% 23/06/2019 (OTC) (DB) . . . . . . . . . . . . . Count 1 850 000 -2 041.10 -0.016M Euribor / 0.741% 04/09/2022 (OTC) (DB) . . . . . . . . . . . . . Count 400 000 -18 331.68 -0.096M Euribor / 0.752% 21/07/2022 (OTC) (JP) . . . . . . . . . . . . . Count 95 000 -4 404.70 -0.02 6M Euribor / 1.115% 25/05/2026 (OTC) (JP) . . . . . . . . . . . . . Count 1 250 000 18 042.50 0.096M Euribor / 1.152% 05/05/2026 (OTC) (JP) . . . . . . . . . . . . . Count 1 250 000 21 025.13 0.11 6M Euribor / 1.28% 06/07/2025 (OTC) (BNP) . . . . . . . . . . . . . Count 120 000 -10 828.90 -0.056M Libor / 1.451% 24/06/2021 (OTC) (GS) . . . . . . . . . . . . . . . Count 2 000 000 -15 314.18 -0.08

Credit default swaps Protection seller Deutsche Bank AG / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . . . Count 400 000 -22 123.36 -0.11MARKIT CDX.NA.IG.26 06/21 - Serie 26 / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 7 709.18 0.04MARKIT CDX.NA.IG.26 06/21 - Serie 26 / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 300 000 10 548.87 0.05MARKIT ITRX EUR XOVER 06/21 - Serie 25 / 5% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 300 000 69 658.81 0.34MARKIT ITRX EUROPE 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 000 3 474.84 0.02Mediobanca SpA / 1% 20/06/2019 (OTC) (GS) . . . . . . . . . . . . Count 160 000 -3 696.96 -0.02United Kingdom of Great Britain / 1% 20/06/2021 (OTC) (GS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 300 000 33 034.04 0.17Volkswagen AG / 1% 20/12/2016 (OTC) (GS) . . . . . . . . . . . . . Count 200 000 625.74 0.00 Protection buyer Banco Santander SA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . Count 100 000 3 421.99 0.02Brazil 13/07.01.25 / 1% 20/12/2020 (OTC) (ML) . . . . . . . . . . . Count 250 000 17 992.76 0.09Credit Suisse / 1% 20/09/2020 (OTC) (JP) . . . . . . . . . . . . . . . Count 95 000 2 035.33 0.01Credit Suisse Group Finance 99/27.09.19 / 1% 20/09/2020 (OTC) (JP) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 96 000 2 322.26 0.01Intesa Sanpaolo SpA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . Count 70 000 7 167.43 0.04Intesa Sanpaolo SpA / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . Count 33 000 3 378.93 0.02MARKIT CDX.NA.IG.26 06/19 - Serie 26 / 1% 20/06/2019 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 660 000 -8 428.83 -0.04MARKIT CDX.NA.IG.26 06/26 - Serie 26 / 1% 20/06/2026 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 340 000 6 109.84 0.03MARKIT ITRX EUROPE 06/21 - Serie 25 / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 050 000 7 297.16 0.04People‘s Republic of China / 1% 20/06/2021 (OTC) (DB) . . . . Count 100 000 933.11 0.00Republic of South Africa / 1% 20/06/2021 (OTC) (GS) . . . . . . Count 440 000 32 923.97 0.16Société Générale SA / 1% 20/06/2021 (OTC) (JP) . . . . . . . . . Count 400 000 -1 130.02 -0.01Standard Chartered Bank / 1% 20/06/2021 (OTC) (JP) . . . . . . Count 100 000 2 960.20 0.01UniCredit SpA / 1% 20/06/2021 (OTC) (GS) . . . . . . . . . . . . . . Count 200 000 29 232.60 0.15UniCredit SpA / 1% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . Count 109 000 15 931.77 0.08Unione di Banche Italiane SpA / 1% 20/06/2021 (OTC) (JP) . . Count 103 000 5 937.74 0.03



183

Cash at bank 2 689 631.65 13.52 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 538 930 .28 2 .71 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 107 612 130 070 .19 0 .65 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 1 275 668 11 164 .52 0 .06U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 233 823 2 009 466 .66 10 .10 Other assets 2 703 620.82 13.59Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190 565 .76 0 .96Receivables from exceeding the expense cap . . . . . . . . . . . . 43 621 .86 0 .22Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 469 433 .20 12 .41 Total assets ** 22 909 351.45 115.17 Other liabilities -2 600 066.47 -13.07Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 600 066 .47 -13 .07 Total liabilities -3 016 748.37 -15.17 Net assets 19 892 603.08 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 99 .33Class CHF LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 98 .98Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 125 .81Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .36Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .46Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .96Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .89Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .61 Number of shares outstanding Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108Class CHF LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 157 212Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 539Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 Presentation of the maximum limit (according to CSSF circular 11/512)10% of portfolio value

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 0 .313 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 1 .220 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 0 .598 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 1 .4, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 46 477 755 .10 as of the reporting date .



184


Futures exchangesCBT = Chicago Board of TradeDB = Deutsche Bank AGEUR = Eurex

Contracting parties for derivatives (with the exception of currency futures)BNP = BNP Parisbas SADB = Deutsche Bank AGGS = Goldman Sachs InternationalJP = JPMorgan Securities PlcML = Merrill Lynch International

Contracting parties for currency futuresBarclays Bank PLC Wholesale, Crédit Suisse London Branch (GFX), Deutsche Bank AG Frankfurt, JP Morgan Securities PLC, Merrill Lynch International, Morgan Stanley and Co. International PLC and State Street Bank and Trust Company



Australian dollar . . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1New Taiwan dollar . . . . . . . . . . . . . . . . TWD 35.860706 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation


Footnotes



185


Securities traded on an exchange Interest-bearing securities 3.50 % AyT Cedulas Cajas Global

2005/2016 . . . . . . . . . . . . . . . . . . . . . EUR 100 0003.00 % Bayer AG 2014/2075 * . . . . . . . . . . . EUR 270 0004.25 % Bundesrepublik Deutschland

2007/2017 . . . . . . . . . . . . . . . . . . . . . EUR 827 0002.25 % Bundesrepublik Deutschland

2010/2020 . . . . . . . . . . . . . . . . . . . . . EUR 434 340 681 0853.00 % Bundesrepublik Deutschland

2010/2020 . . . . . . . . . . . . . . . . . . . . . EUR 420 467 796 1203.50 % Enel SpA 2010/2016 . . . . . . . . . . . . . EUR 12 0007.375 % Linde Finance BV 2006/2066 * . . . . . EUR 270 0002.25 % Mediobanca SpA 2014/2019 . . . . . . . EUR 160 0006.75 % OMV AG (MTN) 2011/2049 * . . . . . . EUR 153 0005.25 % Siemens Financieringsmaatschappij NV

2006/2066 * . . . . . . . . . . . . . . . . . . . EUR 203 0004.125 % GE Capital UK Funding (MTN)

2010/2017 . . . . . . . . . . . . . . . . . . . . . GBP 86 0001.00 % United Kingdom Gilt 2012/2017 . . . . GBP 706 4475.00 % New Zealand Government Bond

2010/2019 . . . . . . . . . . . . . . . . . . . . . NZD 1 028 0003.75 % Barclays Bank Plc 2014/2024 . . . . . . USD 200 0004.375 % Royal Bank of Scotland Plc

2011/2016 . . . . . . . . . . . . . . . . . . . . . USD 18 000 Securities admitted to or included in organized markets Interest-bearing securities 2.375 % BNP Paribas SA 2012/2017 . . . . . . . . USD 56 0003.00 % Daimler Finance North America

LLC 144A 2011/2016 . . . . . . . . . . . . USD 150 0006.50 % Intesa Sanpaolo SpA 144A

2011/2021 . . . . . . . . . . . . . . . . . . . . . USD 100 0004.25 % Petroleos Mexicanos -Reg-

2014/2025 . . . . . . . . . . . . . . . . . . . . . USD 30 0000.375 % United States Treasury Inflation

Indexed Bonds 2015/2025 . . . . . . . . USD 561 229 236


Value (’000)Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro Bobl, Euro Bund, Euro Buxl Futures, Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, UK Treasury Notes, US Treasury Note 10-Year, US Treasury Note 2-Year, US Treasury Note 5-Year) EUR 29 309 Contracts sold (Underlyings: UK Treasury Notes, US Treasury Note 10-Year) EUR 1 568 Currency futures (short) Futures contracts to sell currencies EUR/AUD EUR 2 251EUR/CHF EUR 118EUR/GBP EUR 9 584EUR/JPY EUR 992EUR/NZD EUR 1 331EUR/USD EUR 25 550USD/GBP EUR 785USD/JPY EUR 195 Currency futures (long) Futures contracts to purchase currencies CHF/EUR EUR 99GBP/EUR EUR 861JPY/EUR EUR 1 176NZD/EUR EUR 685SEK/EUR EUR 398USD/EUR EUR 6 255USD/GBP EUR 985USD/JPY EUR 393 Swaps Interest rate swaps (Underlyings: 12M CPTFE Inflation, 6M Euribor) EUR 14 500(Underlyings: 12M USCP Inflation, 1M Libor, 3M Libor, 6M Libor) USD 12 038 Credit default swaps Protection seller (Underlyings: Deutsche Bank AG, iTraxx Europe, MARKIT ITRX EUROPE, Mediobanca SpA, Volkswagen AG) EUR 6 780(Underlyings: CDX.NA., MARKIT CDX., United Kingdom of Great Britain) USD 4 600 Protection buyer (Underlyings: Banco Santander SA, Commerzbank, Intesa Sanpaolo SpA, iTraxx Europe, Santander I nternational Debt, Société Générale SA, UniCredit SpA, Unione di Banche Italiane SpA) EUR 1 965(Underlying: Standard Chartered Bank) GBP 200(Underlyings: Brazil, CDX.NA., MARKIT CDX, People‘s Republic of China, Republic of South Africa) USD 3 670




186

Securities traded on an exchange 8 034 971.79 49.85 Equities BHP Billiton Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 290 3 289 AUD 18 .65 115 903 .11 0 .72Agnico-Eagle Mines Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 198 3 304 106 CAD 69 .11 153 123 .88 0 .95Barrick Gold Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 634 7 887 253 CAD 27 .39 144 866 .43 0 .90Canadian Natural Resources Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 4 352 249 CAD 39 .36 118 677 .27 0 .74Crescent Point Energy Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 367 370 CAD 20 .33 61 509 .77 0 .38HudBay Minerals, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 723 11 723 CAD 6 .22 50 518 .76 0 .31Lundin Mining Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 239 2 572 CAD 4 .38 73 555 .03 0 .46Pembina Pipeline Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 647 3 647 CAD 38 .79 98 011 .97 0 .61Silver Wheaton Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 696 1 278 273 CAD 29 .85 35 074 .68 0 .22Suncor Energy, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 362 439 CAD 35 .39 155 990 .37 0 .97Syngenta AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 491 211 CHF 374 .1 169 514 .96 1 .05Acerinox SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 426 529 EUR 9 .835 53 364 .71 0 .33Acerinox SA -Rights Exp 13Jul16 . . . . . . . . . . . . . . . . . . . . . . Count 5 426 5 426 EUR 0 .445 2 414 .57 0 .01Air Liquide SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 587 92 EUR 92 .92 147 464 .04 0 .91Akzo Nobel NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 720 278 EUR 55 .87 151 966 .40 0 .94BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 655 579 75 EUR 68 .1 180 805 .50 1 .12Eni SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 069 324 EUR 14 .26 115 063 .94 0 .71Linde AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 060 77 EUR 124 131 440 .00 0 .82Salzgitter AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 546 171 EUR 23 .535 36 385 .11 0 .23Solvay SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 597 326 EUR 83 .46 49 825 .62 0 .31Total SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 262 1 086 305 EUR 43 .05 355 679 .10 2 .21BHP Billiton Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 322 3 322 GBP 9 .261 37 185 .70 0 .23BP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 606 261 916 GBP 4 .276 142 695 .55 0 .89Glencore International Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 65 808 3 442 GBP 1 .516 120 585 .86 0 .75Rio Tinto Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 955 32 165 GBP 22 .565 135 144 .22 0 .84Royal Dutch Shell Plc -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 292 7 029 175 GBP 20 .055 297 963 .93 1 .85Royal Dutch Shell Plc -B- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 317 9 012 251 GBP 20 .155 275 697 .36 1 .71Shin-Etsu Chemical Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 984 173 JPY 5 962 103 522 .79 0 .64Air Products & Chemicals, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 743 33 USD 139 .3 93 104 .78 0 .58Anadarko Petroleum Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 580 1 566 136 USD 52 .16 167 978 .10 1 .04Apache Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 441 94 USD 55 .33 71 722 .71 0 .44Cabot Oil & Gas Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 778 2 778 USD 25 .19 62 949 .53 0 .39Celanese Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 688 651 USD 64 .36 97 728 .35 0 .61CF Industries Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 567 520 313 USD 23 .72 76 111 .43 0 .47Chevron Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 043 200 USD 103 .38 189 992 .72 1 .18Crown Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 437 327 USD 49 .36 108 208 .84 0 .67Diamondback Energy, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 753 100 USD 89 .93 60 916 .04 0 .38Dow Chemical Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 909 682 USD 49 .32 217 795 .13 1 .35Eastman Chemical Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 037 721 USD 66 .77 62 286 .25 0 .39Ecolab, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 770 354 USD 117 .06 81 083 .28 0 .50EI du Pont de Nemours & Co . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 519 963 USD 63 .68 144 298 .99 0 .90Enterprise Products Partners LP . . . . . . . . . . . . . . . . . . . . . . . Count 6 237 4 938 174 USD 28 .79 161 528 .62 1 .00EOG Resources, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 884 112 USD 83 .14 140 903 .89 0 .87EQT Midstream Partners LP . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 783 226 USD 77 .37 124 095 .49 0 .77Exxon Mobil Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 477 3 277 USD 92 .53 372 650 .51 2 .31Halliburton Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 932 276 USD 44 .49 157 364 .94 0 .98Marathon Petroleum Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 570 521 USD 36 .18 148 736 .25 0 .92Martin Marietta Materials, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 713 62 USD 185 .57 119 022 .58 0 .74Monsanto Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 226 1 226 USD 103 .09 113 694 .40 0 .71Newmont Mining Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 354 5 354 USD 38 .27 184 318 .49 1 .14Noble Energy, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 133 828 59 USD 35 .46 68 039 .58 0 .42Occidental Petroleum Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 389 140 USD 74 .95 161 071 .93 1 .00Pioneer Natural Resources Co . . . . . . . . . . . . . . . . . . . . . . . . Count 555 42 USD 150 .67 75 223 .21 0 .47PPG Industries, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 612 690 USD 102 .09 148 040 .42 0 .92Schlumberger Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 993 1 365 USD 78 .25 281 070 .80 1 .74USG Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 672 450 USD 26 .3 86 874 .13 0 .54Vulcan Materials Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 119 298 USD 118 .59 226 053 .43 1 .40

Interest-bearing securities 0 .00 % United States Treasury Bill 2016/2017 . . . . . . . . . . USD 401 000 401 000 % 99 .696 359 628 .20 2 .230 .00 % United States Treasury Bill 2016/2017 . . . . . . . . . . USD 177 000 177 000 % 99 .564 158 528 .14 0 .98 Securities admitted to or included in organized markets 3 082 426.78 19.12 Interest-bearing securities 0 .00 % Treasury Bill 2015/2016 . . . . . . . . . . . . . . . . . . . . . . USD 562 000 398 000 7 000 % 99 .874 504 919 .99 3 .130 .00 % United States Treasury Bill 2015/2016 . . . . . . . . . . USD 1 290 000 755 000 23 000 % 99 .99 1 160 321 .52 7 .200 .00 % United States Treasury Bill 2015/2016 . . . . . . . . . . USD 856 000 856 000 % 99 .971 769 804 .25 4 .770 .00 % United States Treasury Bill 2015/2016 . . . . . . . . . . USD 720 000 342 000 16 000 % 99 .953 647 381 .02 4 .02

Investment fund units 1 068 070.53 6.63 Non-group fund unitsETFS Brent Crude . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 106 USD 23 .35 2 226 .51 0 .02ETFS Nickel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 3 229 3 229 4 996 USD 9 .48 27 536 .48 0 .17ETFS Sugar ETC (USD) ETF . . . . . . . . . . . . . . . . . . . . . . . . . . Units 3 588 3 588 4 269 USD 13 .98 45 122 .35 0 .28ETFS Zinc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 14 874 14 874 USD 6 .15 82 287 .71 0 .51iShares Silver Trust USD - (0 .500%) . . . . . . . . . . . . . . . . . . . . Units 4 718 4 718 3 345 USD 17 .53 74 399 .83 0 .46SPDR Gold Shares USD - (0 .400%) . . . . . . . . . . . . . . . . . . . . Units 7 376 USD 126 .07 836 497 .65 5 .19




187

Total securities portfolio 12 185 469.10 75.60 Derivatives (Minus signs denote short positions) Swaps 189 494.48 1.18Receivables/payables Commodity swaps DJ Soybeans / 0.21% 26/07/2016 (OTC) (UBS) . . . . . . . . . . . Count 4 491 81 345.48 0.50DJ Live Cat. Cap / 0.22% 26/07/2016 (OTC) (UBS) . . . . . . . . Count 3 304 34 455.03 0.21DJ Coffee / 0.22% 26/07/2016 (OTC) (UBS) . . . . . . . . . . . . . . Count 4 671 62 514.12 0.39DJ KanWheat / 0.21% 25/08/2016 (OTC) (UBS) . . . . . . . . . . . Count 2 270 7 710.47 0.05DJ Wheat / 0.22% 26/09/2016 (OTC) (UBS) . . . . . . . . . . . . . . Count 5 069 16 990.59 0.11DJ Cotton / 0.21% 26/09/2016 (OTC) (UBS) . . . . . . . . . . . . . . Count 18 000 -2 066.42 -0.01DJ Silver / 0.22% 21/10/2016 (OTC) (UBS) . . . . . . . . . . . . . . . Count 4 925 45 029.35 0.29DJ Unl.Gas / 0.21% 25/11/2016 (OTC) (UBS) . . . . . . . . . . . . . Count 5 925 23 864.78 0.15DJ Gold SI / 0.21% 26/09/2016 (OTC) (UBS) . . . . . . . . . . . . . Count 4 202 21 321.30 0.13DJ Corn Cap / 0.22% 23/08/2016 (OTC) (UBS) . . . . . . . . . . . . Count 8 403 24 531.59 0.15BCOM Index / 0.12% 15/08/2016 (OTC) (UBS) . . . . . . . . . . . Count 1 990 000 -121 560.18 -0.76DJ Zinc / 0.22% 16/12/2016 (OTC) (UBS) . . . . . . . . . . . . . . . . Count 5 882 3 344.04 0.02DJ Soybeans / 0.22% 18/11/2016 (OTC) (UBS) . . . . . . . . . . . Count 4 814 -7 865.52 -0.05DJ Nickel / 0.23% 17/11/2016 (OTC) (UBS) . . . . . . . . . . . . . . Count 4 135 8 677.96 0.05DJ Lean Hogs Cap. / 0.24% 18/08/2016 (OTC) (UBS) . . . . . . Count 220 000 3 063.79 0.02DJ Heat Oil / 0.21% 19/07/2016 (OTC) (UBS) . . . . . . . . . . . . Count 3 565 137.09 0.00DJ Gold SI / 0.21% 19/09/2016 (OTC) (UBS) . . . . . . . . . . . . . Count 1 380 000 -15 080.05 -0.09DJ Brent Crude / 0.22% 14/10/2016 (OTC) (UBS) . . . . . . . . . Count 42 281 -10 132.21 -0.06DJ WTI Crude Oil / 0.21% 18/08/2016 (OTC) (UBS) . . . . . . . . Count 10 743 -5 269.66 -0.03DJ Soybeans Oil / 0.23% 14/10/2016 (OTC) (UBS) . . . . . . . . Count 4 030 -6 279.25 -0.04DJ Aluminium / 0.21% 14/10/2016 (OTC) (UBS) . . . . . . . . . . Count 550 000 -5 648.53 -0.04DJ Sugar / 1% 22/12/2016 (OTC) (UBS) . . . . . . . . . . . . . . . . . Count 3 953 10 917.06 0.07DJ Nat. Gas Cap. / 1% 22/12/2016 (OTC) (UBS) . . . . . . . . . . Count 24 070 19 493.65 0.12 Cash at bank 3 712 322.67 23.03 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 218 787.54 7.56 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 9 910 11 978.54 0.07 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 21 163 14 157.03 0.09Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 1 195 894 10 466.34 0.06Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 15 937 11 041.62 0.07Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 11 380 10 502.05 0.07U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 11 128 10 010.09 0.06 Time deposits USD deposits (Landeskreditbank Baden Württemberg 0.01% 04/03/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 700 000 628 820.57 3.90USD deposits (FMS Wertmanagement 0.01% 04/04/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 449 749.87 2.79USD deposits (DZ Privatbank S.A. 0.01% 22/01/2016) . . . . . . USD 500 000 449 032.89 2.79USD deposits (Kommuninvest I Sverige AB 0.01% 26/01/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 449 248.14 2.79USD deposits (European Investment Bank 0.01% 16/02/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 448 527.99 2.78 Other assets 31 815.72 0.20Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 465.72 0.06Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 687.45 0.09Receivables from exceeding the expense cap . . . . . . . . . . . . 8 662.55 0.05 Receivables from share certificate transactions 7 792.08 0.04 Total assets * 16 300 795.87 101.13 Other liabilities -7 572.04 -0.05Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 744.19 -0.03Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 827.85 -0.02 Total liabilities -181 473.86 -1.13 Net assets 16 119 322.01 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



188


Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 84 .34Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 83 .37Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 82 .99Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 83 .69Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 82 .85 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 215Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 132 151Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 802Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 856Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 811 Composition of the reference portfolio (according to CSSF circular 11/512)Bloomberg Commodity Index Total Return



Contracting party for derivatives (with the exception of currency futures)UBS = UBS AG Exchange rates (indirect quotes)

As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .494856 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1 .083580 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus .

If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are not valued at derived market values . The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses . A plus sign means that a performance-based fee may also be charged . As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds . No initial sales charges or redemption fees were paid in the reporting period . Footnote



189





Equities Alamos Gold, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Count 9 200California Resources Corp. . . . . . . . . . . . . . . . . . Count 22 22Chemours Co/The . . . . . . . . . . . . . . . . . . . . . . . . Count 996Goldcorp, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 768Pacific Drilling SA . . . . . . . . . . . . . . . . . . . . . . . . Count 3 852 4 200Pacific Drilling SA . . . . . . . . . . . . . . . . . . . . . . . . Count 406 406Phillips 66 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 337PrairieSky Royalty Ltd . . . . . . . . . . . . . . . . . . . . . Count 87 87RPM International, Inc. . . . . . . . . . . . . . . . . . . . . Count 3 317Tahoe Resources, Inc. . . . . . . . . . . . . . . . . . . . . . Count 1 986Valero Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . Count 1 561Westrock Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 785Weyerhaeuser Co. . . . . . . . . . . . . . . . . . . . . . . . . Count 2 344Williams Cos, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Count 2 725

Interest-bearing securities0.00 % United States Treasury Bill

2015/2016 . . . . . . . . . . . . . . . . . . . . . USD 1 290 000 1 290 0000.00 % United States Treasury Bill

2015/2016 . . . . . . . . . . . . . . . . . . . . . USD 1 321 000 1 321 000

Non-group fund units ETFS Aluminium . . . . . . . . . . . . . . . . . . . . . . . . . Units 27 961 27 961

Securities admitted to or included in organized markets Interest-bearing securities 0.00 % United States Treasury Bill

2015/2016 . . . . . . . . . . . . . . . . . . . . . USD 1 284 0000.00 % United States Treasury Bill

2015/2016 . . . . . . . . . . . . . . . . . . . . . USD 430 000 1 285 0000.00 % United States Treasury Bill

Zero Coupon 2015/2016 . . . . . . . . . . USD 1 317 000 1 317 000 Unlisted securities Interest-bearing securities 0.00 % United States Treasury Bill

2015/2016 . . . . . . . . . . . . . . . . . . . . . USD 570 000 1 286 000 Investment fund units Non-group fund units ETFS Corn . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 25 564 25 564 ETFS Physical Palladium Shares USD - (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 1 959


Value (’000)Swaps

Commodity swaps(Underlyings: BCOM Index, DJ Aluminium, DJ Brent Crude Oil, DJ Coffee, DJ Commodity, DJ Copper, DJ Corn Cap, DJ Cotton, DJ Gas, DJ Gold SI, DJ Heat Oil, DJ Heating Oil, DJ KanWheat, DJ Lean Hogs Cap., DJ Live Cat. Cap, DJ Nat. Gas Cap., DJ Natural Gas, DJ Nickel, DJ Silver, DJ Soybeans, DJ Soybeans Oil, DJ Soyboil, DJ Sugar, DJ Unl. Gas, DJ Wheat, DJ WTI Crude Oil, DJ Zinc) USD 35 165


190

Securities traded on an exchange 45 680 871.95 76.14 Interest-bearing securities 1.125 % 2i Rete Gas SpA (MTN) 2014/2020 . . . . . . . . . . . . . EUR 400 000 % 102.988 411 952.00 0.69 0.625 % ABN AMRO Bank NV (MTN) 2016/2022 . . . . . . . . . EUR 160 000 160 000 % 101.224 161 958.40 0.27 0.75 % Air Liquide Finance SA (MTN) 2016/2024 . . . . . . . . EUR 200 000 200 000 % 101.983 203 966.00 0.34 2.241 % Allianz SE 2015/2045 * . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 % 93.779 281 337.00 0.47 1.50 % America Movil SAB de CV 2016/2024 . . . . . . . . . . EUR 270 000 270 000 % 101.041 272 810.70 0.45 0.875 % Anheuser-Busch InBev SA/NV (MTN) 2016/2022 . . EUR 200 000 350 000 150 000 % 102.647 205 294.00 0.34 4.125 % Ardagh Packaging Finance Plc Via Ardagh

Holdings USA, Inc. -Reg- 2016/2023 . . . . . . . . . . . . EUR 170 000 170 000 % 101.855 173 153.50 0.29 5.50 % Assicurazioni Generali SpA 2015/2047* . . . . . . . . . EUR 130 000 % 102.678 133 481.40 0.22 1.00 % Autoroutes du Sud de la France SA (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 % 102.506 205 012.00 0.34 1.00 % Banco Bilbao Vizcaya Argentaria SA 2016/2021 . . . EUR 200 000 200 000 % 101.405 202 810.00 0.34 3.00 % Banque Federative du Credit Mutuel SA (MTN)

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 106.731 213 462.00 0.36 2.625 % Barclays PLC 2015/2025* . . . . . . . . . . . . . . . . . . . . EUR 136 000 % 94.172 128 073.92 0.21 0.50 % Berkshire Hathaway, Inc. 2016/2020 . . . . . . . . . . . EUR 120 000 120 000 % 101.012 121 214.40 0.20 6.50 % BG Energy Capital Plc 2012/2072 * . . . . . . . . . . . . EUR 200 000 200 000 % 107.549 215 098.00 0.36 4.625 % Cemex Finance LLC -Reg- 2016/2024 . . . . . . . . . . EUR 270 000 270 000 % 98.38 265 626.00 0.44 0.50 % Danske Bank A/S (MTN) 2016/2021 . . . . . . . . . . . . EUR 150 000 150 000 % 101.05 151 575.00 0.25 1.00 % Deutsche Bank AG (MTN) 2016/2019 . . . . . . . . . . . EUR 400 000 400 000 % 100.547 402 188.00 0.67 0.375 % Deutsche Post AG (MTN) 2016/2021 . . . . . . . . . . . EUR 155 000 155 000 % 101.606 157 489.30 0.26 2.625 % EDP Finance BV 2014/2022 . . . . . . . . . . . . . . . . . . EUR 400 000 % 105.345 421 380.00 0.70 0.75 % Eni SpA (MTN) 2016/2022 . . . . . . . . . . . . . . . . . . . . EUR 260 000 260 000 % 101.831 264 760.60 0.44 1.875 % ESB Finance Ltd (MTN) 2016/2031 . . . . . . . . . . . . . EUR 290 000 290 000 % 104.043 301 724.70 0.50 1.50 % Eurogrid GmbH (MTN) 2016/2028 . . . . . . . . . . . . . EUR 200 000 200 000 % 104.524 209 048.00 0.35 2.625 % Eutelsat SA 2013/2020 . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 106.383 212 766.00 0.35 1.125 % Eutelsat SA 2016/2021 . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 100.816 100 816.00 0.17 0.75 % Goldman Sachs Group, Inc./The (MTN) 2016/2019 EUR 395 000 395 000 % 101.28 400 056.00 0.67 2.25 % HeidelbergCement AG (MTN) 2016/2024 . . . . . . . . EUR 400 000 400 000 % 100.446 401 784.00 0.67 1.00 % Heineken NV (MTN) 2016/2026 . . . . . . . . . . . . . . . EUR 360 000 360 000 % 101.449 365 216.40 0.61 1.125 % Iberdrola International BV (MTN) 2016/2026 . . . . . . EUR 200 000 200 000 % 101.828 203 656.00 0.34 2.375 % IE2 Holdco SAU 2015/2023 . . . . . . . . . . . . . . . . . . . EUR 200 000 % 102.792 205 584.00 0.34 4.375 % Intesa Sanpaolo SpA 2012/2019 . . . . . . . . . . . . . . . EUR 300 000 300 000 % 111.677 335 031.00 0.56 1.75 % JAB Holdings BV 2016/2023 . . . . . . . . . . . . . . . . . . EUR 300 000 300 000 % 103.346 310 038.00 0.52 2.375 % Kerry Group Financial Services 2015/2025 . . . . . . . EUR 250 000 250 000 % 112.399 280 997.50 0.47 2.75 % La Banque Postale SA 2015/2027 . . . . . . . . . . . . . . EUR 200 000 % 101.53 203 060.00 0.34 5.05 % La Mondiale SAM 2014/49/1* . . . . . . . . . . . . . . . . . EUR 200 000 % 97.482 194 964.00 0.32 1.90 % Magna International Inc 2015/2023 . . . . . . . . . . . . . EUR 130 000 % 106.9 138 970.00 0.23 3.375 % Merck KGaA 2014/2074 * . . . . . . . . . . . . . . . . . . . . EUR 300 000 % 102.542 307 626.00 0.51 1.25 % Molson Coors Brewing Co. 2016/2024 . . . . . . . . . . EUR 110 000 110 000 % 100.604 110 664.40 0.18 1.75 % Nasdaq, Inc. 2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 140 000 140 000 % 102.971 144 159.40 0.24 1.125 % Nomura Europe Finance NV 2015/2020 . . . . . . . . . EUR 470 000 % 101.302 476 119.40 0.79 1.00 % Nordea Bank AB (MTN) 2016/2023 . . . . . . . . . . . . . EUR 400 000 400 000 % 103.135 412 540.00 0.69 1.00 % Orange SA (MTN) 2016/2025 . . . . . . . . . . . . . . . . . EUR 200 000 200 000 % 102.58 205 160.00 0.34 5.50 % Petroleos Mexicanos (MTN) 2009/2017 . . . . . . . . . EUR 300 000 300 000 % 102.485 307 455.00 0.51 1.625 % PGE Sweden AB 2014/2019 . . . . . . . . . . . . . . . . . . EUR 130 000 130 000 % 101.977 132 570.10 0.22 3.50 % Rexel SA 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . EUR 390 000 490 000 100 000 % 101.194 394 656.60 0.66 2.00 % RTE Reseau de Transport d‘Electricite SA (MTN)

2016/2036 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 108.376 108 376.00 0.18 1.125 % Sanofi (MTN) 2016/2028 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 103.625 103 625.00 0.17 1.125 % Societe Des Autoroutes Paris-Rhin-Rhone (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 300 000 % 102.723 308 169.00 0.51 1.00 % Southern Power Co. 2016/2022 . . . . . . . . . . . . . . . EUR 170 000 170 000 % 101.022 171 737.40 0.29 1.46 % Telefonica Emisiones SAU (MTN) 2016/2026 . . . . . EUR 300 000 400 000 100 000 % 101.187 303 561.00 0.51 1.00 % TenneT Holding BV (MTN) 2016/2026 . . . . . . . . . . EUR 300 000 300 000 % 102.612 307 836.00 0.51 4.125 % Tereos Finance Groupe I SA 2016/2023 . . . . . . . . . EUR 600 000 600 000 % 99.221 595 326.00 0.99 1.50 % Transmission Finance DAC (MTN) 2016/2023 . . . . EUR 180 000 180 000 % 102.697 184 854.60 0.31 2.375 % Turkiye Vakiflar Bankasi TAO 2016/2021 . . . . . . . . EUR 240 000 240 000 % 100.511 241 226.40 0.40 4.25 % Unione di Banche Italiane SpA (MTN) 2016/2026 * EUR 305 000 485 000 180 000 % 97.822 298 357.10 0.50 1.625 % Vonovia Finance BV 2015/2020 . . . . . . . . . . . . . . . . EUR 300 000 % 105.121 315 363.00 0.53 3.05 % Apple Inc 2015/2029 . . . . . . . . . . . . . . . . . . . . . . . . GBP 310 000 % 106.56 399 277.08 0.67 6.25 % Atlantia SpA (MTN) 2004/2022 . . . . . . . . . . . . . . . . GBP 250 000 % 123.334 372 684.47 0.62 5.75 % Barclays Bank Plc (MTN) 2001/2026 . . . . . . . . . . . . GBP 150 000 150 000 % 108.729 197 131.09 0.33 10.00 % Barclays Bank Plc (MTN) 2009/2021 . . . . . . . . . . . . GBP 100 000 % 124.086 149 982.73 0.25 5.25 % Centrica Plc 2015/2075 * . . . . . . . . . . . . . . . . . . . . GBP 250 000 250 000 % 94.586 285 815.21 0.48 5.597 % Telefonica Emisiones SAU (MTN) 2012/2020 . . . . . GBP 100 000 % 113.084 136 684.62 0.23 4.00 % Thames Water Utilities Cayman Finance Ltd

2014/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 100 000 100 000 % 114.743 138 689.85 0.23 2.625 % Volkswagen Financial Services NV (MTN)

2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 300 000 % 102.333 371 069.65 0.62 2.50 % Westpac Securities NZ Ltd/London (MTN)

2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 200 000 300 000 100 000 % 103.19 249 451.48 0.42 3.60 % AbbVie, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . . . . USD 560 000 % 105.022 529 054.46 0.88 3.20 % AbbVie, Inc. 2016/2026 . . . . . . . . . . . . . . . . . . . . . . USD 190 000 190 000 % 101.474 173 436.48 0.29 6.50 % Abu Dhabi National Energy Co. -Reg- 2006/2036 . USD 100 000 % 128.224 115 345.69 0.19 2.50 % Abu Dhabi National Energy Co. 2012/2018 . . . . . . . USD 400 000 % 100.8 362 704.20 0.60 3.625 % Abu Dhabi National Energy Co., PJSC 144A

2012/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 103.75 186 659.53 0.31 3.45 % Actavis Funding SCS 2015/2022 . . . . . . . . . . . . . . . USD 540 000 % 103.816 504 301.34 0.84




191

3.95 % AerCap Ireland Capital Ltd Via AerCap Global Aviation Trust 2016/2022 . . . . . . . . . . . . . . . . . . . . USD 600 000 840 000 240 000 % 99.875 539 063.73 0.90

2.80 % Aetna, Inc. 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . USD 290 000 290 000 % 101.98 266 038.86 0.44 2.25 % Agricultural Bank China HK 2014/2017 . . . . . . . . . . USD 200 000 % 100.871 181 479.84 0.30 3.90 % American International Group, Inc. 2016/2026 . . . . USD 400 000 500 000 100 000 % 103.502 372 426.69 0.62 3.45 % American Tower Corp. 2014/2021 . . . . . . . . . . . . . USD 150 000 % 104.054 140 405.52 0.23 3.375 % American Tower Corp. 2016/2026 . . . . . . . . . . . . . USD 250 000 250 000 % 100.333 225 639.89 0.38 4.90 % Anheuser-Busch InBev Finance, Inc. 2016/2046 . . USD 200 000 200 000 % 117.742 211 832.93 0.35 4.40 % Appalachian Power Co. 2014/2044 . . . . . . . . . . . . . USD 160 000 % 107.578 154 837.99 0.26 4.375 % AstraZeneca Plc 2015/2045 . . . . . . . . . . . . . . . . . . USD 130 000 % 108.97 127 433.14 0.21 4.50 % AT&T, Inc. 2015/2035 . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 102.752 277 296.00 0.46 5.65 % AT&T, Inc. 2016/2047 . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 400 000 100 000 % 116.488 314 365.23 0.52 3.125 % AutoZone, Inc. 2016/2026 . . . . . . . . . . . . . . . . . . . . USD 75 000 75 000 % 102.884 69 413.06 0.12 2.875 % Axis Bank Ltd Via Dubai (MTN) -Reg- 2016/2021 . . USD 500 000 500 000 % 100.445 451 783.53 0.75 3.875 % Bank of America Corp 2015/2025 . . . . . . . . . . . . . . USD 135 000 % 106.435 129 255.88 0.22 4.20 % Bank of America Corp. (MTN) 2014/2024 . . . . . . . . USD 360 000 % 103.601 335 504.63 0.56 2.125 % Bank of China 2015/2018 . . . . . . . . . . . . . . . . . . . . USD 200 000 % 100.926 181 578.79 0.30 2.625 % BB&T Corp. 2015/2020 . . . . . . . . . . . . . . . . . . . . . . USD 500 000 % 103.509 465 564.85 0.78 2.675 % Becton Dickinson and Co. 2014/2019 . . . . . . . . . . . USD 300 000 250 000 % 102.906 277 711.60 0.46 2.315 % BP Capital Markets Plc 2015/2020 . . . . . . . . . . . . . USD 200 000 200 000 % 102.144 183 770.13 0.31 5.15 % Burlington Northern Santa Fe LLC 2013/2043 . . . . USD 300 000 350 000 % 123.712 333 861.93 0.56 3.375 % CBS Corp. 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . USD 550 000 % 104.446 516 757.24 0.86 7.50 % CenturyLink, Inc. 2016/2024 . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 99.965 269 774.75 0.45 4.65 % Citigroup Inc 2015/2045 . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 111.634 200 843.86 0.33 2.55 % Citizens Bank NA/Providence RI (MTN) 2016/2021 USD 250 000 250 000 % 100.974 227 081.44 0.38 3.30 % Columbia Pipeline Group, Inc. 2016/2020 . . . . . . . . USD 410 000 410 000 % 103.321 381 069.79 0.64 3.35 % ConocoPhillips Co. 2015/2025 . . . . . . . . . . . . . . . . USD 200 000 % 103.21 185 688.00 0.31 2.50 % Deutsche Bank AG/London 2014/2019 . . . . . . . . . . USD 510 000 % 100.166 459 539.21 0.77 8.75 % Deutsche Telekom International Finance BV

2000/2030 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 151.433 136 223.68 0.23 3.25 % Duke Energy Progress LLC 2015/2025 . . . . . . . . . . USD 290 000 % 107.642 280 809.52 0.47 3.50 % Emirates Telecommunications Corp. 2014/2024 . . USD 200 000 % 105.041 188 982.20 0.32 5.95 % Energy Transfer Partners LP 2013/2043 . . . . . . . . . USD 400 000 % 99.906 359 487.36 0.60 4.85 % Enterprise Products Operating LLC 2013/2044 . . . USD 100 000 % 105.812 95 185.12 0.16 2.85 % Enterprise Products Operating LLC 2016/2021 . . . USD 150 000 150 000 % 103.3 139 387.44 0.23 4.45 % Exelon Corp. 2016/2046 . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 107.636 193 651.84 0.32 2.709 % Exxon Mobil Corp. 2015/2025 . . . . . . . . . . . . . . . . . USD 100 000 % 104.558 94 056.61 0.16 4.75 % FedEx Corp. 2015/2045 . . . . . . . . . . . . . . . . . . . . . . USD 250 000 % 111.891 251 632.79 0.42 2.021 % Ford Motor Credit Co. LLC 2016/2019 . . . . . . . . . . USD 230 000 230 000 % 100.839 208 635.61 0.35 3.10 % Freeport-McMoRan Copper & Gold, Inc.

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 95 85 458.58 0.14 4.418 % GE Capital International Funding Co 2015/2035 . . . USD 413 000 % 112.066 416 349.39 0.69 2.40 % General Motors Financial Co, Inc. 2016/2019 . . . . . USD 600 000 600 000 % 100.444 542 134.84 0.90 6.25 % Goldman Sachs Group Inc 2011/2041 . . . . . . . . . . USD 150 000 % 129.914 175 298.94 0.29 3.50 % Goldman Sachs Group Inc/The 2015/2025 . . . . . . . USD 300 000 % 103.247 278 631.85 0.46 4.75 % Halliburton Co. 2013/2043 . . . . . . . . . . . . . . . . . . . . USD 250 000 % 106.558 239 640.48 0.40 4.25 % HCP, Inc. 2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 103.688 279 821.98 0.47 4.50 % Health Care REIT, Inc. 2013/2024 . . . . . . . . . . . . . . USD 300 000 300 000 % 108.148 291 856.79 0.49 7.875 % Hess Corp. 1999/2029 . . . . . . . . . . . . . . . . . . . . . . USD 150 000 % 119.5 161 246.85 0.27 5.875 % Home Depot, Inc. 2006/2036 . . . . . . . . . . . . . . . . . USD 150 000 % 138.024 186 242.13 0.31 3.90 % HSBC Holdings Plc 2016/2026 . . . . . . . . . . . . . . . . USD 280 000 280 000 % 102.855 259 069.03 0.43 5.75 % Hutchison Whampoa International 09/19 Ltd

2009/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 112.221 201 899.94 0.34 2.75 % JPMorgan Chase & Co. 2015/2020 . . . . . . . . . . . . . USD 500 000 % 103.128 463 851.18 0.77 3.30 % JPMorgan Chase & Co. 2016/2026 . . . . . . . . . . . . . USD 226 000 226 000 % 103.691 210 805.32 0.35 3.40 % KeyBank NA/Cleveland OH (MTN) 2016/2026 . . . . USD 300 000 300 000 % 100.672 271 681.37 0.45 2.30 % KeyCorp (MTN) 2013/2018 . . . . . . . . . . . . . . . . . . . USD 200 000 % 101.69 182 954.23 0.30 2.90 % KeyCorp 2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . USD 278 000 % 103.248 258 202.60 0.43 4.15 % Kinder Morgan Energy Partners LP 2013/2024 . . . . USD 540 000 % 100.684 489 087.19 0.82 3.875 % Korea Gas Corp. 2014/2024 . . . . . . . . . . . . . . . . . . USD 200 000 % 110.858 199 447.73 0.33 6.30 % Lincoln National Corp. 2007/2037 . . . . . . . . . . . . . . USD 100 000 % 118.099 106 237.61 0.18 3.50 % Lloyds Bank Plc 2015/2025 . . . . . . . . . . . . . . . . . . . USD 200 000 % 102.925 185 175.25 0.31 3.70 % Lowe‘s Cos, Inc. 2016/2046 . . . . . . . . . . . . . . . . . . USD 341 000 341 000 % 103.278 316 806.63 0.53 4.375 % Macy‘s Retail Holdings, Inc. 2013/2023 . . . . . . . . . USD 500 000 % 103.855 467 121.10 0.78 4.875 % McDonalds Corp 2015/2045 . . . . . . . . . . . . . . . . . . USD 400 000 250 000 % 117.715 423 568.70 0.71 3.15 % Medtronic Inc 2015/2022 . . . . . . . . . . . . . . . . . . . . USD 300 000 240 000 % 106.76 288 113.71 0.48 4.15 % Merck & Co., Inc. 2013/2043 . . . . . . . . . . . . . . . . . USD 430 000 % 112.236 434 140.97 0.72 4.60 % MetLife Inc 2015/2046 . . . . . . . . . . . . . . . . . . . . . . USD 270 000 % 109.486 265 923.31 0.44 3.85 % Mitsubishi UFJ Financial Group, Inc. 2016/2026 . . . USD 240 000 240 000 % 109.394 236 176.57 0.39 2.632 % Mizuho Financial Group, Inc. -Reg- 2016/2021 . . . . USD 390 000 390 000 % 102 357 846.56 0.60 2.10 % Molson Coors Brewing Co. 2016/2021 . . . . . . . . . . USD 85 000 85 000 % 100.39 76 761.15 0.13 3.00 % Molson Coors Brewing Co. 2016/2026 . . . . . . . . . . USD 72 000 72 000 % 100.152 64 867.06 0.11 7.30 % Morgan Stanley 2009/2019 . . . . . . . . . . . . . . . . . . . USD 450 000 % 114.87 464 998.12 0.78 4.20 % Newell Rubbermaid, Inc. 2016/2026 . . . . . . . . . . . . USD 450 000 490 000 40 000 % 108.667 439 888.15 0.73 5.50 % Newell Rubbermaid, Inc. 2016/2046 . . . . . . . . . . . . USD 111 000 111 000 % 119.037 118 860.35 0.20 3.875 % NIKE Inc 2015/2045 . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 111.926 100 685.05 0.17 3.40 % Oracle Corp. 2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 108.358 292 424.87 0.49 3.10 % PepsiCo Inc 2015/2022 . . . . . . . . . . . . . . . . . . . . . . USD 214 000 % 106.583 205 179.41 0.34 4.25 % Philip Morris International, Inc. 2014/2044 . . . . . . . USD 280 000 280 000 % 111 279 584.49 0.47 2.60 % Plains All American Pipeline LP /

PAA Finance Corp. 2014/2019 . . . . . . . . . . . . . . . . USD 400 000 400 000 % 97.908 352 299.85 0.59 3.85 % Plains All American Pipeline LP 2013/2023 . . . . . . . USD 143 000 % 97.287 125 147.71 0.21 2.60 % PNC Bank NA 2015/2020 . . . . . . . . . . . . . . . . . . . . USD 300 000 % 103.493 279 295.73 0.47



192

5.25 % Prudential Plc (MTN) 2016/2049 . . . . . . . . . . . . . . . USD 200 000 200 000 % 103.736 186 634.34 0.31 3.45 % Quest Diagnostics, Inc. 2016/2026 . . . . . . . . . . . . . USD 130 000 130 000 % 103.545 121 088.96 0.20 3.75 % Rio Tinto Finance USA Ltd 2015/2025 . . . . . . . . . . USD 300 000 300 000 % 104.967 283 273.60 0.47 2.70 % Santander Holdings USA, Inc. 2016/2019 . . . . . . . . USD 380 000 380 000 % 100.337 342 986.30 0.57 2.25 % Shell International Finance BV 2015/2020 . . . . . . . USD 147 000 % 102.477 135 511.39 0.23 3.375 % Simon Property Group LP 2014/2024 . . . . . . . . . . . USD 400 000 250 000 % 106.242 382 287.71 0.64 3.25 % SingTel Group Treasury Pte Ltd 2015/2025 . . . . . . USD 500 000 % 107.04 481 446.65 0.80 2.75 % Sinopec Group Overseas Development 2016 Ltd

-Reg- 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 380 000 380 000 % 101.915 348 380.45 0.58 3.00 % Synchrony Financial 2014/2019 . . . . . . . . . . . . . . . . USD 550 000 % 102.03 504 803.83 0.84 3.30 % Sysco Corp. 2016/2026 . . . . . . . . . . . . . . . . . . . . . . USD 104 000 104 000 % 104.082 97 374.02 0.16 5.00 % Tenneco, Inc. 2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 130 000 130 000 % 101.688 118 916.74 0.20 3.85 % The Kroger Co. 2013/2023 . . . . . . . . . . . . . . . . . . . USD 320 000 200 000 % 110.062 316 825.00 0.53 5.30 % Thermo Fisher Scientific, Inc. 2013/2044 . . . . . . . . USD 300 000 300 000 % 116.282 313 810.65 0.52 5.35 % Time Warner, Inc. 2013/2043 . . . . . . . . . . . . . . . . . USD 510 000 % 115.167 528 360.44 0.88 4.625 % TransCanada PipeLines Ltd 2014/2034 . . . . . . . . . . USD 430 000 % 106.493 411 928.26 0.69 5.875 % United Rentals North America, Inc. 2016/2026 . . . USD 135 000 135 000 % 98.812 119 999.03 0.20 3.10 % UnitedHealth Group, Inc. 2016/2026 . . . . . . . . . . . . USD 340 000 340 000 % 104.503 319 624.26 0.53 4.672 % Verizon Communications Inc 2015/2055 . . . . . . . . . USD 400 000 % 100.436 361 394.44 0.60 3.45 % Verizon Communications, Inc. 2014/2021 . . . . . . . . USD 190 000 % 107.312 183 414.62 0.31 4.30 % VISA Inc 2015/2045 . . . . . . . . . . . . . . . . . . . . . . . . . USD 240 000 % 116.403 251 308.68 0.42 4.90 % Wells Fargo & Co 2015/2045 . . . . . . . . . . . . . . . . . USD 250 000 % 110.097 247 598.24 0.41 1.75 % Wells Fargo Bank NA 2016/2019 . . . . . . . . . . . . . . USD 470 000 470 000 % 101.168 427 733.33 0.71 7.25 % Williams Partners LP / Williams Partners

Finance Corp. 2007/2017 . . . . . . . . . . . . . . . . . . . . USD 350 000 350 000 % 102.883 323 924.45 0.54 4.25 % Willow No 2 Ireland Plc for Zurich Insurance C.,

Ltd (MTN) 2015/2045 * . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 95.841 172 430.23 0.29 3.55 % Zimmer Holdings, Inc. 2015/2025 . . . . . . . . . . . . . . USD 150 000 % 102.968 138 938.78 0.23

Securities admitted to or included in organized markets 11 015 837.01 18.36 Interest-bearing securities 4.00 % BAT International Finance Plc 2015/2055 . . . . . . . . GBP 130 000 % 120.72 189 688.52 0.32 4.125 % CRH Financial UK Plc 2015/2029 . . . . . . . . . . . . . . GBP 100 000 % 110.879 134 019.43 0.22 5.50 % Altice US Finance I Corp. 144A 2016/2026 . . . . . . . USD 260 000 260 000 % 100 233 886.64 0.39 3.30 % Amazon.com, Inc. 2014/2021 . . . . . . . . . . . . . . . . . USD 510 000 % 108.052 495 718.42 0.83 2.70 % Amgen, Inc. 2015/2022 . . . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 103.085 278 194.66 0.46 3.85 % Apple, Inc. 2013/2043 . . . . . . . . . . . . . . . . . . . . . . . USD 482 000 % 101.064 438 203.24 0.73 2.00 % Banque Federative du Credit Mutuel SA (MTN)

-Reg- 2016/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 101.058 181 816.28 0.30 4.50 % Berkshire Hathaway Energy Co. 2015/2045 * . . . . USD 300 000 230 000 % 111.874 301 912.12 0.50 2.45 % BNP Paribas SA (MTN) 2014/2019 . . . . . . . . . . . . . USD 300 000 % 102.06 275 428.51 0.46 2.60 % Cisco Systems, Inc. 2016/2023 . . . . . . . . . . . . . . . . USD 160 000 160 000 % 105.109 151 283.64 0.25 3.375 % Comcast Corp. 2014/2025 . . . . . . . . . . . . . . . . . . . USD 300 000 250 000 % 108.185 291 957.99 0.49 4.42 % Diamond 1 Finance Corp. Via Diamond 2

Finance Corp. 144A 2016/2021 . . . . . . . . . . . . . . . . USD 340 000 340 000 % 103.001 315 030.37 0.53 6.02 % Diamond 1 Finance Corp. Via Diamond 2

Finance Corp. 144A 2016/2026 . . . . . . . . . . . . . . . . USD 440 000 440 000 % 103.796 410 833.04 0.68 6.35 % Discovery Communications LLC 2010/2040 . . . . . . USD 200 000 200 000 % 103.767 186 690.12 0.31 2.962 % Dominion Resources Inc/VA 2016/2019 . . . . . . . . . USD 210 000 210 000 % 101.325 191 411.48 0.32 6.65 % E.ON International Finance BV -Reg- 2008/2038 . . USD 150 000 % 119.148 160 771.20 0.27 5.125 % Enel Finance International NV -Reg- 2009/2019 . . . USD 500 000 % 110.326 496 226.49 0.83 3.40 % Express Scripts Holding Co. 2016/2027 . . . . . . . . . USD 280 000 280 000 % 100.21 252 406.86 0.42 2.25 % Fifth Third Bank Via Cincinnati OH 2016/2021 . . . . USD 330 000 330 000 % 100.442 298 166.74 0.50 3.85 % Fifth Third Bank/Cincinnati OH 2016/2026 . . . . . . . USD 400 000 400 000 % 105.447 379 425.30 0.63 3.70 % Gilead Sciences, Inc. 2014/2024 . . . . . . . . . . . . . . . USD 300 000 % 108.708 293 369.41 0.49 2.80 % H.J. Heinz Co. 2015/2020 . . . . . . . . . . . . . . . . . . . USD 275 000 % 103.066 254 966.02 0.42 2.85 % Hewlett Packard Enterprise Co 2015/2018 . . . . . . . USD 500 000 % 102.041 458 962.05 0.77 3.75 % Imperial Tobacco Finance PLC 2015/2022 . . . . . . . USD 200 000 % 106.122 190 927.06 0.32 2.375 % Intesa Sanpaolo SpA 2014/2017 . . . . . . . . . . . . . . . USD 700 000 % 100.445 632 496.94 1.05 2.50 % Korea East-West Power Co., Ltd -Reg- 2014/2020 . USD 400 000 % 102.549 368 997.55 0.62 4.375 % Kraft Heinz Foods Co. 144A 2016/2046 . . . . . . . . . USD 330 000 330 000 % 106.404 315 865.30 0.53 3.95 % Mylan NV 144A 2016/2026 . . . . . . . . . . . . . . . . . . . USD 130 000 130 000 % 101.048 118 168.89 0.20 3.50 % Origin Energy Finance Ltd 2013/2018 . . . . . . . . . . . USD 235 000 % 100.768 213 021.07 0.36 4.25 % Quest Diagnostics, Inc. 2014/2024 . . . . . . . . . . . . . USD 300 000 300 000 % 107.725 290 716.60 0.48 3.35 % Roche Holdings, Inc. -Reg- 2014/2024 . . . . . . . . . . USD 510 000 % 109.257 501 246.69 0.84 2.625 % Societe Generale SA 2015/2020 . . . . . . . . . . . . . . . USD 300 000 % 103.285 278 734.40 0.46 4.45 % Solvay Finance (America) 2015/2025 . . . . . . . . . . . USD 200 000 % 106.659 191 893.19 0.32 5.75 % Stanley Black & Decker, Inc. 2013/2053 * . . . . . . . USD 290 000 % 106.166 276 960.33 0.46 2.45 % Starbucks Corp. 2016/2026 . . . . . . . . . . . . . . . . . . . USD 120 000 120 000 % 101.512 109 579.85 0.18 2.95 % UBS Group Funding Jersey Ltd 2015/2020 . . . . . . USD 310 000 % 101.848 284 018.26 0.47 4.75 % West Corp. 144A 2016/2021 . . . . . . . . . . . . . . . . . . USD 640 000 640 000 % 99.5 572 842.35 0.95

Total securities portfolio 56 696 708.96 94.50 Derivatives (Minus signs denote short positions) Interest rate derivatives -131 685.56 -0.21Receivables/payables



193

Interest rate futures UK Treasury Notes 09/2016 (IFLL) . . . . . . . . . . . . . . . . . . . . . Count 8 8 49 991 .83 0 .09US Treasury Notes 10 year Futures 09/2016 (CBT) . . . . . . . . Count -39 -39 -126 037 .39 -0 .21Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . Count -13 -13 -55 640 .00 -0 .09 Currency derivatives 230 043.67 0.38Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 2 .3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -6 629 .93 -0 .01EUR/USD 45 .8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 236 673 .60 0 .39 Cash at bank 2 822 513.62 4.70 Demand deposits at Depositary EUR deposits EUR 1 858 307 .37 3 .10 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 65 938 79 698 .95 0 .13 Deposits in non-EU/EEA currencies U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 983 262 884 507 .30 1 .47 Other assets 909 966.36 1.52Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 455 428 .54 0 .77Receivables from exceeding the expense cap . . . . . . . . . . . . 19 828 .28 0 .03Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 434 709 .54 0 .72 Total assets ** 60 715 854.37 101.20 Other liabilities -532 602.51 -0.89Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -532 602 .51 -0 .89 Total liabilities -720 909.83 -1.20 Net assets 59 994 944.54 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102 .29Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102 .63Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 .53 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 596 605 Composition of the reference portfolio (according to CSSF circular 11/512)Barclays Capital Global Aggregate Credit ex Asian Countries




194


Futures exchangesCBT = Chicago Board of TradeEUR = EurexIFLL = ICE Futures Europe - Financial Products Division

Contracting parties for currency futuresBarclays Bank PLC Wholesale, JP Morgan Securities PLC, Morgan Stanley and Co. International PLC, State Street Bank and Trust Company, State Street Bank London Exchange rates (indirect quotes)

As of: June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation








Securities traded on an exchange Interest-bearing securities 0.95 % 3M Co. (MTN) 2015/2023 . . . . . . . . . EUR 160 000 1.00 % ABN AMRO Bank NV (MTN)

2015/2025 . . . . . . . . . . . . . . . . . . . . . EUR 300 000 1.125 % Akzo Nobel NV (MTN) 2016/2026 . . . EUR 100 000 100 000 0.875 % Alliander NV (MTN) 2016/2026 . . . . . EUR 100 000 100 000 1.375 % Allianz Finance II BV (MTN)

2016/2031 . . . . . . . . . . . . . . . . . . . . . EUR 300 000 300 000 6.375 % America Movil SAB de CV

2013/2073 * . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 1.25 % Amgen, Inc. 2016/2022 . . . . . . . . . . . EUR 170 000 170 000 2.00 % Anheuser-Busch InBev SA/NV (MTN)

2016/2028 . . . . . . . . . . . . . . . . . . . . . EUR 280 000 280 000 3.375 % ASML Holding NV 2013/2023 . . . . . . EUR 100 000 0.875 % Banca Popolare di Milano Scarl

2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 365 000 4.625 % Bank of America Corp. (MTN)

2010/2017 . . . . . . . . . . . . . . . . . . . . . EUR 350 000 2.15 % Berkshire Hathaway, Inc. 2016/2028 EUR 200 000 200 000 2.15 % Berkshire Hathaway, Inc. 2016/2028 EUR 170 000 170 000 5.875 % BiSoho SAS -Reg- 2016/2023 . . . . . . EUR 290 000 290 000 2.875 % BNP Paribas SA (MTN) 2016/2026 . . EUR 300 000 300 000 1.373 % BP Capital Markets Plc (MTN)

2016/2022 . . . . . . . . . . . . . . . . . . . . . EUR 180 000 180 000 2.875 % BPCE SA (MTN) 2016/2026 . . . . . . . EUR 100 000 100 000 2.75 % BPCE SA 2015/2027* . . . . . . . . . . . . EUR 100 000 2.00 % Brisa Concessao Rodoviaria SA (MTN)

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 1.875 % Carnival Corp. 2015/2022 . . . . . . . . . EUR 100 000 2.798 % Casino Guichard Perrachon SA (MTN)

2014/2026 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 3.00 % Centrica Plc 2015/2076 * . . . . . . . . . EUR 200 000 200 000 5.75 % Cirsa Funding Luxembourg SA

-Reg- 2016/2021 . . . . . . . . . . . . . . . . EUR 500 000 500 000 1.25 % CK Hutchison Finance 16 Ltd

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 310 000 310 000 1.875 % Coca-Cola HBC Finance BV (MTN)

2016/2024 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 1.75 % Covestro AG 2016/2024 . . . . . . . . . . EUR 130 000 130 000 3.25 % Credit Mutuel Arkea SA (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 0.75 % Danske Bank AS (MTN) 2015/2020 . EUR 140 000 1.25 % Deutsche Bank AG (MTN)

2014/2021 . . . . . . . . . . . . . . . . . . . . . EUR 100 000

1.125 % Deutsche Pfandbriefbank AG (MTN) 2016/2020 . . . . . . . . . . . . . . . . . . . . . EUR 185 000 185 000

0.625 % Deutsche Telekom International Finance BV (MTN) 2016/2023 . . . . . . EUR 230 000 230 000

1.50 % Deutsche Telekom International Finance BV (MTN) 2016/2028 . . . . . . EUR 380 000 380 000

1.70 % DH Europe Finance SA 2015/2022 . . EUR 300 000 300 000 1.75 % easyJet Plc (MTN) 2016/2023 . . . . . . EUR 100 000 100 000 2.375 % EDP Finance BV (MTN) 2016/2023 . . EUR 320 000 320 000 4.50 % eircom Finance DAC -Reg-

2016/2022 . . . . . . . . . . . . . . . . . . . . . EUR 300 000 300 000 1.00 % Eli Lilly & Co. 2015/2022 . . . . . . . . . . EUR 100 000 1.75 % Emirates Telecommunications Corp.

2014/2021 . . . . . . . . . . . . . . . . . . . . . EUR 250 000 1.375 % Enagas Financiaciones SAU (MTN)

2016/2028 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 2.125 % ESB Finance Ltd (MTN) 2015/2027 . EUR 100 000 2.125 % EXOR SpA 2015/2022 . . . . . . . . . . . . EUR 250 000 1.625 % FedEx Corp. 2016/2027 . . . . . . . . . . EUR 330 000 330 000 3.50 % Gestamp Funding Luxembourg SA

-Reg- 2016/2023 . . . . . . . . . . . . . . . . EUR 535 000 535 000 1.25 % Glencore Finance Europe SA (MTN)

2015/2021 . . . . . . . . . . . . . . . . . . . . . EUR 250 000 3.75 % GOODYEAR DUNLOP Tires

2015/2023 . . . . . . . . . . . . . . . . . . . . . EUR 200 000 3.50 % Hanesbrands Finance

Luxembourg SCA -Reg- 2016/2024 . EUR 180 000 180 000 2.25 % HeidelbergCement AG (MTN)


2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 180 000 180 000 1.50 % HSBC Holdings Plc (MTN)

2016/2022 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 0.50 % International Business

Machines Corp. 2016/2021 . . . . . . . . EUR 240 000 240 000 4.875 % IPIC GMTN Ltd (MTN) 2011/2016 . . EUR 100 000 1.625 % JAB Holdings BV 2015/2025 . . . . . . . EUR 200 000 1.875 % ManpowerGroup Inc 2015/2022 . . . . EUR 200 000 1.00 % McDonald‘s Corp. 2016/2023 . . . . . . EUR 200 000 200 000 0.75 % Merck Financial Services GmbH

2015/2019 . . . . . . . . . . . . . . . . . . . . . EUR 187 000 2.625 % MOL Hungarian Oil & Gas Plc

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 410 000 410 000 1.50 % Mondi Finance Plc (MTN) 2016/2024 EUR 185 000 185 000 1.75 % Morgan Stanley (MTN) 2016/2024 . . EUR 320 000 320 000

195



1.875 % Nordea Bank AB 2015/2025* . . . . . . EUR 104 000 5.375 % Numericable Group SA -Reg-

2014/2022 . . . . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 1.00 % OMV AG 2015/2049 . . . . . . . . . . . . . EUR 310 000 1.875 % Petroleos Mexicanos (MTN)

2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 3.75 % Petroleos Mexicanos (MTN)

2016/2019 . . . . . . . . . . . . . . . . . . . . . EUR 240 000 240 000 0.50 % Royal Bank of Canada 2015/2020 . . . EUR 339 000 1.00 % RTE Reseau de Transport

d‘Electricite SA (MTN) 2016/2026 . . . EUR 100 000 100 000 1.375 % Santander International

Debt SAU (MTN) 2016/2021 . . . . . . . EUR 300 000 300 000 3.25 % Santander Issuances SAU (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 2.375 % Snam SpA (MTN) 2013/2017 . . . . . . EUR 195 000 1.75 % TDC A/S (MTN) 2015/2027 . . . . . . . . EUR 100 000 2.20 % Vodafone Group Plc (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . EUR 550 000 550 000 1.375 % Wells Fargo & Co. (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . EUR 360 000 360 000 0.75 % WPP Finance 2013 2015/2019 . . . . . EUR 150 000 6.00 % Electricite de France SA (MTN)

2014/2114 . . . . . . . . . . . . . . . . . . . . . GBP 200 000 5.375 % HSBC Bank Plc (MTN) 2003/2033 . . GBP 50 000 5.50 % RWE Finance 2009/2022 . . . . . . . . . GBP 150 000 3.30 % Anheuser-Busch InBev Finance,

Inc. 2016/2023 . . . . . . . . . . . . . . . . . USD 160 000 160 000 3.65 % Anheuser-Busch InBev Finance,

Inc. 2016/2026 . . . . . . . . . . . . . . . . . USD 300 000 300 000 1.75 % AT&T, Inc. 2016/2018 . . . . . . . . . . . . USD 172 000 172 000 2.05 % Bank of America NA 2015/2018 . . . . USD 290 000 2.15 % Bank of Tokyo-Mitsubishi

UFJ Ltd/The 2015/2018 . . . . . . . . . . USD 200 000 4.375 % Barclays Plc 2016/2026 . . . . . . . . . . . USD 230 000 230 000 4.50 % Berkshire Hathaway, Inc. 2013/2043 USD 200 000 300 000 3.119 % BP Capital Markets Plc 2016/2026 . . USD 190 000 190 000 2.35 % British Telecommunications Plc

2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 250 000 3.70 % Citigroup, Inc. 2016/2026 . . . . . . . . . USD 400 000 400 000 3.875 % CVS Health Corp 2015/2025 . . . . . . . USD 330 000 1.65 % Danaher Corp 2015/2018 . . . . . . . . . USD 140 000 5.00 % Devon Energy Corp. 2015/2045 . . . . USD 115 000 1.75 % DIRECTV Holdings LLC 2013/2018 . . USD 172 000 4.00 % Enbridge, Inc. 2013/2023 . . . . . . . . . USD 168 000 3.25 % FedEx Corp. 2016/2026 . . . . . . . . . . USD 120 000 120 000 1.724 % Ford Motor Credit Co. LLC

2014/2017 . . . . . . . . . . . . . . . . . . . . . USD 650 000 0.964 % GE Capital International Funding Co

2015/2016 . . . . . . . . . . . . . . . . . . . . . USD 245 000 5.875 % General Electric Capital Corp.

2008/2038 . . . . . . . . . . . . . . . . . . . . . USD 129 000 6.25 % GTH Finance BV -Reg- 2016/2020 . . USD 222 000 222 000 5.00 % HSBC USA, Inc. 2010/2020 . . . . . . . USD 500 000 3.90 % JPMorgan Chase & Co 2015/2025 . . USD 425 000 2.125 % Nestle Holdings, Inc. (MTN)

2014/2020 . . . . . . . . . . . . . . . . . . . . . USD 100 000 2.00 % Nomura Holdings, Inc. (MTN)

2013/2016 . . . . . . . . . . . . . . . . . . . . . USD 100 000 7.875 % Ooredoo International Finance Ltd

144A 2009/2019 . . . . . . . . . . . . . . . . USD 400 000 5.50 % Penske Automotive Group, Inc.

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 580 000 580 000 6.75 % Qwest Corp. 2011/2021 . . . . . . . . . . USD 485 000 4.15 % Southern Power Co 2015/2025 . . . . . USD 100 000 3.784 % Sumitomo Mitsui Financial Group,

Inc. 2016/2026 . . . . . . . . . . . . . . . . . USD 170 000 170 000 4.50 % Sysco Corp. 2016/2046 . . . . . . . . . . . USD 80 000 80 000 3.192 % Telefonica Emisiones SAU

2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 500 000 1.75 % Toronto-Dominion Bank/The

2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 400 000 3.70 % US Bancorp (MTN) 2014/2024 . . . . . USD 50 000 3.65 % Valero Energy Corp. 2015/2025 . . . . USD 550 000


Interest-bearing securities 1.00 % CNP Assurances 2015/2047 . . . . . . . EUR 200 000 1.125 % ISS Global A/S 2015/2021 . . . . . . . . . EUR 140 000 1.50 % JPMorgan Chase & Co 2015/2022 . . EUR 300 000 300 000 1.00 % BHP Billiton Finance Ltd 2015/2077 GBP 200 000 200 000

5.00 % AMC Networks, Inc. 2016/2024 . . . . USD 70 000 70 000 2.90 % Biogen Inc 2015/2020 . . . . . . . . . . . . USD 115 000 2.80 % BMW US Capital LLC -Reg-

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 60 000 60 000 4.75 % Celulosa Arauco y Constitucion SA

2012/2022 . . . . . . . . . . . . . . . . . . . . . USD 100 000 7.00 % Cheniere Corpus Christi Holdings

LLC 144A 2016/2024 . . . . . . . . . . . . USD 100 000 100 000 4.95 % Citigroup, Inc. 2013/2043 . . . . . . . . . USD 84 000 3.30 % Columbia Pipeline Group, Inc.

144A 2015/2020 . . . . . . . . . . . . . . . . USD 410 000 3.15 % Comcast Corp. 2016/2026 . . . . . . . . USD 140 000 140 000 4.50 % Corp Nacional del Cobre de Chile

-Reg- 2013/2023 . . . . . . . . . . . . . . . . USD 250 000 3.80 % eBay, Inc. 2016/2022 . . . . . . . . . . . . USD 80 000 80 000 4.375 % GLP Capital LP / GLP Financing II,

Inc. 2016/2021 . . . . . . . . . . . . . . . . . USD 40 000 40 000 5.00 % Goodyear Tire & Rubber Co./The

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 80 000 80 000 4.625 % Hanesbrands, Inc. 144A 2016/2024 . USD 230 000 230 000 4.30 % HSBC Holdings Plc 2016/2026 . . . . . USD 200 000 200 000 2.70 % ING Bank NV 2015/2020 . . . . . . . . . . USD 400 000 5.875 % Kaiser Aluminum Corp. 144A

2016/2024 . . . . . . . . . . . . . . . . . . . . . USD 55 000 55 000 5.25 % KFC Holding Co. Via Pizza Hut

Holdings LLC Via Taco Bell of America LLC 144A 2016/2026 . . . . . USD 20 000 20 000

3.00 % Kraft Heinz Foods Co. 144A 2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 310 000 310 000

7.50 % Micron Technology, Inc. 144A 2016/2023 . . . . . . . . . . . . . . . . . . . . . USD 360 000 360 000

3.30 % Penske Truck Leasing Co Lp / PTL Finance Corp 2015/2021 . . . . . . . . . . USD 105 000

5.50 % Performance Food Group, Inc. 144A 2016/2024 . . . . . . . . . . . . . . . . . . . . . USD 150 000 150 000

9.25 % Prime Security Services Borrower LLC / Prime Finance, Inc. 144A 2016/2023 USD 170 000 170 000

5.375 % Sirius XM Radio, Inc. 144A 2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 280 000 280 000

5.50 % Virgin Media Secured Finance Plc 144A 2016/2026 . . . . . . . . . . . . . . . . USD 200 000 200 000

10.50 % Western Digital, Corp. 144A 2016/2024 . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000


Value (’000)Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, US Treasury Note 10-Year, US Treasury Note 5-Year, US Treasury Ultra Bond) EUR 24 014 Contracts sold (Underlyings: UK Treasury Notes, US Treasury Note 5-Year) EUR 4 223 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 12 974EUR/USD EUR 139 207 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 15 471USD/EUR EUR 171 798 Swaps Credit default swaps Protection buyer (Underlying: MARKIT ITRX EUROPE) EUR 12 000


196

Securities traded on an exchange 524 499 548.29 96.48 Equities Emaar Malls Group PJSC . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 848 660 AED 2 .82 5 420 557 .29 1 .00Banco do Brasil SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 969 407 951 499 432 092 BRL 16 .39 4 451 336 .15 0 .82BB Seguridade Participacoes . . . . . . . . . . . . . . . . . . . . . . . . . Count 624 867 624 867 BRL 27 .93 4 889 492 .81 0 .90BRF SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 314 721 150 279 BRL 44 .16 3 893 678 .36 0 .72CCR SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 989 876 1 512 144 522 268 BRL 16 .55 4 589 697 .68 0 .84Lojas Americanas SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 887 530 887 530 760 000 BRL 15 .87 3 946 074 .27 0 .73Lojas Renner SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 486 594 712 071 225 477 BRL 23 .24 3 168 167 .69 0 .58Multiplan Empreendimentos Imobiliarios SA . . . . . . . . . . . . . Count 272 632 409 717 137 085 BRL 60 .12 4 591 991 .63 0 .84Rumo Logistica Operadora Multimodal SA . . . . . . . . . . . . . . . Count 3 571 684 3 571 684 BRL 4 .79 4 793 070 .63 0 .88Moneta Money Bank AS 144A . . . . . . . . . . . . . . . . . . . . . . . . Count 1 414 441 1 414 441 CZK 71 .95 3 754 134 .29 0 .69BHP Billiton Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 489 036 489 036 GBP 9 .261 5 474 156 .27 1 .01China Communications Construction Co ., Ltd -H- . . . . . . . . . Count 4 789 690 4 789 690 HKD 8 .3 4 609 113 .58 0 .85China Construction Bank Corp . -H- . . . . . . . . . . . . . . . . . . . . . Count 18 939 250 6 060 750 HKD 5 .13 11 264 503 .50 2 .07China Merchants Bank Co ., Ltd -H- . . . . . . . . . . . . . . . . . . . . . Count 2 918 110 1 281 890 HKD 17 .3 5 853 015 .50 1 .08China Mobile Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 580 000 HKD 88 .75 16 257 634 .70 2 .99China Overseas Land & Investment Ltd . . . . . . . . . . . . . . . . . Count 4 060 000 HKD 24 .5 11 532 515 .06 2 .12Industrial & Commercial Bank of China Ltd -H- . . . . . . . . . . . . Count 22 329 900 5 770 100 HKD 4 .29 11 106 468 .33 2 .04PetroChina Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 278 517 2 578 517 HKD 5 .29 10 597 271 .21 1 .95Ping An Insurance Group Co . of China Ltd . . . . . . . . . . . . . . . Count 1 766 590 803 410 HKD 34 .15 6 994 527 .60 1 .29Tencent Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 330 000 HKD 176 .3 27 185 408 .65 5 .00Astra International Tbk PT . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 237 087 11 237 087 IDR 7 400 5 661 513 .27 1 .04Bank Central Asia Tbk PT . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 223 583 6 223 583 IDR 13 325 5 646 180 .66 1 .04Telekomunikasi Indonesia Persero Tbk PT . . . . . . . . . . . . . . Count 31 026 475 31 026 475 35 000 000 IDR 3 980 8 407 416 .75 1 .55Axis Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 785 496 354 074 INR 533 .5 5 585 201 .77 1 .03ICICI Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 803 551 1 196 449 INR 240 .4 5 778 609 .62 1 .06ITC Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 INR 369 4 917 980 .83 0 .90Maruti Suzuki India Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 000 100 000 INR 4 199 .7 5 597 301 .92 1 .03State Bank of India . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 500 000 INR 219 .3 7 306 999 .97 1 .34Tata Consultancy Services Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 156 276 38 724 INR 2 548 .05 5 307 141 .87 0 .98UltraTech Cement Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 67 089 67 089 INR 3 410 .8 3 049 776 .67 0 .56Amorepacific Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 440 KRW 431 500 6 551 084 .49 1 .20Hyundai Motor Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 310 54 690 KRW 135 500 5 323 898 .33 0 .98Korea Electric Power Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 169 000 KRW 60 400 7 971 862 .21 1 .47KT Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 291 000 KRW 29 650 6 738 354 .06 1 .24LG Chem Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 370 25 370 KRW 260 000 5 151 455 .53 0 .95LG Household & Health Care Ltd . . . . . . . . . . . . . . . . . . . . . . Count 7 056 7 056 KRW 1117 000 6 155 281 .02 1 .13NAVER Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 000 KRW 710 000 7 762 873 .78 1 .43Samsung Electronics Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 766 4 534 KRW 1425 000 29 787 529 .00 5 .48Samsung Fire & Marine Insurance Co ., Ltd . . . . . . . . . . . . . . Count 27 110 8 890 KRW 263 500 5 578 870 .46 1 .03Shinhan Financial Group Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . Count 178 980 127 020 KRW 38 000 5 311 586 .28 0 .98Fomento Economico Mexicano SAB de CV . . . . . . . . . . . . . . Count 898 387 101 613 MXN 169 .7 7 401 795 .91 1 .36Gruma SAB de CV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 176 427 176 427 MXN 263 .89 2 260 371 .32 0 .42Grupo Financiero Inbursa SAB de CV . . . . . . . . . . . . . . . . . . . Count 1 564 285 1 564 285 MXN 30 .9 2 346 746 .43 0 .43Grupo Mexico SAB de CV -B- . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 679 877 679 877 MXN 41 .56 5 407 321 .67 0 .99Tenaga Nasional Bhd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 780 800 1 780 800 MYR 14 .1 5 602 729 .59 1 .03BDO Unibank, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 586 200 413 800 PHP 112 3 396 811 .79 0 .62Metropolitan Bank & Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 422 212 532 260 PHP 90 .35 4 184 425 .35 0 .77SM Investments Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 256 170 256 170 PHP 967 4 736 420 .57 0 .87Universal Robina Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 348 830 651 170 PHP 208 5 364 337 .18 0 .99CP ALL PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 539 200 4 539 200 THB 50 .25 5 839 097 .06 1 .07Denizbank AS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 TRY 2 .37 0 .41 0 .00KOC Holding AS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 174 841 1 174 841 TRY 13 .01 4 766 866 .30 0 .88Turkiye Garanti Bankasi AS . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 389 479 889 479 TRY 7 .58 5 648 706 .42 1 .04Advanced Semiconductor Engineering, Inc . 21/01/2020 . . . . Count 5 357 000 2 443 000 TWD 36 .65 5 474 907 .57 1 .01Catcher Technology Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 673 000 TWD 237 .5 4 457 176 .63 0 .82Delta Electronics, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 578 767 TWD 156 6 867 897 .50 1 .26Fubon Financial Holding Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 4 844 000 1 095 000 TWD 37 .65 5 085 694 .65 0 .94Largan Precision Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 309 43 691 TWD 2 945 5 938 254 .70 1 .09Taiwan Semiconductor Manufacturing Co ., Ltd . . . . . . . . . . . Count 4 000 000 TWD 162 .5 18 125 688 .96 3 .33Alibaba Group Holding * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 127 500 80 387 USD 78 .8 9 037 919 .50 1 .66Baidu, Inc . -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 40 000 USD 162 .49 5 846 806 .17 1 .08Ctrip .com International Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . Count 133 800 133 800 USD 40 .81 4 911 959 .47 0 .90Gazprom OAO -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 524 520 675 885 USD 4 .292 5 885 377 .30 1 .08Grupo Financiero Galicia SA -ADR- . . . . . . . . . . . . . . . . . . . . . Count 115 291 115 291 USD 30 .9 3 204 689 .46 0 .59HDFC Bank Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 306 USD 65 .39 2 135 609 .32 0 .39Infosys Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 332 118 332 118 USD 17 .88 5 341 853 .77 0 .98Itau Unibanco Holding SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . Count 1 173 707 256 293 USD 9 .16 9 671 353 .00 1 .78JD .com, Inc . -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 314 007 USD 20 .41 5 765 200 .31 1 .06Lukoil PJSC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 213 730 213 730 USD 41 .35 7 950 108 .69 1 .46Magnit OJSC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 495 USD 139 .545 4 706 746 .89 0 .87New Oriental Education & Technology Group, Inc . -ADR- . . . Count 173 800 173 800 USD 41 .79 6 533 625 .09 1 .20Pampa Energia SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 150 277 150 277 USD 27 .03 3 654 017 .55 0 .67Sberbank of Russia PJSC . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 355 305 1 664 368 USD 2 .066 8 093 034 .14 1 .49Taiwan Semiconductor Manufacturing Co ., Ltd -ADR- . . . . . . Count 324 280 83 382 USD 25 .905 7 556 763 .45 1 .39Yandex NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 153 993 153 993 USD 21 .43 2 968 624 .16 0 .55Aspen Pharmacare Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 307 234 103 813 ZAR 364 .6 6 846 741 .98 1 .26FirstRand Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 950 000 ZAR 44 .98 5 361 077 .49 0 .99Naspers Ltd -N- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 71 065 11 700 ZAR 2 252 .42 9 783 700 .68 1 .80Shoprite Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 000 ZAR 167 .49 4 094 933 .90 0 .75Woolworths Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 831 620 381 620 ZAR 84 .21 4 280 422 .27 0 .79




197

Securities admitted to or included in organized markets 0.00 0.00 Equities DenizBank AS Count 0 TRY 0 0.00 0.00 Investment fund units 6 396 000.00 1.18 In-group fund units db x-trackers - FTSE Vietnam ETF -1C- EUR - (0.650%) Units 300 000 EUR 21.32 6 396 000.00 1.18 Total securities portfolio 530 895 548.29 97.66 Cash at bank 9 593 138.98 1.76 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4 182 970.15 0.77 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 0 0.37 0.00Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 1 0.16 0.00Czech koruna . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CZK 1 000 000 36 888.77 0.01Hungarian forint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HUF 371 1.17 0.00 Deposits in non-EU/EEA currencies Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 0 0.06 0.00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 5 371 036 622 715.93 0.11Indian rupee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . INR 13 939 486 185 783.54 0.03Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 3 575 960 230 243 466.80 0.04Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 17 830 12 352.74 0.00Malaysian ringgit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 453 357 101 159.28 0.02Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 16 494 505 800 812.97 0.15New Taiwan dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 20 233 564.21 0.00Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 4 584 473 87 656.66 0.02Russian rouble . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . RUB 2 966 732 41 534.77 0.01Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 1 464 977.13 0.00South African rand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 2 367 294 144 693.92 0.03South Korean won . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 2 041 171 855 1 594 100.55 0.29Thai baht . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 7 303 662 186 969.60 0.03Turkish lira . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 6 852 2 137.04 0.00U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 244 518 1 119 523.23 0.21UAE dirham . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AED 934 358 228 829.93 0.04 Other assets 4 258 450.71 0.78Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 837 238.46 0.52Prepaid placement fee ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 071.42 0.00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 418 140.83 0.26 Receivables from share certificate transactions 58 264.96 0.02 Total assets 544 805 402.94 100.22 Other liabilities -837 058.08 -0.15Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -837 058.08 -0.15 Liabilities from share certificate transactions -366 509.98 -0.07 Total liabilities -1 203 568.06 -0.22 Net assets 543 601 834.88 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



198


Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 199 .29Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 182 .24Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 174 .71Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 167 .99Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104 .17Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 92 .71Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 88 .40 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 68 226Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 329 572Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 324 288Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 297 541Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 725Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 688Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 453 Composition of the reference portfolio (according to CSSF circular 11/512)MSCI EM (EMERGING MARKETS) Constituents




Alibaba Group Holding Count 120 000 8 506 277 .16

Total receivables from securities loans 8 506 277.16 8 506 277.16 Contracting party for securities loans Citigroup Global Markets

Total collateral pledged by third parties for securities loans EUR 8 773 710.54 thereof: Equities EUR 8 773 710 .54


199


As of: June 30, 2016 UAE dirham . . . . . . . . . . . . . . . . . . . . . AED 4 .083200 = EUR 1Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3 .569396 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1Czech koruna . . . . . . . . . . . . . . . . . . . . CZK 27 .108521 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Hungarian forint . . . . . . . . . . . . . . . . . . HUF 316 .719933 = EUR 1Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687 .670916 = EUR 1Indian rupee . . . . . . . . . . . . . . . . . . . . . INR 75 .030793 = EUR 1South Korean won . . . . . . . . . . . . . . . . KRW 1 280 .453642 = EUR 1Mexican peso . . . . . . . . . . . . . . . . . . . MXN 20 .597200 = EUR 1Malaysian ringgit . . . . . . . . . . . . . . . . . MYR 4 .481616 = EUR 1Philippine peso . . . . . . . . . . . . . . . . . . PHP 52 .300337 = EUR 1Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 4 .417251 = EUR 1Russian rouble . . . . . . . . . . . . . . . . . . . RUB 71 .427658 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1Thai baht . . . . . . . . . . . . . . . . . . . . . . . THB 39 .063368 = EUR 1Turkish lira . . . . . . . . . . . . . . . . . . . . . . TRY 3 .206442 = EUR 1New Taiwan dollar . . . . . . . . . . . . . . . . TWD 35 .860706 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1South African rand . . . . . . . . . . . . . . . . ZAR 16 .360704 = EUR 1

Notes on valuation


Footnotes

* Some or all of these securities are lent . ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations) .





Securities traded on an exchange Equities Anhui Conch Cement Co ., Ltd -H- . . . . . . . . . . . . Count 2 360 000Ayala Land, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 000Banco Bradesco SA -ADR- . . . . . . . . . . . . . . . . . Count 480 000Bank Mandiri Tbk PT . . . . . . . . . . . . . . . . . . . . . . Count 8 900 000Bank Rakyat Indonesia Persero Tbk PT . . . . . . . Count 9 400 000Cathay Financial Holding Co ., Ltd . . . . . . . . . . . . Count 5 664 554China Overseas Property Holdings Ltd . . . . . . . . Count 1 353 333China Unicom Hong Kong Ltd . . . . . . . . . . . . . . . Count 6 550 000Chow Tai Fook Jewellery Group Ltd . . . . . . . . . . Count 4 800 000Cia Brasileira de Distribuicao . . . . . . . . . . . . . . . Count 220 000El Puerto de Liverpool SAB de CV . . . . . . . . . . . Count 224 901 224 901Emaar Properties PJSC . . . . . . . . . . . . . . . . . . . . Count 1 100 000Grupo Financiero Santander Mexico SAB de CV Count 1 729 113 1 729 113Hana Financial Group, Inc . . . . . . . . . . . . . . . . . . . Count 257 000Hanjaya Mandala Sampoerna Tbk PT . . . . . . . . . Count 1 534 200HCL Technologies Ltd . . . . . . . . . . . . . . . . . . . . Count 300 000Hermes Microvision, Inc . . . . . . . . . . . . . . . . . . . Count 670Hikma Pharmaceuticals Plc . . . . . . . . . . . . . . . . . Count 204 546


Hon Hai Precision Industry Co ., Ltd . . . . . . . . . . Count 3 045 000Kasikornbank PCL . . . . . . . . . . . . . . . . . . . . . . . . Count 1 151 400 1 151 400Kotak Mahindra Bank Ltd . . . . . . . . . . . . . . . . . . Count 275 835 275 835Larsen & Toubro Ltd . . . . . . . . . . . . . . . . . . . . . . Count 300 000Malayan Banking Bhd . . . . . . . . . . . . . . . . . . . . . Count 2 722 600 2 722 600Petroleo Brasileiro SA . . . . . . . . . . . . . . . . . . . . . Count 1 327 308Shinsegae Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 22 661Tata Motors Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 738 532The Foschini Group Ltd . . . . . . . . . . . . . . . . . . . . Count 350 000Turkcell Iletisim Hizmetleri AS . . . . . . . . . . . . . . Count 1 000 000Vipshop Holdings Ltd -ADR- . . . . . . . . . . . . . . . . Count 700 940 700 940Wipro Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 000


Non-group fund unitsiShares VII PLC - iShares MSCI Mexico Capped UCITS ETF EUR - (0 .650%) Units 70 000iShares VII PLC - iShares MSCI Mexico Capped UCITS ETF EUR - (0 .650%) Units 70 000 70 000

200

Securities traded on an exchange 728 147 364.13 92.07 EquitiesSydney Airport . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 911 672 827 091 2 431 419 AUD 6 .94 8 875 102 .46 1 .12Transurban Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 915 186 1 266 358 1 054 807 AUD 11 .99 23 382 232 .71 2 .96Enbridge, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 496 901 325 000 590 442 CAD 54 .31 18 697 056 .21 2 .36Inter Pipeline Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 796 842 280 666 325 524 CAD 27 .18 15 005 318 .89 1 .90Pembina Pipeline Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 705 287 371 400 575 487 CAD 38 .79 18 954 364 .09 2 .40TransCanada Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 929 542 839 279 433 740 CAD 57 .91 37 294 616 .24 4 .72Flughafen Zuerich AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 83 600 83 600 CHF 172 .1 13 277 795 .36 1 .68Aena SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 805 162 856 109 051 EUR 117 .05 6 297 875 .25 0 .80Ferrovial SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 912 124 157 700 382 576 EUR 17 .31 15 788 866 .44 2 .00Groupe Eurotunnel SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 516 517 454 429 EUR 9 .421 4 866 106 .66 0 .62Snam SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 165 561 1 156 426 1 105 365 EUR 5 .29 16 745 817 .69 2 .12Vinci SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 612 51 266 145 183 EUR 63 .33 1 875 327 .96 0 .24National Grid Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 790 308 1 330 644 543 000 GBP 10 .765 62 329 830 .77 7 .88Severn Trent Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 712 100 70 800 60 400 GBP 23 .89 20 562 485 .60 2 .60United Utilities Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 530 800 1 014 200 70 000 GBP 10 .21 18 891 706 .01 2 .39Beijing Enterprises Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 2 001 100 HKD 43 .95 10 196 698 .63 1 .29China Merchants Holdings International Co ., Ltd . . . . . . . . . . Count 3 287 279 3 287 279 HKD 20 .6 7 851 193 .81 0 .99ENN Energy Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 631 730 1 631 730 1 152 488 HKD 38 .25 7 236 218 .13 0 .91Tokyo Gas Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 434 700 2 939 100 504 400 JPY 420 .4 8 957 988 .28 1 .13Infraestructura Energetica Nova SAB de CV . . . . . . . . . . . . . Count 1 927 485 1 927 485 MXN 75 .77 7 090 552 .86 0 .90Auckland International Airport Ltd . . . . . . . . . . . . . . . . . . . . . . Count 945 380 945 380 NZD 6 .5 3 928 051 .58 0 .50American Tower Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 469 835 132 600 158 814 USD 112 .01 47 340 651 .47 5 .98American Water Works Co ., Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 160 237 15 300 161 286 USD 82 .61 11 907 689 .30 1 .50Avangrid INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 212 934 76 181 194 775 USD 45 .82 8 776 718 .40 1 .11Columbia Pipeline Group Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 538 091 USD 25 .49 12 338 365 .48 1 .56Crown Castle International Corp . . . . . . . . . . . . . . . . . . . . . . . Count 535 325 155 500 221 802 USD 99 .98 48 146 278 .63 6 .09Edison International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 779 169 979 54 200 USD 76 .01 7 916 488 .65 1 .00Enbridge Energy Management LLC . . . . . . . . . . . . . . . . . . . . Count 875 118 84 489 225 837 USD 22 .43 17 657 448 .86 2 .23Eversource Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 677 931 360 627 140 897 USD 58 .71 35 803 842 .72 4 .53Kinder Morgan, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 932 326 1 067 089 762 508 USD 18 .34 48 377 525 .36 6 .12NiSource, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 761 291 62 200 162 400 USD 26 .04 17 832 972 .60 2 .25NorthWestern Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 326 600 64 800 44 200 USD 62 .295 18 302 121 .64 2 .31Pattern Energy Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91 734 42 678 USD 22 .37 1 845 985 .91 0 .23PG&E Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 917 640 490 556 127 700 USD 62 .83 51 864 651 .34 6 .56SBA Communications Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 163 321 163 321 57 546 USD 107 .15 15 742 230 .70 1 .99Sempra Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 479 554 45 300 69 200 USD 111 .89 48 268 172 .76 6 .10Union Pacific Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 102 615 396 068 293 453 USD 85 .81 7 921 014 .68 1 .00

Total securities portfolio 728 147 364.13 92.07 Derivatives (Minus signs denote short positions) Currency derivatives -131 392.78 -0.02Receivables/payables Currency futures (short) Open positionsCHF/CAD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 466 .12 0 .00CHF/HKD 0 .2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -264 .32 0 .00CHF/MXN 0 .2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -238 .37 0 .00CHF/NZD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -101 .57 0 .00EUR/AUD 1 .7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -22 000 .35 0 .00EUR/CAD 4 .7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 865 .90 0 .00EUR/GBP 2 .9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173 617 .00 0 .01EUR/HKD 7 .6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -12 907 .09 0 .00EUR/JPY 35 .6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -14 014 .43 0 .00EUR/MXN 5 .3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -7 602 .06 0 .00EUR/NZD 0 .2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 641 .19 0 .00EUR/USD 18 .2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -217 632 .35 -0 .03GBP/AUD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -24 .03 0 .00GBP/CAD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -48 .20 0 .00GBP/HKD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -17 .31 0 .00GBP/JPY 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -8 .96 0 .00GBP/MXN 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5 .38 0 .00GBP/NZD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 .96 0 .00SEK/HKD 1 .5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 812 .74 0 .00SEK/MXN 1 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 985 .35 0 .00SEK/NZD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 066 .33 0 .00SGD/MXN 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -20 .86 0 .00SGD/NZD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 .81 0 .00USD/AUD 0 .4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 260 .67 0 .00USD/CAD 1 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 713 .70 0 .00USD/GBP 0 .6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50 611 .82 0 .01USD/HKD 1 .7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -50 .21 0 .00USD/JPY 8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 154 .04 0 .00USD/MXN 1 .2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 228 .51 0 .00USD/NZD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -362 .66 0 .00




201

Closed positionsAUD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -413.41 0.00CHF/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.43 0.00CHF/MXN 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.85 0.00CHF/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.27 0.00CHF/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.23 0.00EUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 274.83 0.00EUR/CHF 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 299.91 0.00EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 971.69 0.00EUR/HKD 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165.64 0.00EUR/JPY 6.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 168.98 0.00EUR/MXN 1.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -386.26 0.00EUR/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -122.12 0.00EUR/SEK 1.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 829.13 0.00EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80.74 0.00EUR/USD 1.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -681.43 0.00GBP/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.30 0.00GBP/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.14 0.00GBP/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.07 0.00GBP/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.44 0.00GBP/MXN 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.23 0.00GBP/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.02 0.00GBP/SEK 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174.69 0.00HKD/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.21 0.00JPY/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -25.62 0.00JPY/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -293.44 0.00JPY/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3.43 0.00SEK/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22.91 0.00SEK/MXN 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -193.56 0.00SEK/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -75.70 0.00SGD/MXN 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.92 0.00SGD/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.72 0.00USD/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -95.77 0.00USD/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36.47 0.00USD/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158.25 0.00USD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.49 0.00USD/JPY 1.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -227.06 0.00USD/MXN 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -12.04 0.00USD/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.36 0.00USD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4.02 0.00USD/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19.14 0.00


Open positionsCHF/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -536.60 0.00CHF/EUR 2.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 102.82 0.00CHF/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 504.19 0.00CHF/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -373.55 0.00CHF/USD 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 509.35 0.00SEK/AUD 2.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -7 276.72 0.00SEK/CAD 5.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -7 810.33 0.00SEK/CHF 0.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 715.75 0.00SEK/EUR 3.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 197.83 0.00SEK/GBP 6.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 334.29 0.00SEK/JPY 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 538.33 0.00SEK/USD 30.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -86 114.08 -0.01SGD/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5.28 0.00SGD/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 274.18 0.00SGD/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30.53 0.00SGD/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101.88 0.00SGD/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 034.93 0.00SGD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17.50 0.00SGD/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -36.16 0.00SGD/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 363.59 0.00

Cash at bank 63 544 153.09 8.03 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 698 005.98 0.21 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 6 956 8 407.18 0.00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 11 625 1 232.38 0.00



202

Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 13 612 9 106 .01 0 .00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 77 566 8 992 .95 0 .00Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 17 017 699 148 937 .19 0 .02Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 12 819 8 881 .39 0 .00Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 16 317 043 792 197 .14 0 .10New Zealand dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 14 139 9 038 .21 0 .00Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 9 557 8 819 .59 0 .00U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 67 644 476 60 850 535 .07 7 .70 Other assets 9 383 396.68 1.19Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 576 471 .10 0 .58Receivables from exceeding the expense cap . . . . . . . . . . . . 114 .36 0 .00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 806 811 .22 0 .61 Receivables from share certificate transactions 1 241 458.76 0.16 Total assets * 802 598 356.82 101.47 Other liabilities -10 162 250.18 -1.29Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -10 162 250 .18 -1 .29 Liabilities from share certificate transactions -1 121 683.56 -0.14 Total liabilities -11 697 310.68 -1.47 Net assets 790 901 046.14 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class CHF FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 112 .46Class CHF LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 139 .58Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 147 .78Class FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102 .31Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 96 .40Class FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97 .22Class IDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .24Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 138 .19Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 148 .69Class LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 108 .97Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 129 .75Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 120 .49Class GBP DH (P) RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 99 .75Class SEK FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 132 .86Class SEK LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 122 .56Class SGD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 9 .19Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 109 .27Class USD FDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 109 .63Class USD ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 111 .92Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 121 .81Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 .55Class USD LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 111 .04Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 110 .73 Number of shares outstanding Class CHF FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 300Class CHF LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 792Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 316 671Class FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 265Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 129 892Class FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class IDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 277 350Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 321 672Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 193 920Class LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 168 866Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 132 320Class GBP DH (P) RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72Class SEK FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95Class SEK LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 505Class SGD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 331Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 885 733Class USD FDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115Class USD ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 462 277Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 072Class USD LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 160Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115



203

Composition of the reference portfolio (according to CSSF circular 11/512) Dow Jones Brookfield Global Infrastructure Index in EUR Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 89 .965 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 118 .197 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 93 .375 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0 .00 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .


Contracting parties for currency futures Citigroup Global Markets Limited and State Street Bank and Trust Company Exchange rates (indirect quotes)


Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .494856 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1 .083580 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1Mexican peso . . . . . . . . . . . . . . . . . . . MXN 20 .597200 = EUR 1New Zealand dollar . . . . . . . . . . . . . . . NZD 1 .564381 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9 .432959 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1

Notes on valuation


Footnote



204


Securities traded on an exchange Equities Atlantia SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 700 674 981Beijing Enterprises Water Group Ltd . . . . . . . . . Count 5 730 535Ferrovial SA -Rights Exp 17Jun16 . . . . . . . . . . . . Count 964 906 964 906Flughafen Zuerich AG . . . . . . . . . . . . . . . . . . . . . Count 16 700Hong Kong & China Gas Co ., Ltd . . . . . . . . . . . . Count 4 132 276ITC Holdings Corp . . . . . . . . . . . . . . . . . . . . . . . . Count 31 900 415 454Koninklijke Vopak NV . . . . . . . . . . . . . . . . . . . . . . Count 577 669Pepco Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 245 058Promotora y Operadora de Infraestructura SAB de CV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 487 100Spectra Energy Corp . . . . . . . . . . . . . . . . . . . . . . Count 782 685Transurban Group . . . . . . . . . . . . . . . . . . . . . . . . Count 67 358Transurban Group 15/12/2015 . . . . . . . . . . . . . . . Count 67 357Westar Energy, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 284 212



Futures contracts to sell currencies AUD/CHF EUR 200AUD/SEK EUR 580AUD/SGD EUR 23CAD/SEK EUR 1 173CAD/SGD EUR 48CHF/CAD EUR 497CHF/HKD EUR 149CHF/MXN EUR 20CHF/SEK EUR 190CHF/SGD EUR 8EUR/AUD EUR 7 127EUR/CAD EUR 14 901EUR/CHF EUR 20 518EUR/GBP EUR 18 179EUR/HKD EUR 4 240EUR/JPY EUR 2 168EUR/MXN EUR 561EUR/NZD EUR 5EUR/SEK EUR 6 114EUR/SGD EUR 100EUR/USD EUR 101 220GBP/AUD EUR 3GBP/CAD EUR 6GBP/CHF EUR 512GBP/HKD EUR 2GBP/JPY EUR 1GBP/SEK EUR 1 553GBP/SGD EUR 60HKD/SGD EUR 14JPY/CHF EUR 62JPY/SEK EUR 163JPY/SGD EUR 7SEK/HKD EUR 359SEK/MXN EUR 4SEK/NZD EUR 1SGD/MXN EUR 2USD/AUD EUR 3 447USD/CAD EUR 7 176USD/CHF EUR 3 209USD/GBP EUR 8 246USD/HKD EUR 2 202USD/JPY EUR 701USD/MXN EUR 327USD/NZD EUR 1USD/SEK EUR 6 579USD/SGD EUR 256

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Currency futures (long)

Futures contracts to purchase currencies AUD/CHF EUR 234AUD/EUR EUR 8 373AUD/SEK EUR 575AUD/SGD EUR 27CAD/EUR EUR 17 975CAD/SEK EUR 1 181CAD/SGD EUR 57CHF/CAD EUR 413CHF/EUR EUR 18 012CHF/HKD EUR 119CHF/MXN EUR 15CHF/SEK EUR 192CHF/SGD EUR 9GBP/AUD EUR 2GBP/CAD EUR 5GBP/CHF EUR 590GBP/EUR EUR 20 923GBP/HKD EUR 1GBP/JPY EUR 1GBP/SEK EUR 1 558GBP/SGD EUR 69HKD/EUR EUR 5 290HKD/SGD EUR 17JPY/CHF EUR 63JPY/EUR EUR 2 206JPY/SEK EUR 165JPY/SGD EUR 7MXN/EUR EUR 725NZD/EUR EUR 5SEK/EUR EUR 6 230SEK/HKD EUR 354SEK/MXN EUR 4SEK/NZD EUR 1SGD/EUR EUR 87SGD/MXN EUR 2USD/AUD EUR 3 029USD/CAD EUR 6 127USD/CHF EUR 3 429USD/EUR EUR 113 555USD/GBP EUR 7 318USD/HKD EUR 1 850USD/JPY EUR 691USD/MXN EUR 276USD/NZD EUR 1USD/SEK EUR 6 656USD/SGD EUR 295




205

Securities traded on an exchange 124 452 553.67 96.57 EquitiesDexus Property Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 133 964 72 550 AUD 9 .02 898 593 .15 0 .70Goodman Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 914 52 954 AUD 7 .11 152 878 .44 0 .12Investa Office Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 019 29 165 133 192 AUD 4 .28 38 254 .33 0 .03Mirvac Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 619 205 206 599 AUD 2 .02 930 152 .77 0 .72Scentre Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 672 049 164 615 43 783 AUD 4 .92 2 458 863 .96 1 .91Vicinity Centres . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 896 409 240 292 83 333 AUD 3 .32 2 213 159 .69 1 .72Westfield Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 163 647 56 540 24 770 AUD 10 .65 1 296 063 .01 1 .01Chartwell Retirement Residences . . . . . . . . . . . . . . . . . . . . . Count 105 283 51 284 2 766 CAD 15 .71 1 273 872 .40 0 .99First Capital Realty, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 936 48 677 2 741 CAD 22 .29 788 596 .30 0 .61PSP Swiss Property AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 116 1 885 280 CHF 95 .1 889 388 .66 0 .69Swiss Prime Site AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 237 4 679 442 CHF 88 .05 382 731 .83 0 .30Ado Properties SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 337 4 697 399 EUR 34 .64 783 127 .92 0 .61Alstria Office REIT-AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 404 9 074 1 270 EUR 12 .05 594 808 .37 0 .46AZ . BGP Holdings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 462 440 EUR 0 .026 42 919 .04 0 .03BUWOG AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 308 36 308 EUR 20 .68 834 681 .51 0 .65Citycon Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 249 948 56 988 2 500 EUR 2 .048 569 046 .23 0 .44Deutsche Annington Immobilien SE . . . . . . . . . . . . . . . . . . . Count 50 876 24 413 34 832 EUR 32 .765 1 853 066 .75 1 .44Gecina SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 968 2 506 6 404 EUR 122 .4 675 975 .47 0 .52Green Reit Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 287 171 142 351 2 400 EUR 1 .387 442 776 .92 0 .34Hibernia REIT Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 497 366 191 964 11 115 EUR 1 .33 735 352 .66 0 .57ICADE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 155 11 923 3 768 EUR 63 .64 576 928 .60 0 .45Klepierre . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 434 8 771 10 158 EUR 39 .92 1 705 587 .68 1 .32LEG Immobilien AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 995 1 257 7 016 EUR 84 466 425 .96 0 .36TLG Immobilien AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 826 21 826 EUR 18 .785 455 777 .92 0 .35Unibail-Rodamco SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 778 1 706 1 672 EUR 233 .9 1 242 350 .96 0 .96Unibail-Rodamco SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 212 50 EUR 234 55 146 .72 0 .04Wereldhave NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 130 2 560 100 EUR 40 .755 549 553 .06 0 .43Assura Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 372 639 81 085 6 500 GBP 0 .544 272 549 .23 0 .21British Land Co ., Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 177 124 54 094 5 601 GBP 5 .975 1 422 006 .98 1 .11Derwent London Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 876 9 256 6 380 GBP 25 .83 99 815 .89 0 .08Great Portland Estates Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 64 743 16 865 2 644 GBP 6 .17 536 740 .53 0 .42Hammerson Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 89 455 42 179 57 819 GBP 5 .17 621 414 .77 0 .48Intu Properties Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 361 114 718 254 291 GBP 2 .841 58 637 .73 0 .05Land Securities Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 60 412 52 671 30 101 GBP 10 .25 832 019 .47 0 .65Londonmetric Property Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 145 041 64 110 41 291 GBP 1 .486 289 598 .30 0 .22Safestore Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 645 7 688 500 GBP 3 .553 203 586 .86 0 .16Segro Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 142 853 117 592 98 359 GBP 4 .108 788 508 .18 0 .61St Modwen Properties Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 040 14 496 3 800 GBP 2 .632 286 597 .06 0 .22Unite Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 778 35 778 GBP 6 .17 296 611 .26 0 .23Cheung Kong Property Holdings Ltd . . . . . . . . . . . . . . . . . . . . Count 358 777 189 112 95 690 HKD 48 .5 2 242 674 .15 1 .74Hang Lung Properties Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 291 766 328 683 300 454 HKD 15 .66 588 879 .29 0 .46Link REIT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 195 820 47 500 59 522 HKD 52 .8 1 332 572 .40 1 .03Sino Land Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 637 688 1 057 018 419 330 HKD 12 .66 1 040 499 .31 0 .81Sun Hung Kai Properties Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 88 317 32 674 34 507 HKD 93 1 058 588 .33 0 .82Wharf Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 88 057 123 804 43 031 HKD 46 .9 532 275 .62 0 .41Advance Residence Investment Corp . . . . . . . . . . . . . . . . . . . Count 89 89 JPY 275 300 238 378 .17 0 .18Aeon Mall Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 400 4 400 JPY 1 334 57 105 .61 0 .04Daibiru Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 500 11 800 3 900 JPY 877 294 366 .88 0 .23Daiwa House Residential Investment Corp . . . . . . . . . . . . . . . Count 59 87 28 JPY 279 100 160 207 .23 0 .12Frontier Real Estate Investment Corp . . . . . . . . . . . . . . . . . . . Count 171 125 4 JPY 534 000 888 398 .11 0 .69Global One Real Estate Investment Corp . . . . . . . . . . . . . . . . Count 173 67 JPY 378 500 637 062 .80 0 .49Invesco Office J-Reit, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 403 130 JPY 94 400 370 124 .05 0 .29Japan Logistics Fund, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 418 201 137 JPY 239 700 974 797 .88 0 .76Japan Real Estate Investment Corp . . . . . . . . . . . . . . . . . . . . . Count 256 87 23 JPY 634 000 1 579 063 .09 1 .23Mitsubishi Estate Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 117 000 40 000 18 000 JPY 1 873 2 132 032 .88 1 .65Mitsui Fudosan Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 110 000 38 000 14 000 JPY 2 331 .5 2 495 159 .80 1 .94Mori Hills REIT Investment Corp . . . . . . . . . . . . . . . . . . . . . . . Count 549 124 26 JPY 161 200 861 008 .90 0 .67Mori Trust Sogo Reit, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 285 311 26 JPY 194 800 540 137 .18 0 .42Nippon Accommodations Fund, Inc . . . . . . . . . . . . . . . . . . . . . Count 92 53 80 JPY 468 000 418 893 .81 0 .33Nippon Building Fund, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 17 72 JPY 633 000 30 792 .43 0 .02NTT Urban Development Corp . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 800 13 600 43 900 JPY 1 092 550 329 .33 0 .43Sekisui House Reit, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 115 JPY 138 700 155 183 .15 0 .12Tokyo Tatemono Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 200 21 000 40 700 JPY 1 222 608 711 .39 0 .47Top REIT, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 123 73 9 JPY 415 500 497 217 .49 0 .39United Urban Investment Corp . . . . . . . . . . . . . . . . . . . . . . . . Count 524 376 135 JPY 185 100 943 643 .53 0 .73Ayala Land, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 409 400 PHP 0 .1 870 .18 0 .00Fabege AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 876 9 516 38 394 SEK 142 .7 283 800 .72 0 .22Hufvudstaden AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 197 11 474 440 SEK 131 .4 668 911 .95 0 .52CapitaLand Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 340 400 266 500 177 200 SGD 3 .07 775 415 .89 0 .60CapitaMall Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 298 300 312 500 459 300 SGD 2 .13 471 454 .33 0 .37Frasers Logistics & Industrial Trust . . . . . . . . . . . . . . . . . . . . . Count 823 800 823 800 SGD 0 .95 580 700 .45 0 .45Keppel REIT Management Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 375 300 375 300 SGD 1 .05 292 398 .16 0 .23Mapletree Industrial Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 31 400 31 400 7 100 SGD 1 .72 40 074 .20 0 .03Agree Realty Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 326 8 397 2 103 USD 47 .54 918 758 .04 0 .71American Campus Communities, Inc . . . . . . . . . . . . . . . . . . . . Count 18 110 18 882 772 USD 51 .93 940 452 .30 0 .73AvalonBay Communities, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 109 7 477 368 USD 177 .25 1 260 070 .25 0 .98Boston Properties, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 943 9 518 13 170 USD 130 .67 1 691 261 .81 1 .31Camden Property Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 773 7 372 459 USD 86 .84 1 196 047 .32 0 .93Chesapeake Lodging Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 957 6 112 25 157 USD 23 .25 22 250 .25 0 .02CoreSite Realty Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 372 4 581 6 296 USD 87 .44 557 167 .68 0 .43Crown Castle International Corp . . . . . . . . . . . . . . . . . . . . . . . Count 6 902 6 902 3 721 USD 99 .98 690 061 .96 0 .54




206

CubeSmart . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 430 7 007 19 742 USD 30 .45 682 993 .50 0 .53DDR Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 76 410 76 410 USD 17 .99 1 374 615 .90 1 .07Digital Realty Trust, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 676 23 130 9 454 USD 107 .98 1 476 734 .48 1 .15Douglas Emmett, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 218 38 218 USD 34 .81 1 330 368 .58 1 .03Duke Realty Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 134 85 170 15 036 USD 26 .09 1 829 796 .06 1 .42DuPont Fabros Technology, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 23 231 24 906 1 675 USD 46 .64 1 083 493 .84 0 .84Education Realty Trust Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 260 12 368 14 463 USD 45 .24 916 562 .40 0 .71Equity Commonwealth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 240 39 792 552 USD 28 .79 1 129 719 .60 0 .88Equity Lifestyle Properties, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 14 599 6 772 2 556 USD 79 .05 1 154 050 .95 0 .90Equity One, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 807 39 351 544 USD 31 .61 1 226 689 .27 0 .95Equity Residential . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 77 485 28 754 8 377 USD 67 .87 5 258 906 .95 4 .08Extra Space Storage, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 639 10 473 3 842 USD 91 .565 1 981 375 .04 1 .54Federal Realty Investment Trust . . . . . . . . . . . . . . . . . . . . . . . Count 4 940 5 075 10 945 USD 163 .01 805 269 .40 0 .62Four Corners Property Trust . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 294 28 286 11 010 USD 19 .93 603 759 .42 0 .47General Growth Properties, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 63 104 79 089 45 871 USD 29 .7 1 874 188 .80 1 .45Healthcare Trust of America, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 38 666 14 536 5 033 USD 32 .07 1 240 018 .62 0 .96Hongkong Land Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 162 500 52 700 34 500 USD 6 .09 989 625 .00 0 .77Hudson Pacific Properties, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 517 38 786 3 269 USD 28 .66 1 017 917 .22 0 .79LaSalle Hotel Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 065 9 978 2 736 USD 23 .07 532 109 .55 0 .41Mid-America Apartment Communities, Inc . . . . . . . . . . . . . . . Count 11 183 4 887 4 602 USD 104 .88 1 172 873 .04 0 .91National Health Investors, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 972 5 132 7 421 USD 73 .71 440 196 .12 0 .34National Retail Properties, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 589 21 554 30 625 USD 51 .21 1 003 152 .69 0 .78Paramount Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 67 615 67 615 USD 15 .52 1 049 384 .80 0 .81Pebblebrook Hotel Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 327 9 699 17 277 USD 25 .71 496 897 .17 0 .39Prologis, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 298 44 633 30 490 USD 48 .45 2 872 988 .10 2 .23Public Storage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 593 3 553 1 960 USD 252 .57 2 170 334 .01 1 .68Regency Centers Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 801 18 396 2 595 USD 82 .7 1 306 742 .70 1 .01Retail Properties of Americ A Aktie . . . . . . . . . . . . . . . . . . . . Count 44 966 30 297 37 086 USD 16 .69 750 482 .54 0 .58Rexford Industrial Realty, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 818 24 740 1 629 USD 20 .99 1 066 669 .82 0 .83RLJ Lodging Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 507 25 017 1 510 USD 21 .09 495 762 .63 0 .38Senior Housing Properties Trust . . . . . . . . . . . . . . . . . . . . . . . Count 49 224 85 811 40 746 USD 21 .04 1 035 672 .96 0 .80Silver Bay Realty Trust Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 340 13 340 USD 16 .78 223 845 .20 0 .17Simon Property Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 598 10 506 9 153 USD 214 .49 6 991 945 .02 5 .43Sovran Self Storage, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 570 4 531 1 961 USD 103 .91 267 048 .70 0 .21Spirit Realty Capital, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 112 750 17 793 13 128 USD 12 .57 1 417 267 .50 1 .10STORE Capital Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 322 51 333 24 420 USD 28 .72 1 445 247 .84 1 .12Sunstone Hotel Investors, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 84 205 41 755 12 167 USD 11 .86 998 671 .30 0 .77The Macerich Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 885 9 143 20 862 USD 84 .15 1 505 022 .75 1 .17Urban Edge Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 49 549 13 088 7 763 USD 29 .4 1 456 740 .60 1 .13Ventas, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 39 209 49 020 9 811 USD 71 .94 2 820 695 .46 2 .19Vereit Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 701 101 025 7 324 USD 9 .93 930 450 .93 0 .72Vornado Realty Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 192 24 967 28 897 USD 98 .82 2 193 013 .44 1 .70Washington Real Estate Investment Trust . . . . . . . . . . . . . . . Count 39 956 17 933 1 679 USD 30 .9 1 234 640 .40 0 .96Welltower Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 510 33 299 48 837 USD 75 .02 2 288 860 .20 1 .78WP Glimcher, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 130 22 045 14 915 USD 10 .91 77 788 .30 0 .06

Total securities portfolio 124 452 553.67 96.57 Derivatives (Minus signs denote short positions) Currency derivatives -91 574.86 -0.07Receivables/payables Currency futures Currency futures (short) Open positionsCHF/CAD 0 .2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 706 .96 0 .00CHF/HKD 3 .5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 222 .17 0 .00CHF/NOK 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0 .02 0 .00CHF/SEK 0 .5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 114 .25 0 .00CHF/SGD 0 .2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 499 .09 0 .00EUR/AUD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -14 .81 0 .00EUR/CAD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0 .06 0 .00EUR/HKD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -9 .19 0 .00EUR/JPY 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -64 .18 0 .00EUR/SGD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 .03 0 .00GBP/AUD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 741 .48 0 .00GBP/CAD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -316 .54 0 .00GBP/HKD 0 .2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 294 .10 0 .00GBP/JPY 5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 368 .35 0 .00GBP/NOK 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0 .17 0 .00GBP/SEK 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -96 .45 0 .00GBP/SGD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -351 .79 0 .00SEK/HKD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -17 .07 0 .00SEK/SGD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5 .06 0 .00USD/AUD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -15 .28 0 .00USD/CAD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 .09 0 .00USD/HKD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0 .58 0 .00USD/JPY 0 .5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -165 .86 0 .00USD/SGD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 .76 0 .00



207

Closed positionsAUD/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -50.15 0.00CHF/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26.34 0.00CHF/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79.74 0.00CHF/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.01 0.00CHF/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.41 0.00CHF/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5.75 0.00EUR/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 543.35 0.00EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -175.39 0.00EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.60 0.00EUR/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.04 0.00GBP/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 047.65 0.00GBP/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -6.57 0.00GBP/JPY 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -51.33 0.00GBP/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.36 0.00JPY/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 676.65 0.00JPY/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -6.48 0.00USD/CHF 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 713.42 0.00USD/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4.68 0.00USD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.03 0.00USD/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -6.37 0.00USD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.48 0.00


Open positionsCHF/AUD 0.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -7 535.90 -0.01CHF/EUR 0.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 690.13 0.00CHF/GBP 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 001.09 0.01CHF/JPY 0.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -37 878.97 -0.03CHF/USD 4.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -44 531.85 -0.03EUR/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -33.48 0.00GBP/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 697.47 0.00GBP/USD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -13 384.91 -0.01SEK/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -23.63 0.00SEK/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2.52 0.00SEK/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -13.09 0.00SEK/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -77.37 0.00SEK/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -165.35 0.00

Cash at bank 2 841 279.57 2.21 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 18 810 20 910.04 0.02 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 152 546 204 968.74 0.16Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 6 076 725.40 0.00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 138 166 16 282.49 0.01 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 13 508 10 045.18 0.01Chinese renminbi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNY 24 3.54 0.00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 146 528 18 885.19 0.01Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 3 420 870 33 281.80 0.03Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 13 518 10 411.17 0.01Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 4 082 86.76 0.00Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 22 334 22 912.97 0.02Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 13 633 10 116.06 0.01U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 2 492 650.23 1.93 Other assets 1 446 016.50 1.11Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 338 587.47 0.26Receivables from exceeding the expense cap . . . . . . . . . . . . -0.01 0.00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 107 429.04 0.85 Receivables from share certificate transactions 1 093 116.91 0.85 Total assets * 129 863 912.17 100.75 Other liabilities -852 191.43 -0.66Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -852 191.43 -0.66 Liabilities from share certificate transactions -13 563.48 -0.01 Total liabilities -988 275.29 -0.75 Net assets 128 875 636.88 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



208


Net asset value per share Class CHF LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 98 .37Class FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106 .50Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 168 .40Class GBP DH (P) RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 107 .10Class SEK FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 066 .05Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 162 .80Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 120 .98Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 103 .95 Number of shares outstanding Class CHF LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 055Class FDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 193 438Class GBP DH (P) RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 766Class SEK FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 462 796Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 71 695Class USD LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 428 Composition of the reference portfolio (according to CSSF circular 11/512)FTSE EPRA/NAREIT Developed Index Constituents


In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0 .00 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .


Contracting parties for currency futuresCitigroup Global Markets Limited and State Street Bank and Trust Company


As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .344719 = USD 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .298400 = USD 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 0 .974750 = USD 1Chinese renminbi . . . . . . . . . . . . . . . . CNY 6 .643600 = USD 1Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0 .899564 = USD 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .744241 = USD 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 7 .758900 = USD 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 102 .785000 = USD 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 8 .376300 = USD 1Philippine peso . . . . . . . . . . . . . . . . . . PHP 47 .047500 = USD 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 8 .485550 = USD 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .347700 = USD 1

Notes on valuation


Footnote



209


Securities traded on an exchange Equities Alexandria Real Estate Equities, Inc. . . . . . . . . . . Count 6 273American Homes 4 Rent . . . . . . . . . . . . . . . . . . . Count 24 077 24 077American Residential Properties, Inc. . . . . . . . . . Count 26 062Ascendas Real Estate Investment Trust . . . . . . . Count 302 500 302 500Brixmor Property Group, Inc. . . . . . . . . . . . . . . . Count 28 004 28 004CapitaCommercial Trust . . . . . . . . . . . . . . . . . . . Count 288 300 417 000CyrusOne, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 413 26 101DCT Industrial Trust, Inc. . . . . . . . . . . . . . . . . . . . Count 1 850 26 898Deutsche Wohnen AG . . . . . . . . . . . . . . . . . . . . Count 30 120 30 120Equinix, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 131 5 693Essex Property Trust, Inc. . . . . . . . . . . . . . . . . . . Count 347 6 946First Industrial Realty Trust, Inc. . . . . . . . . . . . . . Count 393 12 443HCP, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 635 24 635Healthcare Realty Trust, Inc. . . . . . . . . . . . . . . . . Count 4 358 4 358Helical Bar Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 644Henderson Land Development Co., Ltd . . . . . . . Count 127 794 176 545Highwoods Properties, Inc. . . . . . . . . . . . . . . . . . Count 24 205 24 205Host Hotels & Resorts, Inc. . . . . . . . . . . . . . . . . Count 9 708 26 535InterXion Holding NV . . . . . . . . . . . . . . . . . . . . . . Count 9 277 9 277Japan Retail Fund Investment Corp. . . . . . . . . . . Count 64 316Kenedix Office Investment Corp. . . . . . . . . . . . . Count 9 54Kilroy Realty Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 8 476Kimco Realty Corp. . . . . . . . . . . . . . . . . . . . . . . . Count 4 353 4 353LaSalle Logiport REIT . . . . . . . . . . . . . . . . . . . . . Count 188 188LXB Retail Properties Plc . . . . . . . . . . . . . . . . . . Count 62 284Mack-Cali Realty Corp. . . . . . . . . . . . . . . . . . . . . Count 12 903Mapletree Logistics Trust . . . . . . . . . . . . . . . . . . Count 334 900MGM Growth Properties LLC . . . . . . . . . . . . . . . Count 14 755 14 755New World Development Co. Ltd . . . . . . . . . . . . Count 363 602Pandox AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 239Physicians Realty Trust . . . . . . . . . . . . . . . . . . . . Count 39 073 39 073Piedmont Office Realty Trust, Inc. . . . . . . . . . . . Count 29 638Post Properties, Inc. . . . . . . . . . . . . . . . . . . . . . . Count 3 443 19 463Smart Real Estate Investment . . . . . . . . . . . . . . Count 8 187 42 064Sumitomo Realty & Development Co., Ltd . . . . . Count 3 000Sun Communities, Inc. . . . . . . . . . . . . . . . . . . . . Count 2 475 2 475Suntec Real Estate Investment Trust . . . . . . . . . Count 287 800 287 800Swire Properties Ltd . . . . . . . . . . . . . . . . . . . . . . Count 58 650 110 999Taubman Centers, Inc. . . . . . . . . . . . . . . . . . . . . Count 3 187 4 779Weingarten Realty Investors . . . . . . . . . . . . . . . . Count 7 954 35 986


Value (’000)Futures contracts Currency futures (short) Futures contracts to sell currenciesAUD/CHF USD 2 728AUD/SEK USD 4CAD/SEK USD 1CHF/CAD USD 798CHF/HKD USD 3 049CHF/SEK USD 595CHF/SGD USD 906EUR/AUD USD 4EUR/CAD USD 1EUR/CHF USD 4 356EUR/GBP USD 144EUR/HKD USD 4EUR/JPY USD 8EUR/SEK USD 7EUR/SGD USD 1GBP/AUD USD 91GBP/CAD USD 23GBP/CHF USD 2 635GBP/HKD USD 82GBP/JPY USD 180GBP/SEK USD 17GBP/SGD USD 24JPY/CHF USD 5 288JPY/SEK USD 7SEK/HKD USD 4SEK/SGD USD 1USD/AUD USD 10USD/CAD USD 2USD/CHF USD 29 888USD/EUR USD 53USD/GBP USD 973USD/HKD USD 9USD/JPY USD 19USD/SEK USD 40USD/SGD USD 3


Futures contracts to purchase currenciesAUD/CHF USD 3 286AUD/SEK USD 4AUD/USD USD 10CAD/SEK USD 1CAD/USD USD 3CHF/CAD USD 668CHF/HKD USD 2 506CHF/SEK USD 462CHF/SGD USD 758CHF/USD USD 25 115EUR/AUD USD 4EUR/CAD USD 1EUR/CHF USD 5 267EUR/GBP USD 144EUR/HKD USD 3EUR/JPY USD 7EUR/SEK USD 8EUR/SGD USD 1EUR/USD USD 48GBP/AUD USD 90GBP/CAD USD 23GBP/CHF USD 3 228GBP/HKD USD 82GBP/JPY USD 176GBP/SEK USD 18GBP/SGD USD 24GBP/USD USD 971HKD/USD USD 9JPY/CHF USD 6 449JPY/SEK USD 8JPY/USD USD 20SEK/HKD USD 3SEK/SGD USD 1SEK/USD USD 34SGD/USD USD 3




210

Securities traded on an exchange 52 077 738.83 95.68 Interest-bearing securities 3.00 % Asian Development Bank (MTN) 2012/2016 . . . . . . AUD 500 000 % 100.335 373 070.51 0.69 4.00 % Telstra Corp., Ltd (MTN) 2012/2017 . . . . . . . . . . . . AUD 450 000 % 101.856 340 853.37 0.63 4.25 % Canadian Government Bond 2007/2018 . . . . . . . . . CAD 400 000 400 000 % 107.06 329 821.32 0.61 1.25 % Canadian Government Bond 2014/2018 . . . . . . . . . CAD 500 000 % 101.132 389 448.55 0.72 4.00 % Denmark Government Bond 2006/2017 . . . . . . . . . DKK 1 000 000 % 106.385 158 959.15 0.29 2.00 % Nykredit Realkredit A/S 2012/2018 . . . . . . . . . . . . . DKK 1 000 000 % 103.69 154 932.31 0.28 4.375 % Anglo American Capital Plc 2009/2016 . . . . . . . . . . EUR 500 000 500 000 % 101.267 562 867.12 1.03 0.509 % Anheuser-Busch InBev SA/NV (MTN) 2016/2020 * EUR 400 000 790 000 390 000 % 101.054 449 346.57 0.83 4.125 % Banco Nacional de Desenvolvimento Economico

e Social 2010/2017 . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 100 000 % 101.365 338 047.10 0.62 1.875 % Bank of Ireland Mortgage Bank 2013/2017 . . . . . . EUR 300 000 % 101.672 339 070.93 0.62 2.00 % Brisa Concessao Rodoviaria SA (MTN) 2016/2023 . EUR 200 000 400 000 200 000 % 102.199 227 218.96 0.42 4.00 % Bundesrepublik Deutschland 2006/2016 . . . . . . . . EUR 500 000 500 000 % 100.038 556 036.04 1.02 3.75 % Bundesrepublik Deutschland 2008/2019 . . . . . . . . EUR 400 000 % 111.132 494 159.39 0.91 0.367 % Cooperatieve Centrale Raiffeisen-Boerenleenbank

BA (MTN) 2014/2019 * . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 200 000 % 100.607 335 519.21 0.62 1.00 % Corp Andina de fomento 2015/2020 . . . . . . . . . . . . EUR 200 000 206 000 % 102.743 228 428.44 0.42 5.00 % Czech Republic Govermnent Bond (MTN)

2008/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 200 000 % 110.058 367 037.81 0.67 4.75 % Deutsche Bahn Finance BV (MTN) 2003/2018 . . . . EUR 400 000 400 000 % 108.547 482 664.94 0.89 1.00 % Deutsche Bank AG (MTN) 2016/2019 . . . . . . . . . . . EUR 500 000 500 000 % 100.547 558 865.18 1.03 1.125 % Erste Abwicklungsanstalt (MTN) 2012/2017 . . . . . . EUR 200 000 % 101.698 226 105.09 0.42 0.85 % FADE - Fondo de Amortizacion del Deficit Electrico

2015/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 % 102.351 341 335.36 0.63 0.303 % FedEx Corp. 2016/2019 * . . . . . . . . . . . . . . . . . . . . EUR 200 000 1 090 000 890 000 % 100.295 222 985.80 0.41 2.875 % Islandsbanki HF (MTN) 2015/2018 . . . . . . . . . . . . . EUR 200 000 200 000 % 102 226 776.53 0.42 3.50 % Italy Buoni Poliennali Del Tesoro 2012/2017 . . . . . . EUR 800 000 % 104.818 932 167.14 1.71 3.50 % Italy Buoni Poliennali Del Tesoro 2013/2018 . . . . . . EUR 400 000 % 106.808 474 932.30 0.87 1.15 % Italy Buoni Poliennali Del Tesoro 2014/2017 . . . . . . EUR 100 000 % 101.18 112 476.71 0.21 0.875 % KFW 2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 250 000 150 000 % 102.664 285 316.00 0.52 1.00 % LeasePlan Corp NV (MTN) 2016/2020 . . . . . . . . . . EUR 300 000 600 000 300 000 % 101.239 337 626.89 0.62 4.25 % Mexico Government Bond (MTN) 2010/2017 ** . . EUR 300 000 % 104.34 347 968.57 0.64 1.25 % Molson Coors Brewing Co. 2016/2024 . . . . . . . . . . EUR 370 000 370 000 % 100.604 413 794.68 0.76 5.375 % Morocco Government International Bond

2007/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 300 000 % 105.114 350 549.82 0.64 5.50 % Nuova Banca delle Marche SpA 2012/2017 . . . . . . EUR 100 000 % 102.422 113 857.94 0.21 3.75 % Petroleos Mexicanos (MTN) 2016/2019 . . . . . . . . . EUR 500 000 1 220 000 720 000 % 104.615 581 476.14 1.07 2.75 % Prologis International Funding II SA (MTN)

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 250 000 % 105.796 294 020.21 0.54 1.00 % Sanofi (MTN) 2012/2017 . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 101.587 225 858.30 0.41 0.625 % Schlumberger Finance France SAS 2016/2019 . . . . EUR 130 000 130 000 % 101.567 146 779.00 0.27 0.50 % Sinopec Group Overseas Development 2015 Ltd

-Reg- 2015/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 400 000 100 000 % 100.53 447 016.55 0.82 4.70 % Slovenia Government International Bond

2013/2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 500 000 % 101.53 564 328.94 1.04 4.10 % Spain Government Bond 2008/2018 . . . . . . . . . . . . EUR 100 000 % 108.835 120 986.39 0.22 5.875 % Standard Chartered Bank 2007/2017 . . . . . . . . . . . EUR 200 000 % 106.063 235 809.79 0.43 0.875 % State of North Rhine-Westphalia (MTN) 2014/2019 EUR 200 000 200 000 % 104.125 231 501.04 0.43 2.375 % State of North Rhine-Westphalia 2010/2016. . . . . . EUR 500 000 % 100.01 555 880.40 1.02 3.035 % Vnesheconombank Via VEB Finance Plc

-Reg- 2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 102.229 113 642.83 0.21 1.50 % Barclays Bank Plc (MTN) 2012/2017 . . . . . . . . . . . . GBP 200 000 % 100.678 270 552.15 0.50 6.25 % General Electric Capital Corp. (MTN) 2002/2017 . . GBP 200 000 % 107.469 288 801.61 0.53 6.25 % Heathrow Funding Ltd 2010/2018 . . . . . . . . . . . . . GBP 200 000 % 108.84 292 485.90 0.54 0.779 % Nationwide Building Society 2014/2017 * . . . . . . . GBP 200 000 % 99.916 268 504.42 0.49 5.40 % Societe Generale SA (MTN) 2003/2018 . . . . . . . . . GBP 200 000 % 105.367 283 152.90 0.52 1.25 % Transport for London 2012/2017 . . . . . . . . . . . . . . . GBP 100 000 % 100.625 135 204.86 0.25 1.00 % United Kingdom Gilt 2012/2017 . . . . . . . . . . . . . . . GBP 100 000 % 100.89 135 560.93 0.25 1.75 % United Kingdom Gilt 2013/2019 . . . . . . . . . . . . . . . GBP 200 000 200 000 % 104.495 280 809.58 0.52 0.30 % Japan Government Five Year Bond 2012/2017 . . . JPY 125 000 000 % 100.431 1 221 372.28 2.24 0.20 % Japan Government Five Year Bond 2012/2017 . . . JPY 100 000 000 % 100.501 977 778.86 1.80 0.20 % Japan Government Five Year Bond 2013/2018 . . . JPY 150 000 000 % 101.241 1 477 467.53 2.71 0.20 % Japan Government Five Year Bond 2014/2019 . . . JPY 100 000 000 % 101.367 986 204.21 1.81 1.70 % Japan Government Ten Year Bond 2006/2016 . . . . JPY 100 000 000 % 100.911 981 767.77 1.80 1.70 % Japan Government Ten Year Bond 2007/2017 . . . . JPY 100 000 000 % 102.444 996 682.40 1.83 1.70 % Japan Government Ten Year Bond 2008/2018 . . . . JPY 150 000 000 % 103.413 1 509 164.76 2.77 0.10 % Japan Government Two Year Bond 2015/2017 . . . JPY 100 000 000 % 100.204 974 889.33 1.79 8.50 % Mexican Bonos 2009/2018 . . . . . . . . . . . . . . . . . . . MXN 3 000 000 % 108.22 175 221.96 0.32 5.125 % Cooperatieve Rabobank UA (MTN) 2013/2018 . . . . NZD 200 000 200 000 % 103.962 147 750.84 0.27 6.00 % Inter-American Development Bank 2005/2017 . . . . NZD 100 000 % 104.801 74 471.62 0.14 4.75 % Poland Government Bond 2014/2016 . . . . . . . . . . . PLN 600 000 % 100.988 152 488.42 0.28 4.75 % KFW (MTN) 2008/2017 . . . . . . . . . . . . . . . . . . . . . . SEK 4 000 000 % 105.686 498 192.81 0.92 2.25 % Kommuninvest I Sverige AB (MTN) 2013/2019 . . . SEK 2 000 000 2 000 000 % 106.544 251 118.67 0.46 1.70 % Aetna, Inc. 2016/2018 . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 1 000 000 700 000 % 100.768 302 302.50 0.56 1.90 % Aetna, Inc. 2016/2019 . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 1 000 000 700 000 % 101.208 303 625.50 0.56 2.00 % Baxalta, Inc. 2015/2018 . . . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 99.746 299 238.00 0.55



Deutsche Invest I Global Short Duration(formerly: Deutsche Invest I Global Bonds (Short))

211

7.375 % Colombia Government International Bond 2006/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 103.525 517 625.00 0.95

7.50 % Corp Nacional del Cobre de Chile -Reg- 2009/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 250 000 250 000 % 114.278 285 695.00 0.52

2.00 % Corporacion Andina de Fomento 2016/2019 . . . . . USD 284 000 284 000 % 100.864 286 453.76 0.53 1.70 % Credit Suisse/New York NY 2015/2018 . . . . . . . . . USD 500 000 % 100.172 500 860.00 0.92 6.25 % Croatia Government International Bond -Reg-

2012/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 800 000 200 000 % 103.296 826 368.00 1.52 1.90 % CVS Health Corp 2015/2018 . . . . . . . . . . . . . . . . . . USD 200 000 100 000 % 101.324 202 649.00 0.37 6.00 % EDP Finance BV 2007/2018 . . . . . . . . . . . . . . . . . . USD 300 000 % 105.562 316 687.50 0.58 2.875 % Export-Import Bank of Malaysia Bhd (MTN)

2012/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 750 000 % 101.947 764 602.50 1.40 6.875 % Indonesia Government International Bond -Reg-

2006/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 % 103.712 1 037 120.00 1.91 5.00 % Instituto de Credito Oficial 2006/2016 . . . . . . . . . . USD 500 000 % 101.38 506 900.00 0.93 3.625 % Kookmin Bank 2011/2017 . . . . . . . . . . . . . . . . . . . . USD 200 000 % 101.291 202 582.00 0.37 2.25 % Korea Gas Corp. 144A 2012/2017 . . . . . . . . . . . . . . USD 300 000 % 100.97 302 910.00 0.56 5.80 % McDonald‘s Corp. 2007/2017 . . . . . . . . . . . . . . . . . USD 200 000 % 105.802 211 605.00 0.39 1.80 % Mizuho Bank Ltd 2015/2018 . . . . . . . . . . . . . . . . . . USD 200 000 % 100.52 201 040.00 0.37 1.45 % Molson Coors Brewing Co. 2016/2019 . . . . . . . . . . USD 1 000 000 1 000 000 % 100.171 1 001 710.00 1.84 4.20 % Molson Coors Brewing Co. 2016/2046 . . . . . . . . . . USD 370 000 370 000 % 100.665 372 460.50 0.68 8.375 % Petrobras Global Finance BV 2016/2021 . . . . . . . . . USD 410 000 410 000 % 103.065 422 566.50 0.78 5.50 % Petroleos Mexicanos (MTN) -Reg- 2016/2019 . . . . USD 240 000 240 000 % 105.454 253 089.60 0.46 1.60 % PNC Bank NA (MTN) 2015/2018 . . . . . . . . . . . . . . . USD 250 000 250 000 % 100.602 251 503.75 0.46 5.25 % Republic of Latvia -Reg- 2012/2017 . . . . . . . . . . . . USD 750 000 % 102.716 770 370.00 1.42 3.50 % The Korea Development Bank 2012/2017 . . . . . . . USD 800 000 % 102.572 820 576.00 1.51 7.00 % Turkey Government International Bond 2006/2016 USD 1 100 000 % 101.353 1 114 883.00 2.05 3.25 % Under Armour, Inc. 2016/2026 . . . . . . . . . . . . . . . . USD 330 000 330 000 % 101.128 333 722.40 0.61 2.375 % United States Treasury Note/Bond 2010/2017 . . . . USD 200 000 % 101.996 203 992.19 0.37 1.875 % United States Treasury Note/Bond 2010/2017 . . . . USD 1 000 000 % 101.727 1 017 265.63 1.87 2.625 % United States Treasury Note/Bond 2011/2018 . . . . USD 1 200 000 % 103.189 1 238 273.44 2.27 0.625 % United States Treasury Note/Bond 2012/2017 . . . . USD 400 000 600 000 % 100.109 400 437.50 0.74 0.625 % United States Treasury Note/Bond 2012/2017 . . . . USD 200 000 % 100.068 200 136.72 0.37 1.125 % United States Treasury Note/Bond 2012/2019 . . . . USD 1 200 000 1 200 000 % 101.184 1 214 203.13 2.23 0.75 % United States Treasury Note/Bond 2013/2018 . . . . USD 1 000 000 800 000 % 100.246 1 002 460.94 1.84 1.00 % United States Treasury Note/Bond 2013/2018 . . . . USD 1 200 000 1 200 000 % 100.73 1 208 765.63 2.22 1.25 % United States Treasury Note/Bond 2013/2018 . . . . USD 1 200 000 700 000 % 101.355 1 216 265.63 2.23 1.00 % United States Treasury Note/Bond 2014/2017 . . . . USD 200 000 % 100.543 201 085.94 0.37 1.50 % United States Treasury Note/Bond 2014/2019 . . . . USD 1 200 000 1 200 000 % 102.051 1 224 609.37 2.25 1.625 % United States Treasury Note/Bond 2014/2019 . . . . USD 1 000 000 1 000 000 % 102.465 1 024 648.44 1.88 1.625 % United States Treasury Note/Bond 2014/2019 . . . . USD 1 500 000 1 500 000 % 102.645 1 539 667.97 2.83 1.00 % United States Treasury Note/Bond 2015/2018 . . . . USD 1 000 000 500 000 % 100.76 1 007 597.66 1.85

Securities admitted to or included in organized markets 3 307 011.64 6.07 Interest-bearing securities 5.50 % Australian Government 2010/2018 . . . . . . . . . . . . . AUD 100 000 % 105.958 78 795.64 0.14 2.25 % Baidu, Inc. 2012/2017 . . . . . . . . . . . . . . . . . . . . . . . USD 300 000 % 100.995 302 985.00 0.56 4.80 % Express Scripts Holding Co. 2016/2046 . . . . . . . . . USD 1 180 000 1 180 000 % 100.965 1 191 387.00 2.19 1.875 % Private Export Funding Corp. 2013/2018 . . . . . . . . USD 400 000 % 101.878 407 512.00 0.75 4.125 % State Bank of India -Reg- 2012/2017 . . . . . . . . . . . USD 1 000 000 250 000 % 102.581 1 025 810.00 1.88 1.875 % VW Credit Inc 2012/2016 . . . . . . . . . . . . . . . . . . . . USD 300 000 % 100.174 300 522.00 0.55 Unlisted securities 1 369 702.11 2.52 Interest-bearing securities 2.27 % Bank of Nova Scotia/The 2015/2020 . . . . . . . . . . . . CAD 200 000 % 102.605 158 048.37 0.29 1.75 % Province of Alberta Canada 2012/2017 . . . . . . . . . . CAD 400 000 % 101.023 311 223.04 0.57 3.20 % Province of Ontario Canada 2011/2016 . . . . . . . . . CAD 400 000 % 100.453 309 467.04 0.57 0.34 % Development Bank of Japan, Inc. 2013/2019 . . . . . JPY 60 000 000 60 000 000 % 101.237 590 963.66 1.09

Investment fund units 559 993.51 1.03 In-group fund units DWS Short Duration Emerging Markets FX EUR - (0.600%) Units 5 000 1 000 EUR 100.75 559 993.51 1.03 Total securities portfolio 57 314 446.09 105.30 Derivatives (Minus signs denote short positions) Interest rate derivatives -1 858.54 0.00Receivables/payables Interest rate futures US Ultra Bond 09/2016 (CBT) Count -5 -5 2 656.25 0.00Germany Federal Republic Notes 10 year 09/2016 (EUR) Count -17 -17 -4 514.79 0.00



212

Currency derivatives -1 230 746.68 -2.26Receivables/payables Currency futures Currency futures (short) Open positionsUSD/AUD 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -27 707.98 -0.05USD/CAD 2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -11 926.29 -0.02USD/DKK 2.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 055.79 0.00USD/EUR 11.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 665.26 0.07USD/GBP 1.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187 321.34 0.34USD/JPY 1000 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -647 409.93 -1.18USD/MXN 3.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281.15 0.00USD/NZD 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -11 380.91 -0.02USD/PLN 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 504.80 0.00USD/SEK 6.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 871.15 0.03

Closed positions USD/EUR 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128.17 0.00 Currency futures (long) Open positions EUR/USD 48.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -776 149.23 -1.43

Cash at bank 949 794.56 1.74 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 48 64.97 0.00Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 2 024 302.39 0.00Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 635 75.81 0.00Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 1 490 375.10 0.00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 645 75.98 0.00 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 4 180 3 108.13 0.01Chinese renminbi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNY 197 29.71 0.00Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 1 601 199 15 578.14 0.03Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 13 086 10 078.77 0.02Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 130 189 7 026.42 0.01New Zealand dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 3 802 2 701.37 0.00Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 483 358.39 0.00U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 910 019.38 1.67 Other assets 519 885.48 0.96Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 483 054.63 0.89Receivables from exceeding the expense cap . . . . . . . . . . . . 36 830.85 0.07 Receivables from share certificate transactions 38 545.50 0.07 Total assets *** 59 069 155.54 108.52 Short-term liabilities -513.19 0.00EUR loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 462 -513.19 0.00 Other liabilities -2 997 004.79 -5.51Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 997 004.79 -5.51 Liabilities from share certificate transactions -160 799.03 -0.30 Total liabilities -4 637 406.14 -8.52 Net assets 54 431 749.40 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



213


Net asset value per share Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101 .85Class LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101 .61Class NCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 .74Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 102 .55Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 102 .30 Number of shares outstanding Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 391 273Class LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 79 951Class NCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 854Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 939 Composition of the reference portfolio (according to CSSF circular 11/512)Barclays Capital Global Aggregate - 1 - 3 Yrs Hedged in USD



Futures exchangesCBT = Chicago Board of TradeEUR = Eurex

Contracting parties for currency futuresCitigroup Global Markets Limited, Goldman Sachs International, JP Morgan Securities PLC, Merrill Lynch International and State Street Bank and Trust Company



4 .25 % Mexico Government Bond (MTN) 2010/2017 EUR 300 000 347 968 .57

Total receivables from securities loans 347 968.57 347 968.57 Contracting party for securities loans Deutsche Bank AG FI Total collateral pledged by third parties for securities loans EUR 466 506.86thereof: Bonds EUR 466 506 .86 Exchange rates (indirect quotes)

As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .344719 = USD 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .298400 = USD 1Chinese renminbi . . . . . . . . . . . . . . . . CNY 6 .643600 = USD 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 6 .692600 = USD 1Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0 .899564 = USD 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .744241 = USD 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 102 .785000 = USD 1Mexican peso . . . . . . . . . . . . . . . . . . . MXN 18 .528500 = USD 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 8 .376300 = USD 1New Zealand dollar . . . . . . . . . . . . . . . NZD 1 .407261 = USD 1Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 3 .973600 = USD 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 8 .485550 = USD 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .347700 = USD 1


214

Notes on valuation









Interest-bearing securities 1.50 % 3M Co. 2016/2031 . . . . . . . . . . . . . . EUR 2 190 000 2 190 000 2.875 % ABN AMRO Bank NV (MTN)

2016/2028 * . . . . . . . . . . . . . . . . . . . EUR 400 000 400 000 0.75 % Air Liquide Finance SA (MTN)

2016/2024 . . . . . . . . . . . . . . . . . . . . . EUR 400 000 400 000 1.25 % Air Liquide Finance SA (MTN)

2016/2028 . . . . . . . . . . . . . . . . . . . . . EUR 400 000 400 000 1.875 % Alimentation Couche-Tard, Inc.




2016/2028 . . . . . . . . . . . . . . . . . . . . . EUR 610 000 610 000 4.125 % Ardagh Packaging Finance Plc Via

Ardagh Holdings USA, Inc. -Reg- 2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 150 000 150 000

1.75 % Bank Gospodarstwa Krajowego (MTN) 2016/2026 . . . . . . . . . . . . . . . EUR 770 000 770 000

3.125 % Belfius Bank SA/NV 2016/2026 . . . . . EUR 300 000 300 000 0.50 % Berkshire Hathaway, Inc. 2016/2020 EUR 420 000 420 000 1.30 % Berkshire Hathaway, Inc. 2016/2024 EUR 460 000 460 000 2.15 % Berkshire Hathaway, Inc. 2016/2028 EUR 340 000 340 000 2.875 % BPCE SA (MTN) 2016/2026 . . . . . . . EUR 500 000 500 000 1.875 % Bulgaria Government International

Bond (MTN) 2016/2023 . . . . . . . . . . . EUR 2 000 000 2 000 000 3.00 % Bulgaria Government International

Bond (MTN) 2016/2028 . . . . . . . . . . . EUR 2 000 000 2 000 000 4.25 % Bulgaria Government International

Bond 2012/2017 . . . . . . . . . . . . . . . . EUR 250 000 4.625 % Cemex Finance LLC -Reg-

2016/2024 . . . . . . . . . . . . . . . . . . . . . EUR 230 000 230 000 1.25 % CK Hutchison Finance 16 Ltd

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 1 380 000 1 380 000 2.00 % CK Hutchison Finance 16 Ltd

2016/2028 . . . . . . . . . . . . . . . . . . . . . EUR 1 690 000 1 690 000 3.875 % Colombia Government International

Bond (MTN) 2016/2026 . . . . . . . . . . . EUR 1 570 000 1 570 000 1.125 % Deutsche Pfandbriefbank AG (MTN)

2016/2020 . . . . . . . . . . . . . . . . . . . . . EUR 185 000 185 000 1.75 % easyJet Plc (MTN) 2016/2023 . . . . . . EUR 150 000 150 000 1.875 % ESB Finance Ltd (MTN) 2016/2031 . EUR 1 040 000 1 040 000 1.50 % Eurogrid GmbH (MTN) 2016/2028 . . EUR 1 000 000 1 000 000 1.125 % Eutelsat SA 2016/2021 . . . . . . . . . . . EUR 300 000 300 000 1.625 % FedEx Corp. 2016/2027 . . . . . . . . . . EUR 830 000 830 000 1.75 % Fomento Economico Mexicano SAB

de CV 2016/2023 . . . . . . . . . . . . . . . EUR 1 030 000 1 030 000 1.00 % French Treasury Note BTAN

2012/2017 . . . . . . . . . . . . . . . . . . . . . EUR 500 000 2.25 % Holcim Finance Luxembourg SA

(MTN) 2016/2028 . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000

3.125 % HSBC Holdings Plc (MTN) 2016/2028 . . . . . . . . . . . . . . . . . . . . . EUR 520 000 520 000

3.75 % Indonesia Government International Bond (MTN) -Reg- 2016/2023 . . . . . . EUR 410 000 410 000

3.75 % Indonesia Government International Bond (MTN) -Reg- 2016/2028 . . . . . . EUR 390 000 390 000

2.875 % Islandsbanki 2015/2018 . . . . . . . . . . . EUR 200 000 1.50 % Italy Buoni Poliennali Del Tesoro

2014/2016 . . . . . . . . . . . . . . . . . . . . . EUR 300 000 1.75 % JAB Holdings BV 2016/2023 . . . . . . . EUR 600 000 600 000 1.50 % JPMorgan Chase & Co. (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . EUR 590 000 590 000 1.50 % Kraft Heinz Foods Co. 2016/2024 . . . EUR 395 000 395 000 2.25 % Kraft Heinz Foods Co. 2016/2028 . . . EUR 595 000 595 000 1.375 % Latvia Government International

Bond 2016/2036 . . . . . . . . . . . . . . . . EUR 389 000 389 000 1.75 % Nasdaq, Inc. 2016/2023 . . . . . . . . . . EUR 900 000 900 000 0.50 % Nationwide Building Society (MTN)

2016/2019 . . . . . . . . . . . . . . . . . . . . . EUR 585 000 585 000 2.50 % Netherlands Government Bond

2011/2017 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 1.125 % Nomura Europe Finance NV

2015/2020 . . . . . . . . . . . . . . . . . . . . . EUR 300 000 5.125 % Petroleos Mexicanos (MTN)

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 1 220 000 1 220 000 3.00 % Pohjola Bank Oyj (MTN)

2010/2017 . . . . . . . . . . . . . . . . . . . . . EUR 200 000 1.20 % Praxair, Inc. 2016/2024 . . . . . . . . . . . EUR 740 000 740 000 3.50 % Rexel SA 2016/2023 . . . . . . . . . . . . . EUR 250 000 250 000 1.00 % RTE Reseau de Transport

d‘Electricite SA (MTN) 2016/2026 . . . EUR 400 000 400 000 2.00 % RTE Reseau de Transport

d‘Electricite SA (MTN) 2016/2036 . . . EUR 600 000 600 000 0.114 % Sanofi (MTN) 2014/2018 * . . . . . . . . EUR 300 000 0.625 % Sanofi (MTN) 2016/2024 . . . . . . . . . . EUR 1 100 000 1 100 000 1.125 % Sanofi (MTN) 2016/2028 . . . . . . . . . . EUR 500 000 500 000 3.25 % Santander Issuances SAU (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . EUR 600 000 600 000 4.625 % SES SA 2016/2049 * . . . . . . . . . . . . . EUR 320 000 320 000 3.45 % Spain Government Bond 144A

2016/2066 . . . . . . . . . . . . . . . . . . . . . EUR 600 000 600 000 0.50 % Temasek Financial I Ltd (MTN)

2016/2022 . . . . . . . . . . . . . . . . . . . . . EUR 300 000 300 000 2.75 % ThyssenKrupp AG (MTN) 2016/2021 EUR 270 000 270 000 1.25 % Toyota Motor Credit Corp. (MTN)

2013/2017 . . . . . . . . . . . . . . . . . . . . . EUR 200 000 2.375 % Turkiye Vakiflar Bankasi TAO

2016/2021 . . . . . . . . . . . . . . . . . . . . . EUR 430 000 430 000 0.542 % United Technologies Corp.

2016/2018 * . . . . . . . . . . . . . . . . . . . EUR 190 000 190 000 0.605 % United Technologies Corp.

2016/2018 * . . . . . . . . . . . . . . . . . . . EUR 190 000 190 000 2.75 % Anheuser-Busch InBev SA/NV (MTN)

2016/2036 . . . . . . . . . . . . . . . . . . . . . EUR 610 000 610 000 1.75 % United Kingdom Gilt 2011/2017 . . . . GBP 200 000


215



2.30 % AbbVie, Inc. 2016/2021 . . . . . . . . . . . USD 1 000 000 1 000 000 4.30 % AbbVie, Inc. 2016/2036 . . . . . . . . . . . USD 1 000 000 1 000 000 4.45 % AbbVie, Inc. 2016/2046 . . . . . . . . . . . USD 1 000 000 1 000 000 2.125 % Abu Dhabi Government International

Bond -Reg- 2016/2021 . . . . . . . . . . . USD 1 850 000 1 850 000 4.375 % Aetna, Inc. 2016/2046 . . . . . . . . . . . . USD 500 000 500 000 4.00 % African Export-Import Bank (MTN)

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 645 000 645 000 1.25 % Anheuser-Busch InBev Finance, Inc.

2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 350 000 1.90 % Anheuser-Busch InBev Finance, Inc.


2016/2046 . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 6.75 % Australia & New Zealand Banking

Group Ltd/United Kingdom -Reg- 2016/2049 * . . . . . . . . . . . . . . . . . . . USD 675 000 675 000

1.45 % Berkshire Hathaway Finance Corp. 2016/2018 . . . . . . . . . . . . . . . . . . . . . USD 145 000 145 000

4.875 % Black Sea Trade & Development Bank (MTN) -Reg- 2016/2021 . . . . . . USD 1 060 000 1 060 000

1.625 % DBS Bank Ltd 2015/2018 . . . . . . . . . USD 200 000 7.25 % GTH Finance BV -Reg- 2016/2023 . . USD 200 000 200 000 4.875 % Iceland Government International

Bond -Reg- 2011/2016 . . . . . . . . . . . USD 1 000 000 1.00 % Kommunekredit (MTN) 2014/2017 . . USD 350 000 5.50 % Magyar Export-Import Bank

2012/2018 . . . . . . . . . . . . . . . . . . . . . USD 500 000 4.20 % Newell Rubbermaid, Inc. 2016/2026 . USD 79 000 79 000 5.375 % Newell Rubbermaid, Inc. 2016/2036 . USD 1 000 000 1 000 000 5.50 % Newell Rubbermaid, Inc. 2016/2046 . USD 221 000 221 000 5.25 % Prudential Plc (MTN) 2016/2049 . . . . USD 410 000 410 000 2.375 % Qatar Government International

Bond -Reg- 2016/2021 . . . . . . . . . . . USD 390 000 390 000 3.30 % Sysco Corp. 2016/2026 . . . . . . . . . . . USD 417 000 417 000 4.50 % Sysco Corp. 2016/2046 . . . . . . . . . . . USD 310 000 310 000 4.75 % TC Ziraat Bankasi AS (MTN)

-Reg- 2016/2021 . . . . . . . . . . . . . . . . USD 990 000 990 000 9.375 % Trade & Development Bank

of Mongolia LLC (MTN) -Reg- 2015/2020 . . . . . . . . . . . . . . . . . . . . . USD 210 000

4.50 % Transnet SOC Ltd -Reg- 2011/2016 . USD 1 300 000 4.50 % United States Treasury Note/Bond

2007/2017 . . . . . . . . . . . . . . . . . . . . . USD 200 000 3.25 % United States Treasury Note/Bond

2009/2016 . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 3.00 % United States Treasury Note/Bond


2015/2017 . . . . . . . . . . . . . . . . . . . . . USD 200 000 1.45 % UnitedHealth Group Inc 2015/2017 . USD 300 000


Interest-bearing securities 2.00 % Banque Federative du Credit

Mutuel SA (MTN) -Reg- 2016/2019 . USD 440 000 440 000 2.50 % Banque Federative du Credit

Mutuel SA -Reg- 2016/2021 . . . . . . . USD 670 000 670 000 2.00 % Baxalta, Inc. 2015/2018 . . . . . . . . . . . USD 300 000 5.875 % Diamond 1 Finance Corp. Via

Diamond 2 Finance Corp. 144A 2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 80 000 80 000

7.125 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2024 . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000

6.20 % Hewlett Packard Enterprise Co 2015/2035 . . . . . . . . . . . . . . . . . . . . . USD 400 000

3.00 % Kraft Heinz Foods Co. 144A 2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 520 000 520 000

1.625 % LVMH Moet Hennessy Louis Vuitton SE 144A 2012/2017 . . USD 300 000

3.95 % Mylan NV 144A 2016/2026 . . . . . . . . USD 210 000 210 000 5.25 % Mylan NV 144A 2016/2046 . . . . . . . . USD 1 000 000 1 000 000 3.85 % Nasdaq, Inc. 2016/2026 . . . . . . . . . . USD 260 000 260 000 2.00 % New York Life Global Funding 144A

2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 220 000 220 000

Unlisted securities

Interest-bearing securities 1.50 % Canadian Government Bond

2013/2017 . . . . . . . . . . . . . . . . . . . . . CAD 400 000 4.625 % International Finance Corp. (MTN)

2011/2016 . . . . . . . . . . . . . . . . . . . . . NZD 200 000



Interest rate futuresContracts purchased (Underlyings: 90 Day Euro, 90DAY EUR Futures, Euro BTP Futures, Euro Bund, Germany Federal Republic Notes 10 year, Japan 10 year Bond, US Treasury Note 10-Year, US Treasury Note 5-Year) USD 72 579 Contracts sold (Underlyings: Euro BTP Futures, Germany Federal Republic Notes 10 year) USD 4 907


Futures contracts to sell currencies USD/AUD USD 1 597USD/CAD USD 2 849USD/DKK USD 622USD/EUR USD 343 448USD/GBP USD 4 209USD/JPY USD 16 285USD/MXN USD 355USD/NZD USD 403USD/PLN USD 313USD/SEK USD 1 318 Currency futures (long)

Futures contracts to purchase currencies AUD/USD USD 2 389CAD/USD USD 4 321DKK/USD USD 932EUR/USD USD 305 043GBP/USD USD 6 364JPY/USD USD 24 771MXN/USD USD 529NZD/USD USD 601PLN/USD USD 470SEK/USD USD 1 836


216

Securities traded on an exchange 38 034 936.56 97.30 Equities SLC Agricola SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 367 1 182 BRL 14 .79 70 783 .25 0 .18Cie Financiere Richemont SA . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 573 3 006 413 CHF 56 .45 496 482 .02 1 .27Nestle SA -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 437 4 638 201 CHF 75 341 395 .23 0 .87Novartis AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 319 2 487 CHF 79 .3 432 722 .95 1 .11Roche Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 086 476 CHF 253 .5 542 499 .10 1 .39ArcelorMittal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 97 743 78 848 121 795 EUR 4 .105 446 032 .77 1 .14Axel Springer SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 680 405 505 EUR 46 .97 348 790 .75 0 .89Bayer AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 784 3 925 141 EUR 88 .9 373 956 .27 0 .96Commerzbank AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106 298 14 122 7 075 EUR 5 .788 683 945 .58 1 .75Ferrari NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 107 5 335 1 228 EUR 36 .15 165 044 .45 0 .42Fiat Chrysler Automobiles NV . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 726 1 670 EUR 5 .43 131 143 .73 0 .34Infineon Technologies AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 753 8 777 1 726 EUR 12 .93 341 416 .83 0 .87Koninklijke Philips NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 932 1 802 1 023 EUR 22 .21 590 874 .82 1 .51Luxottica Group SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 155 11 440 285 EUR 43 .49 539 295 .65 1 .37OSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 859 3 268 EUR 45 .89 349 902 .30 0 .90Rocket Internet AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 670 4 940 270 EUR 16 .9 87 734 .72 0 .22Salvatore Ferragamo Italia SpA . . . . . . . . . . . . . . . . . . . . . . . . Count 5 694 5 694 EUR 18 .03 114 125 .09 0 .29Siemens AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 720 4 852 132 EUR 90 .93 477 108 .47 1 .22Technogym SpA 144A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 973 31 938 965 EUR 3 .956 136 209 .53 0 .35AstraZeneca Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 101 4 837 GBP 43 .53 766 265 .94 1 .96Diageo Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 109 20 504 394 GBP 20 .235 546 739 .05 1 .40Rolls-Royce Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 693 949 7 567 GBP 7 .06 423 965 .60 1 .09Vodafone Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 162 245 5 408 138 206 GBP 2 .215 482 871 .38 1 .24Worldpay Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 047 41 047 GBP 2 .681 147 864 .75 0 .38China Life Insurance Co ., Ltd -H- . . . . . . . . . . . . . . . . . . . . . . Count 239 953 61 560 15 293 HKD 16 .62 513 992 .82 1 .32Ping An Insurance Group Co . of China Ltd . . . . . . . . . . . . . . . Count 136 960 22 564 8 839 HKD 34 .15 602 815 .35 1 .54Tsingtao Brewery Co ., Ltd -H- . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 356 10 579 1 627 HKD 26 .85 156 956 .35 0 .40Bank Rakyat Indonesia Persero Tbk PT . . . . . . . . . . . . . . . . . Count 316 323 316 323 IDR 10 800 258 564 .87 0 .66ICICI Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 288 121 22 000 INR 240 .4 1 026 213 .62 2 .63Samsung Electronics Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 891 168 198 KRW 1425 000 1 102 291 .97 2 .82SM Investments Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 679 830 PHP 967 219 492 .92 0 .56Millicom International Cellular SA -SDR- . . . . . . . . . . . . . . . . . Count 2 740 212 SEK 513 .5 165 810 .11 0 .42Telefonaktiebolaget LM Ericsson -B- . . . . . . . . . . . . . . . . . . . Count 43 949 11 196 1 932 SEK 64 .15 332 250 .51 0 .85Bim Birlesik Magazalar AS . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 315 4 571 256 TRY 55 .8 83 475 .59 0 .21Adobe Systems, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 153 2 105 3 007 USD 94 .58 392 790 .74 1 .01Advance Auto Parts, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 609 2 744 135 USD 160 .28 418 170 .52 1 .07Aluminium Bahrain BSC -GDR- . . . . . . . . . . . . . . . . . . . . . . . . Count 57 309 USD 3 .682 210 989 .39 0 .54Apple, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 502 12 694 192 USD 94 .48 1 181 188 .96 3 .02Aramark Services, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 407 13 024 617 USD 32 .79 406 825 .53 1 .04Artisan Partners Asset Management, Inc . . . . . . . . . . . . . . . . Count 5 987 3 073 USD 26 .95 161 349 .65 0 .41Bank of America Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 68 536 43 108 4 215 USD 13 .16 901 933 .76 2 .31Biogen Idec, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 818 871 53 USD 237 .08 193 931 .44 0 .50Brunswick Corp ./DE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 278 5 535 257 USD 44 .13 232 918 .14 0 .60Cabela‘s, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 252 3 226 USD 49 .27 110 956 .04 0 .28Celgene Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 118 403 131 USD 97 .61 206 737 .98 0 .53Cepheid . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 610 6 728 118 USD 29 .81 197 044 .10 0 .50Cerner Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 896 12 139 243 USD 57 .85 688 183 .60 1 .76CF Industries Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 817 7 560 879 USD 23 .72 493 779 .24 1 .26Comcast Corp . -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 500 8 872 372 USD 64 .27 546 295 .00 1 .40Dr Reddy‘s Laboratories Ltd - ADR- . . . . . . . . . . . . . . . . . . . . Count 2 578 2 650 72 USD 49 .89 128 616 .42 0 .33eBay, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 194 14 511 1 406 USD 23 .31 517 342 .14 1 .32Estee Lauder Cos, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 364 3 426 USD 89 .73 391 581 .72 1 .00Fibria Celulose SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 829 26 869 1 040 USD 6 .79 175 378 .91 0 .45Fortinet, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 556 3 640 675 USD 31 .16 297 764 .96 0 .76General Motors Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 263 1 766 USD 27 .79 729 848 .77 1 .87Global Telecom Holding -GDR- . . . . . . . . . . . . . . . . . . . . . . . . Count 55 237 4 245 USD 1 .78 98 321 .86 0 .25Goldman Sachs Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 838 5 972 269 USD 146 .07 1 290 966 .66 3 .30GrubHub, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 202 1 759 3 150 USD 31 .45 415 202 .90 1 .06Harley-Davidson, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 081 1 740 2 511 USD 43 .99 575 433 .19 1 .47JPMorgan Chase & Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 556 13 556 USD 61 .29 830 847 .24 2 .13Laboratory Corp . of America Holdings . . . . . . . . . . . . . . . . . . Count 6 031 3 114 755 USD 128 .5 774 983 .50 1 .98Lazard Ltd -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 381 4 150 702 USD 29 .39 422 657 .59 1 .08Lions Gate Entertainment Corp . . . . . . . . . . . . . . . . . . . . . . . . Count 8 951 9 193 242 USD 21 .68 194 057 .68 0 .50Marsh & McLennan Cos, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 124 624 USD 67 .14 545 445 .36 1 .40Medidata Solutions, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 775 2 905 506 USD 46 403 650 .00 1 .03Mohawk Industries Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 417 936 177 USD 187 .42 452 994 .14 1 .16Mondelez International, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 662 4 939 277 USD 43 .1 200 932 .20 0 .51Monsanto Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 967 5 095 128 USD 103 .09 512 048 .03 1 .31Mosaic Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 682 975 USD 25 .3 320 854 .60 0 .82NIKE, Inc . -B- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 841 15 133 292 USD 55 .09 817 590 .69 2 .09Oracle Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 378 3 231 USD 40 .64 706 241 .92 1 .81Potash Corp . of Saskatchewan, Inc . . . . . . . . . . . . . . . . . . . . . Count 38 721 8 039 USD 15 .73 609 081 .33 1 .56Ralph Lauren Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 073 2 073 USD 88 .67 183 812 .91 0 .47Restoration Hardware Holdings, Inc . . . . . . . . . . . . . . . . . . . . Count 7 800 7 919 119 USD 28 .02 218 556 .00 0 .56Roper Industries, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 750 857 120 USD 167 .77 461 367 .50 1 .18Stanley Black & Decker, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 845 296 USD 108 .475 417 086 .38 1 .07Stericycle Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 559 4 559 USD 101 .51 462 784 .09 1 .18Thermo Fisher Scientific, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 383 3 849 USD 145 .35 491 719 .05 1 .26Tiffany & Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 569 1 862 USD 59 .95 573 661 .55 1 .47Tim Participacoes SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 620 20 587 USD 10 .34 151 170 .80 0 .39




217

Time Warner, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 533 4 851 318 USD 72.37 328 053.21 0.84T-Mobile US, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 303 3 250 10 435 USD 43.37 490 211.11 1.25TransDigm Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 430 1 759 329 USD 260.35 372 300.50 0.95Tyco International Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 195 4 990 USD 42.07 470 973.65 1.21UBS Group AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 138 24 776 47 717 USD 12.95 351 437.10 0.90US Foods Holding Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 631 8 631 USD 24.05 207 575.55 0.53VF Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 839 559 USD 60.6 475 043.40 1.22Westlake Chemical Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 250 557 USD 41.73 302 542.50 0.77Yum! Brands, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 053 389 USD 82.16 415 154.48 1.06MTN Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 024 798 ZAR 143.96 156 739.60 0.40Shoprite Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 036 1 098 ZAR 167.49 250 776.94 0.64

Securities admitted to or included in organized markets 4 507.71 0.01 Equities Rolls-Royce Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 354 821 3 354 821 GBP 0.001 4 507.71 0.01 Total securities portfolio 38 039 444.27 97.31 Derivatives (Minus signs denote short positions) Cash at bank 933 293.16 2.39 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 84 813 94 282.20 0.24 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 191 256.46 0.00Hungarian forint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HUF 10 631 37.31 0.00 Deposits in non-EU/EEA currencies Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 1 0.31 0.00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 85 10.90 0.00Indian rupee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . INR 131 066 1 941.86 0.00Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 51 38.89 0.00Malaysian ringgit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 318 78.76 0.00Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 48 49.65 0.00South Korean won . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 120 0.10 0.00U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 836 596.72 2.15 Other assets 415 226.80 1.06Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79 436.05 0.20Receivables from exceeding the expense cap . . . . . . . . . . . . 35 112.72 0.09Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300 678.03 0.77 Total assets 39 387 964.20 100.77 Other liabilities -296 440.95 -0.76Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -62 867.14 -0.16Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -233 870.04 -0.60 Liabilities from share certificate transactions -3 726.90 -0.01 Total liabilities -300 484.08 -0.77 Net assets 39 087 500.20 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



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Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 115 .71Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 108 .17Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 96 .35Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 143 .41Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 .52Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 92 .99 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 734Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 979Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 219Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 247 280Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 71 587 Composition of the reference portfolio (according to CSSF circular 11/512)MSCI THE WORLD INDEX Constituents USD

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 96 .769 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 109 .704 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 100 .253 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0 .00 as of the reporting date .


As of: June 30, 2016 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3 .210900 = USD 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .298400 = USD 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 0 .974750 = USD 1Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0 .899564 = USD 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .744241 = USD 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 7 .758900 = USD 1Hungarian forint . . . . . . . . . . . . . . . . . . HUF 284 .909850 = USD 1Indonesian rupiah . . . . . . . . . . . . . . . . IDR 13 212 .500000 = USD 1Indian rupee . . . . . . . . . . . . . . . . . . . . . INR 67 .495000 = USD 1South Korean won . . . . . . . . . . . . . . . . KRW 1 151 .850000 = USD 1Malaysian ringgit . . . . . . . . . . . . . . . . . MYR 4 .031500 = USD 1Philippine peso . . . . . . . . . . . . . . . . . . PHP 47 .047500 = USD 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 8 .485550 = USD 1Turkish lira . . . . . . . . . . . . . . . . . . . . . . TRY 2 .884400 = USD 1South African rand . . . . . . . . . . . . . . . . ZAR 14 .717500 = USD 1 Notes on valuation



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Equities Adidas AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 041Alibaba Group Holding . . . . . . . . . . . . . . . . . . . . Count 2 203 2 203Ambev SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . Count 138 628American Express Co . . . . . . . . . . . . . . . . . . . . . . Count 8 362Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . Count 3 556ArcelorMittal -Rights Exp 30Mar2016 . . . . . . . . . Count 112 646 112 646Barrick Gold Corp . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 481Calpine Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 320China Overseas Land & Investment Ltd . . . . . . . Count 81 092Citigroup, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 203Credicorp Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 892 5 177CSX Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 360Deutsche Post AG -Reg- . . . . . . . . . . . . . . . . . . . Count 5 510 41 157Dow Chemical Co . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 245Endo International Plc . . . . . . . . . . . . . . . . . . . . . Count 2 832 9 403Exxon Mobil Corp . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 747HCA Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 3 776Hershey Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 700Homeinns Hotel Group -ADR- . . . . . . . . . . . . . . . Count 7 095Interval Leisure Group, Inc . . . . . . . . . . . . . . . . . . Count 3 411 3 411Itau Unibanco Holding SA -ADR- . . . . . . . . . . . . . Count 6 604 187 681Kinder Morgan, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 21 428LendingClub Corp . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 461 18 253Mindray Medical International Ltd -ADR- . . . . . . Count 6 583Newmont Mining Corp . . . . . . . . . . . . . . . . . . . . . Count 32 285Procter & Gamble Co . . . . . . . . . . . . . . . . . . . . . . Count 9 502QIAGEN NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 265Rizzoli Corriere Della Sera Mediagroup SpA . . . . Count 1 553 1 553Starwood Hotels & Resorts Worldwide, Inc . . . . Count 10 554Swatch Group AG -B- . . . . . . . . . . . . . . . . . . . . . Count 546Syngenta AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 775Tumi Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 12 127UniCredit SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 84 647Vale SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 927


EquitiesRolls Royce Holdings Plc . . . . . . . . . . . . . . . . . . . Count 5 340 074


Value (’000)Futures contracts Currency futures (short) Futures contracts to sell currencies USD/ZAR USD 16 Currency futures (long) Futures contracts to purchase currencies EUR/USD USD 44


220

Securities traded on an exchange 154 818 863.92 97.68 Equities Evolution Mining Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 205 045 1 205 045 AUD 2 .33 2 087 986 .30 1 .32Newcrest Mining Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 382 291 129 224 59 209 AUD 23 6 538 684 .29 4 .13Agnico-Eagle Mines Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 190 461 56 889 20 365 CAD 69 .11 10 137 676 .92 6 .40Alamos Gold, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 581 254 217 339 58 622 CAD 11 .35 5 081 048 .14 3 .21Argonaut Gold, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 144 996 376 509 121 572 CAD 3 .81 3 359 854 .25 2 .12Asanko Gold, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 312 460 312 460 CAD 4 .81 1 157 526 .65 0 .73AuRico Metals Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 261 167 97 652 26 340 CAD 0 .98 197 122 .35 0 .12B2Gold Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 272 908 475 960 128 382 CAD 3 .18 3 117 565 .80 1 .97Barrick Gold Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 706 069 286 847 108 494 CAD 27 .39 14 894 662 .59 9 .40Belo Sun Mining Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 478 012 478 012 CAD 0 .9 331 339 .19 0 .21Continental Gold, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 593 081 221 761 59 814 CAD 3 .55 1 621 563 .12 1 .02Detour Gold Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 164 821 88 536 15 947 CAD 32 .62 4 140 835 .66 2 .61Eldorado Gold Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 584 083 218 397 58 908 CAD 5 .78 2 600 123 .03 1 .64Franco-Nevada Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 078 34 803 9 388 CAD 97 .25 6 971 530 .73 4 .40Goldcorp, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 565 021 220 380 56 756 CAD 24 .54 10 679 001 .34 6 .74Kirkland Lake Gold, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 116 059 116 059 CAD 10 .71 957 325 .85 0 .60MAG Silver Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 114 146 42 680 11 512 CAD 16 .02 1 408 363 .31 0 .89New Gold, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 686 435 256 667 69 231 CAD 5 .66 2 992 315 .23 1 .89OceanaGold Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 844 891 313 983 85 522 CAD 5 .02 3 266 599 .52 2 .06Osisko Gold Royalties Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 057 8 995 2 427 CAD 16 .87 312 570 .54 0 .20Pan American Silver Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91 849 34 342 9 264 CAD 21 1 485 542 .98 0 .94Silver Wheaton Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 263 460 98 509 26 570 CAD 29 .85 6 056 901 .57 3 .82Tahoe Resources, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 342 027 127 890 34 495 CAD 19 .13 5 039 261 .02 3 .18Torex Gold Resources, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 130 288 796 569 214 857 CAD 2 .275 3 732 597 .97 2 .35Yamana Gold, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 729 860 272 904 73 610 CAD 6 .77 3 805 570 .09 2 .40Centamin Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 614 572 595 575 164 155 GBP 1 .275 2 766 011 .68 1 .75Fresnillo Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 260 675 96 155 26 501 GBP 16 .05 5 621 611 .48 3 .55Randgold Resources Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 76 005 22 465 11 691 GBP 82 .8 8 455 881 .90 5 .33Korea Zinc Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 440 847 255 KRW 508 000 1 076 112 .34 0 .68Cia de Minas Buenaventura SA -ADR- . . . . . . . . . . . . . . . . . . Count 110 344 41 258 11 128 USD 11 .68 1 288 817 .92 0 .81Newmont Mining Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 392 349 301 118 47 144 USD 38 .27 15 015 196 .23 9 .47Stillwater Mining Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 138 746 51 879 13 993 USD 11 .08 1 537 305 .68 0 .97Anglo American Platinum Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 78 916 29 108 8 024 ZAR 370 .72 1 987 819 .91 1 .25AngloGold Ashanti Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 356 409 131 469 36 235 ZAR 268 .37 6 499 030 .63 4 .10Sibanye Gold Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 660 255 243 547 67 126 ZAR 50 .86 2 281 676 .19 1 .44

Non-group fund unitsiShares MSCI Global Gold Miners ETF USD - (0 .390%) . . . . . Units 540 739 1 262 189 721 450 USD 11 .68 6 315 831 .52 3 .98

Total securities portfolio 154 818 863.92 97.68 Cash at bank 4 688 846.07 2.96 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 9 216 10 244 .53 0 .01 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 734 986 .79 0 .00 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 13 346 9 925 .10 0 .01Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 775 99 .92 0 .00Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 12 906 9 940 .07 0 .01South African rand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 147 326 10 010 .26 0 .01South Korean won . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 113 126 770 98 213 .11 0 .06U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 549 426 .29 2 .86 Other assets 18 769.87 0.01Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 658 .80 0 .01Receivables from exceeding the expense cap . . . . . . . . . . . . 1 111 .07 0 .00 Receivables from share certificate transactions 1 642 034.06 1.04 Total assets 161 167 519.33 101.69 Other liabilities -1 339 366.97 -0.85Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -270 425 .95 -0 .17Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 068 941 .02 -0 .67 Liabilities from share certificate transactions -1 328 628.80 -0.85 Total liabilities -2 667 001.18 -1.69 Net assets 158 500 518.15 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .




221



Net asset value per shareClass FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 89 .01Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 84 .10Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 77 .47Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 76 .89Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 79 .58Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 72 .92

Number of shares outstandingClass FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 133 980Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 351 656Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 662 737Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 291 600Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 291Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 401 900 Composition of the reference portfolio (according to CSSF circular 11/512)S&P - Gold & Precious Metals Mining Index

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 63 .681 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 74 .602 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 70 .455 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled USD 0 .00 as of the reporting date .



Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .344719 = USD 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .298400 = USD 1Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0 .899564 = USD 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .744241 = USD 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 7 .758900 = USD 1South Korean won . . . . . . . . . . . . . . . . KRW 1 151 .850000 = USD 1South African rand . . . . . . . . . . . . . . . . ZAR 14 .717500 = USD 1

Notes on valuation


222





Equities Gold Fields Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 176 987 660 668Impala Platinum Holdings Ltd . . . . . . . . . . . . . . . Count 48 034 179 304Medusa Mining Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 102 375 466 408Regis Resources Ltd . . . . . . . . . . . . . . . . . . . . . . Count 207 605 1 474 645Teranga Gold Corp . . . . . . . . . . . . . . . . . . . . . . . . Count 291 475 1 088 030

Non-group fund units VanEck Vectors Gold Miners ETF USD - (0 .500%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 195 182 195 182


Non-group fund units

ETFS Physical Palladium Shares USD - (0 .600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 148 6 100iShares Silver Trust USD - (0 .500%) . . . . . . . . . . Units 31 324 31 324SPDR Gold Shares USD - (0 .400%) . . . . . . . . . . Units 16 205 43 543

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown) Value (’000)Option contracts

Options on equity index derivatives

Options on equity indicesPut options sold (Underlying: Vaneck Vectors Gold Miners ETF) USD 66


223

Securities traded on an exchange 23 507 395.94 98.03 Equities AES Tiete Energia SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 57 000 57 000 BRL 14 .42 230 274 .26 0 .96Ambev SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 265 892 141 000 80 000 BRL 18 .87 1 405 667 .03 5 .86B2W Cia Digital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 185 9 000 81 000 BRL 9 .4 74 225 .17 0 .31Banco Bradesco SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 242 000 153 000 66 000 BRL 24 .87 1 686 150 .90 7 .03Banco do Brasil SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 216 900 295 000 215 600 BRL 16 .39 995 964 .35 4 .15BM&FBovespa SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 153 000 202 000 274 000 BRL 17 .61 754 842 .03 3 .15BR Malls Participacoes SA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 85 325 149 025 226 000 BRL 12 .86 307 413 .59 1 .28BRF SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 233 51 733 58 300 BRL 44 .16 522 499 .99 2 .18Cia Energetica de Minas Gerais -Pref- . . . . . . . . . . . . . . . . . . Count 75 000 75 000 BRL 6 .96 146 243 .24 0 .61Eletropaulo Metropolitana Eletricidade de Sao Paulo SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 000 55 000 BRL 8 .35 128 663 .23 0 .54Gafisa SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 334 255 190 000 BRL 2 .05 191 971 .63 0 .80Iguatemi Empresa de Shopping Centers SA . . . . . . . . . . . . . . Count 81 427 81 427 BRL 28 .02 639 207 .49 2 .67Investimentos Itau SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 432 997 139 363 BRL 7 .38 895 254 .55 3 .73Itau Unibanco Holding SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . Count 104 303 57 000 53 000 BRL 29 .63 865 832 .21 3 .61Lojas Americanas SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 64 000 64 000 BRL 11 .2 200 818 .30 0 .84Lojas Americanas SA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 153 993 141 858 155 500 BRL 15 .87 684 672 .99 2 .86Lojas Renner SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 117 066 117 066 BRL 23 .24 762 205 .70 3 .18Multiplan Empreendimentos Imobiliarios SA . . . . . . . . . . . . . Count 63 800 29 800 7 500 BRL 60 .12 1 074 595 .30 4 .48Ouro Fino Saude Animal Participacoes SA . . . . . . . . . . . . . . . Count 5 228 5 228 BRL 43 .15 63 200 .67 0 .26Raia Drogasil SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106 300 45 700 32 697 BRL 62 .06 1 848 205 .77 7 .71Cencosud SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 209 095 CLP 1 889 536 373 .95 2 .24Embotelladora Andina SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 111 714 CLP 2 330 .2 353 502 .81 1 .47Itau CorpBanca . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 219 000 42 219 000 CLP 5 .53 317 048 .10 1 .32Grupo de Inversiones Suramericana -Pref- . . . . . . . . . . . . . . . Count 25 000 COP 37 300 286 479 .48 1 .19Grupo de Inversiones Suramericana SA . . . . . . . . . . . . . . . . . Count 19 676 COP 38 060 230 064 .85 0 .96Prosegur Cia de Seguridad SA . . . . . . . . . . . . . . . . . . . . . . . Count 70 056 EUR 5 .36 375 500 .16 1 .57Fomento Economico Mexicano SAB de CV . . . . . . . . . . . . . . Count 25 000 25 000 MXN 169 .7 205 974 .59 0 .86Gruma SAB de CV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 000 20 200 MXN 263 .89 602 160 .96 2 .51Grupo Aeroportuario del Centro Norte SAB de CV . . . . . . . . . Count 44 000 62 000 18 000 MXN 106 .28 227 036 .68 0 .95Grupo Aeroportuario del Pacifico SAB de CV . . . . . . . . . . . . . Count 25 000 17 000 16 000 MXN 187 .7 227 822 .22 0 .95Ambev SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 000 90 000 70 500 USD 5 .865 379 867 .89 1 .58Anheuser-Busch InBev NV -ADR- . . . . . . . . . . . . . . . . . . . . . . Count 2 000 USD 129 .33 232 681 .22 0 .97Banco Bradesco SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 54 500 133 000 148 200 USD 7 .67 376 031 .25 1 .57Credicorp Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 650 500 USD 154 .33 367 898 .74 1 .53Empresa Nacional de Electricidad SA . . . . . . . . . . . . . . . . . . . Count 7 500 USD 27 .42 184 995 .34 0 .77Endesa Americas SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 500 7 500 USD 13 .57 91 553 .13 0 .38Enersis Chile SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 600 23 600 USD 5 .76 122 283 .13 0 .51Enersis SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 600 USD 8 .51 180 664 .84 0 .75Fomento Economico Mexicano SA de CV -ADR- . . . . . . . . . . Count 16 567 11 300 8 400 USD 91 .69 1 366 463 .11 5 .70Globant SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 057 9 100 6 000 USD 39 .1 951 674 .57 3 .97Grupo Clarin SA -GDR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 500 USD 19 .9 581 793 .02 2 .43Grupo Financiero Galicia SA -ADR- . . . . . . . . . . . . . . . . . . . . . Count 28 700 19 100 6 400 USD 30 .9 797 760 .34 3 .33Grupo Supervielle SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 703 32 703 USD 12 .66 372 437 .47 1 .55InRetail Peru Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 520 27 500 USD 16 .34 448 609 .69 1 .87

Interest-bearing securities1 .875 % KFW 2012/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 106 .405 212 810 .00 0 .89

Total securities portfolio 23 507 395.94 98.03 Cash at bank 368 788.40 1.54 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104 092 .29 0 .43 Deposits in non-EU/EEA currencies Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 259 628 72 737 .37 0 .30Chilean peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CLP 93 874 263 127 478 .99 0 .54Colombian peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . COP 151 042 671 46 402 .82 0 .19Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 107 696 5 228 .68 0 .02Peruvian nuevo sol . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PEN 4 877 1 332 .20 0 .01U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 12 802 11 516 .05 0 .05 Other assets 163 547.48 0.68Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57 320 .51 0 .24Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 058 .22 0 .00Receivables from exceeding the expense cap . . . . . . . . . . . . 20 608 .85 0 .09Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84 559 .90 0 .35 Receivables from share certificate transactions 4 129.90 0.02 Total assets 24 043 861.72 100.27 Other liabilities -55 354.84 -0.23Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -55 354 .84 -0 .23 Liabilities from share certificate transactions -9 564.80 -0.04




224

Total liabilities -64 919.64 -0.27 Net assets 23 978 942.08 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 93.24Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 89.16Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 86.95Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 73.80 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 425Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 256 589Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 812Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 142 Composition of the reference portfolio (according to CSSF circular 11/512)MSCI EM Latin America10/40 Index in EUR Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 79.985 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 98.439 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 89.188 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Exchange rates (indirect quotes)

As of: June 30, 2016 Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3.569396 = EUR 1Chilean peso . . . . . . . . . . . . . . . . . . . . CLP 736.390073 = EUR 1Colombian peso . . . . . . . . . . . . . . . . . . COP 3 255.032438 = EUR 1Mexican peso . . . . . . . . . . . . . . . . . . . MXN 20.597200 = EUR 1Peruvian nuevo sol . . . . . . . . . . . . . . . PEN 3.660607 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation




225




Securities traded on an exchange Equities AES Tiete SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 000America Movil SAB de CV -ADR- . . . . . . . . . . . . Count 50 000 50 000B2W Cia Digital -Rights Exp 30Jun16 . . . . . . . . . Count 9 014 9 014Banco Bradesco S .A . 05/02/2016 . . . . . . . . . . . . Count 5 077Banco Santander Brasil SA . . . . . . . . . . . . . . . . . Count 22 000 74 000BB Seguridade Participacoes . . . . . . . . . . . . . . . Count 45 500 81 500BRF SA -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 000 40 000CCR SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 248 81 248Cielo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 648Corpbanca SA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 900 000Corporativo Fragua SAB de CV . . . . . . . . . . . . . . Count 44 000Grupo Financiero Inbursa SAB de CV . . . . . . . . . Count 115 000 115 000Grupo Herdez SAB de CV . . . . . . . . . . . . . . . . . . Count 164 010Itau CorpBanca -ADR- . . . . . . . . . . . . . . . . . . . . . Count 28 146Itau Unibanco Holding SA -ADR- . . . . . . . . . . . . . Count 69 500Marcopolo SA -Pref- . . . . . . . . . . . . . . . . . . . . . . Count 437 000Telefonica Brasil SA . . . . . . . . . . . . . . . . . . . . . . . Count 21 000


226

Securities traded on an exchange 53 332 811.14 91.22 Interest-bearing securities 0.576 % ABN AMRO Bank NV (MTN) 2013/2017 * . . . . . . . EUR 1 000 000 1 000 000 % 100.661 1 006 610.00 1.72 0.346 % ANZ New Zealand Int‘l Ltd (MTN) 2013/2016 * . . . EUR 1 000 000 % 100.163 1 001 630.00 1.71 0.269 % ASB Finance Ltd/London (MTN) 2014/2017 * . . . . EUR 1 050 000 1 050 000 % 100.154 1 051 617.00 1.80 0.274 % Bank of Montreal (MTN) 2013/2016 * . . . . . . . . . . EUR 1 000 000 % 100.102 1 001 020.00 1.71 0.199 % Bank of Nova Scotia (MTN) 2013/2016 * . . . . . . . . EUR 1 000 000 % 100.055 1 000 550.00 1.71 0.00 % Banque Federative du Credit Mutuel SA (MTN)

2015/2017 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.06 1 000 600.00 1.71 0.128 % Banque Federative du Credit Mutuel SA (MTN)

2016/2018 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 100 000 1 100 000 % 100.052 1 100 572.00 1.88 0.00 % Barclays Bank Plc (MTN) 2015/2016 * . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.059 1 000 590.00 1.71 0.139 % BASF SE (MTN) 2013/2016 * . . . . . . . . . . . . . . . . . EUR 1 000 000 % 100.022 1 000 220.00 1.71 0.096 % BMW Finance NV (MTN) 2013/2016 * . . . . . . . . . . EUR 525 000 525 000 % 100.021 525 110.25 0.90 0.218 % BMW Finance NV (MTN) 2014/2017 * . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.067 1 000 670.00 1.71 0.058 % BNP Paribas SA 2015/2017 * . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.083 1 000 830.00 1.71 0.056 % BPCE SA (MTN) 2016/2017 * . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.082 1 000 815.00 1.71 0.108 % BPCE SA (MTN) 2016/2018 * . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.091 1 000 910.00 1.71 0.122 % Caisse Centrale Desjardins 2015/2017 . . . . . . . . . . EUR 800 000 % 100.101 800 808.00 1.37 0.158 % Caisse Centrale Desjardins 2016/2018 * . . . . . . . . EUR 800 000 800 000 % 100.085 800 680.00 1.37 0.037 % Coca-Cola Co/The 2015/2017 . . . . . . . . . . . . . . . . . EUR 1 000 000 % 100.07 1 000 700.00 1.71 0.276 % Commonwealth Bank of Australia (MTN)

2013/2016 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 250 000 % 100.062 1 250 775.00 2.15 0.264 % Cooperatieve Centrale Raiffeisen-

Boerenleenbank BA (MTN) 2013/2016 * . . . . . . . . EUR 1 000 000 % 100.084 1 000 840.00 1.71 0.126 % Cooperatieve Rabobank UA (MTN) 2016/2018 * . . EUR 1 400 000 1 400 000 % 100.103 1 401 442.00 2.40 0.291 % Credit Suisse AG/London (MTN) 2015/2017 * . . . . EUR 1 000 000 1 000 000 % 100.178 1 001 780.00 1.71 0.199 % Credit Suisse AG/London (MTN) 2015/2017 * . . . . EUR 1 000 000 1 000 000 % 100.047 1 000 470.00 1.71 0.236 % Danske Bank A/S (MTN) 2014/2017 * . . . . . . . . . . EUR 1 500 000 1 500 000 % 100.119 1 501 785.00 2.57 0.34 % DekaBank Deutsche Girozentrale (MTN)

2016/2018 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 900 000 900 000 % 100.378 903 402.00 1.55 0.00 % France Treasury Bill BTF 2016/2016 . . . . . . . . . . . . EUR 2 800 000 2 800 000 % 100.043 2 801 204.00 4.79 0.00 % GE Capital European Funding Unlimited Co.

(MTN) 2007/2017 * . . . . . . . . . . . . . . . . . . . . . . . . . EUR 800 000 800 000 % 99.933 799 464.00 1.37 0.305 % Honeywell International, Inc. 2016/2018 * . . . . . . . EUR 430 000 430 000 % 100.37 431 591.00 0.75 0.337 % ING Bank NV (MTN) 2013/2016 * . . . . . . . . . . . . . . EUR 1 000 000 % 100.074 1 000 740.00 1.71 0.531 % ING Bank NV (MTN) 2015/2017 * . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.545 1 005 450.00 1.72 0.055 % JPMorgan Chase & Co. (MTN) 2014/2016 * . . . . . EUR 1 000 000 1 000 000 % 100.047 1 000 470.00 1.71 0.00 % La Banque Postale SA (MTN) 2015/2017 * . . . . . . EUR 1 000 000 1 000 000 % 100.114 1 001 145.00 1.71 0.078 % Landesbank Berlin AG 2015/2017 * . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.128 1 001 285.00 1.71 0.25 % Landesbank Hessen-Thueringen Girozentrale

(MTN) 2015/2017 * . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.222 1 002 220.00 1.71 0.358 % Landesbank Hessen-Thueringen Girozentrale

(MTN) 2016/2018 * . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.224 1 002 235.00 1.71 0.345 % Lloyds Bank Plc (MTN) 2015/2017 * . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.138 1 001 380.00 1.71 0.289 % Lloyds Bank Plc (MTN) 2016/2018 * . . . . . . . . . . . . EUR 1 000 000 1 000 000 % 100.009 1 000 090.00 1.71 0.248 % National Australia Bank Ltd (MTN) 2013/2016 * . . . EUR 1 000 000 % 100.014 1 000 140.00 1.71 0.138 % National Australia Bank Ltd (MTN) 2015/2018 * . . . EUR 1 000 000 1 000 000 % 100.043 1 000 430.00 1.71 0.167 % National Bank of Canada 2015/2017 . . . . . . . . . . . . EUR 1 529 000 600 000 % 100.091 1 530 391.39 2.62 0.412 % Nationwide Building Society (MTN) 2016/2018 * . . EUR 1 000 000 1 000 000 % 100.119 1 001 190.00 1.71 0.201 % Nordea Bank AB (MTN) 2013/2016 * . . . . . . . . . . . EUR 1 000 000 % 100.089 1 000 890.00 1.71 0.234 % Pohjola Bank Plc (MTN) 2014/2017 * . . . . . . . . . . . EUR 1 000 000 % 100.132 1 001 320.00 1.71 0.149 % SBAB Bank AB (MTN) 2013/2016 * . . . . . . . . . . . . EUR 300 000 300 000 % 100.032 300 097.50 0.51 0.272 % Skandinaviska Enskilda Banken AB 2015/2017 . . . . EUR 800 000 % 100.167 801 336.00 1.37 0.221 % Societe Generale SA (MTN) 2015/2017 * . . . . . . . . EUR 400 000 % 100.06 400 240.00 0.69 0.051 % Societe Generale SA (MTN) 2015/2017 * . . . . . . . . EUR 1 000 000 1 000 000 % 100.117 1 001 170.00 1.71 0.161 % Societe Generale SA (MTN) 2016/2018 * . . . . . . . . EUR 1 000 000 1 000 000 % 100.187 1 001 870.00 1.72 0.557 % Standard Chartered Bank 2015/2017 * . . . . . . . . . . EUR 1 000 000 % 100.265 1 002 650.00 1.72 0.151 % Toronto-Dominion Bank 2015/2017 * . . . . . . . . . . EUR 1 200 000 % 100.128 1 201 536.00 2.06 0.087 % Toyota Motor Credit Corp 2015/2017 . . . . . . . . . . . EUR 1 185 000 800 000 % 100.1 1 186 185.00 2.03 0.126 % UBS AG (MTN) 2014/2016 * . . . . . . . . . . . . . . . . . . EUR 1 000 000 % 100.038 1 000 380.00 1.71 0.101 % UBS AG/London (MTN) 2015/2017 * . . . . . . . . . . . EUR 500 000 500 000 % 100.085 500 425.00 0.86 0.257 % Westpac Banking Corp. (MTN) 2013/2016 * . . . . . EUR 1 000 000 % 100.086 1 000 860.00 1.71

Securities admitted to or included in organized markets 1 331 064.00 2.28 Interest-bearing securities 1.00 % Canadian Imperial Bank 2015/2017 . . . . . . . . . . . . EUR 1 330 000 500 000 % 100.08 1 331 064.00 2.28 Total securities portfolio 54 663 875.14 93.50




227

Derivatives (Minus signs denote short positions) Currency derivatives 248 102.17 0.42Receivables/payables Currency futures Currency futures (short) Closed positions EUR/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67.66 0.00 Currency futures (long) Open positions USD/EUR 19.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248 034.51 0.42 Cash at bank 3 020 771.65 5.17 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 506 759.53 0.87 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 15 426 13 876.45 0.02 Time deposits EUR deposits (Honeywell International 0.01% 28/07/2016) . . 1 000 097.54 1.71EUR deposits (LVMH Finance Belgique 0.01% 31/08/2016) . 1 500 038.13 2.57 Other assets 54 055.90 0.09Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 614.98 0.01Receivables from exceeding the expense cap . . . . . . . . . . . . 48 440.92 0.08 Receivables from share certificate transactions 757 068.69 1.29 Total assets 58 743 873.55 100.47 Other liabilities -22 057.85 -0.04Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -22 057.85 -0.04 Liabilities from share certificate transactions -254 943.68 -0.43 Total liabilities -277 001.53 -0.47 Net assets 58 466 872.02 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.00Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.80Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98.68Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 101.26Class USD LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100.84 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 244Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 309 031Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 032Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 168 396Class USD LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 063 Presentation of the maximum limit (according to CSSF circular 11/512)0.80% of portfolio value




228


The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0.00 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes.




As of: June 30, 2016 U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1 Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values. Footnote

* Floating interest rate

229






Interest-bearing securities 0.375 % ABN AMRO Bank NV (MTN)

2013/2016 * . . . . . . . . . . . . . . . . . . . EUR 1 000 000 0.102 % Banque Federative du Credit Mutuel

SA (MTN) 2006/2016 * . . . . . . . . . . . EUR 1 400 000 0.00 % Belgium Treasury Bill Zero Coupon

2015/2016 . . . . . . . . . . . . . . . . . . . . . EUR 2 500 000 2 500 000 0.431 % BPCE SA (MTN) 2014/2016 * . . . . . . EUR 800 000 0.469 % Credit Agricole SA (MTN)

2013/2016 * . . . . . . . . . . . . . . . . . . . EUR 1 000 000 0.259 % Credit Suisse AG (MTN)

2014/2016 * . . . . . . . . . . . . . . . . . . . EUR 1 000 000 0.00 % France Treasury Bill BTF 2015/2016 . EUR 2 000 000 2 000 000 0.00 % France Treasury Bill BTF 2015/2016 . EUR 1 600 000 1 600 000 0.00 % France Treasury Bill BTF 2016/2016 . EUR 4 500 000 4 500 000 0.00 % France Treasury Bill BTF

Zero Coupon 2016/2016 . . . . . . . . . . EUR 3 000 000 3 000 000 0.00 % French Discount Bill 2016/2016 . . . . EUR 800 000 800 000 0.382 % GE Capital European Funding (MTN)

2013/2016 * . . . . . . . . . . . . . . . . . . . EUR 1 400 000 0.189 % HSBC France SA (MTN)

2014/2016 * . . . . . . . . . . . . . . . . . . . EUR 1 000 000 0.219 % Societe Generale SA (MTN)

2014/2016 * . . . . . . . . . . . . . . . . . . . EUR 1 000 000 0.317 % Swedbank AB (MTN) 2013/2016 * . . EUR 1 400 000 0.246 % Volkswagen International Finance NV

(MTN) 2014/2016 * . . . . . . . . . . . . . . EUR 1 000 000 0.07 % Wells Fargo & Co. 2015/2016 * . . . . EUR 1 500 000 Securities admitted to or included in organized markets Interest-bearing securities 0.00 % Societe Financiere Interbail

2015/2016 . . . . . . . . . . . . . . . . . . . . . EUR 1 500 000


Value (’000)Futures contracts Currency futures (short) Futures contracts to sell currencies EUR/USD EUR 112 724 Currency futures (long) Futures contracts to purchase currencies USD/EUR EUR 93 950

230

Securities traded on an exchange 21 339 145.89 83.22 EquitiesBHP Billiton Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 541 AUD 18 .65 94 082 .38 0 .37Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 143 CAD 82 .3 179 212 .28 0 .70Sun Life Financial, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 322 CAD 41 .91 183 567 .47 0 .72Suncor Energy, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 521 CAD 35 .39 159 888 .90 0 .62Novartis AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 641 CHF 79 .3 46 910 .50 0 .18Roche Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 307 CHF 253 .5 71 821 .61 0 .28Sika AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 CHF 4 045 123 188 .82 0 .48Allianz SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 369 EUR 126 .15 172 699 .35 0 .67Amadeus IT Holding SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 504 EUR 39 .215 58 979 .36 0 .23Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 812 EUR 116 .4 210 916 .80 0 .82Atlantia SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 844 EUR 22 .11 217 650 .84 0 .85AXA SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 844 EUR 17 .55 172 762 .20 0 .67BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 578 EUR 68 .1 175 561 .80 0 .68Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 156 EUR 168 .5 194 786 .00 0 .76Deutsche Telekom AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 245 EUR 15 .13 200 396 .85 0 .78Enel SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 074 EUR 3 .92 184 530 .08 0 .72Gas Natural SDG SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 055 EUR 17 .42 140 318 .10 0 .55Henkel AG & Co . KGaA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 267 EUR 108 .55 246 082 .85 0 .96Koninklijke Ahold NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 311 EUR 19 .785 263 358 .14 1 .03Koninklijke Philips NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 139 EUR 22 .21 180 767 .19 0 .71Muenchener Rueckversicherungs AG -Reg- . . . . . . . . . . . . . . Count 1 174 EUR 148 .5 174 339 .00 0 .68Orange SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 624 EUR 14 .5 212 048 .00 0 .83Safran SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 539 EUR 60 .88 215 454 .32 0 .84SAP AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 705 EUR 66 .85 113 979 .25 0 .44Societe Generale SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 157 EUR 27 .97 88 301 .29 0 .34Tenaris SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 187 EUR 12 .91 157 334 .17 0 .61Total SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 776 EUR 43 .05 162 556 .80 0 .63TUI AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 029 EUR 10 .15 61 194 .35 0 .24Unilever NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 334 EUR 41 .55 221 627 .70 0 .86Wolters Kluwer NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 227 EUR 36 .505 300 326 .64 1 .17HSBC Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 563 GBP 4 .571 124 659 .83 0 .49Kingfisher Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 48 770 GBP 3 .197 188 457 .69 0 .74Legal & General Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 60 137 GBP 1 .867 135 739 .70 0 .53Old Mutual Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 73 918 GBP 1 .943 173 596 .70 0 .68Royal Dutch Shell Plc -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 363 GBP 20 .055 154 242 .15 0 .60Central Japan Railway Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 600 JPY 18 125 253 805 .09 0 .99Fuji Heavy Industries Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 300 JPY 3 478 191 766 .37 0 .75Nippon Telegraph & Telephone Corp . . . . . . . . . . . . . . . . . . . . Count 7 400 JPY 4 800 310 867 .47 1 .21DBS Group Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 500 SGD 15 .76 152 532 .73 0 .59Anthem, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 918 USD 130 .9 108 097 .19 0 .42Apple, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 080 USD 94 .48 91 790 .07 0 .36Archer-Daniels-Midland Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 459 USD 41 .8 167 666 .32 0 .65CF Industries Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 683 7 683 USD 23 .72 163 937 .23 0 .64Comcast Corp . -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 683 USD 64 .27 155 117 .59 0 .61CSX Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 166 USD 25 .57 141 829 .42 0 .55CVS Health Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 071 USD 94 .58 261 283 .02 1 .02Delta Air Lines, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 198 USD 35 .94 168 053 .06 0 .66Eli Lilly & Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 297 USD 77 .48 229 795 .03 0 .90FNF Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 527 USD 36 .87 183 313 .59 0 .71Ford Motor Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 103 USD 12 .301 178 188 .34 0 .70Gilead Sciences, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 086 USD 81 .75 153 403 .10 0 .60Hewlett Packard Enterprise . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 089 USD 17 .9 49 739 .68 0 .19HP Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 089 USD 12 .17 33 817 .43 0 .13Intel Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 779 USD 32 .16 196 116 .32 0 .76International Paper Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 201 USD 41 .01 154 979 .59 0 .60Johnson & Johnson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 072 USD 119 .24 222 251 .03 0 .87Macy‘s, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 964 USD 32 .99 117 638 .11 0 .46Micron Technology, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 831 USD 13 .32 81 850 .36 0 .32Microsoft Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 693 USD 50 .52 122 386 .01 0 .48Mosaic Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 824 USD 25 .3 87 030 .30 0 .34Pfizer, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 465 USD 34 .95 234 697 .82 0 .92Quest Diagnostics, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 596 USD 80 .01 258 818 .92 1 .01Raytheon Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 178 USD 135 .25 264 988 .62 1 .03Schlumberger Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 293 USD 78 .25 161 406 .29 0 .63TE Connectivity Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 754 USD 56 .06 189 312 .56 0 .74TJX Cos, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 502 USD 76 .37 240 586 .36 0 .94Travelers Cos, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 201 USD 117 .4 232 445 .00 0 .91US Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 131 USD 39 .74 183 426 .44 0 .72Western Union Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 332 USD 18 .78 208 334 .49 0 .81

Interest-bearing securities4 .125 % Banque Federative du Credit Mutuel (MTN)

2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 50 000 50 000 % 115 .785 57 892 .50 0 .232 .50 % Bundesrepublik Deutschland 2010/2021 . . . . . . . . EUR 316 171 234 742 % 114 .195 361 051 .47 1 .412 .375 % Daimler AG 2012/2022 . . . . . . . . . . . . . . . . . . . . . . EUR 79 000 22 000 % 112 .809 89 119 .11 0 .350 .10 % Deutsche Bundesrepublik Inflation

Linked Bond 2015/2026 . . . . . . . . . . . . . . . . . . . . . EUR 475 111 475 111 % 110 .9 526 897 .59 2 .050 .375 % Deutsche Post AG (MTN) 2016/2021 . . . . . . . . . . . EUR 70 000 70 000 % 101 .606 71 124 .20 0 .284 .25 % France Government Bond OAT 2003/2019 . . . . . . . EUR 273 115 852 875 % 113 .48 309 930 .90 1 .213 .25 % France Government Bond OAT 2011/2021 . . . . . . . EUR 113 017 83 910 % 119 .173 134 685 .75 0 .53




231

1.75 % France Government Bond OAT 2014/2024 . . . . . . . EUR 220 488 163 702 % 114.503 252 465.37 0.982.125 % Goldman Sachs Group, Inc. (MTN) 2014/2024 . . . . EUR 49 000 14 000 % 105.533 51 711.17 0.203.75 % Italy Buoni Poliennali Del Tesoro 2006/2016 . . . . . . EUR 469 000 348 000 % 100.303 470 421.07 1.834.00 % Italy Buoni Poliennali Del Tesoro 2007/2017 . . . . . . EUR 647 000 481 000 % 102.443 662 806.21 2.594.50 % Italy Buoni Poliennali Del Tesoro 2013/2024 . . . . . . EUR 222 000 165 000 % 125.963 279 637.86 1.094.75 % Linde Finance BV (MTN) 2007/2017 . . . . . . . . . . . . EUR 67 000 18 000 % 103.977 69 664.59 0.274.25 % Metro Finance BV (MTN) 2010/2017 . . . . . . . . . . . EUR 83 000 23 000 % 102.72 85 257.60 0.332.00 % National Australia Bank Ltd 2013/2020 . . . . . . . . . . EUR 53 000 14 000 % 107.78 57 123.40 0.223.50 % Netherlands Government Bond 2010/2020 . . . . . . EUR 759 224 563 695 % 116.548 884 860.39 3.458.125 % Orange SA (MTN) 2003/2033 . . . . . . . . . . . . . . . . . EUR 23 000 7 000 % 192.214 44 209.22 0.174.10 % Portugal Obrigacoes do Tesouro OT 144A

2015/2045 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 72 803 54 052 % 101.805 74 117.09 0.294.125 % Rabobank Nederland (MTN) 2010/2020 . . . . . . . . . EUR 76 000 22 000 % 114.029 86 662.04 0.341.00 % RTE Reseau de Transport d‘Electricite SA (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 101.553 101 553.00 0.404.125 % Sanofi (MTN) 2009/2019 . . . . . . . . . . . . . . . . . . . . . EUR 68 000 18 000 % 113.879 77 437.72 0.302.75 % Spain Government Bond 144A 2014/2024 . . . . . . . EUR 229 000 169 000 % 113.835 260 682.15 1.024.20 % Spain Government Bond 2005/2037 . . . . . . . . . . . . EUR 66 000 50 000 % 137.158 90 524.28 0.352.10 % Spain Government Bond 2013/2017 . . . . . . . . . . . . EUR 667 000 494 000 % 101.943 679 959.81 2.652.625 % Volkswagen Leasing GmbH (MTN) 2014/2024 . . . . EUR 62 000 17 000 % 110.373 68 431.26 0.273.75 % American International Group, Inc. 2015/2025 . . . . USD 74 000 74 000 % 102.274 68 081.49 0.274.45 % AT&T, Inc. 2016/2024 . . . . . . . . . . . . . . . . . . . . . . . USD 70 000 70 000 % 109.631 69 034.07 0.273.875 % Bank of America Corp 2015/2025 . . . . . . . . . . . . . . USD 71 000 71 000 % 106.435 67 979.02 0.276.90 % Canadian National Railway Co. 1998/2028 . . . . . . . USD 51 000 51 000 % 142.648 65 443.71 0.266.00 % ConocoPhillips 2009/2020 . . . . . . . . . . . . . . . . . . . . USD 54 000 54 000 % 113.756 55 258.63 0.222.40 % ConocoPhillips Co. 2012/2022 . . . . . . . . . . . . . . . . USD 76 000 76 000 % 98.808 67 551.93 0.263.70 % Deutsche Bank AG/London 2014/2024 . . . . . . . . . . USD 70 000 70 000 % 99.127 62 419.76 0.243.90 % Dominion Resources, Inc./VA 2015/2025 . . . . . . . . USD 69 000 69 000 % 107.262 66 577.43 0.269.00 % Energy Transfer Partners LP 2009/2019 . . . . . . . . . USD 50 000 50 000 % 112.476 50 589.68 0.204.00 % FS Investment Corp. 2014/2019 . . . . . . . . . . . . . . . USD 69 000 69 000 % 100.168 62 174.19 0.245.95 % Gap, Inc./The 2011/2021 . . . . . . . . . . . . . . . . . . . . . USD 66 000 66 000 % 105.003 62 341.57 0.244.65 % HP, Inc. 2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . USD 47 000 47 000 % 108.162 45 730.36 0.189.00 % Kinder Morgan Energy Partners LP 2008/2019 . . . . USD 65 000 65 000 % 114.294 66 829.31 0.264.15 % Magna International, Inc. 2015/2025 . . . . . . . . . . . . USD 48 000 48 000 % 109.794 47 407.81 0.183.20 % ONEOK Partners LP 2013/2018 . . . . . . . . . . . . . . . USD 76 000 76 000 % 101.397 69 321.95 0.277.00 % Pepsi Bottling Group, Inc./The 1999/2029 . . . . . . . USD 100 000 100 000 % 143.233 128 847.25 0.508.75 % Plains All American Pipeline LP 2009/2019 . . . . . . . USD 65 000 65 000 % 114.85 67 154.70 0.266.70 % Rockwell Automation, Inc. 1998/2028 . . . . . . . . . . USD 56 000 56 000 % 137.994 69 515.28 0.273.625 % Rogers Communications, Inc. 2015/2025 . . . . . . . . USD 34 000 34 000 % 107.591 32 906.90 0.133.85 % Thomson Reuters Corp. 2014/2024 . . . . . . . . . . . . USD 52 000 52 000 % 106.53 49 831.89 0.193.75 % TransCanada PipeLines Ltd 2013/2023 . . . . . . . . . . USD 53 000 53 000 % 107.79 51 391.16 0.206.625 % Union Pacific Corp. 1999/2029 . . . . . . . . . . . . . . . . USD 52 000 52 000 % 139.63 65 314.95 0.252.75 % United States Treasury Note/Bond 2010/2017 . . . . USD 367 000 452 400 85 400 % 102.037 336 865.30 1.310.625 % United States Treasury Note/Bond 2012/2017 . . . . USD 378 500 466 600 88 100 % 100.109 340 857.38 1.330.875 % United States Treasury Note/Bond 2014/2017 . . . . USD 379 200 467 400 88 200 % 100.328 342 233.95 1.330.875 % United States Treasury Note/Bond 2014/2017 . . . . USD 210 400 259 300 48 900 % 100.361 189 952.14 0.742.125 % United States Treasury Note/Bond 2014/2021 . . . . USD 110 100 135 700 25 600 % 105.078 104 071.48 0.412.00 % United States Treasury Note/Bond 2014/2021 . . . . USD 364 700 449 600 84 900 % 104.531 342 936.71 1.342.25 % United States Treasury Note/Bond 2014/2021 . . . . USD 106 500 131 300 24 800 % 105.734 101 297.30 0.401.00 % United States Treasury Note/Bond 2015/2018 . . . . USD 306 100 377 300 71 200 % 100.643 277 125.92 1.082.25 % United States Treasury Note/Bond 2015/2025 . . . . USD 173 100 213 400 40 300 % 106.742 166 213.10 0.651.375 % United States Treasury Note/Bond 2016/2021 . . . . USD 79 700 98 200 18 500 % 101.664 72 888.31 0.284.00 % Unum Group 2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 58 000 58 000 % 103.497 53 999.26 0.213.75 % Ventas Realty LP 2014/2024 . . . . . . . . . . . . . . . . . . USD 62 000 62 000 % 104.291 58 166.19 0.23 Securities admitted to or included in organized markets 215 128.31 0.84 Interest-bearing securities 3.75 % Marriott International, Inc./MD 2015/2025 . . . . . . . USD 47 000 47 000 % 106.234 44 915.21 0.176.60 % Pharmacia Corp. 2000/2028 . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 138.592 124 671.92 0.493.55 % Sempra Energy 2014/2024 . . . . . . . . . . . . . . . . . . . USD 48 000 48 000 % 105.47 45 541.18 0.18

Investment fund units 2 215 216.52 8.64 In-group fund units db x-trackers II - IBOXX EUR HIGH YIELD BOND UCITS-1C- EUR - (0.250%) . . . . . . . . . . . . . . . . . . . . . Units 29 959 23 101 EUR 17.29 517 991.11 2.02DWS European Opportunities EUR - (1.400%) . . . . . . . . . . . . Units 983 EUR 251.18 246 909.94 0.96DWS Invest - DWS Invest Emerging Markets Corporates -E2- USD - (0.600%) . . . . . . . . . . . . . . . . . . . . . . . Units 2 127 2 127 USD 145 277 439.03 1.08 Non-group fund units iShares Diversified Commodity Swap UCITS ETF (DE) EUR - (0.460%) . . . . . . . . . . . . . . . . . . . . . . . Units 9 535 EUR 20.13 191 939.55 0.75iShares II PLC - iShares J,P, Morgan $ Emerging Markets Bond UCITS ETF USD - (0.500%) . . . . . . . . . . . . . . . Units 5 740 USD 113.25 584 766.08 2.28iShares PLC - iShares $ Corporate Bond UCITS ETF USD - (0.200%) . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 1 117 1 117 USD 117.74 118 306.68 0.46Neuberger Berman Investment Funds plc - Neuberger Berman High Yield Bond Fund -I- USD - (0.600%) . . . . . . . . . Units 15 053 10 065 USD 20.52 277 864.13 1.09 Total securities portfolio 23 769 490.72 92.70



232

Derivatives (Minus signs denote short positions) Derivatives on individual securities 983 064.28 3.83 Warrants on securities Equity warrants Deutsche Bank AG 30/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . Count 5 700 5 700 EUR 26 .78 152 646 .00 0 .59DZ Bank AG Deutsche Zentral-Genossenschaftsbank 23/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 600 5 600 EUR 26 .76 149 856 .00 0 .58DZ Bank AG Deutsche Zentral-Genossenschaftsbank 23/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 876 20 876 EUR 25 .28 527 745 .28 2 .06Societe Generale Effekten GmbH 23/12/2016 . . . . . . . . . . . . Count 5 700 5 700 EUR 26 .81 152 817 .00 0 .60 Equity index derivatives 495 604.82 1.93Receivables/payables Equity index futures DJ EURO STOXX 50 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . Count -127 -127 28 083 .75 0 .11MSCI Asia ex Japan 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . Count 12 12 5 829 .17 0 .02MSCI Emerging Market 09/2016 (IFUS) . . . . . . . . . . . . . . . . Count 23 23 17 172 .68 0 .07S & P MINI 500 Futures 09/2016 (CME) . . . . . . . . . . . . . . . . . Count -15 -15 17 237 .90 0 .07Topix Index 09/2016 (OSE) . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 3 -26 150 .68 -0 .11 Option contracts Options on equity indices Call DJ EURO STOXX 50 06/2018 2 500 EUR (DB) . . . . . . . . Count 1 120 453 432 .00 1 .77 Currency derivatives -132 538.91 -0.52Receivables/payables Currency futures Currency futures (short) Open positions EUR/AUD 0 .3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -8 570 .21 -0 .03EUR/CAD 0 .8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -11 856 .25 -0 .05EUR/GBP 0 .8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41 873 .54 0 .16EUR/JPY 103 .8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -69 935 .84 -0 .27EUR/USD 1 .7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -39 166 .66 -0 .15 Closed positions EUR/USD 1 .5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -44 883 .49 -0 .18 Cash at bank 515 647.43 2.01 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 306 233 .64 1 .19 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 0 .75 0 .00Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 1 0 .09 0 .00Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 20 857 2 239 .87 0 .01Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 29 196 3 095 .13 0 .01 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 1 0 .52 0 .00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 65 598 7 605 .41 0 .03Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 11 167 554 97 737 .31 0 .38Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 1 921 1 330 .66 0 .01Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 1 0 .50 0 .00Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 10 833 7 230 .83 0 .03U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 240 90 172 .72 0 .35



233

Other assets 148 027.12 0.58Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 895 .62 0 .09Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106 910 .23 0 .42Receivables from exceeding the expense cap . . . . . . . . . . . . 19 221 .27 0 .07 Receivables from share certificate transactions 15 272.60 0.06 Total assets * 25 995 131.18 101.38 Other liabilities -30 356.82 -0.12Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -30 356 .82 -0 .12 Liabilities from share certificate transactions -123 707.23 -0.47 Total liabilities -354 627.18 -1.38 Net assets 25 640 504.01 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 109 .46Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 111 .43Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102 .83 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 223 209Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 607Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 916 Composition of the reference portfolio (according to CSSF circular 11/512)50% iBoxx EUR Overall - Constituents, 50% MSCI THE WORLD INDEX in EUR Constituents



Futures exchangesCME = Chicago Mercantile ExchangeDB = Deutsche Bank AGEUR = EurexIFUS = Ice Futures U .S .OSE = Osaka Exchange

Contracting parties for currency futuresDeutsche Bank AG Frankfurt and Société Générale Exchange rates (indirect quotes)

As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .494856 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1 .083580 = EUR 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 7 .439826 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9 .311511 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9 .432959 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1



234

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnote

* Does not include positions with a negative balance, if such exist.





Equities BP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 180Mondelez International, Inc. . . . . . . . . . . . . . . . . Count 6 235

Interest-bearing securities4.375 % American International Group, Inc.

(MTN) 2006/2016 . . . . . . . . . . . . . . . EUR 100 0005.375 % BAT International Finance Plc (MTN)

2007/2017 . . . . . . . . . . . . . . . . . . . . . EUR 50 0003.125 % CaixaBank SA (MTN) 2013/2018 . . . . EUR 100 0001.375 % Credit Suisse AG/London 2014/2019 EUR 100 0004.50 % Electricite de France SA (MTN)

2010/2040 . . . . . . . . . . . . . . . . . . . . . EUR 50 0005.00 % Enel Finance International NV (MTN)

2011/2021 . . . . . . . . . . . . . . . . . . . . . EUR 100 0005.625 % Enel SpA (MTN) 2007/2027 . . . . . . . EUR 50 0003.625 % Eni SpA (MTN) 2014/2029 . . . . . . . . EUR 100 0004.75 % Hutchison Whampoa Finance 09 Ltd

2009/2016 . . . . . . . . . . . . . . . . . . . . . EUR 50 0003.50 % Iberdrola International BV (MTN)

2013/2021 . . . . . . . . . . . . . . . . . . . . . EUR 100 0001.875 % JPMorgan Chase & Co. 2012/2019 . EUR 100 0001.125 % Societe Des Autoroutes

Paris-Rhin-Rhone (MTN) 2014/2021 . EUR 100 0005.875 % Standard Chartered Bank 2007/2017 EUR 50 0002.125 % Total Capital International SA (MTN)

2012/2023 . . . . . . . . . . . . . . . . . . . . . EUR 100 0001.875 % Vodafone Group Plc (MTN)

2014/2025 . . . . . . . . . . . . . . . . . . . . . EUR 100 0005.00 % Volvo Treasury AB (MTN)

2007/2017 . . . . . . . . . . . . . . . . . . . . . EUR 86 0002.25 % Devon Energy Corp. 2013/2018 . . . . USD 65 000 65 0004.45 % DIRECTV Holdings LLC via

DIRECTV Financing Co, Inc. 2014/2024 USD 70 000 70 000

Non-group fund units iShares V plc - iShares $ Emerging Markets Corporate Bond UCITS ETF USD - (0.500%) . . . Units 3 021 3 021


Value (’000)Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), FTSE 100, S & P MINI 500 Futures 06/2016 (CME), S&P 500) EUR 10 752 Contracts sold (Underlyings: Dax, MSCI Emerging Market , MSCI Taiwan Index, Swiss Market Index, Topix) EUR 5 378 Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Notes 10 year) EUR 2 090 Contracts sold (Underlying: Germany Federal Republic Notes 10 year) EUR 1 303 Currency futures (short) Futures contracts to sell currencies EUR/AUD EUR 132EUR/CAD EUR 498EUR/GBP EUR 2 152EUR/JPY EUR 707EUR/USD EUR 7 522 Currency futures (long) Futures contracts to purchase currencies AUD/EUR EUR 259CAD/EUR EUR 997GBP/EUR EUR 2 135JPY/EUR EUR 1 424USD/EUR EUR 6 111


235

Securities traded on an exchange 16 016 384.43 61.62 Equities BHP Billiton Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 941 743 AUD 18 .65 36 692 .25 0 .14Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 225 310 CAD 82 .3 69 848 .89 0 .27Sun Life Financial, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 511 635 CAD 41 .91 72 910 .14 0 .28Suncor Energy, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 539 642 CAD 35 .39 62 253 .94 0 .24Sika AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 3 CHF 4 045 44 795 .93 0 .17Allianz SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 532 134 EUR 126 .15 67 111 .80 0 .26Amadeus IT Holding SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 613 155 EUR 39 .215 24 038 .80 0 .09Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 485 EUR 116 .4 56 454 .00 0 .22Atlantia SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 831 968 EUR 22 .11 84 703 .41 0 .33AXA SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 831 968 EUR 17 .55 67 234 .05 0 .26BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 017 257 EUR 68 .1 69 257 .70 0 .27Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 387 98 EUR 168 .5 65 209 .50 0 .25Deutsche Telekom AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 217 1 319 EUR 15 .13 78 933 .21 0 .30Enel SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 320 4 634 EUR 3 .92 71 814 .40 0 .28Gas Natural SDG SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 132 792 EUR 17 .42 54 559 .44 0 .21Henkel AG & Co . KGaA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . Count 884 224 EUR 108 .55 95 958 .20 0 .37Koninklijke Ahold NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 175 1 308 EUR 19 .785 102 387 .38 0 .39Koninklijke Philips NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 168 801 EUR 22 .21 70 361 .28 0 .27Muenchener Rueckversicherungs AG -Reg- . . . . . . . . . . . . . . Count 456 115 EUR 148 .5 67 716 .00 0 .26Orange SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 691 1 439 EUR 14 .5 82 519 .50 0 .32Safran SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 377 348 EUR 60 .88 83 831 .76 0 .32SAP AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 642 162 EUR 66 .85 42 917 .70 0 .16Societe Generale SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 211 306 EUR 27 .97 33 871 .67 0 .13Tenaris SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 742 1 199 EUR 12 .91 61 219 .22 0 .24Total SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 473 372 EUR 43 .05 63 412 .65 0 .24Unilever NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 044 517 EUR 41 .55 84 928 .20 0 .33Wolters Kluwer NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 199 808 EUR 36 .505 116 779 .50 0 .45BP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 502 3 162 GBP 4 .276 64 622 .90 0 .25HSBC Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 764 2 216 GBP 4 .571 48 420 .81 0 .19Kingfisher Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 941 4 791 GBP 3 .197 73 192 .07 0 .28Legal & General Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 355 5 907 GBP 1 .867 52 716 .31 0 .20Old Mutual Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 705 7 261 GBP 1 .943 67 413 .81 0 .26Royal Dutch Shell Plc -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 470 624 GBP 20 .055 59 873 .98 0 .23Shire Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 499 379 GBP 45 .28 82 040 .17 0 .32Central Japan Railway Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 900 200 JPY 18 125 142 765 .36 0 .55Fuji Heavy Industries Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 300 600 JPY 3 478 70 009 .95 0 .27Nippon Telegraph & Telephone Corp . . . . . . . . . . . . . . . . . . . . Count 2 800 700 JPY 4 800 117 625 .53 0 .44DBS Group Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 755 SGD 15 .76 60 539 .72 0 .23Anthem, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 353 89 USD 130 .9 41 566 .78 0 .16Apple, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 555 140 USD 94 .48 47 169 .90 0 .18Archer-Daniels-Midland Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 025 512 USD 41 .8 76 143 .59 0 .29CF Industries Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 948 2 948 USD 23 .72 62 903 .42 0 .24Comcast Corp . -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 119 283 USD 64 .27 64 694 .96 0 .25CSX Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 391 604 USD 25 .57 54 997 .43 0 .21CVS Health Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 175 297 USD 94 .58 99 969 .90 0 .38Delta Air Lines, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 017 510 USD 35 .94 65 210 .28 0 .25Eli Lilly & Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 281 324 USD 77 .48 89 283 .42 0 .34FNF Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 186 552 USD 36 .87 72 502 .90 0 .28Ford Motor Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 233 1 576 USD 12 .301 68 971 .49 0 .27Gilead Sciences, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 818 206 USD 81 .75 60 155 .19 0 .23Hewlett Packard Enterprise . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 367 598 USD 17 .9 38 113 .90 0 .15HP Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 367 598 USD 12 .17 25 913 .19 0 .10Intel Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 623 663 USD 32 .16 75 883 .33 0 .29International Paper Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 628 412 USD 41 .01 60 058 .74 0 .23Johnson & Johnson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 799 201 USD 119 .24 85 703 .95 0 .33Macy‘s, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 552 393 USD 32 .99 46 058 .11 0 .18Micron Technology, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 642 668 USD 13 .32 31 656 .95 0 .12Microsoft Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 689 174 USD 50 .52 31 312 .28 0 .12Mosaic Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 324 335 USD 25 .3 30 132 .88 0 .12Pfizer, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 891 731 USD 34 .95 90 892 .35 0 .35Quest Diagnostics, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 396 353 USD 80 .01 100 475 .87 0 .39Raytheon Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 847 214 USD 135 .25 103 051 .13 0 .40Schlumberger Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 889 225 USD 78 .25 62 577 .49 0 .24TE Connectivity Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 447 366 USD 56 .06 72 971 .57 0 .28TJX Cos, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 373 347 USD 76 .37 94 324 .69 0 .36Travelers Cos, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 935 237 USD 117 .4 98 744 .24 0 .38US Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 988 502 USD 39 .74 71 068 .36 0 .27Western Union Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 774 1 207 USD 18 .78 80 651 .06 0 .31

Interest-bearing securities2 .50 % Bundesrepublik Deutschland 2010/2021 . . . . . . . . EUR 327 159 143 105 278 244 % 114 .195 373 599 .22 1 .440 .10 % Deutsche Bundesrepublik Inflation Linked Bond

2015/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 656 975 656 975 % 110 .9 728 585 .25 2 .800 .375 % Deutsche Post AG (MTN) 2016/2021 . . . . . . . . . . . EUR 60 000 60 000 % 101 .606 60 963 .60 0 .234 .25 % France Government Bond OAT 2003/2019 . . . . . . . EUR 666 166 291 413 566 654 % 113 .48 755 965 .18 2 .913 .25 % France Government Bond OAT 2011/2021 . . . . . . . EUR 268 802 171 469 147 172 % 119 .173 320 339 .41 1 .231 .75 % France Government Bond OAT 2014/2024 . . . . . . . EUR 229 986 100 607 195 630 % 114 .503 263 340 .87 1 .013 .75 % Italy Buoni Poliennali Del Tesoro 2006/2016 . . . . . . EUR 471 000 205 000 401 000 % 100 .303 472 427 .13 1 .824 .00 % Italy Buoni Poliennali Del Tesoro 2007/2017 . . . . . . EUR 616 000 269 000 524 000 % 102 .443 631 048 .88 2 .434 .50 % Italy Buoni Poliennali Del Tesoro 2013/2024 . . . . . . EUR 285 000 124 000 242 000 % 125 .963 358 994 .55 1 .38




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3.50 % Netherlands Government Bond 2010/2020 . . . . . . EUR 785 124 343 450 667 841 % 116.548 915 046.32 3.524.10 % Portugal Obrigacoes do Tesouro OT 144A

2015/2045 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 31 723 13 877 26 983 % 101.805 32 295.60 0.122.75 % Spain Government Bond 144A 2014/2024 . . . . . . . EUR 295 000 186 000 163 000 % 113.835 335 813.25 1.294.20 % Spain Government Bond 2005/2037 . . . . . . . . . . . . EUR 29 000 13 000 26 000 % 137.158 39 775.82 0.152.10 % Spain Government Bond 2013/2017 . . . . . . . . . . . . EUR 741 000 324 000 631 000 % 101.943 755 397.63 2.913.75 % American International Group, Inc. 2015/2025 . . . . USD 95 000 95 000 % 102.274 87 401.91 0.344.45 % AT&T, Inc. 2016/2024 . . . . . . . . . . . . . . . . . . . . . . . USD 95 000 95 000 % 109.631 93 689.10 0.363.875 % Bank of America Corp 2015/2025 . . . . . . . . . . . . . . USD 91 000 91 000 % 106.435 87 128.04 0.346.90 % Canadian National Railway Co. 1998/2028 . . . . . . . USD 51 000 51 000 % 142.648 65 443.71 0.256.00 % ConocoPhillips 2009/2020 . . . . . . . . . . . . . . . . . . . . USD 53 000 53 000 % 113.756 54 235.33 0.212.40 % ConocoPhillips Co. 2012/2022 . . . . . . . . . . . . . . . . USD 97 000 97 000 % 98.808 86 217.60 0.333.70 % Deutsche Bank AG/London 2014/2024 . . . . . . . . . . USD 95 000 95 000 % 99.127 84 712.53 0.333.90 % Dominion Resources, Inc./VA 2015/2025 . . . . . . . . USD 93 000 93 000 % 107.262 89 734.80 0.359.00 % Energy Transfer Partners LP 2009/2019 . . . . . . . . . USD 67 000 67 000 % 112.476 67 790.17 0.264.00 % FS Investment Corp. 2014/2019 . . . . . . . . . . . . . . . USD 95 000 95 000 % 100.168 85 602.15 0.335.95 % Gap, Inc./The 2011/2021 . . . . . . . . . . . . . . . . . . . . . USD 89 000 89 000 % 105.003 84 066.66 0.324.65 % HP, Inc. 2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . USD 63 000 63 000 % 108.162 61 298.14 0.249.00 % Kinder Morgan Energy Partners LP 2008/2019 . . . . USD 80 000 80 000 % 114.294 82 251.45 0.324.15 % Magna International, Inc. 2015/2025 . . . . . . . . . . . . USD 60 000 60 000 % 109.794 59 259.77 0.233.20 % ONEOK Partners LP 2013/2018 . . . . . . . . . . . . . . . USD 92 000 92 000 % 101.397 83 916.04 0.327.00 % Pepsi Bottling Group, Inc./The 1999/2029 . . . . . . . USD 100 000 100 000 % 143.233 128 847.25 0.508.75 % Plains All American Pipeline LP 2009/2019 . . . . . . . USD 84 000 84 000 % 114.85 86 784.54 0.336.70 % Rockwell Automation, Inc. 1998/2028 . . . . . . . . . . USD 53 000 53 000 % 137.994 65 791.25 0.253.625 % Rogers Communications, Inc. 2015/2025 . . . . . . . . USD 47 000 47 000 % 107.591 45 488.95 0.173.85 % Thomson Reuters Corp. 2014/2024 . . . . . . . . . . . . USD 54 000 54 000 % 106.53 51 748.50 0.203.75 % TransCanada PipeLines Ltd 2013/2023 . . . . . . . . . . USD 72 000 72 000 % 107.79 69 814.41 0.276.625 % Union Pacific Corp. 1999/2029 . . . . . . . . . . . . . . . . USD 69 000 69 000 % 139.63 86 667.92 0.332.75 % United States Treasury Note/Bond 2010/2017 . . . . USD 524 500 603 000 78 500 % 102.037 481 432.84 1.850.625 % United States Treasury Note/Bond 2012/2017 . . . . USD 538 900 619 600 80 700 % 100.109 485 305.26 1.870.875 % United States Treasury Note/Bond 2014/2017 . . . . USD 538 600 619 300 80 700 % 100.328 486 094.95 1.870.875 % United States Treasury Note/Bond 2014/2017 . . . . USD 299 100 343 900 44 800 % 100.361 270 031.78 1.042.125 % United States Treasury Note/Bond 2014/2021 . . . . USD 263 800 303 300 39 500 % 105.078 249 355.62 0.962.00 % United States Treasury Note/Bond 2014/2021 . . . . USD 518 100 595 700 77 600 % 104.531 487 182.64 1.872.25 % United States Treasury Note/Bond 2014/2021 . . . . USD 258 300 297 000 38 700 % 105.734 245 681.62 0.941.00 % United States Treasury Note/Bond 2015/2018 . . . . USD 435 600 500 800 65 200 % 100.643 394 368.02 1.522.25 % United States Treasury Note/Bond 2015/2025 . . . . USD 246 200 283 100 36 900 % 106.742 236 404.76 0.901.375 % United States Treasury Note/Bond 2016/2021 . . . . USD 113 200 130 200 17 000 % 101.664 103 525.17 0.404.00 % Unum Group 2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 79 000 79 000 % 103.497 73 550.72 0.283.75 % Ventas Realty LP 2014/2024 . . . . . . . . . . . . . . . . . . USD 83 000 83 000 % 104.291 77 867.64 0.30

Securities admitted to or included in organized markets 239 885.75 0.92 Interest-bearing securities 3.75 % Marriott International, Inc./MD 2015/2025 . . . . . . . USD 60 000 60 000 % 106.234 57 338.57 0.226.60 % Pharmacia Corp. 2000/2028 . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 138.592 124 671.92 0.483.55 % Sempra Energy 2014/2024 . . . . . . . . . . . . . . . . . . . USD 61 000 61 000 % 105.47 57 875.26 0.22 Investment fund units 6 664 293.42 25.64 In-group fund units Concept Fund Solutions - db x-trackers Equity Low Beta Factor UCITS ETF (DR) -1C- EUR - (0.150%) . . . . . . . . . Units 4 709 4 709 EUR 22.27 104 869.43 0.40Concept Fund Solutions - db x-trackers Equity Value Factor UCITS ETF (DR) -1C- EUR - (0.150%) . . . . . . . . . . . . . Units 4 688 4 688 EUR 22.06 103 417.28 0.40db x-trackers Equity Momentum Factor UCITS ETF DR . . . . . Units 5 179 5 179 EUR 19.86 102 854.94 0.40db x-trackers II - IBOXX EUR HIGH YIELD BOND UCITS-1C- EUR - (0.250%) . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 27 072 6 847 19 101 EUR 17.29 468 074.88 1.80Deutsche Invest I SICAV - Deutsche Invest I Convertibles -FC- EUR - (0.650%) . . . . . . . . . . . . . . . . . . . . . Units 3 110 700 EUR 174.09 541 419.90 2.08db x-trackers - MSCI AC Asia ex Japan Index UCITS ETF -1C- USD - (0.450%) . . . . . . . . . . . . . . . . . . . . . . . Units 5 209 1 317 USD 32.165 150 719.69 0.58db x-trackers - MSCI EM Latam Index UCITS ETF -1C- USD - (0.450%) . . . . . . . . . . . . . . . . . . . . . . . Units 3 185 805 USD 36.065 103 330.24 0.40DWS Invest - DWS Invest Emerging Markets Corporates -E2- USD - (0.600%) . . . . . . . . . . . . . . . . Units 2 258 2 258 USD 145 294 526.25 1.13 Non-group fund units Amundi ETF Japan Topix EUR Hedged Daily UCITS EUR (hedged) - (0.480%) . . . . . . . . . . . . . . . . . . . . . . . Units 1 170 296 EUR 161.29 188 709.30 0.73Deutsche MAG FI - EUR IG Corporates -I- EUR - (0.100%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 6 287 1 400 EUR 102.3 643 160.10 2.46iShares Diversified Commodity Swap UCITS ETF (DE) EUR - (0.460%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 6 960 1 760 EUR 20.13 140 104.80 0.54iShares Edge MSCI World Size Factor UCITS ETF . . . . . . . . . Units 4 472 4 472 EUR 22.99 102 811.28 0.40iShares PLC - iShares Markit iBoxx Euro



237

Corporate Bond EUR - (0.200%) . . . . . . . . . . . . . . . . . . . . . . . Units 11 688 11 688 EUR 136.05 1 590 152.40 6.12iShares II PLC - iShares J,P, Morgan $ Emerging Markets Bond UCITS ETF USD - (0.500%) . . . . . . . . . . . . . . . Units 10 909 6 292 USD 113.25 1 111 361.17 4.28iShares PLC - iShares $ Corporate Bond UCITS ETF USD - (0.200%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 3 921 3 921 USD 117.74 415 291.40 1.60iShares V plc - iShares $ Emerging Markets Corporate Bond UCITS ETF USD - (0.500%) . . . . . . . . . . . . . Units 1 358 2 672 1 314 USD 99.6 121 672.15 0.47Neuberger Berman Investment Funds plc - Neuberger Berman High Yield Bond Fund -I- USD - (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 26 102 16 586 6 975 USD 20.52 481 818.21 1.85 Total securities portfolio 22 920 563.60 88.18 Derivatives (Minus signs denote short positions) Derivatives on individual securities 414 217.02 1.59 Warrants on securities Equity warrants Commerzbank AG 22/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . Count 2 543 2 543 EUR 26.73 67 974.39 0.26Deutsche Bank AG 29/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . Count 1 900 1 900 EUR 26.67 50 673.00 0.19DZ Bank AG Deutsche Zentral-Genossenschaftsbank 23/12/2016. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 007 9 007 EUR 25.28 227 696.96 0.88Vontobel Financial Products GmbH 23/12/2016 . . . . . . . . . . . Count 2 543 2 543 EUR 26.69 67 872.67 0.26 Equity index derivatives 273 484.87 1.05Receivables/payables Equity index futures MSCI Taiwan Index 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . Count 7 7 3 395.88 0.01S & P MINI 500 Futures 09/2016 (CME) . . . . . . . . . . . . . . . . . Count -2 -2 2 298.39 0.01DJ EURO STOXX 50 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . Count -58 -58 9 306.49 0.04Topix Index 09/2016 (OSE) . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 1 -8 716.89 -0.03 Option contracts Options on equity indices Call DJ EURO STOXX 50 06/2018 2 500 EUR (DB) . . . . . . . . Count 660 267 201.00 1.02 Interest rate derivatives 5 120.00 0.02Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . Count 2 2 5 120.00 0.02 Currency derivatives -184 759.53 -0.71Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 695.32 0.08EUR/JPY 61.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -41 671.15 -0.16EUR/USD 6.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -138 356.94 -0.53 Closed positions EUR/USD 0.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -25 426.76 -0.10 Cash at bank 2 232 080.72 8.59 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 277 329.66 1.07 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 41 851 50 584.90 0.19Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 280 822 37 745.78 0.15Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 1 761 189.07 0.00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 149 737 15 873.81 0.06 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 629 420.53 0.00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 529 61.30 0.00



238

Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 3 256 596 28 501 .40 0 .11Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 3 188 2 208 .48 0 .01Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 609 561 .87 0 .00Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 234 210 156 330 .92 0 .60U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 180 391 162 273 .00 0 .62 Time deposits EUR deposits (Norddeutsche Landesbank 0 .01% 01/07/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 500 000 .00 5 .78 Other assets 342 200.04 1.32Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 020 .67 0 .05Prepaid placement fee * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197 254 .95 0 .77Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111 734 .64 0 .43Receivables from exceeding the expense cap . . . . . . . . . . . . 19 189 .78 0 .07 Receivables from share certificate transactions 20 091.96 0.08 Total assets ** 26 237 170.42 100.94 Other liabilities -30 221.23 -0.12Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -30 221 .23 -0 .12 Total liabilities -244 392.97 -0.94 Net assets 25 992 777.45 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .19Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102 .72Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101 .61Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102 .02Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102 .43 Number of shares outstanding Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 155 194Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 945Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 511Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 79 670 Composition of the reference portfolio (according to CSSF circular 11/512)65% iBoxx EUR Overall - Constituents, 35% MSCI THE WORLD INDEX in EUR Constituents



Futures exchangesCME = Chicago Mercantile ExchangeEUR = EurexOSE = Osaka Exchange

Contracting parties for currency futuresSociété Générale and Deutsche Bank AG Frankfurt



239


As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .494856 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1 .083580 = EUR 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 7 .439826 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9 .311511 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9 .432959 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1 Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus . If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are not valued at derived market values . The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses . A plus sign means that a performance-based fee may also be charged . As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds . No initial sales charges or redemption fees were paid in the reporting period . Footnotes

* The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations) .** Does not include positions with a negative balance, if such exist .





EquitiesMondelez International, Inc . . . . . . . . . . . . . . . . . Count 1 772

Interest-bearing securities2 .25 % Devon Energy Corp . 2013/2018 . . . . USD 64 000 64 0004 .45 % DIRECTV Holdings LLC via DIRECTV

Financing Co, Inc . 2014/2024 . . . . . . USD 95 000 95 000


Non-group fund units iShares PLC - iShares Euro Corporate Bond Large Cap UCITS ETF EUR - (0 .200%) . . . . . . . . Units 4 227 19 357


Value (’000)Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), S & P MINI 500 Futures 06/2016 (CME), S&P 500) EUR 6 067 Contracts sold (Underlyings: MSCI Taiwan Index, Topix) EUR 560 Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Notes 10 year) EUR 1 305 Contracts sold (Underlying: Germany Federal Republic Notes 10 year) EUR 814 Currency futures (short) EUR/GBP EUR 309EUR/JPY EUR 154EUR/USD EUR 11 581 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 617JPY/EUR EUR 309USD/EUR EUR 11 142 Option contracts Options on equity index derivatives Options on equity indices Call options sold (Underlying: DJ Euro Stoxx 50) EUR 226


240

Securities traded on an exchange 49 009 634.54 70.90 Equities BHP Billiton Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 600 AUD 18 .65 19 961 .78 0 .03Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 563 CAD 82 .3 659 316 .46 0 .95Sun Life Financial, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 528 CAD 41 .91 712 202 .28 1 .03Suncor Energy, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 721 CAD 35 .39 606 136 .11 0 .88Novartis AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 917 CHF 79 .3 652 575 .52 0 .94Roche Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 794 CHF 253 .5 653 646 .87 0 .95Sika AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 117 CHF 4 045 436 760 .36 0 .63Allianz SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 004 EUR 126 .15 631 254 .60 0 .91Amadeus IT Holding SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 843 EUR 39 .215 385 993 .25 0 .56Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 596 EUR 116 .4 69 374 .40 0 .10Atlantia SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 192 EUR 22 .11 778 095 .12 1 .13AXA SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 354 EUR 17 .55 638 012 .70 0 .92BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 680 EUR 68 .1 659 208 .00 0 .95Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 841 EUR 168 .5 815 708 .50 1 .18Credit Agricole SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 57 916 EUR 7 .526 435 875 .82 0 .63Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 427 EUR 53 .03 499 913 .81 0 .72Deutsche Bank AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 868 EUR 12 .25 427 133 .00 0 .62Deutsche Telekom AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 48 954 EUR 15 .13 740 674 .02 1 .07Enel SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 171 877 EUR 3 .92 673 757 .84 0 .98Gas Natural SDG SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 683 EUR 17 .42 499 657 .86 0 .72Henkel AG & Co . KGaA -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 365 EUR 108 .55 908 020 .75 1 .31Koninklijke Ahold NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 48 805 EUR 19 .785 965 606 .93 1 .40Koninklijke Philips NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 318 EUR 22 .21 651 152 .78 0 .94Muenchener Rueckversicherungs AG -Reg- . . . . . . . . . . . . . . Count 4 260 EUR 148 .5 632 610 .00 0 .92Orange SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 52 634 EUR 14 .5 763 193 .00 1 .10Safran SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 144 EUR 60 .88 800 206 .72 1 .16SAP AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 652 EUR 66 .85 778 936 .20 1 .13Societe Generale SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 832 EUR 27 .97 330 941 .04 0 .48Tenaris SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 050 EUR 12 .91 581 595 .50 0 .84Total SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 997 EUR 43 .05 602 570 .85 0 .87Unilever NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 515 EUR 41 .55 810 848 .25 1 .17Wolters Kluwer NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 872 EUR 36 .505 1 090 477 .36 1 .58BP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 90 273 GBP 4 .276 466 621 .58 0 .68HSBC Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 82 767 GBP 4 .571 457 284 .96 0 .66Kingfisher Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 127 492 GBP 3 .197 492 656 .30 0 .71Legal & General Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 190 661 GBP 1 .867 430 355 .15 0 .62Old Mutual Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 292 233 GBP 1 .943 686 310 .33 0 .99Royal Dutch Shell Plc -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 250 GBP 20 .055 830 236 .30 1 .20Shire Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 716 GBP 45 .28 477 026 .07 0 .69Central Japan Railway Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 200 JPY 18 125 824 866 .54 1 .19Fuji Heavy Industries Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 600 JPY 3 478 779 241 .13 1 .13Nippon Telegraph & Telephone Corp . . . . . . . . . . . . . . . . . . . . Count 26 400 JPY 4 800 1 109 040 .72 1 .61DBS Group Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 500 SGD 15 .76 531 234 .69 0 .77Anthem, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 999 USD 130 .9 353 141 .03 0 .51Apple, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 916 USD 94 .48 672 787 .23 0 .97Archer-Daniels-Midland Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 420 USD 41 .8 805 430 .02 1 .17CF Industries Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 553 28 553 USD 23 .72 609 254 .15 0 .88Comcast Corp . -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 115 USD 64 .27 584 798 .51 0 .85CSX Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 166 USD 25 .57 509 859 .04 0 .74CVS Health Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 608 USD 94 .58 817 455 .97 1 .18Delta Air Lines, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 667 USD 35 .94 635 840 .60 0 .92Eli Lilly & Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 712 USD 77 .48 886 003 .76 1 .28FNF Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 634 USD 36 .87 684 366 .32 0 .99Ford Motor Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 709 USD 12 .301 660 712 .14 0 .96Gilead Sciences, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 768 USD 81 .75 571 253 .72 0 .83Hewlett Packard Enterprise . . . . . . . . . . . . . . . . . . . . . . . . . . Count 969 USD 17 .9 15 603 .03 0 .02HP Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 674 USD 12 .17 160 646 .46 0 .23Intel Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 953 USD 32 .16 721 889 .75 1 .05International Paper Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 592 USD 41 .01 575 206 .34 0 .83Johnson & Johnson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 529 USD 119 .24 807 590 .74 1 .17Macy‘s, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 509 USD 32 .99 460 254 .64 0 .67Micron Technology, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 104 USD 13 .32 312 783 .15 0 .45Microsoft Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 039 USD 50 .52 410 786 .15 0 .59Mosaic Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 092 USD 25 .3 252 442 .49 0 .37Pfizer, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 334 USD 34 .95 859 374 .45 1 .24Quest Diagnostics, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 276 USD 80 .01 955 528 .36 1 .38Raytheon Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 873 USD 135 .25 957 876 .66 1 .39Schlumberger Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 399 USD 78 .25 591 213 .03 0 .86TE Connectivity Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 315 USD 56 .06 671 469 .56 0 .97TJX Cos, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 812 USD 76 .37 880 180 .59 1 .27Travelers Cos, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 830 USD 117 .4 932 525 .82 1 .35US Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 290 USD 39 .74 689 591 .91 1 .00Western Union Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 781 USD 18 .78 790 309 .42 1 .14

Interest-bearing securities2 .50 % Bundesrepublik Deutschland 2010/2021 . . . . . . . . EUR 230 340 103 134 % 114 .195 263 036 .76 0 .380 .10 % Deutsche Bundesrepublik Inflation Linked Bond

2015/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 628 999 628 999 % 110 .9 697 560 .08 1 .010 .375 % Deutsche Post AG (MTN) 2016/2021 . . . . . . . . . . . EUR 185 000 185 000 % 101 .606 187 971 .10 0 .271 .00 % RTE Reseau de Transport d‘Electricite SA (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 101 .553 101 553 .00 0 .15




241

3.75 % American International Group, Inc. 2015/2025 . . . . USD 93 000 93 000 % 102.274 85 561.87 0.124.45 % AT&T, Inc. 2016/2024 . . . . . . . . . . . . . . . . . . . . . . . USD 88 000 88 000 % 109.631 86 785.69 0.133.875 % Bank of America Corp 2015/2025 . . . . . . . . . . . . . . USD 89 000 89 000 % 106.435 85 213.13 0.126.90 % Canadian National Railway Co. 1998/2028 . . . . . . . USD 67 000 67 000 % 142.648 85 975.07 0.126.00 % ConocoPhillips 2009/2020 . . . . . . . . . . . . . . . . . . . . USD 72 000 72 000 % 113.756 73 678.18 0.112.40 % ConocoPhillips Co. 2012/2022 . . . . . . . . . . . . . . . . USD 98 000 98 000 % 98.808 87 106.44 0.133.70 % Deutsche Bank AG/London 2014/2024 . . . . . . . . . . USD 91 000 91 000 % 99.127 81 145.68 0.123.90 % Dominion Resources, Inc./VA 2015/2025 . . . . . . . . USD 89 000 89 000 % 107.262 85 875.24 0.129.00 % Energy Transfer Partners LP 2009/2019 . . . . . . . . . USD 69 000 69 000 % 112.476 69 813.76 0.104.00 % FS Investment Corp. 2014/2019 . . . . . . . . . . . . . . . USD 97 000 97 000 % 100.168 87 404.30 0.135.95 % Gap, Inc./The 2011/2021 . . . . . . . . . . . . . . . . . . . . . USD 87 000 87 000 % 105.003 82 177.52 0.124.65 % HP, Inc. 2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . USD 59 000 59 000 % 108.162 57 406.20 0.089.00 % Kinder Morgan Energy Partners LP 2008/2019 . . . . USD 74 000 74 000 % 114.294 76 082.60 0.114.15 % Magna International, Inc. 2015/2025 . . . . . . . . . . . . USD 65 000 65 000 % 109.794 64 198.09 0.093.20 % ONEOK Partners LP 2013/2018 . . . . . . . . . . . . . . . USD 97 000 97 000 % 101.397 88 476.70 0.137.00 % Pepsi Bottling Group, Inc./The 1999/2029 . . . . . . . USD 100 000 100 000 % 143.233 128 847.25 0.198.75 % Plains All American Pipeline LP 2009/2019 . . . . . . . USD 74 000 74 000 % 114.85 76 453.04 0.116.70 % Rockwell Automation, Inc. 1998/2028 . . . . . . . . . . USD 69 000 69 000 % 137.994 85 652.76 0.123.625 % Rogers Communications, Inc. 2015/2025 . . . . . . . . USD 46 000 46 000 % 107.591 44 521.10 0.073.85 % Thomson Reuters Corp. 2014/2024 . . . . . . . . . . . . USD 75 000 75 000 % 106.53 71 872.91 0.103.75 % TransCanada PipeLines Ltd 2013/2023 . . . . . . . . . . USD 78 000 78 000 % 107.79 75 632.27 0.116.625 % Union Pacific Corp. 1999/2029 . . . . . . . . . . . . . . . . USD 68 000 68 000 % 139.63 85 411.86 0.121.375 % United States Treasury Note/Bond 2016/2021 . . . . USD 24 600 97 100 72 500 % 101.664 22 497.52 0.034.00 % Unum Group 2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 74 000 74 000 % 103.497 68 895.61 0.103.75 % Ventas Realty LP 2014/2024 . . . . . . . . . . . . . . . . . . USD 75 000 75 000 % 104.291 70 362.32 0.10

Securities admitted to or included in organized markets 239 885.75 0.35 Interest-bearing securities 3.75% Marriott International, Inc./MD 2015/2025 . . . . . . . . . USD 60 000 60 000 % 106.234 57 338.57 0.086.60% Pharmacia Corp. 2000/2028 . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 138.592 124 671.92 0.183.55% Sempra Energy 2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 61 000 61 000 % 105.47 57 875.26 0.09 Investment fund units 13 688 909.89 19.81

In-group fund unitsConcept Fund Solutions - db x-trackers Equity Low Beta Factor UCITS ETF (DR) -1C- EUR - (0.150%) . . . . . . . . . Units 31 416 31 416 EUR 22.27 699 634.32 1.01Concept Fund Solutions - db x-trackers Equity Value Factor UCITS ETF (DR) -1C- EUR - (0.150%) . . . . . . . . Units 31 106 31 106 EUR 22.06 686 198.36 0.99db x-trackers Equity Momentum Factor UCITS ETF DR . . . . . Units 34 498 34 498 EUR 19.86 685 130.28 0.99Deutsche Invest I - Multi Asset Balance -FC- EUR - (0.650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 13 000 EUR 109.09 1 418 170.00 2.05Deutsche Invest I SICAV - Deutsche Invest I Convertibles -FC- EUR - (0.650%) . . . . . . . . . . . . . . . . . . . . . . Units 8 002 EUR 174.09 1 393 068.18 2.02Deutsche Invest II - Europe Stability -LC- EUR - (1.500%) . . . Units 2 746 EUR 132.54 363 954.84 0.53DWS European Opportunities EUR - (1.400%) . . . . . . . . . . . . Units 7 318 EUR 251.18 1 838 135.24 2.66DWS Invest - DWS Invest Euro High Yield Corporates -FC- EUR - (0.650%) . . . . . . . . . . . . . . . . . . . . . . . Units 5 458 4 042 EUR 136.76 746 436.08 1.08db x-trackers - MSCI EM Latam Index UCITS ETF -1C- USD - (0.450%) . . . . . . . . . . . . . . . . . . . . . . . Units 3 197 USD 36.065 103 719.56 0.15DWS Invest - DWS Invest Emerging Markets Corporates -E2- USD - (0.600%) . . . . . . . . . . . . . . . . . . . . . . . Units 8 720 8 720 USD 145 1 137 408.72 1.65

Non-group fund unitsAmundi ETF Japan Topix EUR Hedged Daily UCITS EUR (hedged) - (0.480%) . . . . . . . . . . . . . . . . . . . . . . . Units 2 079 2 921 EUR 161.29 335 321.91 0.48Deutsche MAG FI - EUR IG Corporates -I- EUR - (0.100%) . . Units 1 214 EUR 102.3 124 192.20 0.18GAM Star Fund plc - Cat Bond -Inst- EUR - (0.950%) . . . . . . . Units 0 EUR 12.933 2.07 0.00Gamax Funds FCP - Asia Pacific -A- EUR - (1.500%) . . . . . . . Units 15 000 EUR 15.11 226 650.00 0.33iShares Diversified Commodity Swap UCITS ETF (DE) EUR - (0.460%) . . . . . . . . . . . . . . . . . . . . . . . Units 10 403 EUR 20.13 209 412.39 0.30iShares Edge MSCI World Size Factor UCITS ETF . . . . . . . . . Units 29 616 29 616 EUR 22.99 680 871.84 0.99iShares PLC - iShares Markit iBoxx Euro Corporate Bond EUR - (0.200%) . . . . . . . . . . . . . . . . . . . . . . . Units 4 710 4 710 EUR 136.05 640 795.50 0.93iShares II PLC - iShares J,P, Morgan $ Emerging Markets Bond UCITS ETF USD - (0.500%) . . . . . . . . . . . . . . . Units 22 368 14 677 USD 113.25 2 278 753.93 3.30Neuberger Berman Investment Funds plc - Neuberger Berman High Yield Bond Fund -I- USD - (0.600%) Units 6 558 USD 20.52 121 054.47 0.17

Total securities portfolio 62 938 430.18 91.06 Derivatives (Minus signs denote short positions) Derivatives on individual securities 3 307 518.72 4.79 Warrants on securities



242

Equity warrants Commerzbank AG 22/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . Count 23 500 23 500 EUR 26 .92 632 620 .00 0 .92Deutsche Bank AG 29/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . Count 23 500 23 500 EUR 26 .91 632 385 .00 0 .92DZ Bank AG Deutsche Zentral-Genossenschaftsbank . . . . . . 23/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 799 55 799 EUR 25 .28 1 410 598 .72 2 .04Goldman Sachs & Co Wertpapier GmbH 21/12/2016 . . . . . . . Count 23 500 23 500 EUR 26 .89 631 915 .00 0 .91 Equity index derivatives 1 816 567.22 2.63Receivables/payables Equity index futures S & P MINI 500 Futures 09/2016 (CME) . . . . . . . . . . . . . . . . . Count -28 -28 32 114 .44 0 .05DJ EURO STOXX 50 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . Count -607 -607 245 170 .01 0 .35Topix Index 09/2016 (OSE) . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 17 -147 443 .25 -0 .21Dax Index 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 1 -3 275 .00 0 .00MSCI Asia ex Japan 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . Count 87 87 42 261 .52 0 .06 Option contracts Options on equity indices Call DJ EURO STOXX 50 06/2018 2 500 EUR (DB) . . . . . . . . 4070 1 647 739 .50 2 .38 Interest rate derivatives -24 797.60 -0.04Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . Count -4 -4 -24 797 .60 -0 .04 Currency derivatives -142 118.91 -0.21Receivables/payables Currency futures Currency futures (short) Open positions EUR/CAD 2 .8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -42 354 .68 -0 .06EUR/GBP 3 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167 705 .07 0 .24EUR/JPY 343 .3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -231 328 .82 -0 .33 Closed positions Cash at bank 1 230 186.75 1.78 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 581 598 .29 0 .84 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 70 020 84 633 .32 0 .12Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 6 466 869 .16 0 .00Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 3 761 403 .95 0 .00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 255 27 .03 0 .00 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 1 0 .52 0 .00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 10 747 1 246 .06 0 .00Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 32 411 470 283 661 .93 0 .41Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 12 662 8 772 .65 0 .01Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 9 975 9 206 .03 0 .01Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 23 506 15 689 .79 0 .02U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 271 329 244 078 .02 0 .35 Other assets 104 027.73 0.15Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74 326 .59 0 .11Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 701 .14 0 .04 Receivables from share certificate transactions 451.44 0.00 Total assets * 69 715 605.36 100.85 Other liabilities -90 071.23 -0.13Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -90 071 .23 -0 .13 Liabilities from share certificate transactions -20 465.22 -0.03 Total liabilities -595 876.28 -0.85 Net assets 69 119 729.08 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .



243



Net asset value per share Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104 .58Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 91 .06Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 .65 Number of shares outstanding Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 759Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 751 305Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 021 Composition of the reference portfolio (according to CSSF circular 11/512)75% MSCI THE WORLD INDEX in EUR Constituents, 25% iBoxx EUR Overall - Constituents



Futures exchangesCME = Chicago Mercantile ExchangeEUR = EurexOSE = Osaka Exchange

Contracting party for derivatives (with the exception of currency futures)DB = Deutsche Bank AG

Contracting parties for currency futuresDeutsche Bank AG Frankfurt, JP Morgan Securities PLC and Société Générale Exchange rates (indirect quotes)

As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .494856 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1 .083580 = EUR 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 7 .439826 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9 .311511 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9 .432959 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1 Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus . If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are not valued at derived market values . The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses . A plus sign means that a performance-based fee may also be charged . As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds . No initial sales charges or redemption fees were paid in the reporting period . Footnote


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EquitiesMondelez International, Inc. . . . . . . . . . . . . . . . . Count 23 063

Interest-bearing securities4.25 % France Government Bond OAT

2003/2019 . . . . . . . . . . . . . . . . . . . . . EUR 687 7903.25 % France Government Bond OAT

2011/2021 . . . . . . . . . . . . . . . . . . . . . EUR 125 0531.75 % France Government Bond OAT

2014/2024 . . . . . . . . . . . . . . . . . . . . . EUR 236 2113.75 % Italy Buoni Poliennali Del Tesoro



2013/2024 . . . . . . . . . . . . . . . . . . . . . EUR 146 0003.50 % Netherlands Government Bond

2010/2020 . . . . . . . . . . . . . . . . . . . . . EUR 805 8964.10 % Portugal Obrigacoes

do Tesouro OT 144A 2015/2045 . . . . EUR 194 5272.75 % Spain Government Bond 144A

2014/2024 . . . . . . . . . . . . . . . . . . . . . EUR 361 0004.20 % Spain Government Bond 2005/2037 . EUR 181 0002.10 % Spain Government Bond 2013/2017 . EUR 445 0002.25 % Devon Energy Corp. 2013/2018 . . . . USD 87 000 87 0004.45 % DIRECTV Holdings LLC via DIRECTV

Financing Co, Inc. 2014/2024 . . . . . . USD 88 000 88 0002.75 % United States Treasury Note/Bond









2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 208 500 208 500

Non-group fund units iShares V plc - iShares $ Emerging Markets Corporate Bond UCITS ETF USD - (0.500%) . . . Units 10 730 10 730 Investment fund units In-group fund units db x-trackers - MSCI AC Asia ex Japan Index UCITS ETF -1C- USD - (0.450%) . . . . . . . . . . . . . Units 66 593 db x-trackers - S&P 500 ETF -1C- USD - (0.050%) Units 82 468 db x-trackers - STOXX EUROPE 600 UCITS ETF (DR) -1C- EUR - (0.100%) . . . . . . . . . Units 10 763 db x-trackers II - iBOXX € Sovereigns Eurozone 3-5 Total Return Index ETF -1C- EUR - (0.050%) Units 9 020 db x-trackers II - IBOXX EUR HIGH YIELD BOND UCITS-1C- EUR - (0.250%) . . . . . . . . . . . Units 5 212 Non-group fund units iShares PLC - iShares Core MSCI Emerging Markets IMI UCITS ETF USD - (0.250%) . . . . . . Units 83 433 83 433 iShares PLC - iShares Euro Corporate Bond arge Cap UCITS ETF EUR - (0.200%) . . . . . . . . . Units 14 774 iShares STOXX Europe 600 UCITS ETF (DE) EUR - (0.200%) . . . . . . . . . . . . . Units 20 658 iShares VII plc - iShares FTSE 100 UCITS ETF (Acc) GBP - (0.090%) . . . . . . . . . . . . Units 7 000 7 000


Value (’000)Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), S & P MINI 500 Futures 06/2016 (CME), S&P 500) EUR 38 265 Contracts sold (Underlyings: Dax Index, MSCI Taiwan Index, Topix) EUR 14 683 Interest rate futures Contracts purchased (Underlying: Germany Federal Republic Notes 10 year) EUR 980 Contracts sold (Underlying: Germany Federal Republic Notes 10 year) EUR 1 628 Currency futures (short) Futures contracts to sell currencies EUR/CAD EUR 116EUR/GBP EUR 649EUR/JPY EUR 206EUR/USD EUR 4 346 Currency futures (long) Futures contracts to purchase currencies CAD/EUR EUR 233GBP/EUR EUR 644JPY/EUR EUR 415USD/EUR EUR 3 681 Option contracts Options on equity index derivatives Options on equity indices Call options sold (Underlying: DJ Euro Stoxx 50) EUR 1 394

245

Securities traded on an exchange 67 077 504.78 75.58 Equities Caltex Australia Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 733 2 733 AUD 31 .9 58 321 .79 0 .07CSL Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 750 655 AUD 112 .18 356 458 .99 0 .40Dexus Property Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 701 9 701 AUD 9 .02 58 536 .07 0 .07Macquarie Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 045 420 AUD 68 .9 140 348 .26 0 .16Scentre Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 633 53 633 AUD 4 .92 176 521 .54 0 .20Wesfarmers Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 525 17 525 AUD 40 .1 470 113 .72 0 .53Woodside Petroleum Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 786 4 999 33 434 AUD 26 .84 50 022 .36 0 .06Bank of Nova Scotia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 184 1 184 CAD 63 .3 51 925 .30 0 .06Canadian Imperial Bank of Commerce . . . . . . . . . . . . . . . . . . Count 7 963 1 098 CAD 97 .2 536 249 .06 0 .60Canadian Natural Resources Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 10 926 1 508 CAD 39 .36 297 947 .57 0 .34Canadian Tire Corp ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 725 725 CAD 141 .1 70 874 .27 0 .08Dollarama Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 246 172 CAD 90 .73 78 323 .58 0 .09Magna International, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 131 570 CAD 45 .12 129 136 .15 0 .15Metro, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 526 348 CAD 45 .04 78 823 .42 0 .09PrairieSky Royalty Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 218 218 CAD 24 .03 3 629 .39 0 .00ABB Ltd -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 758 32 758 CHF 19 .04 575 603 .13 0 .65Actelion Ltd -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 001 138 CHF 162 .8 150 392 .89 0 .17Kuehne + Nagel International AG . . . . . . . . . . . . . . . . . . . . . . Count 1 849 1 849 CHF 135 .2 230 702 .57 0 .26Nestle SA -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 537 350 CHF 75 175 598 .40 0 .20Partners Group Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 161 161 CHF 415 .25 61 698 .46 0 .07Sika AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 3 CHF 4 045 82 125 .88 0 .09Swiss Life Holding AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 326 45 CHF 222 .4 66 910 .03 0 .08Swiss Re Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 973 1 100 1 003 CHF 84 540 552 .37 0 .61UBS Group AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 443 5 117 2 629 CHF 12 .63 401 460 .80 0 .45Novo Nordisk A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 748 1 894 3 976 DKK 355 .3 465 530 .27 0 .52Allianz SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 430 611 EUR 126 .15 558 844 .50 0 .63AtoS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 882 882 EUR 74 .58 65 779 .56 0 .07Boskalis Westminster NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 814 1 078 EUR 30 .94 241 765 .16 0 .27Cie Generale des Etablissements Michelin . . . . . . . . . . . . . . . Count 4 866 4 866 EUR 85 .36 415 361 .76 0 .47Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 112 153 EUR 168 .5 187 372 .00 0 .21Deutsche Wohnen AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 966 409 EUR 30 .4 90 166 .40 0 .10Galp Energia SGPS SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 621 4 621 EUR 12 .29 56 792 .09 0 .06Gecina SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 348 348 EUR 122 .4 42 595 .20 0 .05Groupe Bruxelles Lambert SA . . . . . . . . . . . . . . . . . . . . . . . . . Count 824 114 EUR 72 .94 60 102 .56 0 .07KBC Groep NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 415 333 EUR 43 .59 105 269 .85 0 .12Kone Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 596 496 EUR 40 .87 146 968 .52 0 .17Koninklijke Ahold NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 380 5 104 28 599 EUR 19 .785 165 798 .30 0 .19ProSiebenSat .1 Media AG . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 878 1 981 8 476 EUR 38 .755 227 801 .89 0 .26Publicis Groupe SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 902 1 902 EUR 60 .53 115 128 .06 0 .13Red Electrica Corp . SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 017 1 206 2 722 EUR 79 .29 477 087 .93 0 .54Renault SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 940 1 940 EUR 68 .03 131 978 .20 0 .15Scor SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 143 1 400 EUR 26 .585 269 651 .66 0 .30Societe Generale SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 235 998 EUR 27 .97 202 362 .95 0 .23Total SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 588 11 588 EUR 43 .05 498 863 .40 0 .56TUI AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 375 4 375 EUR 10 .15 44 406 .25 0 .05Unilever NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 796 2 180 EUR 41 .55 656 323 .80 0 .74UPM-Kymmene Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 898 4 231 2 761 EUR 16 .33 455 574 .34 0 .51Valeo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 184 2 184 EUR 40 .085 87 545 .64 0 .103i Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 811 9 811 GBP 5 .37 63 680 .44 0 .07Admiral Group PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 065 5 065 GBP 19 .81 121 278 .10 0 .14Barratt Developments Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 098 1 394 GBP 3 .969 48 443 .43 0 .05Berkeley Group Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 307 1 307 GBP 24 .83 39 225 .71 0 .04BP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 99 072 99 072 GBP 4 .276 512 103 .67 0 .58Carnival Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 902 1 902 GBP 32 .63 75 014 .65 0 .08Direct Line Insurance Group PLC . . . . . . . . . . . . . . . . . . . . . . Count 94 568 15 792 19 819 GBP 3 .428 391 835 .24 0 .44Hammerson Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 973 1 100 GBP 5 .17 49 823 .10 0 .06International Consolidated Airlines Group SA . . . . . . . . . . . . . Count 8 099 8 099 GBP 3 .665 35 877 .64 0 .04Meggitt Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 66 913 66 913 GBP 4 .065 328 768 .00 0 .37Mondi PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 718 513 GBP 13 .67 61 432 .24 0 .07National Grid Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 946 22 946 GBP 10 .765 298 565 .42 0 .34Persimmon Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 460 3 645 8 953 GBP 14 .11 297 776 .03 0 .34Rio Tinto Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 360 2 947 GBP 22 .565 582 579 .32 0 .66Royal Mail Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 028 9 028 GBP 4 .904 53 513 .14 0 .06Taylor Wimpey Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 055 4 562 GBP 1 .304 52 098 .26 0 .06Unilever Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 743 1 553 5 511 GBP 34 .99 242 885 .30 0 .27Cheung Kong Infrastructure Holdings Ltd . . . . . . . . . . . . . . . . Count 56 273 7 000 HKD 66 .55 434 190 .22 0 .49HKT Trust & HKT Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 228 484 228 484 HKD 11 .2 296 691 .93 0 .33Link REIT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 056 3 000 HKD 52 .8 141 139 .90 0 .16Chubu Electric Power Co ., Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 500 6 500 JPY 1 448 .5 82 401 .32 0 .09Daiichi Sankyo Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 400 5 100 30 700 JPY 2 473 .5 138 546 .07 0 .16Daiwa House Industry Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 800 JPY 2 982 156 588 .99 0 .18ITOCHU Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 44 200 8 200 15 000 JPY 1 239 .5 479 480 .70 0 .54Japan Tobacco, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 100 1 500 JPY 4 103 398 590 .39 0 .45KDDI Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 400 14 400 JPY 3 113 392 323 .15 0 .44Nippon Telegraph & Telephone Corp . . . . . . . . . . . . . . . . . . . . Count 7 000 7 000 JPY 4 800 294 063 .83 0 .33NTT DOCOMO, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 800 4 800 8 700 JPY 2 766 .5 624 672 .96 0 .70Otsuka Holdings Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 900 500 JPY 4 719 161 070 .84 0 .18Tohoku Electric Power Co, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 600 4 600 JPY 1 287 51 813 .00 0 .06Yara International ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 161 2 240 2 075 NOK 263 .4 400 580 .25 0 .45Husqvarna AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 966 35 966 SEK 62 .5 238 300 .10 0 .27




246

Skanska AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 208 24 208 SEK 174 .2 447 053 .12 0 .50AbbVie, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 963 11 963 USD 61 .42 660 970 .36 0 .74AES Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 799 938 USD 12 .02 73 515 .95 0 .08Altria Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 177 1 818 USD 67 .9 804 856 .37 0 .91Amgen, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 555 652 1 170 USD 149 .98 479 628 .54 0 .54Apple, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 408 884 USD 94 .48 544 621 .09 0 .61Archer-Daniels-Midland Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 001 6 001 USD 41 .8 225 648 .25 0 .25AT&T, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 164 15 164 USD 42 .62 581 378 .93 0 .65Best Buy Co ., Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 115 3 115 USD 30 .27 84 820 .83 0 .10Boeing Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 977 711 1 178 USD 128 .02 458 000 .00 0 .52Bunge Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 432 1 432 USD 58 .92 75 899 .31 0 .09CA, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 924 1 924 USD 32 .24 55 799 .74 0 .06Capital One Financial Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 422 610 USD 61 .63 245 156 .25 0 .28Cisco Systems, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 734 13 607 USD 28 .21 932 187 .71 1 .05CIT Group Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 759 243 USD 30 .87 48 846 .62 0 .05Coca-Cola European Partners Plc . . . . . . . . . . . . . . . . . . . . . . Count 2 249 2 249 USD 35 .29 71 395 .88 0 .08Cummins, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 660 1 660 USD 109 .72 163 842 .27 0 .18Delta Air Lines, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 987 1 987 USD 35 .94 64 240 .37 0 .07Discover Financial Services . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 495 620 USD 52 .35 211 679 .33 0 .24Dow Chemical Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 471 1 997 USD 49 .32 642 027 .57 0 .72Dr Pepper Snapple Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 938 267 USD 94 .72 165 130 .59 0 .19Edison International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 277 3 277 USD 76 .01 224 067 .69 0 .25Emerson Electric Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 252 2 161 3 407 USD 50 .8 559 890 .07 0 .63Everest Re Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 452 62 USD 176 .08 71 594 .64 0 .08Exxon Mobil Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 706 787 USD 92 .53 474 948 .36 0 .53Fifth Third Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 244 1 137 USD 17 .18 127 406 .98 0 .14Foot Locker, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 395 192 USD 54 .96 68 968 .85 0 .08GameStop Corp . -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 730 1 343 USD 26 .22 229 497 .31 0 .26Gap, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 559 353 USD 20 .72 47 697 .11 0 .05General Motors Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 543 17 543 USD 27 .79 438 555 .41 0 .49Gilead Sciences, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 874 948 USD 81 .75 505 509 .54 0 .57Goodyear Tire & Rubber Co . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 738 378 USD 25 .46 62 708 .14 0 .07Helmerich & Payne, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 740 1 351 1 046 USD 65 .19 512 536 .12 0 .58HollyFrontier Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 747 1 747 USD 22 .92 36 019 .66 0 .04Hormel Foods Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 946 1 676 USD 35 .59 94 317 .61 0 .11HP Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 444 2 545 USD 12 .17 201 919 .27 0 .23Ingevity Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 227 227 USD 34 .2 6 983 .68 0 .01Intel Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 533 3 109 USD 32 .16 651 879 .20 0 .73International Business Machines Corp . . . . . . . . . . . . . . . . . . . Count 4 653 4 653 USD 148 .85 623 037 .17 0 .70Johnson & Johnson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 151 9 792 USD 119 .24 1 732 421 .05 1 .95JPMorgan Chase & Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 332 1 526 1 725 USD 61 .29 514 513 .08 0 .58Kroger Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 157 1 264 USD 36 .33 299 261 .38 0 .34Las Vegas Sands Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 906 1 505 USD 43 .08 422 642 .59 0 .48Lear Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 792 109 USD 102 .09 72 734 .50 0 .08LyondellBasell Industries NV . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 005 1 104 USD 73 .37 528 338 .09 0 .60Marathon Petroleum Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 519 761 USD 36 .18 179 622 .62 0 .20Murphy Oil Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 087 2 120 1 278 USD 31 .17 394 991 .17 0 .44National Oilwell Varco, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 849 2 660 2 428 USD 32 .65 494 868 .01 0 .56Northrop Grumman Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 882 260 USD 218 .34 369 645 .13 0 .42NVIDIA Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 486 757 USD 46 .69 230 415 .53 0 .26Packaging Corporation of America . . . . . . . . . . . . . . . . . . . . . Count 5 355 5 355 USD 65 .94 317 643 .87 0 .36PepsiCo, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 616 775 USD 104 .36 527 221 .65 0 .59Pfizer, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 145 3 055 USD 34 .95 696 233 .52 0 .78Philip Morris International, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 809 1 216 USD 99 .18 785 928 .03 0 .89Phillips 66 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 647 779 USD 77 .82 395 312 .99 0 .45Progressive Corp/The . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 964 823 USD 32 .83 176 132 .94 0 .20Public Service Enterprise Group, Inc . . . . . . . . . . . . . . . . . . . . Count 5 321 5 321 USD 45 .34 217 023 .54 0 .24Quest Diagnostics, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 448 1 448 USD 80 .01 104 218 .52 0 .12Raytheon Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 102 428 USD 135 .25 377 408 .03 0 .42Seagate Technology Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 892 2 745 USD 23 .44 419 438 .34 0 .47Southwest Airlines Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 696 234 USD 38 .71 59 058 .32 0 .07SunTrust Banks, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 442 2 442 USD 40 .32 88 572 .37 0 .10Target Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 888 5 888 USD 69 .91 370 287 .60 0 .42Tesoro Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 271 175 USD 73 .52 84 058 .79 0 .09Texas Instruments, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 767 1 458 1 800 USD 61 .46 484 702 .91 0 .55Travelers Cos, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 236 446 USD 117 .4 341 750 .12 0 .38Tyson Foods, Inc . -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 932 404 USD 65 .1 171 702 .66 0 .19United Therapeutics Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 471 65 USD 103 .69 43 932 .90 0 .05UnitedHealth Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 150 891 2 307 USD 140 .28 523 691 .98 0 .59Valero Energy Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 140 709 USD 50 .32 232 667 .55 0 .26Wal-Mart Stores, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 391 8 391 USD 72 .61 548 077 .82 0 .62Western Digital Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 265 312 USD 45 .19 92 075 .19 0 .10Western Union Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 281 5 321 11 273 USD 18 .78 460 880 .08 0 .52

CertificatesSociete Generale Effekten GmbH - Basket ExpressMulti 2019/08 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 EUR 79 .83 159 660 .00 0 .18



247

Interest-bearing securities 10.00 % Brazil Notas do Tesouro Nacional Serie F

2010/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 78 000 % 930.801 203 402.63 0.23 9.125 % Agrokor dd 2012/2020 . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 % 106.598 106 598.00 0.12 0.00 % America Movil SAB de CV 2015/2020 . . . . . . . . . . EUR 600 000 600 000 % 98.575 591 450.00 0.67 1.75 % Anglo American Capital Plc (MTN) 2014/2018 . . . . EUR 200 000 % 99.096 198 192.00 0.22 1.75 % Anglo American Capital Plc 2013/2017 . . . . . . . . . . EUR 200 000 % 99.571 199 142.00 0.22 2.75 % Bankinter SA (MTN) 2013/2016 . . . . . . . . . . . . . . . EUR 100 000 % 100.176 100 176.00 0.11 3.00 % Banque Federative du Credit Mutuel SA (MTN)

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 156 000 % 106.731 166 500.36 0.19 0.60 % Deutsche Post AG 2012/2019 . . . . . . . . . . . . . . . . . EUR 300 000 300 000 % 131.63 394 890.00 0.44 0.00 % Fresenius SE & Co. KGaA 2014/2019 . . . . . . . . . . . EUR 100 000 100 000 % 137.765 137 765.00 0.15 3.755 % Gazprom OAO (MTN) -Reg- 2012/2017 . . . . . . . . . EUR 150 000 % 101.81 152 715.00 0.17 2.75 % Glencore Finance Europe SA (MTN) 2014/2021 . . . EUR 600 000 % 98.036 588 216.00 0.66 3.25 % Hera SpA (MTN) 2013/2021 . . . . . . . . . . . . . . . . . . EUR 300 000 % 114.99 344 970.00 0.39 0.25 % International Consolidated Airlines Group SA

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 88.382 88 382.00 0.10 4.375 % Intesa Sanpaolo SpA 2012/2019 . . . . . . . . . . . . . . . EUR 300 000 % 111.677 335 031.00 0.38 2.375 % IPIC GMTN Ltd 2012/2018 . . . . . . . . . . . . . . . . . . . EUR 150 000 % 104.26 156 390.00 0.18 2.75 % JPMorgan Chase & Co. (MTN) 2012/2022 . . . . . . EUR 100 000 % 112.754 112 754.00 0.13 1.875 % Orange SA (MTN) 2013/2018 . . . . . . . . . . . . . . . . . EUR 300 000 % 104.213 312 639.00 0.35 4.25 % Spain Government Bond 2011/2016 . . . . . . . . . . . . EUR 1 000 000 % 101.468 1 014 680.00 1.14 1.25 % Steinhoff Finance Holdings GmbH 2016/2023 . . . . EUR 200 000 200 000 % 96.75 193 500.00 0.22 0.00 % Unibail-Rodamco SE 2014/2021 . . . . . . . . . . . . . . . EUR 36 600 36 600 % 318.04 116 402.64 0.13 2.625 % Wells Fargo & Co. (MTN) 2012/2022 . . . . . . . . . . . EUR 250 000 % 111.924 279 810.00 0.32 0.43 % WPP Finance 2013 (MTN) 2015/2018 . . . . . . . . . . . EUR 400 000 % 100.382 401 528.00 0.45 0.00 % British Land Company Plc 2015/2020 . . . . . . . . . . . GBP 100 000 100 000 % 92.336 111 607.12 0.13 0.00 % Asics Corp. 2014/2019 . . . . . . . . . . . . . . . . . . . . . . JPY 20 000 000 20 000 000 % 104.722 183 302.41 0.21 0.00 % Suzuki Motor Corp. 2016/2023 . . . . . . . . . . . . . . . . JPY 10 000 000 10 000 000 % 104.575 91 522.99 0.10 0.00 % Terumo Corp. 2014/2021 . . . . . . . . . . . . . . . . . . . . JPY 30 000 000 30 000 000 % 127.102 333 716.50 0.38 0.00 % Unicharm Corp 2015/2020 . . . . . . . . . . . . . . . . . . . JPY 30 000 000 30 000 000 % 115.9 304 303.55 0.34 1.85 % CapitaLand Ltd 2013/2020 . . . . . . . . . . . . . . . . . . . SGD 250 000 250 000 % 95.375 159 152.48 0.18 7.375 % AES Corp. 2012/2021 . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 112.75 101 425.84 0.11 5.87 % Alcoa Inc 2007/2022 . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 104.933 94 393.95 0.11 5.75 % Banco Nacional de Desenvolvimento Economico

e Social -Reg- 2013/2023 . . . . . . . . . . . . . . . . . . . . USD 200 000 % 101.318 182 284.05 0.21 5.125 % Berry Plastics Corp 2015/2023 . . . . . . . . . . . . . . . . USD 100 000 % 100.002 89 958.65 0.10 5.95 % Bolivian Government International Bond

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 214 000 % 116.956 225 148.13 0.25 6.875 % Boyd Gaming Corp 2015/2023 . . . . . . . . . . . . . . . . USD 100 000 % 107.17 96 406.27 0.11 5.875 % Brazilian Government International Bond

2009/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 109.425 98 434.79 0.11 5.625 % Brazilian Government International Bond

2009/2041 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 95.995 86 353.65 0.10 2.625 % Brazilian Government International Bond

2012/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 90.993 163 708.05 0.18 7.875 % Case New Holland Industrial Inc 2011/2017 . . . . . . USD 100 000 % 107.062 96 308.67 0.11 3.625 % Chile Government International Bond 2012/2042 . . USD 198 000 % 102.25 182 121.23 0.20 11.75 % Colombia Government International Bond

2000/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 152 000 58 000 % 132.248 180 827.62 0.20 2.625 % Colombia Government International Bond

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 96.78 174 119.61 0.20 3.20 % ConAgra Foods, Inc.2013/2023 . . . . . . . . . . . . . . . . USD 71 000 % 103.495 66 101.27 0.07 7.00 % Concho Resources Inc 2010/2021 . . . . . . . . . . . . . USD 100 000 % 103.88 93 446.26 0.11 5.625 % Corp Nacional del Cobre de Chile -Reg- 2005/2035 USD 100 000 100 000 % 110.274 99 198.52 0.11 4.25 % Costa Rica Government International Bond

2012/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 % 95.8 344 712.92 0.39 6.75 % Cott Beverages Inc 2015/2020 . . . . . . . . . . . . . . . . USD 100 000 % 104.5 94 004.44 0.11 5.50 % Croatia Government International Bond -Reg-

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 106.137 190 954.05 0.21 7.625 % CSC Holdings LLC 1998/2018 . . . . . . . . . . . . . . . . . USD 100 000 % 107.866 97 032.82 0.11 2.50 % DCP Midstream Operating LP 2012/2017. . . . . . . . USD 100 000 % 98.438 88 550.83 0.10 4.125 % Development Bank of Kazakhstan JSC 2012/2022 . USD 214 000 % 95.906 184 625.47 0.21 5.50 % Dominican Republic International Bond -Reg-


2010/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 111.022 99 871.84 0.11 5.875 % Dominican Republic International Bond -Reg-

2013/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 104.606 94 099.79 0.11 1.75 % DP World Ltd 2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 98.05 176 403.60 0.20 7.75 % El Salvador Government International Bond -Reg-

2002/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 222 000 % 100.4 200 502.02 0.23 7.375 % El Salvador Government International Bond -Reg-

2009/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 280 000 % 101.595 255 895.37 0.29 5.875 % El Salvador Government International Bond -Reg-

2012/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 130 000 % 87.688 102 545.26 0.12 5.75 % Eskom Holdings SOC Ltd -Reg- 2011/2021 . . . . . . USD 461 000 % 98.702 409 316.21 0.46 5.875 % Export Credit Bank of Turkey -Reg- 2012/2019 . . . USD 200 000 200 000 % 106.189 191 047.60 0.22 4.00 % Export-Import Bank of India (MTN) -Reg-

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 105.379 189 590.31 0.21 6.375 % Gabon Government International Bond -Reg-

2013/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 86.316 155 293.53 0.17 6.375 % Gabonese Republic -Reg- 2013/2024 . . . . . . . . . . . USD 200 000 % 86.316 155 293.53 0.17



248

8.125 % Ghana Government International Bond -Reg- 2014/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 250 000 250 000 % 85.987 193 377.02 0.22

3.75 % Hewlett-Packard Co. 2010/2020 . . . . . . . . . . . . . . . USD 67 000 % 106.145 63 974.43 0.07 5.375 % Hungary Government International Bond 2

014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 228 000 % 111.91 229 528.07 0.26 4.875 % Huntsman International LLC 2013/2020 . . . . . . . . . USD 100 000 % 100.75 90 631.07 0.10 11.625 % Indonesia Government International Bond -Reg-

2009/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 107 000 % 123.788 119 150.09 0.13 3.75 % Indonesia Government International Bond -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 103.61 186 407.65 0.21 5.25 % Indonesia Government International Bond -Reg-

2012/2042 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 348 000 % 106.706 334 041.29 0.38 1.80 % Ingredion, Inc. 2012/2017 . . . . . . . . . . . . . . . . . . . . USD 71 000 % 100.519 64 200.52 0.07 6.95 % Instituto Costarricense de Electricidad -Reg-

2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 103.892 186 915.01 0.21 5.75 % Ivory Coast Government International Bond -Reg-

2010/2032 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 198 000 100 000 2 000 % 93.285 166 153.34 0.19 8.00 % Jamaica Government International Bond

2008/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 108.5 97 602.69 0.11 4.625 % KazAgro National Management Holding JSC

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 91.688 164 958.45 0.19 9.125 % KazMunayGas National Co. JSC (MTN) 2008/2018 USD 100 000 % 110.952 99 808.42 0.11 7.00 % KazMunayGas National Co. JSC -Reg- 2010/2020 . USD 300 000 100 000 % 110.266 297 573.97 0.34 4.40 % KazMunayGas National Co., JSC -Reg- 2013/2023 . USD 210 000 % 98.181 185 472.20 0.21 6.875 % Kenya Government International Bond -Reg-

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 214 000 % 92.963 178 960.00 0.20 0.00 % LVMH Moet Hennessy Louis Vuitton SE

Zero Coupon 2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 46 600 46 600 % 249.85 104 736.33 0.12 6.75 % Mexico Government International Bond (MTN)

2004/2034 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 135 000 % 134.415 163 235.11 0.18 4.75 % Mexico Government International Bond (MTN)

2012/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 142 000 % 107.158 136 881.58 0.15 6.25 % MFB Magyar Fejlesztesi Bank Zrt 2013/2020 . . . . . USD 200 000 200 000 % 110.738 199 230.94 0.22 5.25 % Namibia International Bonds 2015/2025 . . . . . . . . . USD 200 000 200 000 % 102.03 183 565.03 0.21 7.625 % NRG Energy Inc 2011/2018 . . . . . . . . . . . . . . . . . . . USD 100 000 % 106.89 96 153.95 0.11 4.75 % Oman Government International Bond -Reg-

2016/2026 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 99.1 178 293.58 0.20 7.25 % Pakistan Government International Bond -Reg-



2006/2036 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 183 000 % 132.775 218 574.49 0.25 4.875 % Pelabuhan Indonesia III PT -Reg- 2014/2024 . . . . . USD 250 000 % 105.499 237 257.76 0.27 5.25 % Pertamina Persero PT -Reg- 2011/2021 . . . . . . . . . USD 202 000 % 107.395 195 149.53 0.22 8.75 % Peruvian Government International Bond

2003/2033 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 161 000 61 000 % 156.678 226 916.44 0.26 7.35 % Peruvian Government International Bond

2005/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 154 000 % 136.028 188 443.47 0.21 3.50 % Petroleos Mexicanos 2013/2023 . . . . . . . . . . . . . . . USD 87 000 33 000 % 94.09 73 636.78 0.08 10.625 % Philippine Government International Bond

2000/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 117 000 50 000 % 164.875 173 529.27 0.20 5.25 % PolyOne Corp. 2013/2023 . . . . . . . . . . . . . . . . . . . . USD 100 000 % 100.989 90 846.07 0.10 7.375 % Post Holdings Inc 2013/2022 . . . . . . . . . . . . . . . . . USD 100 000 % 105.248 94 677.31 0.11 6.00 % Republic of Armenia -Reg- 2013/2020 . . . . . . . . . . USD 200 000 % 101.268 182 194.09 0.21 4.75 % Republic of Azerbaijan International Bond -Reg-

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 101.729 183 023.49 0.21 8.75 % Republic of Honduras -Reg- 2013/2020 . . . . . . . . . USD 200 000 % 113.56 204 309.88 0.23 3.25 % Reynolds American, Inc. 2012/2022 . . . . . . . . . . . . USD 71 000 % 103.972 66 406.25 0.07 6.75 % Romanian Government International Bond (MTN)

-Reg- 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 294 000 % 118.55 313 531.34 0.35 6.125 % Romanian Government International Bond (MTN)

-Reg- 2014/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 84 000 % 125.169 94 581.92 0.11 4.875 % Russian Foreign Bond - Eurobond -Reg-

2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 109.225 196 509.76 0.22 4.50 % Select Income Reit 2015/2025 . . . . . . . . . . . . . . . . USD 72 000 % 97.875 63 392.28 0.07 8.75 % Senegal Government International Bond -Reg-

2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 109.426 196 871.38 0.22 6.25 % Senegal Government International Bond -Reg-

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 95.461 171 746.56 0.19 0.00 % Shizuoka Bank Ltd 2013/2018 . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 96.625 86 920.37 0.10 1.65 % Siemens Financieringsmaatschappij NV 2015/2019 USD 500 000 500 000 % 109.062 490 541.24 0.55 6.875 % Southern Gas Corridor CJSC 2016/2026 . . . . . . . . . USD 200 000 200 000 % 108.125 194 530.71 0.22 8.375 % Sprint Communications Inc 2009/2017 . . . . . . . . . . USD 131 000 % 102.924 121 289.20 0.14 7.625 % Sprint Corp 2015/2025 . . . . . . . . . . . . . . . . . . . . . . USD 120 000 % 78.625 84 873.86 0.10 6.25 % Sri Lanka Government International Bond -Reg-

2010/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 150 000 % 102.296 138 032.70 0.16



249


6.25 % Sri Lanka Government International Bond -Reg- 2011/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 209 000 % 100.844 189 595.67 0.21

4.125 % State Grid Overseas Investment 2014 Ltd -Reg- 2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 110.499 198 801.84 0.22

5.45 % State Oil Co. of the Azerbaijan Republic 2012/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 101.723 183 012.70 0.21

4.75 % State Oil Co., of the Azerbaijan Republic (MTN) 2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 95.954 172 633.53 0.19

0.00 % STMicroelectronics NV 2014/2019 . . . . . . . . . . . . . USD 200 000 200 000 % 92.982 167 286.52 0.19 1.00 % Subsea 7 SA 2012/2017 . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 96.774 174 108.81 0.20 5.50 % Suburban Propane Partners LP/Suburban

Energy Finance Corp 2014/2024 . . . . . . . . . . . . . . . USD 50 000 % 98.5 44 303.53 0.05 6.00 % Terex Corp 2012/2021 . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 99.476 89 485.03 0.10 0.50 % TOTAL SA 2015/2022 . . . . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 100.599 361 980.96 0.41 7.00 % Turkey Government International Bond 2005/2020 USD 196 000 % 113.653 200 386.77 0.23 5.625 % Turkey Government International Bond 2010/2021 USD 100 000 % 109.231 98 260.28 0.11 5.75 % Turkey Government International Bond 2014/2024 USD 200 000 % 111.529 200 654.95 0.23 4.50 % Uruguay Government International Bond

2013/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 196 133 % 108.768 191 903.93 0.22 6.00 % Venezuela Government International Bond -Reg-

2005/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 334 000 % 41.375 124 313.00 0.14 3.50 % Verizon Communications, Inc. 2014/2024 . . . . . . . . USD 69 000 % 106.493 66 100.12 0.07 4.80 % Vietnam Government International Bond -Reg-

2014/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 207 000 % 103.39 192 522.26 0.22 5.45 % Vnesheconombank -Reg- 2010/2017 . . . . . . . . . . . USD 200 000 100 000 % 103.256 185 770.76 0.21 6.902 % Vnesheconombank -Reg- 2010/2020 . . . . . . . . . . . USD 162 000 % 108.749 158 479.23 0.18 6.00 % Zayo Group LLC / Zayo Capital Inc 2015/2023 . . . . USD 100 000 % 101.123 90 966.61 0.10 Securities admitted to or included in organized markets 4 412 207.81 4.97 Interest-bearing securities 6.00 % Audatex North America Inc 2013/2021 . . . . . . . . . . USD 50 000 % 100.062 45 006.31 0.05 3.25 % Beam Suntory, Inc. 2013/2023 . . . . . . . . . . . . . . . . USD 71 000 % 102.853 65 691.23 0.07 5.50 % Belden Inc 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 100.375 90 293.74 0.10 7.875 % Calpine Corp 2011/2023 . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 106.375 95 691.12 0.11 5.375 % CCO Holdings LLC / CCO Holdings Capital Corp

2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 101.438 91 249.52 0.10 0.50 % Citrix Systems, Inc. 2015/2019 . . . . . . . . . . . . . . . . USD 350 000 350 000 % 111.832 352 098.57 0.40 6.50 % Clear Channel Worldwide Holdings Inc 2013/2022 . USD 100 000 % 100.5 90 406.18 0.10 5.00 % CommScope Inc 2014/2021 . . . . . . . . . . . . . . . . . . USD 100 000 % 101.812 91 586.86 0.10 4.75 % Corp Financiera de Desarrollo SA 2012/2022 . . . . . USD 200 000 % 106.941 192 400.55 0.22 6.50 % Dean Foods Co. 144A 2015/2023 . . . . . . . . . . . . . . USD 100 000 % 103.438 93 048.65 0.11 5.875 % Dell Inc 2009/2019 . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 106.317 95 638.95 0.11 4.25 % DISH DBS Corp. 2013/2018 . . . . . . . . . . . . . . . . . . USD 100 000 % 102.298 92 023.60 0.10 6.75 % Florida East Coast Holdings Corp 2014/2019 . . . . . USD 100 000 % 100.562 90 462.40 0.10 8.25 % Frontier Communications Corp. 2010/2017 . . . . . . USD 100 000 % 104.762 94 240.57 0.11 3.15 % Hasbro, Inc. 2014/2021 . . . . . . . . . . . . . . . . . . . . . . USD 71 000 % 102.915 65 730.83 0.07 7.50 % HD Supply Inc 2013/2020 . . . . . . . . . . . . . . . . . . . . USD 100 000 % 104.5 94 004.44 0.11 2.00 % Hologic Inc 2012/2042 . . . . . . . . . . . . . . . . . . . . . . USD 158 000 158 000 % 127.155 180 726.82 0.20 7.625 % Hughes Satellite Systems Corp 2012/2021 . . . . . . USD 100 000 % 107.375 96 590.68 0.11 5.75 % Infor US Inc 2015/2020 . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 105 94 454.22 0.11 3.50 % Kraft Foods Group, Inc. 2013/2022 . . . . . . . . . . . . . USD 68 000 % 106.553 65 178.85 0.07 5.875 % Micron Technology Inc 2014/2022 . . . . . . . . . . . . . USD 341 000 241 000 % 94.765 290 692.89 0.33 3.00 % Micron Technology, Inc. 2013/2043 . . . . . . . . . . . . USD 175 000 175 000 % 74.92 117 941.84 0.13 4.625 % NCR Corp 2013/2021 . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 98.358 88 478.87 0.10 8.50 % Nortek Inc 2012/2021 . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 104.125 93 667.10 0.11 5.375 % Nuance Communications Inc 2012/2020 . . . . . . . . USD 100 000 % 101.125 90 968.41 0.10 5.625 % Open Text Corp. 144A 2015/2023 . . . . . . . . . . . . . USD 100 000 % 103 92 655.09 0.11 4.875 % Petroleos Mexicanos (MTN) 2012/2022 . . . . . . . . . USD 107 000 % 102.298 98 465.25 0.11 4.25 % Petroleos Mexicanos 2016/2025 . . . . . . . . . . . . . . . USD 287 000 287 000 % 95.902 247 594.86 0.28 3.50 % Petronas Capital Ltd 2015/2025 . . . . . . . . . . . . . . . USD 200 000 200 000 % 105.365 189 565.12 0.21 5.75 % Quebecor Media Inc 2013/2023 . . . . . . . . . . . . . . . USD 100 000 % 101.011 90 865.86 0.10 5.625 % Sabine Pass Liquefaction LLC 2014/2021 . . . . . . . . USD 100 000 % 100.296 90 222.22 0.10 5.375 % Sinclair Television Group Inc 2013/2021 . . . . . . . . . USD 100 000 % 102.976 92 633.50 0.10 5.50 % Sunoco LP / Sunoco Finance Corp 2015/2020 . . . . USD 100 000 % 98.75 88 831.94 0.10 0.25 % Tesla Motors, Inc. 2014/2019 . . . . . . . . . . . . . . . . . USD 138 000 138 000 % 89.084 110 588.73 0.13 0.25 % Twitter Inc 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . USD 112 000 112 000 % 91.657 92 345.50 0.10 8.50 % Viking Cruises Ltd 2012/2022 . . . . . . . . . . . . . . . . . USD 100 000 % 85.875 77 250.06 0.09 7.875 % Windstream Services LLC 2010/2017 . . . . . . . . . . . USD 100 000 % 106.004 95 357.38 0.11 7.875 % XPO Logistics Inc 2014/2019 . . . . . . . . . . . . . . . . . USD 100 000 % 102.188 91 924.20 0.10 7.25 % Zebra Technologies Corp 2014/2022 . . . . . . . . . . . USD 100 000 % 106.312 95 634.90 0.11 Unlisted securities 194 740.04 0.22 Interest-bearing securities 0.125 % Marine Harvest ASA 2015/2020 . . . . . . . . . . . . . . . EUR 100 000 100 000 % 111.05 111 050.00 0.13 0.00 % LIXIL Group Corp 2015/2022 . . . . . . . . . . . . . . . . . . JPY 10 000 000 10 000 000 % 95.625 83 690.04 0.09


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Investment fund units 4 736 364.02 5.34 In-group fund unitsdb x-trackers - MSCI Emerging Markets Index UCITS ETF -1C- EUR - (0.450%) . . . . . . . . . . . . . . . . . . . . . . Units 97 120 97 120 EUR 30.26 2 938 851.20 3.31Deutsche Global Liquidity Series Plc - Managed Euro Fund -Z- EUR - (0.000%) . . . . . . . . . . . . . . . . . Units 180 EUR 9 985.794 1 797 512.82 2.03

Total securities portfolio 76 420 816.65 86.11 Derivatives (Minus signs denote short positions) Equity index derivatives -82 601.46 -0.09Receivables/payables Equity index futures DJ EURO STOXX 50 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . Count -179 -179 -138 179.89 -0.15FTSE MIB Index Futures 09/2016 (IFLL) . . . . . . . . . . . . . . . . . Count -9 -9 -48 245.26 -0.05S&P MINI 500 Futures 09/2016 (CME) . . . . . . . . . . . . . . . . . . Count -110 -110 39 333.44 0.04S&P TSX60 Index Futures 09/2016 (MOD) . . . . . . . . . . . . . . . Count -4 -4 33.26 0.00Topix Index 09/2016 (OSE) . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 4 -36 267.87 -0.04 Option contracts Options on equity indices Call DJ EURO STOXX 50 12/2016 3 300 EUR (DB) . . . . . . . . Count 990 19 998.00 0.02Call S & P 500 Futures 12/2017 1 950 EUR (DB) . . . . . . . . . . Count 400 80 726.87 0.09 Currency derivatives -461 613.25 -0.52Receivables/payables Currency futures Currency futures (short) Open positions EUR/AUD 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -9 306.44 -0.01EUR/CAD 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -440.96 0.00EUR/GBP 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40 555.78 0.04EUR/JPY 62.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -36 219.32 -0.04EUR/USD 25.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -433 390.20 -0.48 Currency futures (long) Open positions USD/EUR 3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -22 812.11 -0.03 Swaps 385 054.11 0.43Receivables/payables Credit default swaps Protection seller MARKIT ITRX EUR XOVER 06/21 - Serie 25 / 5% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 000 000 220 030.92 0.25MARKIT ITRX EUR XOVER 06/21 - Serie 25 / 5% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 55 007.73 0.06MARKIT ITRX EUR XOVER 06/21 - Serie 25 / 5% 20/06/2021 (OTC) (ML) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 110 015.46 0.12 Cash at bank 11 752 967.28 13.24 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 167 158.29 3.58 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 387 883 468 834.40 0.53Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 1 681 545 226 019.43 0.25Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 1 710 940 183 744.65 0.21Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 931 566 98 756.49 0.11


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Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 43 646 29 197 .14 0 .03Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 152 284 42 663 .69 0 .05Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 3 482 509 403 760 .80 0 .45Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 57 294 932 3 900 .89 0 .00Israeli shekel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ILS 1 758 357 410 584 .02 0 .46Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 36 289 142 317 598 .93 0 .36Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 747 548 517 919 .97 0 .58New Zealand dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 0 0 .24 0 .00Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 72 668 67 063 .00 0 .08Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 70 595 47 120 .49 0 .05South African rand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 2 732 167 .00 0 .00Turkish lira . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 776 241 .95 0 .00U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 409 834 1 268 235 .90 1 .43 Time deposits USD deposits (Norddeutsche Landesbank 0 .01% 07/07/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 500 000 3 500 000 .00 3 .94USD deposits (Dekabank S .A . 0 .01% 04/07/2016) . . . . . . . . . EUR 1 000 000 1 000 000 .00 1 .13 Other assets 829 071.32 0.94Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84 775 .35 0 .10Prepaid placement fee ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . 344 895 .98 0 .39Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 384 531 .40 0 .43Receivables from exceeding the expense cap . . . . . . . . . . . . 14 379 .13 0 .02Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 489 .46 0 .00 Receivables from share certificate transactions 35 161.92 0.04 Total assets *** 89 603 718.62 100.95 Other liabilities -117 686.40 -0.14Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -68 196 .08 -0 .08Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -49 490 .32 -0 .06 Liabilities from share certificate transactions -15 939.07 -0.02 Total liabilities -858 487.52 -0.95 Net assets 88 745 231.10 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 93 .31Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92 .53Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 96 .46Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92 .15Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 95 .80Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 .02 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 636 559Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 911Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 172Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 632Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 027Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 136 415 Composition of the reference portfolio (according to CSSF circular 11/512)55% MSCI AC WORLD INDEX Constituents in EUR, 20% JP Morgan EMBIG Diversified hedged in EUR Constituents, 15% Barclays Capital U .S . High Yield - 2% Issuer Cap Hedged in EUR, 10% JP Morgan EMBIG in EUR Constituents




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The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.5, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 56 783 431.48 as of the reporting date.


Futures exchangesCME = Chicago Mercantile ExchangeDB = Deutsche Bank AGEUR = EurexIFLL = ICE Futures Europe - Financial Products DivisionMOD = The Montreal ExchangeOSE = Osaka Exchange

Contracting party for derivatives (with the exception of currency futures)ML = Merrill Lynch International

Contracting parties for currency futuresBarclays Bank PLC Wholesale, Crédit Suisse London Branch (GFX), Goldman Sachs International, Merrill Lynch International, Morgan Stanley and CO. International PLC, Nomura International PLC and UBS AG London Exchange rates (indirect quotes)

As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3.569396 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687.670916 = EUR 1Israeli shekel . . . . . . . . . . . . . . . . . . . . ILS 4.282575 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1New Zealand dollar . . . . . . . . . . . . . . . NZD 1.564381 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1Turkish lira . . . . . . . . . . . . . . . . . . . . . . TRY 3.206442 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1South African rand . . . . . . . . . . . . . . . . ZAR 16.360704 = EUR 1 Notes on valuation


* Floating interest rate. ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations).


253




EquitiesAdecco SA -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 535 11 121Airbus Group NV . . . . . . . . . . . . . . . . . . . . . . . . . Count 820 5 942Baxalta Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 222 16 102BT Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 478 83 137Celanese Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 212 1 535Coca-Cola Enterprises, Inc . . . . . . . . . . . . . . . . . . Count 310 2 249CVS Health Corp . . . . . . . . . . . . . . . . . . . . . . . . . . Count 808 5 860Delphi Automotive Plc . . . . . . . . . . . . . . . . . . . . . Count 404 2 932Investment AB Kinnevik . . . . . . . . . . . . . . . . . . . Count 2 328 2 328Investment AB Kinnevik . . . . . . . . . . . . . . . . . . . Count 2 328 2 328Investment AB Kinnevik . . . . . . . . . . . . . . . . . . . Count 321 2 328Investor AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 640 4 642ITV Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 149 189 402Merck & Co ., Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 897 13 748Next Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 203 1 471Nokian Renkaat Oyj . . . . . . . . . . . . . . . . . . . . . . . Count 1 422 10 303Power Assets Holdings Ltd . . . . . . . . . . . . . . . . . Count 8 000 60 412Reynolds American, Inc . . . . . . . . . . . . . . . . . . . . Count 2 316 16 782Sekisui House Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 2 100 15 100Shire Plc -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 386 2 386Skyworks Solutions Inc . . . . . . . . . . . . . . . . . . . . Count 186 1 348TELUS Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 574 18 655Teva Pharmaceutical Industries Ltd . . . . . . . . . . Count 1 210 8 768TUI AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 375Valeo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 728Verizon Communications, Inc . . . . . . . . . . . . . . . . Count 11 553 11 553Westrock Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 188 1 362Xilinx, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 363 2 629

Interest-bearing securities 5 .75 % Development Bank of Mongolia LLC

-Reg- 2012/2017 . . . . . . . . . . . . . . . . USD 210 00010 .875 % Mongolia Government International

Bond (MTN) -Reg- 2016/2021 . . . . . . USD 200 000 200 000

CertificatesDekaBank Deutsche Girozentrale - Multi Express-Zertifikat Memory 12/2017 . . . . . Count 1 500Societe Generale Effekten GmbH - Trio Memory Express Zertifikat . . . . . . . . . . . . . Count 1 000

Securities admitted to or included in organized markets Interest-bearing securities 4 .375 % Ares Capital Corp . 2013/2019 . . . . . . USD 162 000 162 0006 .75 % MDC Partners, Inc . 144A

2013/2020 . . . . . . . . . . . . . . . . . . . . . USD 100 0004 .25 % Petroleos Mexicanos -Reg-

2014/2025 . . . . . . . . . . . . . . . . . . . . . USD 287 000 Investment fund units In-group fund units db x-trackers - MSCI AC Asia ex Japan Index UCITS ETF -1C- USD - (0 .450%) . . . . . . . . . . . . . Units 52 448 52 448 Non-group fund units iShares V plc - iShares Emerging Markets Dividend UCITS ETF USD - (0 .650%) . . . . . . . . . Units 94 654


Value (’000)Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), FTSE 100, FTSE 100 Index Futures, S & P MINI 500 Futures 06/2016 (CME), S&P 500, S&P TSX60 Index Futures, Topix) EUR 26 876 Contracts sold (Underlying: Topix) EUR 3 798 Interest rate futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), FTSE 100, FTSE 100 Index Futures, S & P MINI 500 Futures 06/2016 (CME), S&P 500, S&P TSX60 Index Futures, Topix) EUR 15 634 Currency futures (short) Futures contracts to sell currencies EUR/AUD EUR 716EUR/CAD EUR 501EUR/GBP EUR 1 542EUR/JPY EUR 714EUR/USD EUR 29 283 Currency futures (long) Futures contracts to purchase currencies AUD/EUR EUR 796CAD/EUR EUR 566GBP/EUR EUR 1 662JPY/EUR EUR 995USD/EUR EUR 43 468 Swaps Credit default swaps Protection seller (Underlying: MARKIT ITRX EUROPE) EUR 15 000



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Securities traded on an exchange 7 606 687.88 71.37 Equities Bank of Montreal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 762 1 762 CAD 82 .3 100 468 .36 0 .94CGI Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 250 2 250 CAD 55 .31 86 220 .34 0 .81Metro, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 376 3 376 CAD 45 .04 105 347 .54 0 .99Toronto-Dominion Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 017 2 017 CAD 55 .39 77 403 .54 0 .73Roche Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 180 180 CHF 253 .5 42 110 .39 0 .39Swiss Life Holding AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 324 324 CHF 222 .4 66 499 .54 0 .62Danske Bank A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 243 3 243 DKK 175 .1 76 325 .61 0 .72Allianz SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 523 5 EUR 126 .15 65 976 .45 0 .62ASML Holding NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 922 922 EUR 87 .58 80 748 .76 0 .76AtoS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 297 1 297 EUR 74 .58 96 730 .26 0 .91AXA SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 530 3 530 EUR 17 .55 61 951 .50 0 .58Banco Comercial Portugues SA . . . . . . . . . . . . . . . . . . . . . . . Count 360 000 EUR 0 .019 6 732 .00 0 .06Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 505 505 EUR 168 .5 85 092 .50 0 .80CytoTools AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 EUR 11 .38 4 552 .00 0 .04Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 538 1 538 EUR 53 .03 81 560 .14 0 .76Delhaize Group SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 966 46 EUR 93 .31 90 137 .46 0 .85Deutsche Telekom AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 769 961 EUR 15 .13 87 284 .97 0 .82HeidelbergCement AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 524 524 EUR 67 .06 35 139 .44 0 .33Koninklijke Ahold NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 345 143 EUR 19 .785 85 965 .83 0 .81Red Electrica Corp . SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 942 942 EUR 79 .29 74 691 .18 0 .70Renault SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 115 1 115 EUR 68 .03 75 853 .45 0 .71Terna Rete Elettrica Nazionale SpA . . . . . . . . . . . . . . . . . . . . . Count 14 558 14 558 EUR 4 .898 71 305 .08 0 .67Total SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 338 1 338 EUR 43 .05 57 600 .90 0 .54UPM-Kymmene Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 650 2 155 EUR 16 .33 43 274 .50 0 .41Veolia Environnement SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 653 3 653 EUR 19 .45 71 050 .85 0 .67Vinci SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 119 292 EUR 63 .33 70 866 .27 0 .66Direct Line Insurance Group PLC . . . . . . . . . . . . . . . . . . . . . . Count 16 879 16 879 GBP 3 .428 69 936 .84 0 .66GlaxoSmithKline Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 604 2 604 GBP 15 .64 49 225 .56 0 .46Persimmon Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 715 1 131 GBP 14 .11 29 248 .91 0 .27Royal Dutch Shell Plc -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 793 1 435 GBP 20 .055 43 463 .18 0 .41WPP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 740 3 740 GBP 15 .45 69 842 .30 0 .66Central Japan Railway Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 491 JPY 18 125 77 886 .44 0 .73Fuji Heavy Industries Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 600 2 600 JPY 3 478 79 141 .68 0 .74FUJIFILM Holdings Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 300 100 JPY 3 944 79 390 .23 0 .74ITOCHU Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 100 200 JPY 1 239 .5 77 020 .65 0 .72Japan Tobacco, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 200 100 JPY 4 103 78 999 .90 0 .74KDDI Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 400 100 JPY 3 113 92 631 .86 0 .87Mitsubishi Electric Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 000 7 000 JPY 1 208 74 006 .06 0 .69Nordea Bank AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 144 9 144 SEK 70 .45 68 291 .91 0 .64Skanska AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 098 4 098 SEK 174 .2 75 678 .44 0 .71AbbVie, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 477 1 477 USD 61 .42 81 606 .05 0 .77Activision Blizzard Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 313 55 USD 38 .62 115 097 .47 1 .08Aetna, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 588 588 USD 121 .04 64 023 .34 0 .60Amgen, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 502 8 USD 149 .98 67 728 .14 0 .64Apple, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 480 196 425 USD 94 .48 40 795 .59 0 .38Archer-Daniels-Midland Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 023 1 213 USD 41 .8 113 670 .17 1 .07AT&T, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 159 2 159 USD 42 .62 82 774 .80 0 .78Berkshire Hathaway, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 609 609 USD 142 .25 77 929 .45 0 .73Centene Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 479 215 USD 70 .69 94 049 .87 0 .88CF Industries Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 808 1 808 USD 23 .72 38 578 .49 0 .36Chubb Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 728 728 USD 128 .07 83 870 .81 0 .79Darden Restaurants Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 706 510 USD 63 .2 96 990 .27 0 .91Delta Air Lines, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 243 2 243 USD 35 .94 72 516 .93 0 .68Discover Financial Services . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 674 1 674 USD 52 .35 78 832 .30 0 .74Dow Chemical Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 880 996 USD 49 .32 39 042 .52 0 .37Eastman Chemical Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 622 622 USD 66 .77 37 359 .74 0 .35Eaton Corp ., Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 738 1 738 USD 58 .195 90 984 .52 0 .85Exxon Mobil Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 486 567 USD 92 .53 40 453 .02 0 .38Gilead Sciences, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 845 845 USD 81 .75 62 140 .76 0 .58Johnson & Johnson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 797 797 USD 119 .24 85 489 .42 0 .80JPMorgan Chase & Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 872 603 USD 61 .29 103 211 .37 0 .97Juniper Networks, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 302 1 117 USD 22 .05 85 331 .83 0 .80LyondellBasell Industries NV . . . . . . . . . . . . . . . . . . . . . . . . . . Count 521 521 USD 73 .37 34 386 .53 0 .32Marathon Petroleum Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 222 654 USD 36 .18 72 317 .71 0 .68Microsoft Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 859 71 USD 50 .52 84 484 .06 0 .79Mosaic Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 539 1 539 USD 25 .3 35 026 .05 0 .33Pfizer, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 406 70 USD 34 .95 75 644 .07 0 .71PNC Financial Services Group, Inc . . . . . . . . . . . . . . . . . . . . . . Count 873 15 USD 80 .7 63 375 .27 0 .59Quest Diagnostics, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 496 283 USD 80 .01 107 673 .28 1 .01Schlumberger Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 135 1 135 USD 78 .25 79 893 .65 0 .75Travelers Cos, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 959 959 USD 117 .4 101 278 .85 0 .95Valero Energy Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 304 21 USD 50 .32 59 026 .94 0 .55Wal-Mart Stores, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 608 1 608 USD 72 .61 105 030 .29 0 .99Wyndham Worldwide Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 303 1 303 USD 69 .96 82 002 .35 0 .77




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CertificatesBarclays Bank - SX5E Index . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 250 EUR 89 .44 201 240 .00 1 .89DekaBank Deutsche Girozentrale - Euro Stoxx 50 Index . . . . Count 600 600 EUR 94 .42 56 652 .00 0 .53DekaBank Deutsche Girozentrale - Euro Stoxx 50 Index . . . . Count 500 500 EUR 96 .965 48 482 .50 0 .45Societe Generale Effekten GmbH . . . . . . . . . . . . . . . . . . . . . . Count 2 400 EUR 93 .8 225 120 .00 2 .11Societe Generale Effekten GmbH - Basket ExpressMulti 2019/08 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 EUR 79 .83 19 957 .50 0 .19

Interest-bearing securities1 .00 % ABN AMRO Bank NV (MTN) 2015/2025 . . . . . . . . . EUR 20 000 20 000 % 102 .204 20 440 .80 0 .195 .125 % Assicurazioni Generali SpA (MTN) 2009/2024 . . . . . EUR 50 000 50 000 % 128 .812 64 406 .00 0 .603 .625 % BG Energy Capital Plc (MTN) 2010/2019 . . . . . . . . EUR 50 000 50 000 % 110 .727 55 363 .50 0 .521 .00 % BMW US Capital LLC (MTN) 2015/2027 . . . . . . . . . EUR 36 000 36 000 % 102 .747 36 988 .92 0 .352 .00 % BNP Paribas SA (MTN) 2013/2019 . . . . . . . . . . . . . EUR 28 000 28 000 % 104 .987 29 396 .36 0 .282 .25 % BNP Paribas SA (MTN) 2014/2021 . . . . . . . . . . . . . EUR 38 000 38 000 % 109 .018 41 426 .84 0 .391 .00 % Bundesrepublik Deutschland 2014/2024 . . . . . . . . EUR 100 000 600 000 % 110 .813 110 813 .00 1 .040 .625 % Commerzbank AG (MTN) 2015/2019 . . . . . . . . . . . EUR 38 000 38 000 % 101 .026 38 389 .88 0 .361 .50 % Commerzbank AG (MTN) 2015/2022 . . . . . . . . . . . EUR 38 000 38 000 % 105 .087 39 933 .06 0 .370 .875 % Daimler AG (MTN) 2016/2021 . . . . . . . . . . . . . . . . . EUR 33 000 33 000 % 103 .238 34 068 .54 0 .320 .625 % Daimler AG 2015/2020 . . . . . . . . . . . . . . . . . . . . . . EUR 33 000 33 000 % 102 .084 33 687 .72 0 .325 .125 % Deutsche Bank AG (MTN) 2007/2017 . . . . . . . . . . . EUR 50 000 50 000 % 105 .559 52 779 .50 0 .491 .50 % Deutsche Pfandbriefbank AG (MTN) 2014/2019 . . . EUR 44 000 44 000 % 103 .058 45 345 .52 0 .434 .50 % Deutsche Telekom International Finance BV (MTN)

2010/2030 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 26 000 26 000 % 143 .443 37 295 .18 0 .356 .25 % ESB Finance Ltd 2012/2017 . . . . . . . . . . . . . . . . . . EUR 100 000 % 107 .563 107 563 .00 1 .014 .125 % Intesa Sanpaolo SpA (MTN) 2010/2020 . . . . . . . . . EUR 50 000 50 000 % 112 .035 56 017 .50 0 .535 .625 % Koninklijke KPN NV (MTN) 2009/2034 . . . . . . . . . . EUR 50 000 50 000 % 135 .594 67 797 .00 0 .644 .375 % OMV AG (MTN) 2010/2020 . . . . . . . . . . . . . . . . . . . EUR 17 000 17 000 % 115 .098 19 566 .66 0 .181 .375 % RCI Banque SA (MTN) 2015/2020 . . . . . . . . . . . . . EUR 32 000 32 000 % 104 .088 33 308 .16 0 .311 .25 % RCI Banque SA (MTN) 2015/2022 . . . . . . . . . . . . . EUR 33 000 33 000 % 103 .163 34 043 .79 0 .325 .375 % Royal Bank of Scotland Plc (MTN) 2009/2019 . . . . EUR 50 000 50 000 % 114 .404 57 202 .00 0 .543 .00 % RWE Finance BV 2013/2024 . . . . . . . . . . . . . . . . . . EUR 18 000 18 000 % 113 .648 20 456 .64 0 .193 .875 % TeliaSonera AB (MTN) 2010/2025 . . . . . . . . . . . . . . EUR 50 000 50 000 % 124 .772 62 386 .00 0 .595 .50 % The Royal Bank of Scotland Plc (MTN) 2010/2020 . EUR 50 000 50 000 % 116 .794 58 397 .00 0 .554 .375 % UniCredit SpA (MTN) 2004/2020 . . . . . . . . . . . . . . . EUR 30 000 30 000 % 113 .13 33 939 .00 0 .322 .125 % Vonovia Finance BV (MTN) 2014/2022 . . . . . . . . . . EUR 43 000 43 000 % 108 .966 46 855 .38 0 .441 .50 % Vonovia Finance BV (MTN) 2015/2025 . . . . . . . . . . EUR 46 000 46 000 % 105 .022 48 310 .12 0 .451 .75 % United States Treasury Note/Bond 2013/2020 . . . . USD 485 200 164 800 % 103 .281 450 790 .08 4 .23 Securities admitted to or included in organized markets 343 805.60 3.22 Certificates Notenstein Financial Indexzertifikat . . . . . . . . . . . . . . . . . . . . . Count 115 EUR 971 .89 111 767 .35 1 .05Societe Generale Effekten GmbH Indexzertifikat . . . . . . . . . . Count 460 EUR 95 .07 43 732 .20 0 .41Societe Generale Effekten GmbH Indexzertifikat . . . . . . . . . . Count 455 EUR 94 .01 42 774 .55 0 .40Vontobel Financial Indexzertifikat . . . . . . . . . . . . . . . . . . . . . . Count 145 EUR 825 119 625 .00 1 .12

Interest-bearing securities 0 .875 % BMW Finance NV 2015/2020 . . . . . . . . . . . . . . . . . EUR 25 000 25 000 % 103 .626 25 906 .50 0 .24 Investment fund units 815 579.16 7.65 In-group fund units Concept Fund Solutions - db x-trackers Equity Value Factor UCITS ETF (DR) -1C- EUR - (0 .150%) . . . . . . . . . . . . . . . . . . . Units 5 428 5 428 EUR 22 .06 119 741 .68 1 .12 Non-group fund units iShares PLC - iShares Euro High Yield Corporate Bond UCITS ETF EUR - (0 .500%) . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 2 230 EUR 103 .91 231 719 .30 2 .17UBS ETC on UBS Bloomberg CMCI Gold TR Index EUR . . . . Units 128 128 EUR 1 770 .5 226 624 .00 2 .13Neuberger Berman Investment Funds plc - Neuberger Berman High Yield Bond Fund -I- USD - (0 .600%) . . . . . . . . . Units 12 866 USD 20 .52 237 494 .18 2 .23

Total securities portfolio 8 766 072.64 82.24 Derivatives (Minus signs denote short positions) Derivatives on individual securities 973 772.60 9.14 Warrants on securities Equity warrants Deutsche Bank AG 28/08/2019 . . . . . . . . . . . . . . . . . . . . . . . . Count 300 300 EUR 979 .48 293 844 .00 2 .76DZ Bank AG Deutsche Zentral-Genossenschaftsbank 23/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 500 4 500 EUR 25 .28 113 760 .00 1 .07Societe Generale Effekten GmbH - Euro Stoxx 50 Index 20/01/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 800 800 EUR 98 .6 78 880 .00 0 .74Societe Generale Effekten GmbH - Euro Stoxx 50 Index 23/12/2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 100 5 100 EUR 21 .66 110 466 .00 1 .03Societe Generale Effekten GmbH 02/10/2016 . . . . . . . . . . . . Count 1 750 1 750 EUR 101 .02 176 785 .00 1 .66Societe Generale Effekten GmbH 20/01/2021 . . . . . . . . . . . . Count 900 900 EUR 99 .41 89 469 .00 0 .84Unicredit Bank AG 04/06/2020 . . . . . . . . . . . . . . . . . . . . . . . . Count 1 140 1 140 EUR 96 .99 110 568 .60 1 .04



256

Equity index derivatives 482 554.23 4.53Receivables/payables Equity index futures DJ EURO STOXX 50 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . Count -57 -57 -5 240 .00 -0 .05FTSE MIB Index Futures 09/2016 (IFLL) . . . . . . . . . . . . . . . . . Count -3 -3 -14 740 .07 -0 .14S & P MINI 500 Futures 09/2016 (CME) . . . . . . . . . . . . . . . . . Count -18 -18 3 605 .89 0 .03Topix Index 09/2016 (OSE) . . . . . . . . . . . . . . . . . . . . . . . . . . . Count -2 -2 12 830 .28 0 .13

Option contracts Options on equity indices Call DJ EURO STOXX 50 06/2018 2 500 EUR (DB) . . . . . . . . Count 600 242 910 .00 2 .28Call S & P 500 Futures 12/2017 2 000 EUR (DB) . . . . . . . . . . Count 1 400 243 188 .13 2 .28 Currency derivatives -18 292.84 -0.17Receivables/payables Currency futures Currency futures (short) Open positions EUR/CAD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 110 .62 -0 .01EUR/CHF 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 084 .03 -0 .01EUR/DKK 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 .80 0 .00EUR/GBP 0 .2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 458 .12 0 .15EUR/JPY 69 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -23 825 .75 -0 .22EUR/NOK 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2 .09 0 .00EUR/USD 0 .5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4 288 .53 -0 .04USD/AUD 0 .6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -396 .14 0 .00USD/CAD 0 .8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 040 .05 0 .04USD/JPY 0 .4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -61 .44 0 .00 Closed positions EUR/AUD 0 .6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 544 .57 -0 .01EUR/JPY 22 .7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -7 552 .19 -0 .07EUR/NOK 3 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -171 .37 0 .00EUR/SEK 3 .5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 613 .74 0 .02EUR/USD 1 .3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 469 .87 0 .03USD/AUD 0 .4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 952 .96 0 .01USD/CAD 0 .3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -579 .71 -0 .01USD/GBP 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 382 .79 0 .00USD/JPY 21 .4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3 740 .70 -0 .04USD/NZD 0 .4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 930 .72 -0 .02 Currency futures (long) Open positions ILS/EUR 0 .3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 434 .29 0 .00NOK/EUR 1 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 578 .95 0 .01SEK/EUR 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -82 .90 0 .00USD/EUR 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143 .35 0 .00 Cash at bank 413 552.71 3.88 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 114 191 .29 1 .07 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 23 781 28 744 .45 0 .27Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 11 076 1 488 .72 0 .01Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 1 663 178 .55 0 .00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 41 727 4 423 .50 0 .04 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 430 287 .53 0 .00Israeli shekel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ILS 8 833 2 062 .65 0 .02Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 2 542 657 22 253 .08 0 .21Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 1 397 967 .58 0 .01Russian rouble . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . RUB 955 13 .37 0 .00Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 7 610 7 023 .06 0 .07Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 5 072 3 385 .40 0 .03Turkish lira . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 3 311 1 032 .45 0 .01U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 252 901 227 501 .08 2 .14 Other assets 64 980.64 0.61Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 178 .68 0 .09Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 217 .24 0 .24Receivables from exceeding the expense cap . . . . . . . . . . . . 30 584 .72 0 .28 Total assets ** 10 748 990.81 100.85



257

Other liabilities -23 773.28 -0.22Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -23 773 .28 -0 .22 Total liabilities -90 124.11 -0.85 Net assets 10 658 866.70 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92 .80Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .01Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 91 .41Class RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 92 .27Class USD RDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 92 .76 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 101 814Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 015Class RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class USD RDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 114 Presentation of the maximum limit (according to CSSF circular 11/512)10% of portfolio value

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % -16 .286 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 6 .765 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 3 .667 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 1 .1, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 21 674 401 .72 as of the reporting date .


Futures exchanges CME = Chicago Mercantile Exchange DB = Deutsche Bank AG EUR = Eurex IFLL = ICE Futures Europe - Financial Products Division OSE = Osaka Exchange Contracting parties for currency futures Barclays Bank PLC Wholesale, Commonwealth Bank of Australia, Crédit Suisse London Branch (GFX), Deutsche Bank AG Frankfurt, Goldman Sachs International, JP Morgan Securities PLC, Morgan Stanley and Co . International PLC, Royal Bank of Canada (UK), Royal Bank of Scotland PLC, Skandinaviska Enskilda Banken AG, State Street Bank and Trust Company and UBS AG London Exchange rates (indirect quotes)

As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .494856 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1 .083580 = EUR 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 7 .439826 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Israeli shekel . . . . . . . . . . . . . . . . . . . . ILS 4 .282575 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9 .311511 = EUR 1New Zealand dollar . . . . . . . . . . . . . . . NZD 1 .564381 = EUR 1Russian rouble . . . . . . . . . . . . . . . . . . . RUB 71 .427658 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9 .432959 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1Turkish lira . . . . . . . . . . . . . . . . . . . . . . TRY 3 .206442 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1



258



EquitiesAdecco SA -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 052Anthem, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 568AP Moeller - Maersk A/S . . . . . . . . . . . . . . . . . . . Count 52Avago Technologies Ltd . . . . . . . . . . . . . . . . . . . Count 681Barclays Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 738BNP Paribas SA . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 410Broadcom Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 681 681Celgene Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 662CVS Health Corp . . . . . . . . . . . . . . . . . . . . . . . . . . Count 784Daiwa Securities Group, Inc . . . . . . . . . . . . . . . . . Count 12 000Dentsu, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 600DNB ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 321Dr Pepper Snapple Group, Inc . . . . . . . . . . . . . . . Count 1 101Express Scripts Holding Co . . . . . . . . . . . . . . . . . Count 959Four Corners Property Trust . . . . . . . . . . . . . . . . Count 146 544Fresenius SE & Co . KGaA . . . . . . . . . . . . . . . . . . Count 1 270Gas Natural SDG SA . . . . . . . . . . . . . . . . . . . . . . Count 3 861Goldman Sachs Group, Inc . . . . . . . . . . . . . . . . . . Count 423Harris Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 070ING Groep NV . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 167JX Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 600KBC Groep NV . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 276L-3 Communications Holdings, Inc . . . . . . . . . . . Count 706Lam Research Corp . . . . . . . . . . . . . . . . . . . . . . . Count 1 127Lear Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 843Marks & Spencer Group Plc . . . . . . . . . . . . . . . . Count 10 579Mitsubishi Corp . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 100Northrop Grumman Corp . . . . . . . . . . . . . . . . . . . Count 536Old Mutual Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 749Peugeot SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 204Public Service Enterprise Group, Inc . . . . . . . . . . Count 2 151Publicis Groupe SA . . . . . . . . . . . . . . . . . . . . . . . Count 1 168Sanofi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 809Societe Generale SA . . . . . . . . . . . . . . . . . . . . . . Count 1 797Sumitomo Chemical Co ., Ltd . . . . . . . . . . . . . . . Count 16 000Sumitomo Electric Industries Ltd . . . . . . . . . . . . Count 5 900Sun Life Financial, Inc . . . . . . . . . . . . . . . . . . . . . Count 2 751Suncor Energy, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 3 425Svenska Cellulosa AB SCA . . . . . . . . . . . . . . . . . Count 3 105TDK Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 300Teva Pharmaceutical Industries Ltd . . . . . . . . . . Count 1 220Tokyo Electric Power Co ., Inc . . . . . . . . . . . . . . . Count 13 600Unilever NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 957Valeo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 660Verizon Communications, Inc . . . . . . . . . . . . . . . . Count 1 907Volvo AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 450Voya Financial, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 1 861Wolters Kluwer NV . . . . . . . . . . . . . . . . . . . . . . . Count 2 833Yara International ASA . . . . . . . . . . . . . . . . . . . . . Count 1 735

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus . If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are not valued at derived market values . The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses . A plus sign means that a performance-based fee may also be charged . As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds . No initial sales charges or redemption fees were paid in the reporting period . Footnotes




Interest-bearing securities4 .375 % Atlantia SpA (MTN) 2010/2025 . . . . . EUR 50 000 50 0003 .157 % Casino Guichard Perrachon SA (MTN)

2012/2019 . . . . . . . . . . . . . . . . . . . . . EUR 100 0000 .117 % Coca-Cola Co . 2015/2019 * . . . . . . . . EUR 100 0001 .375 % Credit Suisse AG/London 2014/2022 EUR 100 0001 .875 % FADE - Fondo de Amortizacion

del Deficit Electrico (MTN) 2014/2017 EUR 200 0004 .50 % Imperial Tobacco Finance Plc (MTN)

2011/2018 . . . . . . . . . . . . . . . . . . . . . EUR 100 0002 .75 % JPMorgan Chase & Co . (MTN)

2012/2022 . . . . . . . . . . . . . . . . . . . . EUR 100 0003 .125 % Kering (MTN) 2012/2019 . . . . . . . . . . EUR 100 0000 .234 % Pohjola Bank Plc (MTN) 2014/2017 * EUR 150 0001 .375 % Teliasonera AB 2014/2019 . . . . . . . . EUR 100 0002 .625 % Wells Fargo & Co . (MTN) 2012/2022 EUR 100 000

CertificatesDekaBank Deutsche Girozentrale - Multi Express-Zertifikat Memory 12/2017 . . . . . Count 220Deutsche Bank A .G . Indexzertifikat . . . . . . . . . . Count 900Skandinaviska Enskilda Banken AB - Multi Express Rohstoffminen Basket 08/2019 . . Count 1Societe Generale Effekten GmbH - Trio Memory Express Zertifikat . . . . . . . . . . . . . Count 320 1 000

Securities admitted to or included in organized markets Interest-bearing securities 3 .875 % Intesa Sanpaolo SpA 2013/2018 . . . . USD 200 000 Investment fund units In-group fund units db Physical Gold Euro Hedged ETC . . . . . . . . . . Units 1 198 1 198 db x-trackers II - iTRAXX Crossover 5-year Total Return Index ETF -1C- EUR - (0 .140%) . . . . . . . . Units 1 320 Non-group fund units iShares (DE) I - iShares STOXX Europe 600 Basic Resources UCITS ETF (DE) EUR - (0 .460%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 5 147 5 147



259



Value (’000)Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, DJ EURO STOXX Auto Futures 06/2016 (EUR), FTSE 100, FTSE 100 Index Futures, S & P MINI 500 Futures, S & P MINI 500 Futures 06/2016 (CME), S&P 500, Topix) EUR 11 299 Contracts sold (Underlying: DJ EURO STOXX Bank Futures) EUR 442 Interest rate futures Contracts purchased (Underlyings: Euro Bund, Germany Federal Republic Notes 10 year) EUR 3 419 Currency futures (short) Futures contracts to sell currencies EUR/CAD EUR 499EUR/CHF EUR 54EUR/DKK EUR 12EUR/GBP EUR 1 014EUR/ILS EUR 60EUR/JPY EUR 3 318EUR/NOK EUR 2 061EUR/SEK EUR 1 130EUR/USD EUR 7 196USD/AUD EUR 1 522USD/CAD EUR 2 040USD/GBP EUR 1 914USD/JPY EUR 1 899USD/NZD EUR 797 Currency futures (long) Futures contracts to purchase currencies CAD/EUR EUR 438CHF/EUR EUR 53DKK/EUR EUR 12GBP/EUR EUR 1 013ILS/EUR EUR 61JPY/EUR EUR 2 859NOK/EUR EUR 2 583SEK/EUR EUR 1 131USD/AUD EUR 1 933USD/CAD EUR 2 052USD/EUR EUR 7 689USD/GBP EUR 1 907USD/JPY EUR 2 467USD/NZD EUR 798


Value (’000)

Option contracts Options on equity index derivatives Options on equity indices Call options purchased (Underlying: DJ Euro Stoxx 50) EUR 133 Put options purchased (Underlying: DJ Euro Stoxx 50) EUR 67 Call options sold (Underlyings: DJ Euro Stoxx 50, S&P 500) EUR 324 Put options sold (Underlyings: DJ Euro Stoxx 50, S&P 500) EUR 54 Options on interest rate derivatives Options on bond index futures Call options purchased (Underlying: OGBL) EUR 7 Put options purchased (Underlying: OGBL) EUR 3 Call options sold (Underlying: OGBL) EUR 2

260

Securities traded on an exchange 18 567 805.89 74.02 Interest-bearing securities 1.125 % 2i Rete Gas SpA (MTN) 2014/2020 . . . . . . . . . . . . . EUR 200 000 % 102.988 228 973.15 0.91 0.625 % ABN AMRO Bank NV (MTN) 2016/2022 . . . . . . . . . EUR 70 000 70 000 % 101.224 78 767.94 0.31 4.125 % Allied Irish Banks PLC 2015/2025* . . . . . . . . . . . . . EUR 140 000 % 93.326 145 244.14 0.58 1.50 % Anheuser-Busch InBev SA/NV (MTN) 2016/2025 . . EUR 130 000 130 000 % 105.444 152 381.82 0.61 4.125 % Ardagh Packaging Finance Plc Via Ardagh Holdings

USA, Inc. -Reg- 2016/2023 . . . . . . . . . . . . . . . . . . . EUR 110 000 110 000 % 101.855 124 549.78 0.50 3.50 % BALL Corp 2015/2020 . . . . . . . . . . . . . . . . . . . . . . . EUR 140 000 % 107.936 167 981.82 0.67 1.625 % Banque Federative du Credit Mutuel SA (MTN)

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 102.58 228 066.04 0.91 2.625 % Barclays PLC 2015/2025* . . . . . . . . . . . . . . . . . . . . EUR 100 000 % 94.172 104 686.27 0.42 0.50 % Berkshire Hathaway, Inc. 2016/2020 . . . . . . . . . . . EUR 100 000 100 000 % 101.012 112 289.95 0.45 4.00 % Bharti Airtel International Netherlands BV

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 107.306 238 573.35 0.95 2.875 % BPCE SA (MTN) 2016/2026 . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 100.735 111 982.03 0.45 4.625 % Cemex Finance LLC -Reg- 2016/2024 . . . . . . . . . . EUR 160 000 160 000 % 98.38 174 982.55 0.70 4.25 % Delta Lloyd NV (MTN) 2010/2017 . . . . . . . . . . . . . . EUR 200 000 % 105.179 233 844.40 0.93 4.375 % Demeter Investments BV 2015/2049 * . . . . . . . . . EUR 150 000 % 95.963 160 015.85 0.64 0.625 % Deutsche Telekom International Finance BV (MTN)

2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 300 000 100 000 % 102.209 227 241.20 0.91 2.625 % EDP Finance BV 2014/2022 . . . . . . . . . . . . . . . . . . EUR 200 000 % 105.345 234 213.46 0.93 7.375 % EnBW Energie Baden-Wuerttemberg AG (MTN)

2011/2072 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 104.148 231 552.17 0.92 0.75 % Eni SpA (MTN) 2016/2022 . . . . . . . . . . . . . . . . . . . . EUR 130 000 130 000 % 101.831 147 160.51 0.59 2.625 % Eutelsat SA 2013/2020 . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 106.383 118 260.62 0.47 2.625 % Glencore Finance Dubai Ltd (MTN) 2012/2018 . . . . EUR 100 000 100 000 % 102.126 113 528.33 0.45 0.75 % Goldman Sachs Group, Inc./The (MTN) 2016/2019 EUR 195 000 195 000 % 101.28 219 546.36 0.88 2.25 % HeidelbergCement AG (MTN) 2016/2024 . . . . . . . . EUR 170 000 170 000 % 100.446 189 823.29 0.76 1.375 % Holcim Finance Luxembourg SA (MTN) 2016/2023 EUR 120 000 120 000 % 103.241 137 721.39 0.55 5.75 % Iberdrola International BV (MTN) 2013/2049 * . . . . EUR 100 000 % 106.921 118 858.69 0.47 4.375 % Intesa Sanpaolo SpA 2012/2019 . . . . . . . . . . . . . . . EUR 200 000 % 111.677 248 291.39 0.99 1.75 % JAB Holdings BV 2016/2023 . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 103.346 114 884.54 0.46 2.375 % KBC Groep NV (MTN) 2014/2024 * . . . . . . . . . . . . EUR 100 000 % 101.733 113 091.45 0.45 2.75 % La Banque Postale SA 2015/2027 . . . . . . . . . . . . . . EUR 100 000 % 101.53 112 865.79 0.45 5.05 % La Mondiale SAM 2014/49/1* . . . . . . . . . . . . . . . . . EUR 100 000 % 97.482 108 365.83 0.43 2.625 % MOL Hungarian Oil & Gas Plc 2016/2023. . . . . . . . EUR 100 000 230 000 130 000 % 99.991 111 154.96 0.44 1.25 % Molson Coors Brewing Co. 2016/2024 . . . . . . . . . . EUR 100 000 100 000 % 100.604 111 836.40 0.45 1.75 % Nasdaq, Inc. 2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 102.971 114 467.68 0.46 0.75 % National Grid North America, Inc. (MTN)

2015/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 100.433 223 292.62 0.89 6.307 % Natixis 2007/2049 * . . . . . . . . . . . . . . . . . . . . . . . . EUR 150 000 % 105.535 175 976.92 0.70 1.125 % Nomura Europe Finance NV 2015/2020 . . . . . . . . . EUR 200 000 % 101.302 225 224.66 0.90 7.75 % Onorato Armatori SpA -Reg- 2016/2023 . . . . . . . . . EUR 100 000 500 000 400 000 % 96.066 106 791.73 0.43 3.75 % Petroleos Mexicanos (MTN) 2016/2019 . . . . . . . . . EUR 150 000 150 000 % 104.615 174 442.84 0.70 3.50 % Rexel SA 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 300 000 100 000 % 101.194 224 984.55 0.90 2.00 % Rio Tinto Finance Ltd 2012/2020 . . . . . . . . . . . . . . EUR 100 000 100 000 % 105.67 117 468.02 0.47 1.375 % Santander International Debt SAU (MTN)

2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 % 102.809 114 287.59 0.46 1.00 % Southern Power Co. 2016/2022 . . . . . . . . . . . . . . . EUR 100 000 100 000 % 101.022 112 301.07 0.45 5.625 % SSE Plc 2012/2049 * . . . . . . . . . . . . . . . . . . . . . . . . EUR 150 000 % 104.152 173 670.80 0.69 1.375 % Swiss Re Admin Re Ltd 2016/2023 . . . . . . . . . . . . EUR 130 000 130 000 % 102.006 147 413.41 0.59 1.25 % Sysco Corp. 2016/2023 . . . . . . . . . . . . . . . . . . . . . . EUR 150 000 150 000 % 100.982 168 384.91 0.67 0.75 % Telefonica Emisiones SAU (MTN) 2016/2022 . . . . . EUR 200 000 200 000 % 100.365 223 141.43 0.89 4.125 % Tereos Finance Groupe I SA 2016/2023 . . . . . . . . . EUR 200 000 300 000 100 000 % 99.221 220 597.98 0.88 3.875 % TOTAL SA (MTN) 2016/2049 * . . . . . . . . . . . . . . . . EUR 130 000 130 000 % 103.907 150 160.63 0.60 1.50 % Transmission Finance DAC (MTN) 2016/2023 . . . . EUR 100 000 100 000 % 102.697 114 163.08 0.46 2.375 % Turkiye Vakiflar Bankasi TAO 2016/2021 . . . . . . . . EUR 130 000 130 000 % 100.511 145 252.92 0.58 4.25 % Unione di Banche Italiane SpA (MTN) 2016/2026 * EUR 100 000 200 000 100 000 % 97.822 108 743.79 0.43 1.875 % Abbey National Treasury Services Plc (MTN)

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 100 000 % 100.533 135 081.24 0.54 6.25 % Atlantia SpA (MTN) 2004/2022 . . . . . . . . . . . . . . . . GBP 100 000 % 123.334 165 717.83 0.66 5.75 % Barclays Bank Plc (MTN) 2001/2026 . . . . . . . . . . . . GBP 50 000 50 000 % 108.729 73 046.90 0.29 10.00 % Barclays Bank Plc (MTN) 2009/2021 . . . . . . . . . . . . GBP 100 000 100 000 % 124.086 166 728.25 0.66 5.25 % Centrica Plc 2015/2075 * . . . . . . . . . . . . . . . . . . . . GBP 100 000 100 000 % 94.586 127 090.55 0.51 2.50 % Lloyds Bank Plc (MTN) 2015/2022 . . . . . . . . . . . . . GBP 100 000 % 102.856 138 202.54 0.55 3.60 % AbbVie, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 105.022 210 044.00 0.83 3.20 % AbbVie, Inc. 2016/2026 . . . . . . . . . . . . . . . . . . . . . . USD 70 000 70 000 % 101.474 71 031.80 0.28 4.80 % ABN AMRO Bank NV (MTN) -Reg- 2016/2026 . . . . USD 200 000 200 000 % 104.437 208 874.00 0.83 2.50 % Abu Dhabi National Energy Co. 2012/2018 . . . . . . . USD 200 000 % 100.8 201 600.00 0.80 3.45 % Actavis Funding SCS 2015/2022 . . . . . . . . . . . . . . . USD 200 000 % 103.816 207 632.00 0.83 3.95 % AerCap Ireland Capital Ltd Via AerCap Global

Aviation Trust 2016/2022 . . . . . . . . . . . . . . . . . . . . USD 280 000 450 000 170 000 % 99.875 279 650.00 1.11 2.25 % Agricultural Bank China HK 2014/2017 . . . . . . . . . . USD 200 000 % 100.871 201 742.00 0.80 3.00 % AT&T, Inc. 2015/2022 . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 102.226 102 226.00 0.41 8.25 % Aviva Plc 2012/2049 . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 105.961 211 922.00 0.84 2.875 % Axis Bank Ltd Via Dubai (MTN) -Reg- 2016/2021 . . USD 250 000 250 000 % 100.445 251 112.50 1.00 2.125 % Bank of China 2015/2018 . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 100.926 201 852.00 0.80 2.675 % Becton Dickinson and Co. 2014/2019 . . . . . . . . . . . USD 200 000 % 102.906 205 812.00 0.82 3.119 % BP Capital Markets Plc 2016/2026 . . . . . . . . . . . . . USD 90 000 90 000 % 102.101 91 890.90 0.37 3.375 % CBS Corp. 2012/2022 . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 104.446 208 892.00 0.83 7.50 % CenturyLink, Inc. 2016/2024 . . . . . . . . . . . . . . . . . . USD 190 000 190 000 % 99.965 189 933.50 0.76




261


2.125 % China Development Bank Corp. (MTN) 2016/2021 . USD 250 000 250 000 % 100.785 251 962.50 1.00 3.30 % Columbia Pipeline Group, Inc. 2016/2020 . . . . . . . . USD 200 000 200 000 % 103.321 206 642.00 0.82 2.50 % Deutsche Bank AG/London 2014/2019 . . . . . . . . . . USD 200 000 % 100.166 200 332.00 0.80 3.50 % Emirates Telecommunications Corp. 2014/2024 . . USD 200 000 % 105.041 210 082.00 0.84 2.85 % Enterprise Products Operating LLC 2016/2021 . . . USD 50 000 50 000 % 103.3 51 650.00 0.21 2.021 % Ford Motor Credit Co. LLC 2016/2019 . . . . . . . . . . USD 200 000 200 000 % 100.839 201 678.00 0.80 2.40 % General Motors Financial Co, Inc. 2016/2019 . . . . . USD 200 000 200 000 % 100.444 200 888.00 0.80 3.90 % HSBC Holdings Plc 2016/2026 . . . . . . . . . . . . . . . . USD 110 000 110 000 % 102.855 113 140.50 0.45 5.75 % Hutchison Whampoa International 09/19 Ltd

2009/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 % 112.221 112 221.00 0.45 6.875 % Jefferies Group LLC 2010/2021 . . . . . . . . . . . . . . . USD 200 000 % 113.632 227 265.00 0.91 3.90 % JPMorgan Chase & Co 2015/2025 . . . . . . . . . . . . . USD 100 000 100 000 % 108.194 108 194.00 0.43 3.40 % KeyBank NA/Cleveland OH (MTN) 2016/2026 . . . . USD 250 000 250 000 % 100.672 251 678.75 1.00 2.30 % KeyCorp (MTN) 2013/2018 . . . . . . . . . . . . . . . . . . . USD 200 000 % 101.69 203 381.00 0.81 2.90 % KeyCorp 2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . USD 111 000 % 103.248 114 605.84 0.46 3.05 % Kinder Morgan, Inc. 2014/2019 . . . . . . . . . . . . . . . . USD 200 000 % 101.595 203 190.00 0.81 3.875 % Korea Gas Corp. 2014/2024 . . . . . . . . . . . . . . . . . . USD 200 000 % 110.858 221 716.00 0.88 2.50 % Lowe‘s Cos, Inc. 2016/2026 . . . . . . . . . . . . . . . . . . USD 180 000 180 000 % 102.135 183 843.00 0.73 4.375 % Macy‘s Retail Holdings, Inc. 2013/2023 . . . . . . . . . USD 200 000 % 103.855 207 710.00 0.83 2.632 % Mizuho Financial Group, Inc. -Reg- 2016/2021 . . . . USD 200 000 200 000 % 102 204 000.00 0.81 2.10 % Molson Coors Brewing Co. 2016/2021 . . . . . . . . . . USD 35 000 35 000 % 100.39 35 136.50 0.14 3.00 % Molson Coors Brewing Co. 2016/2026 . . . . . . . . . . USD 24 000 24 000 % 100.152 24 036.48 0.10 7.30 % Morgan Stanley 2009/2019 . . . . . . . . . . . . . . . . . . . USD 200 000 % 114.87 229 740.00 0.92 5.50 % Penske Automotive Group, Inc. 2016/2026 . . . . . . USD 160 000 380 000 220 000 % 96.25 154 000.00 0.61 2.60 % Plains All American Pipeline LP /

PAA Finance Corp. 2014/2019 . . . . . . . . . . . . . . . . USD 200 000 200 000 % 97.908 195 817.00 0.78 3.85 % Plains All American Pipeline LP 2013/2023 . . . . . . . USD 150 000 % 97.287 145 930.50 0.58 3.45 % Quest Diagnostics, Inc. 2016/2026 . . . . . . . . . . . . . USD 50 000 50 000 % 103.545 51 772.50 0.21 2.70 % Santander Holdings USA, Inc. 2016/2019 . . . . . . . . USD 150 000 150 000 % 100.337 150 505.50 0.60 2.75 % Sinopec Group Overseas Development 2016 Ltd

-Reg- 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 101.915 203 830.00 0.81 3.30 % Spectra Energy Capital LLC 2013/2023 . . . . . . . . . USD 150 000 % 97.304 145 955.25 0.58 3.00 % Synchrony Financial 2014/2019 . . . . . . . . . . . . . . . . USD 150 000 % 102.03 153 045.00 0.61 2.50 % Sysco Corp. 2016/2021 . . . . . . . . . . . . . . . . . . . . . . USD 115 000 115 000 % 102.372 117 727.23 0.47 5.00 % Tenneco, Inc. 2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 70 000 70 000 % 101.688 71 181.25 0.28 3.85 % The Kroger Co. 2013/2023 . . . . . . . . . . . . . . . . . . . USD 200 000 % 110.062 220 124.00 0.87 3.60 % Time Warner, Inc. 2015/2025 . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 106.37 106 370.00 0.42 1.40 % Toyota Motor Credit Corp. (MTN) 2016/2019 . . . . . USD 100 000 100 000 % 100.626 100 626.00 0.40 4.875 % TRI Pointe Group, Inc. 2016/2021 . . . . . . . . . . . . . . USD 230 000 230 000 % 100 230 000.00 0.92 5.875 % United Rentals North America, Inc. 2016/2026 . . . USD 83 000 83 000 % 98.812 82 014.38 0.33 3.10 % UnitedHealth Group, Inc. 2016/2026 . . . . . . . . . . . . USD 170 000 170 000 % 104.503 177 655.10 0.71 5.50 % Unitymedia Hessen GmbH & Co. KG 144A

2012/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 % 100.998 201 996.00 0.81 4.875 % VEREIT Operating Partnership LP 2016/2026 . . . . . USD 70 000 70 000 % 102 71 400.00 0.28 1.75 % Wells Fargo Bank NA 2016/2019 . . . . . . . . . . . . . . USD 250 000 250 000 % 101.168 252 920.00 1.01 7.25 % Williams Partners LP / Williams Partners Finance

Corp. 2007/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 150 000 150 000 % 102.883 154 324.50 0.62 3.55 % Zimmer Holdings, Inc. 2015/2025 . . . . . . . . . . . . . . USD 200 000 % 102.968 205 935.00 0.82

Securities admitted to or included in organized markets 5 869 486.05 23.39 Interest-bearing securities5.50 % Altice US Finance I Corp. 144A 2016/2026 . . . . . . . USD 100 000 200 000 100 000 % 100 100 000.00 0.407.875 % APX Group, Inc. 144A 2016/2022 . . . . . . . . . . . . . . USD 160 000 160 000 % 100.875 161 400.00 0.644.375 % Ball Corp 2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 105.033 105 033.00 0.422.75 % Banco de Credito del Peru -Reg- 2014/2018 . . . . . . USD 200 000 % 101.113 202 226.00 0.812.00 % Banque Federative du Credit Mutuel SA (MTN)

-Reg- 2016/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 101.058 202 116.00 0.812.45 % BNP Paribas SA (MTN) 2014/2019 . . . . . . . . . . . . . USD 100 000 % 102.06 102 060.00 0.412.35 % BNZ International Funding Ltd/London 2014/2019 . USD 250 000 % 101.752 254 380.00 1.007.00 % Cheniere Corpus Christi Holdings LLC 144A

2016/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 102.75 102 750.00 0.413.375 % Comcast Corp. 2014/2025 . . . . . . . . . . . . . . . . . . . USD 200 000 % 108.185 216 370.00 0.854.42 % Diamond 1 Finance Corp. Via Diamond 2 Finance

Corp. 144A 2016/2021 . . . . . . . . . . . . . . . . . . . . . . USD 240 000 240 000 % 103.001 247 202.40 0.996.02 % Diamond 1 Finance Corp. Via Diamond 2 Finance

Corp. 144A 2016/2026 . . . . . . . . . . . . . . . . . . . . . . USD 190 000 190 000 % 103.796 197 212.40 0.792.962 % Dominion Resources Inc/VA 2016/2019 . . . . . . . . . USD 90 000 90 000 % 101.325 91 192.50 0.365.125 % Enel Finance International NV -Reg- 2009/2019 . . . USD 200 000 % 110.326 220 652.00 0.883.00 % Express Scripts Holding Co. 2016/2023 . . . . . . . . . USD 200 000 200 000 % 100.32 200 640.00 0.803.40 % Express Scripts Holding Co. 2016/2027 . . . . . . . . . USD 90 000 90 000 % 100.21 90 189.00 0.362.25 % Fifth Third Bank Via Cincinnati OH 2016/2021 . . . . USD 200 000 200 000 % 100.442 200 883.00 0.803.85 % Fifth Third Bank/Cincinnati OH 2016/2026 . . . . . . . USD 240 000 240 000 % 105.447 253 072.80 1.011.80 % Fortive Corp. 144A 2016/2019 . . . . . . . . . . . . . . . . USD 80 000 80 000 % 100.584 80 467.20 0.324.50 % Fresenius US Finance II Inc 2015/2023 . . . . . . . . . USD 200 000 200 000 % 102.5 205 000.00 0.823.70 % Gilead Sciences, Inc. 2014/2024 . . . . . . . . . . . . . . . USD 100 000 % 108.708 108 708.00 0.432.80 % H.J. Heinz Co. 2015/2020 . . . . . . . . . . . . . . . . . . . USD 200 000 % 103.066 206 133.00 0.822.85 % Hewlett Packard Enterprise Co 2015/2018 . . . . . . . USD 250 000 % 102.041 255 102.50 1.025.80 % ING Bank NV -Reg- 2013/2023 . . . . . . . . . . . . . . . . USD 200 000 % 110.253 220 506.00 0.882.375 % Intesa Sanpaolo SpA 2014/2017 . . . . . . . . . . . . . . . USD 200 000 % 100.445 200 890.00 0.803.15 % Mylan NV 144A 2016/2021 . . . . . . . . . . . . . . . . . . . USD 250 000 250 000 % 101.494 253 735.00 1.012.25 % Nordea Bank AB -Reg- 2016/2021 . . . . . . . . . . . . . USD 200 000 200 000 % 101.321 202 642.00 0.814.25 % Quest Diagnostics, Inc. 2014/2024 . . . . . . . . . . . . . USD 150 000 % 107.725 161 587.50 0.64

Deutsche Invest I Multi CreditDeutsche Invest I Multi Credit

262

7.75 % Sappi Papier Holding GmbH 144A 2012/2017 . . . . USD 200 000 200 000 % 103.812 207 625.00 0.836.125 % Siemens Financieringsmaatschappij NV 2006/2026 USD 150 000 % 131.744 197 615.25 0.792.625 % Societe Generale SA 2015/2020 . . . . . . . . . . . . . . . USD 100 000 % 103.285 103 285.00 0.413.15 % Southern California Gas Co 2014/2024 . . . . . . . . . . USD 150 000 % 107.04 160 560.75 0.645.75 % Stanley Black & Decker, Inc. 2013/2053 * . . . . . . . USD 150 000 % 106.166 159 249.75 0.634.75 % West Corp. 144A 2016/2021 . . . . . . . . . . . . . . . . . . USD 200 000 390 000 190 000 % 99.5 199 000.00 0.79

Total securities portfolio 24 437 291.94 97.41 Derivatives (Minus signs denote short positions) Interest rate derivatives -8 120.73 -0.03Receivables/payables Interest rate futures Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . Count -1 -1 -9 166.86 -0.04Germany Federal Republic Bonds 5 year 09/2016 (EUR) . . . . Count -4 -4 -5 913.98 -0.02UK Treasury Notes 09/2016 (IFLL) . . . . . . . . . . . . . . . . . . . . . Count 1 1 6 960.11 0.03 Currency derivatives -365 295.83 -1.46Receivables/payables Currency futures Currency futures (short) Open positions USD/EUR 7.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -60 448.99 -0.24USD/GBP 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -9 923.21 -0.04 Closed positions USD/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -10.77 0.00USD/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -258.12 0.00 Currency futures (long) Open positions EUR/USD 18.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -294 654.74 -1.18 Cash at bank 1 255 112.86 5.00 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 236 246 262 622.82 1.05 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 12 467 16 750.70 0.07 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 975 739.34 3.88 Other assets 240 122.84 0.96Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209 822.48 0.84Receivables from exceeding the expense cap . . . . . . . . . . . . 30 300.36 0.12 Receivables from share certificate transactions 15 233.20 0.06 Total assets ** 25 954 720.95 103.46 Other liabilities -487 354.12 -1.94Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -487 354.12 -1.94 Total liabilities -867 730.79 -3.46 Net assets 25 086 990.16 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



263



Net asset value per share Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104 .15Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 .10Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 105 .08Class USD LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 104 .00 Number of shares outstanding Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 150 000Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 893Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 000Class USD LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 232 Composition of the reference portfolio (according to CSSF circular 11/512)50% Barclays Global Aggregate Corporate 1-10 Years in USD, 50% Merrill - Global High Yield BB-B Constrained Index Constituents in USD



Futures exchangesEUR = EurexIFLL = ICE Futures Europe - Financial Products Division

Contracting parties for currency futuresDeutsche Bank AG Frankfurt, Merrill Lynch International, State Street Bank and Trust Company and State Street Bank London


As of: June 30, 2016 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0 .899564 = USD 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .744241 = USD 1

Notes on valuation


Footnotes


264






Interest-bearing securities 1.125 % Akzo Nobel NV (MTN) 2016/2026 . . . EUR 100 000 100 000 6.50 % Altice Financing SA -Reg- 2013/2022 EUR 200 000 6.375 % America Movil SAB de CV

2013/2073 * . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 1.50 % America Movil SAB de CV

2016/2024 . . . . . . . . . . . . . . . . . . . . . EUR 140 000 140 000 1.25 % Amgen, Inc. 2016/2022 . . . . . . . . . . . EUR 100 000 100 000 0.875 % Anheuser-Busch InBev SA/NV

(MTN) 2016/2022 . . . . . . . . . . . . . . . EUR 155 000 155 000 2.00 % Anheuser-Busch InBev SA/NV

(MTN) 2016/2028 . . . . . . . . . . . . . . . EUR 120 000 120 000 3.375 % ASML Holding NV 2013/2023 . . . . . . EUR 150 000 1.00 % Banco Bilbao Vizcaya Argentaria SA

2016/2021 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 3.00 % Banque Federative du Credit

Mutuel SA (MTN) 2014/2024 . . . . . . EUR 150 000 3.125 % Belfius Bank SA/NV 2016/2026 . . . . . EUR 100 000 100 000 5.875 % BiSoho SAS -Reg- 2016/2023 . . . . . . EUR 170 000 170 000 2.875 % BNP Paribas SA (MTN) 2016/2026 . . EUR 100 000 100 000 1.109 % BP Capital Markets Plc (MTN)

2015/2023 . . . . . . . . . . . . . . . . . . . . . EUR 150 000 2.00 % Brisa Concessao Rodoviaria SA

(MTN) 2016/2023 . . . . . . . . . . . . . . . EUR 100 000 100 000 1.125 % Carnival Corp 2015/2019 . . . . . . . . . . EUR 100 000 1.875 % Carnival Corp. 2015/2022 . . . . . . . . . EUR 130 000 5.75 % Cirsa Funding Luxembourg SA

-Reg- 2016/2021 . . . . . . . . . . . . . . . . EUR 220 000 220 000 1.25 % CK Hutchison Finance 16 Ltd

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 210 000 210 000 1.75 % Covestro AG 2016/2024 . . . . . . . . . . EUR 60 000 60 000 5.875 % Credit Agricole SA (MTN)

2009/2019 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 0.625 % Daimler AG 2015/2020 . . . . . . . . . . . EUR 80 000 1.00 % Deutsche Bank AG (MTN)

2016/2019 . . . . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 1.50 % Deutsche Telekom International

Finance BV (MTN) 2016/2028 . . . . . . EUR 80 000 80 000 3.00 % DNB Bank ASA (MTN) 2013/2023 * . EUR 150 000 2.375 % EDP Finance BV (MTN) 2016/2023 . . EUR 285 000 285 000 4.50 % eircom Finance DAC -Reg-

2016/2022 . . . . . . . . . . . . . . . . . . . . . EUR 190 000 190 000 4.75 % Enel SpA 2003/2018 . . . . . . . . . . . . . EUR 100 000 6.25 % Ephios BondCo 2015/2022 . . . . . . . . EUR 100 000 1.625 % FedEx Corp. 2016/2027 . . . . . . . . . . EUR 120 000 120 000 1.75 % Fomento Economico Mexicano

SAB de CV 2016/2023 . . . . . . . . . . . EUR 100 000 100 000 5.317 % Generali Finance BV 2006/2049 * . . . EUR 150 000 3.50 % Gestamp Funding Luxembourg SA

-Reg- 2016/2023 . . . . . . . . . . . . . . . . EUR 295 000 295 000 3.75 % GOODYEAR DUNLOP Tires

2015/2023 . . . . . . . . . . . . . . . . . . . . . EUR 140 000 6.75 % Goodyear Dunlop Tires Europe BV

-Reg- 2011/2019 . . . . . . . . . . . . . . . . EUR 100 000 3.50 % Hanesbrands Finance Luxembourg

SCA -Reg- 2016/2024 . . . . . . . . . . . . EUR 200 000 200 000 2.25 % HeidelbergCement AG (MTN)

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 290 000 290 000 6.875 % HomeVi SAS -Reg- 2014/2021 . . . . . EUR 100 000 0.65 % Honeywell International, Inc.


2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 1.625 % JAB Holdings BV 2015/2025 . . . . . . . EUR 100 000 6.875 % Lincoln Finance Ltd 2016/2021 . . . . . EUR 240 000 240 000 3.875 % LKQ Italia Bondco SpA -Reg-

2016/2024 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 1.90 % Magna International Inc 2015/2023 . EUR 100 000 1.875 % ManpowerGroup Inc 2015/2022 . . . . EUR 100 000 1.625 % Mediobanca SpA (MTN) 2016/2021 . EUR 160 000 160 000 0.75 % Merck Financial Services GmbH

2015/2019 . . . . . . . . . . . . . . . . . . . . . EUR 83 000

1.375 % Merck Financial Services GmbH 2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 82 000

1.50 % Mondi Finance Plc (MTN) 2016/2024 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000

1.75 % Morgan Stanley (MTN) 2016/2024 . . EUR 110 000 110 000 5.375 % Numericable Group SA -Reg-

2014/2022 . . . . . . . . . . . . . . . . . . . . . EUR 200 000 200 000 1.00 % OMV AG 2015/2049 . . . . . . . . . . . . . EUR 150 000 1.00 % Orange SA (MTN) 2016/2025 . . . . . . EUR 100 000 100 000 1.375 % Prologis LP 2014/2020 . . . . . . . . . . . EUR 200 000 1.00 % RTE Reseau de Transport

d‘Electricite SA (MTN) 2016/2026 . . . EUR 100 000 100 000 3.25 % Santander Issuances SAU (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 3.625 % Telecom Italia SpA/Milano (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . EUR 190 000 190 000 1.375 % Tesco Corporate Treasury Services Plc

2014/2019 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 5.00 % Trionista HoldCo GmbH 2013/2020 . EUR 100 000 1.25 % UBS AG/London (MTN) 2014/2021 . . EUR 200 000 2.20 % Vodafone Group Plc (MTN)

2016/2026 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 100 000 1.625 % Vonovia Finance BV 2015/2020 . . . . EUR 100 000 6.375 % Wolters Kluwer NV 2008/2018 . . . . . EUR 200 000 0.75 % WPP Finance 2013 2015/2019 . . . . . EUR 100 000 3.75 % Ziggo Secured Finance BV

2015/2025 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 4.00 % Sappi Papier Holding GmbH

2016/2023 . . . . . . . . . . . . . . . . . . . . . EUR 500 000 500 000 6.00 % Electricite de France SA (MTN)

2013/2049 * . . . . . . . . . . . . . . . . . . . GBP 100 000 2.50 % Westpac Securities NZ Ltd/London

(MTN) 2016/2021 . . . . . . . . . . . . . . . GBP 200 000 200 000 3.90 % American International Group, Inc.



2016/2046 . . . . . . . . . . . . . . . . . . . . . USD 80 000 80 000 4.40 % Appalachian Power Co. 2014/2044 . . USD 200 000 1.75 % AT&T, Inc. 2016/2018 . . . . . . . . . . . . USD 200 000 200 000 3.875 % Bank of America Corp 2015/2025 . . . USD 60 000 2.05 % Bank of America NA 2015/2018 . . . . USD 250 000 4.375 % Barclays Plc 2016/2026 . . . . . . . . . . . USD 200 000 200 000 2.35 % British Telecommunications Plc

2014/2019 . . . . . . . . . . . . . . . . . . . . . USD 200 000 7.75 % Cemex SAB de CV 2016/2026 . . . . . USD 200 000 200 000 3.70 % Citigroup, Inc. 2016/2026 . . . . . . . . . USD 200 000 200 000 7.00 % ConAgra Foods Inc 2009/2019 . . . . . USD 200 000 1.65 % Danaher Corp 2015/2018 . . . . . . . . . USD 70 000 1.75 % DIRECTV Holdings LLC 2013/2018 . . USD 200 000 3.25 % Duke Energy Progress LLC

2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 145 000 2.45 % Exelon Corp. 2016/2021 . . . . . . . . . . USD 50 000 50 000 4.75 % FedEx Corp. 2015/2045 . . . . . . . . . . USD 100 000 3.25 % FedEx Corp. 2016/2026 . . . . . . . . . . USD 60 000 60 000 1.724 % Ford Motor Credit Co. LLC

2014/2017 . . . . . . . . . . . . . . . . . . . . . USD 200 000 3.10 % General Motors Financial Co Inc

2015/2019 . . . . . . . . . . . . . . . . . . . . . USD 120 000 5.00 % HSBC USA, Inc. 2010/2020 . . . . . . . USD 200 000 4.875 % McDonalds Corp 2015/2045 . . . . . . . USD 60 000 4.60 % MetLife Inc 2015/2046 . . . . . . . . . . . USD 140 000 3.85 % Mitsubishi UFJ Financial Group, Inc.

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 4.20 % Newell Rubbermaid, Inc. 2016/2026 . USD 20 000 20 000 5.50 % Newell Rubbermaid, Inc. 2016/2046 . USD 55 000 55 000 2.00 % Nomura Holdings, Inc. (MTN)

2013/2016 . . . . . . . . . . . . . . . . . . . . . USD 200 000 6.75 % Qwest Corp. 2011/2021 . . . . . . . . . . USD 150 000 2.625 % SABIC Capital II BV 2013/2018 . . . . . USD 200 000 3.375 % Simon Property Group LP

2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 150 000


265



Interest rate futuresContracts purchased (Underlyings: Euro Bobl, Euro Bund, Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, US Treasury Note 10-Year, US Treasury Note 30-Year, US Treasury Note 5-Year, US Treasury Ultra Bond) USD 8 840 Contracts sold (Underlyings: UK Treasury Notes, US Treasury Note 10-Year, US Treasury Note 5-Year) USD 4 643 Currency futures (short) Futures contracts to sell currencies USD/EUR USD 161 521USD/GBP USD 3 357 Currency futures (long) Futures contracts to purchase currencies EUR/USD USD 150 751GBP/USD USD 4 270 Swaps Interest rate swaps (Underlying: MARKIT ITRX EUROPE) EUR 4 900


2.125 % State Grid Overseas Investment 2016 Ltd -Reg- 2016/2021 . . . . . . . . USD 290 000 290 000

3.784 % Sumitomo Mitsui Financial Group, Inc. 2016/2026 . . . . . . . . . . . . . . . . . USD 90 000 90 000

3.30 % Sysco Corp. 2016/2026 . . . . . . . . . . . USD 42 000 42 000 3.192 % Telefonica Emisiones SAU

2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 150 000 3.75 % UnitedHealth Group Inc 2015/2025 . USD 200 000 3.70 % US Bancorp (MTN) 2014/2024 . . . . . USD 200 000 3.65 % Verizon Communications, Inc.

2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 100 000 4.30 % VISA Inc 2015/2045 . . . . . . . . . . . . . USD 120 000 Securities admitted to or included in organized markets Interest-bearing securities 1.125 % Autostrade per l‘Italia 2015/2021 . . . EUR 100 000 1.00 % CNP Assurances 2015/2047 . . . . . . . EUR 100 000 1.125 % ISS Global A/S 2015/2021 . . . . . . . . . EUR 100 000 1.00 % OMV AG 2015/2049 . . . . . . . . . . . . . EUR 60 000 60 000 4.875 % Telenet Finance VI 2015/2027 . . . . . EUR 100 000 1.50 % Wells Fargo + Company 2015/2022 . EUR 100 000 5.00 % AMC Networks, Inc. 2016/2024 . . . . USD 80 000 80 000 2.70 % Amgen, Inc. 2015/2022 . . . . . . . . . . . USD 200 000 2.30 % Australia & New Zealand Banking

Group Ltd/New York NY 2016/2021 . USD 250 000 250 000 2.90 % Biogen Inc 2015/2020 . . . . . . . . . . . . USD 55 000 2.80 % BMW US Capital LLC -Reg-

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 30 000 30 000 2.60 % Cisco Systems, Inc. 2016/2023 . . . . USD 70 000 70 000 4.95 % Citigroup, Inc. 2013/2043 . . . . . . . . . USD 112 000 3.30 % Columbia Pipeline Group, Inc. 144A

2015/2020 . . . . . . . . . . . . . . . . . . . . . USD 200 000 3.80 % eBay, Inc. 2016/2022 . . . . . . . . . . . . USD 40 000 40 000 10.50 % Frontier Communications Corp.

2015/2022 . . . . . . . . . . . . . . . . . . . . . USD 80 000 4.375 % GLP Capital LP / GLP Financing II,

Inc. 2016/2021 . . . . . . . . . . . . . . . . . USD 30 000 30 000 5.00 % Goodyear Tire & Rubber Co./The

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 40 000 40 000 4.625 % Hanesbrands, Inc. 144A 2016/2024 . USD 130 000 130 000 1.625 % Hutchison Whampoa International

14 Ltd -Reg- 2014/2017 . . . . . . . . . . USD 250 000 5.875 % Kaiser Aluminum Corp. 144A

2016/2024 . . . . . . . . . . . . . . . . . . . . . USD 35 000 35 000 5.25 % KFC Holding Co. Via Pizza Hut

Holdings LLC Via Taco Bell of America LLC 144A 2016/2026 . . . . . . . . . . . . . . . . USD 20 000 20 000

2.50 % Korea East-West Power Co., Ltd - Reg- 2014/2020 . . . . . . . . . . . . . . . . . USD 200 000

5.625 % MGP Escrow Issuer LLC / MGP Escrow Co-Issuer, Inc. 144A 2016/2024 . . . . . . . . . . . . . . . . . . . . . USD 110 000 110 000

7.50 % Micron Technology, Inc. 144A 2016/2023 . . . . . . . . . . . . . . . . . . . . . USD 150 000 150 000

3.30 % Penske Truck Leasing Co Lp / PTL Finance Corp 2015/2021 . . . . . . USD 53 000

5.50 % Performance Food Group, Inc. 144A 2016/2024 . . . . . . . . . . . . . . . . USD 100 000 100 000

9.25 % Prime Security Services Borrower LLC / Prime Finance, Inc. 144A 2016/2023 . . . . . . . . . . . . . . . . . . . . USD 90 000 90 000

5.375 % Sirius XM Radio, Inc. 144A 2 016/2026 . . . . . . . . . . . . . . . . . . . . . . USD 160 000 160 000

2.10 % Starbucks Corp. 2016/2021 . . . . . . . . USD 200 000 200 000 3.125 % Telstra Corp., Ltd 2015/2025 . . . . . . USD 200 000 10.50 % Western Digital, Corp. 144A

2016/2024 . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 Investment fund units In-group fund units Deutsche Invest I - Financial Hybrid Bonds -FC- EUR - (0.600%) . . . . . . . . . . . . . . . . . . . . . . . . . . Units 5 886 5 886Deutsche Invest I - Senior Secured High Yield Corporates -FC- EUR - (0.600%) . . . . . . . . . . . . . Units 4 800


266

Securities traded on an exchange 902 712 588.50 36.96 EquitiesDufry AG ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 926 3 332 104 786 CHF 116 .1 6 313 613 .68 0 .26Nestle SA -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 395 204 293 233 579 CHF 75 2 519 079 .13 0 .10Novartis AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 188 079 305 947 202 829 CHF 79 .3 13 764 242 .56 0 .56Roche Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 127 146 108 816 CHF 253 .5 29 745 377 .75 1 .22Allianz SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 111 332 111 332 EUR 126 .15 14 044 531 .80 0 .58Applus Services SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 919 583 86 008 EUR 8 .744 8 040 833 .75 0 .33Axel Springer SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 71 047 8 191 EUR 46 .97 3 337 077 .59 0 .14Banco Santander SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 881 640 186 672 4 851 508 EUR 3 .395 9 783 167 .80 0 .40Bayer AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 368 222 579 268 211 046 EUR 88 .9 32 734 935 .80 1 .34CTS Eventim AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 208 339 208 339 EUR 27 .505 5 730 364 .20 0 .24Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 228 239 438 345 210 106 EUR 53 .03 12 103 514 .17 0 .50Deutsche Annington Immobilien SE . . . . . . . . . . . . . . . . . . . Count 263 465 210 965 788 932 EUR 32 .765 8 632 430 .73 0 .35Deutsche Telekom AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 753 351 2 099 987 754 155 EUR 15 .13 26 528 200 .63 1 .09Kering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 76 259 76 259 EUR 144 .6 11 027 051 .40 0 .45Merck KGaA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106 275 353 718 295 054 EUR 90 .16 9 581 754 .00 0 .39Repsol SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 852 984 781 107 2 003 354 EUR 11 .375 9 702 693 .00 0 .40Royal Dutch Shell Plc -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 764 165 893 896 1 280 046 EUR 24 .445 18 680 013 .43 0 .77Sanofi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 554 255 349 231 70 909 EUR 73 .99 41 009 327 .45 1 .68UniCredit SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 914 642 1 062 893 5 847 813 EUR 1 .915 3 666 539 .43 0 .15Unipol Gruppo Finanziario SpA . . . . . . . . . . . . . . . . . . . . . . . . Count 1 130 099 81 647 477 470 EUR 2 .044 2 309 922 .36 0 .10AstraZeneca Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 190 557 337 871 147 314 GBP 43 .53 10 026 100 .41 0 .41Burberry Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 602 059 602 059 GBP 11 .53 8 390 480 .57 0 .34Shire Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 308 592 308 592 GBP 45 .28 16 889 218 .60 0 .69Standard Chartered Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 606 785 136 394 327 267 GBP 5 .565 10 807 902 .38 0 .44Tullow Oil Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 038 797 82 634 327 933 GBP 2 .607 3 273 333 .04 0 .13Vodafone Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 544 822 5 749 093 4 272 187 GBP 2 .215 14 844 986 .78 0 .61WPP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 230 992 230 992 GBP 15 .45 4 313 640 .01 0 .18Prada SpA ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 355 693 800 000 400 000 HKD 23 .95 12 094 688 .63 0 .50Mitsubishi Electric Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 515 JPY 1 208 5 444 .73 0 .00AbbVie, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 121 006 11 323 USD 61 .42 6 685 729 .23 0 .27Allergan Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 40 492 40 492 USD 228 .08 8 307 847 .18 0 .34American Express Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 83 812 6 200 37 698 USD 58 .99 4 447 507 .28 0 .18Amgen, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91 949 138 237 46 288 USD 149 .98 12 405 447 .25 0 .51Anadarko Petroleum Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 218 210 683 314 006 USD 52 .16 2 731 661 .81 0 .11Biogen Idec, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 347 51 347 USD 237 .08 10 950 704 .50 0 .45Capital One Financial Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 360 922 397 854 374 294 USD 61 .63 20 009 562 .35 0 .82Celgene Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 178 678 178 678 USD 97 .61 15 689 079 .45 0 .64Cisco Systems, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 379 081 236 846 130 544 USD 28 .21 9 619 824 .98 0 .39Citigroup, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 366 670 515 665 419 991 USD 42 .155 13 904 537 .22 0 .57Devon Energy Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 407 122 584 71 177 USD 35 .84 1 657 380 .89 0 .07Discover Financial Services . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 122 306 9 049 185 246 USD 52 .35 5 759 655 .60 0 .24eBay, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 165 158 165 158 USD 23 .31 3 463 171 .15 0 .14EMC Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 778 332 42 990 73 062 USD 27 .14 19 002 327 .39 0 .78Gilead Sciences, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 145 210 145 210 USD 81 .75 10 678 650 .03 0 .44Goldcorp, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 109 193 1 538 416 870 656 USD 18 .86 35 784 098 .16 1 .46JPMorgan Chase & Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 435 180 35 000 229 820 USD 26 .82 10 499 286 .05 0 .43LyondellBasell Industries NV . . . . . . . . . . . . . . . . . . . . . . . . . . Count 138 323 138 323 USD 73 .37 9 129 457 .80 0 .37Merck & Co ., Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 599 70 372 433 772 USD 56 .98 2 439 789 .40 0 .10MetLife, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 209 298 381 824 317 976 USD 39 .09 7 359 745 .82 0 .30Mosaic Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 295 230 26 611 294 310 USD 25 .3 6 719 130 .47 0 .28Pfizer, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 78 413 300 984 426 439 USD 34 .95 2 465 286 .04 0 .10Potash Corp . of Saskatchewan, Inc . . . . . . . . . . . . . . . . . . . . . Count 537 413 213 566 342 340 USD 15 .73 7 604 470 .11 0 .31Prudential Financial, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 104 050 91 173 330 462 USD 69 .76 6 529 510 .48 0 .27Samsung Electronics Co ., Ltd -GDR- . . . . . . . . . . . . . . . . . . . Count 44 157 2 802 54 133 USD 507 20 139 078 .10 0 .82SK Telecom Co ., Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 183 142 16 102 331 198 USD 20 .7 3 410 282 .57 0 .14Union Pacific Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 587 202 434 108 847 USD 85 .81 7 224 129 .04 0 .30Yamana Gold, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 912 267 101 150 4 688 883 USD 5 .205 8 953 675 .10 0 .37

Interest-bearing securities 1 .00 % Aabar Investments PJSC 2015/2022 . . . . . . . . . . . EUR 23 800 000 23 800 000 % 71 .875 17 106 250 .00 0 .70 7 .125 % Aareal Bank Capital Funding Trust 31/12/2099 . . . . EUR 56 000 % 25 .49 1 427 440 .00 0 .06 3 .50 % Anglo American Capital Plc (MTN) 2012/2022 . . . . EUR 9 000 000 9 000 000 % 94 .571 8 511 390 .00 0 .35 1 .50 % Anglo American Capital Plc (MTN) 2015/2018 . . . . EUR 16 886 000 3 500 000 % 91 .062 15 376 729 .32 0 .63 2 .875 % Anglo American Capital PLC 2013/2020 . . . . . . . . . EUR 10 500 000 6 000 000 % 93 .877 9 857 085 .00 0 .40 7 .00 % Eurofins Scientific SE (MTN) 2013/2049 * . . . . . . . EUR 11 100 000 1 100 000 % 108 .493 12 042 723 .00 0 .49 4 .875 % Eurofins Scientific SE 2015/2049 * . . . . . . . . . . . . . EUR 27 725 000 9 850 000 % 99 .273 27 523 439 .25 1 .13 7 .50 % Hapag Lloyd AG 2014/2019 ** . . . . . . . . . . . . . . . . EUR 2 673 000 1 200 000 2 400 000 % 103 .839 2 775 616 .47 0 .12 7 .75 % Hapag-Lloyd AG (MTN) -Reg- 2013/2018 ** . . . . . . EUR 9 276 000 1 060 000 1 500 000 % 102 .417 9 500 200 .92 0 .39 7 .125 % LGE HoldCo VI BV -Reg- 2014/2024 . . . . . . . . . . . . EUR 17 450 000 17 450 000 % 110 .753 19 326 398 .50 0 .79 3 .25 % Petrobras Global Finance BV 2012/2019 . . . . . . . . . EUR 5 550 000 5 550 000 % 93 .515 5 190 082 .50 0 .21 6 .75 % Thomas Cook Finance Plc -Reg- 2015/2021 ** . . . EUR 2 800 000 100 000 % 92 .995 2 603 860 .00 0 .11 14 .00 % Barclays Bank Plc 2008/2049 * . . . . . . . . . . . . . . . . GBP 21 000 000 11 800 000 7 700 000 % 121 .649 30 877 797 .42 1 .26 5 .125 % Alcoa, Inc . 2014/2024 ** . . . . . . . . . . . . . . . . . . . . . USD 48 900 000 16 180 000 % 100 .696 44 294 840 .79 1 .81 7 .75 % Cemex SAB de CV 2016/2026 . . . . . . . . . . . . . . . . USD 1 900 000 1 900 000 % 105 .23 1 798 561 .27 0 .07




267

5.75 % DaVita HealthCare Partners, Inc. 2012/2022 . . . . . . USD 7 585 000 450 000 6 640 000 % 104.571 7 135 081.09 0.29 5.125 % DaVita HealthCare Partners, Inc. 2014/2024 . . . . . . USD 12 200 000 6 600 000 6 000 000 % 101.058 11 090 792.92 0.45 5.375 % Indonesia Government International Bond (MTN)

-Reg- 2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 000 000 700 000 % 112.65 7 093 511.92 0.29 6.464 % T-Mobile USA, Inc. 2013/2019 . . . . . . . . . . . . . . . . USD 12 340 000 1 150 000 % 102.249 11 350 272.69 0.46 6.00 % T-Mobile USA, Inc. 2014/2023 . . . . . . . . . . . . . . . . USD 29 440 000 2 700 000 % 103.66 27 452 447.96 1.12 3.70 % Williams Cos, Inc./The 2012/2023 . . . . . . . . . . . . . . USD 8 600 000 8 600 000 % 89.276 6 906 576.22 0.28

Securities admitted to or included in organized markets 196 383 833.67 8.02

Interest-bearing securities 5.00 % Expedia Inc 2015/2026 . . . . . . . . . . . . . . . . . . . . . . USD 41 120 000 18 120 000 % 103.917 38 438 972.77 1.57 4.50 % Fresenius US Finance II Inc 2015/2023 . . . . . . . . . USD 12 550 000 12 550 000 2 740 000 % 102.5 11 571 766.40 0.47 5.25 % KFC Holding Co. Via Pizza Hut Holdings LLC

Via Taco Bell of America LLC 144A 2016/2026 . . . USD 6 918 000 6 918 000 % 101.938 6 343 757.93 0.26 0.50 % LinkedIn Corp 2014/2019 . . . . . . . . . . . . . . . . . . . . USD 21 300 000 21 300 000 % 98.78 18 927 048.30 0.77 5.875 % Micron Technology Inc 2014/2022 . . . . . . . . . . . . . USD 9 200 000 9 200 000 % 94.765 7 842 740.78 0.32 7.50 % Micron Technology, Inc. 144A 2016/2023 . . . . . . . USD 17 780 000 17 780 000 % 106.494 17 032 994.35 0.70 5.75 % MSCI Inc 2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . USD 9 480 000 9 480 000 10 700 000 % 103.688 8 842 331.80 0.36 5.25 % MSCI, Inc. 144A 2014/2024 . . . . . . . . . . . . . . . . . . USD 4 650 000 4 650 000 % 101.875 4 261 403.33 0.17 5.50 % Netflix, Inc. 2015/2022 . . . . . . . . . . . . . . . . . . . . . . USD 10 530 000 10 530 000 % 104.274 9 877 212.31 0.40 5.875 % Netflix, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . . . . USD 7 100 000 7 100 000 % 104.5 6 674 315.10 0.27 5.00 % Nielsen Finance LLC / Nielsen Finance Co

2014/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 8 700 000 800 000 18 000 000 % 101.688 7 958 274.04 0.33 9.25 % Prime Security Services Borrower LLC /

Prime Finance, Inc. 144A 2016/2023 . . . . . . . . . . . USD 1 510 000 1 510 000 % 105.875 1 438 144.21 0.06 1.25 % Tesla Motors Inc 2014/2021 . . . . . . . . . . . . . . . . . . USD 11 000 000 11 000 000 % 82.848 8 197 929.13 0.34 0.25 % Tesla Motors, Inc. 2014/2019 . . . . . . . . . . . . . . . . . USD 20 900 000 20 900 000 % 89.084 16 748 582.70 0.69 6.50 % T-Mobile USA Inc 2013/2024 . . . . . . . . . . . . . . . . . USD 7 550 000 1 050 000 % 105.475 7 163 554.22 0.29 6.625 % T-Mobile USA Inc 2014/2023 . . . . . . . . . . . . . . . . . USD 8 150 000 850 000 % 105.739 7 752 198.32 0.32 5.25 % VeriSign Inc 2015/2025 . . . . . . . . . . . . . . . . . . . . . . USD 15 740 000 1 100 000 7 000 000 % 102.562 14 521 965.25 0.59 10.50 % Western Digital Corp. -Reg- 2016/2024 . . . . . . . . . USD 2 900 000 2 900 000 % 106.973 2 790 642.73 0.11

Investment fund units 1 255 880 400.14 51.38 In-group fund units db x-trackers - MSCI Emerging Markets Index UCITS ETF -1C- EUR - (0.450%) . . . . . . . . . . . . . . . . . . . . . . Units 647 617 1 627 159 1 999 781 EUR 30.26 19 596 890.42 0.80db x-trackers - STOXX Global Select Dividend 100 UCITS ETF -1D- EUR - (0.400%) . . . . . . . . . . . . . . . . . . . . . . . Units 2 715 224 1 030 736 EUR 26.6 72 224 958.40 2.96db x-trackers II - EONIA UCITS ETF -1C- EUR -1C- EUR - (0.050%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 28 539 EUR 139.122 3 970 402.76 0.16db x-trackers II - EONIA UCITS ETF -1C- EUR -1C- EUR - (0.050%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 615 765 876 434 969 199 EUR 139.12 85 665 226.80 3.51db x-trackers II - IBOXX EUR HIGH YIELD BOND UCITS-1C- EUR - (0.250%) . . . . . . . . . . . . . . . . . . . . . Units 2 371 771 2 371 771 EUR 17.29 41 007 920.59 1.68Deutsche Invest I - Euro Corporate Bonds -IC- EUR - (0.400%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 322 306 322 306 EUR 106.54 34 338 481.24 1.40Deutsche Invest I - Global Bonds -IC- EUR - (0.350%) . . . . . . Units 1 041 075 1 041 075 EUR 99.39 103 472 444.25 4.23Deutsche Invest I SICAV - Deutsche Invest I Convertibles -FC- EUR - (0.650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 158 073 158 073 EUR 174.09 27 518 928.57 1.13Deutsche Invest II - Global Growth -FC- EUR - (0.750%) . . . . Units 163 957 163 957 EUR 139.74 22 911 351.18 0.94DWS Biotech Typ O EUR - (1.300%) . . . . . . . . . . . . . . . . . . . Units 263 159 263 159 EUR 152.65 40 171 221.35 1.64DWS Convertibles -FC- EUR - (0.600%) . . . . . . . . . . . . . . . . . Units 74 839 EUR 128.54 9 619 805.06 0.39DWS Dynamic Opportunities -FC- EUR - (0.850%) . . . . . . . . . Units 85 000 85 000 EUR 36.75 3 123 750.00 0.13DWS Floating Rate Notes EUR - (0.300%) . . . . . . . . . . . . . . . Units 2 763 860 183 749 135 059 EUR 83.87 231 804 938.20 9.48DWS Institutional - DWS Institutional Money Plus -I- EUR - (0.160%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 3 966 3 966 EUR 14 050.11 55 722 736.26 2.28DWS Invest - DWS Invest Euro High Yield Corporates -FC- EUR - (0.650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 105 293 105 293 EUR 136.76 14 399 870.68 0.59DWS Rendite Optima Four Seasons EUR - (1.500%) . . . . . . Units 1 977 021 22 224 737 602 EUR 102.5 202 644 652.50 8.29DWS Top Europa EUR - (1.400%) . . . . . . . . . . . . . . . . . . . . . . Units 919 940 316 856 EUR 121.26 111 551 924.40 4.56DWS Vermoegensbildungfonds I -ID- EUR - (0.600%) . . . . . . Units 353 739 77 744 EUR 128.06 45 299 816.34 1.85DWS (US Dollar) Reserve USD - (0.300%) . . . . . . . . . . . . . . . Units 325 585 150 530 USD 184.88 54 148 494.65 2.22 Non-group fund units iShares PLC - iShares Euro High Yield Corporate Bond UCITS ETF EUR - (0.500%) . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 255 078 622 231 367 153 EUR 103.91 26 505 154.98 1.08iShares II PLC - iShares $ High Yield Corporate Bond UCITS ETF USD - (0.500%) . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 202 315 182 305 543 959 USD 100.58 18 305 086.33 0.75iShares II PLC - iShares J,P, Morgan $ Emerging Markets Bond UCITS ETF USD - (0.500%). . . . . . . Units 160 844 672 751 562 582 USD 113.25 16 386 082.70 0.67iShares II PLC - iShares J.P. Morgan $ Emerging Markets Bond UCITS ETF GBP - (0.450%) . . . . . . . Units 35 470 35 470 USD 113.33 3 616 080.95 0.15iShares III PLC - iShares Emerging Markets Local Government Bond UCITS ETF USD - (0.500%) . . . . . . . Units 199 131 199 131 EUR 59.63 11 874 181.53 0.49 Total securities portfolio 2 354 976 822.31 96.36



268

Derivatives (Minus signs denote short positions) Equity index derivatives -2 888 410.04 -0.12Receivables/payables Equity index futures Dax Index 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count -25 -25 -244 862 .17 -0 .01DJ EURO STOXX 50 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . Count 200 200 -4 800 .00 0 .00H-Shares Index Futures 07/2016 (HKF) . . . . . . . . . . . . . . . . . Count 120 120 66 989 .92 0 .00S & P MINI 500 Futures 09/2016 (CME) . . . . . . . . . . . . . . . . . Count -1 670 -1 670 -2 705 737 .78 -0 .11 Interest rate derivatives -3 502 345.16 -0.14Receivables/payables Interest rate futures Euro SCHATZ Futures 09/2016 (EUR) . . . . . . . . . . . . . . . . . . Count -315 -315 -78 750 .00 0 .00Germany Federal Republic Bonds 5 year 09/2016 (EUR) . . . . Count -470 -470 -612 200 .00 -0 .03Germany Federal Republic Notes 10 year 09/2016 (EUR) . . . Count -210 -210 -995 300 .00 -0 .04US Treasury Notes 10 year Futures 09/2016 (CBT) . . . . . . . . Count -360 -360 -1 816 095 .16 -0 .07 Currency derivatives 11 435 488.62 0.47Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 143 .6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 681 091 .68 0 .33EUR/USD 117 .5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 526 891 .03 -0 .06 Closed positions EUR/AUD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 .86 0 .00EUR/CHF 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 .07 0 .00EUR/CNH 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0 .85 0 .00EUR/GBP 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0 .47 0 .00EUR/HKD 0 .2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90 .07 0 .00EUR/SEK 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 .75 0 .00EUR/SGD 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92 .47 0 .00EUR/USD 149 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 317 706 .31 -0 .06 Currency futures (long) Open positions AUD/EUR 1 .6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 415 .48 0 .00CHF/EUR 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47 .39 0 .00CNH/EUR 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 .31 0 .00GBP/EUR 0 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -392 .37 0 .00HKD/EUR 35 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59 588 .43 0 .00SEK/EUR 0 .5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -722 .47 0 .00SGD/EUR 6 .7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82 983 .39 0 .00USD/EUR 518 .1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 435 834 .02 0 .26 Cash at bank 75 508 512.51 3.09 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 69 551 327 .14 2 .85

Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 82 327 99 508 .04 0 .00Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 17 679 1 898 .61 0 .00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 14 438 1 530 .63 0 .00 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 1 744 1 166 .41 0 .00Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 523 760 146 736 .23 0 .01Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 1 523 344 176 615 .89 0 .01Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 3 231 083 28 278 .11 0 .00Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 109 273 100 844 .80 0 .00South African rand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 10 883 665 .19 0 .00U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 6 002 843 5 399 941 .46 0 .22 Other assets 25 614 257.93 1.05Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 328 871 .28 0 .05Prepaid placement fee *** . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 466 470 .72 0 .52Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 575 562 .93 0 .27Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 243 353 .00 0 .21Receivables from share certificate transactions 3 627 748.94 0.14



269

Total assets **** 2 474 075 534.63 101.23 Other liabilities -18 610 972.58 -0.76Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -18 610 972 .58 -0 .76 Liabilities from share certificate transactions -2 132 759.40 -0.09 Total liabilities -30 047 191.50 -1.23 Net assets 2 444 028 343.13 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class AUD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 95 .22Class AUD LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 94 .31Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 97 .69Class RMB LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNY 100 .11Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 .79Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97 .88Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 108 .21Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97 .64Class LDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 .64Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 107 .09Class NDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .63Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106 .42Class PFDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .81Class GBP CH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 94 .45Class HKD LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 86 .76Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 006 .57Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 002 .71Class SGD LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 8 .89Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 94 .04Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 93 .78Class USD LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 93 .51Class USD RDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 .00 Number of shares outstanding Class AUD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 345Class AUD LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 963Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106Class RMB LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 725Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 546 931Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 218 586Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 106Class LDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 041 959Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 690 295Class NDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 564 897Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 565 545Class PFDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 461 710Class GBP CH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72Class HKD LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 406 355Class SEK FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93Class SEK LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 431Class SGD LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 761 485Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 099Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 374 439Class USD LDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 126 522Class USD RDMH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 Composition of the reference portfolio (according to CSSF circular 11/512)50% MSCI Europe ex UK in EUR Constituents, 50% MSCI THE WORLD INDEX in EUR Constituents (January 1, 2016 - March 30, 2016)

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 32 .324 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 48 .483 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 40 .757 The values-at-risk were calculated for the period from January 1, 2016, through March 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 .

Presentation of the maximum limit (according to CSSF circular 11/512)12 .0% of portfolio value (March 31, 2016 - June 30, 2016)



270



Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 3 .181 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 4 .753 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 4 .014

The values-at-risk were calculated for the period from March 16, 2015, through December 31, 2015, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .5, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 1 129 113 349 .62 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .


Futures exchangesCBT = Chicago Board of TradeCME = Chicago Mercantile ExchangeEUR = EurexHKF = Hong Kong Futures Exchange

Contracting parties for derivatives (with the exception of currency futures)CS = Crédit Suisse InternationalGS = Goldman Sachs International

Contracting parties for currency futuresCitigroup Global Markets Limited, Crédit Suisse London Branch (GFX), Deutsche Bank AG Frankfurt, Morgan Stanley and Co . International PLC, Nomura International PLC, State Street Bank and Trust Company and UBS AG London



Dufry AG Count 50 000 5 357 239 .30 Prada SpA Count 100 000 277 675 .407 .50 % Hapag Lloyd AG 2014/2019 EUR 2 300 000 2 388 297 .007 .75 % Hapag-Lloyd AG (MTN) -Reg- 2013/2018 EUR 9 200 000 9 422 364 .006 .75 % Thomas Cook Finance Plc -Reg- 2015/2021 EUR 2 700 000 2 510 865 .005 .125 % Alcoa, Inc . 2014/2024 USD 26 700 000 24 185 526 .70

Total receivables from securities loans 44 141 967.40 44 141 967.40 Contracting parties for securities loans BNP Paribas Arbitrage SNC, Barclays Capital Securities Limited, Commerzbank Frankfurt, Crédit Suisse Securities (Europe) Ltd . FI, J .P . Morgan Sec Ltd ., Merrill Lynch International Total collateral pledged by third parties for securities loans EUR 26 573 211.85 thereof: Bonds EUR 12 902 320 .94Equities EUR 33 855 332 .67 Exchange rates (indirect quotes)

As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .494856 = EUR 1Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3 .569396 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1 .083580 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9 .311511 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9 .432959 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1South African rand . . . . . . . . . . . . . . . . ZAR 16 .360704 = EUR 1

271




Equities Apache Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 200AT&T, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 145 134Barclays Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 894 453BG Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 075 837BM&FBovespa SA . . . . . . . . . . . . . . . . . . . . . . . . Count 1 371 185BNP Paribas SA . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 738Boston Beer Co. . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 314 27 314Covestro AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 113 537 113 537Deutsche Post AG -Reg- . . . . . . . . . . . . . . . . . . . Count 495 501 720 290Diageo Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 370 334 370 334Eaton Corp., Plc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 119 875GlaxoSmithKline Plc . . . . . . . . . . . . . . . . . . . . . . Count 1 123 164HSBC Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . Count 1 582 136ING Groep NV . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 429 850KT Corp. -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 738 330Lloyds Banking Group Plc . . . . . . . . . . . . . . . . . . Count 4 511 691Newmont Mining Corp. . . . . . . . . . . . . . . . . . . . . Count 637 316 637 316Orange SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 650 032Repsol S.A. 14/01/2016 . . . . . . . . . . . . . . . . . . . . Count 1 368 972Repsol SA -Rights Exp 01Jul16 . . . . . . . . . . . . . . Count 1 430 898 1 430 898Societe Generale SA . . . . . . . . . . . . . . . . . . . . . . Count 204 614Swatch Group AG -B- . . . . . . . . . . . . . . . . . . . . . Count 9 616Verizon Communications, Inc. . . . . . . . . . . . . . . . Count 158 090

Interest-bearing securities1.75 % Anglo American Capital Plc (MTN)

2014/2018 . . . . . . . . . . . . . . . . . . . . . EUR 4 510 000 13 003 0002.50 % Anglo American Capital Plc

2012/2018 . . . . . . . . . . . . . . . . . . . . . EUR 6 930 000 17 085 0002.75 % Anglo American Capital PLC

2012/2019 . . . . . . . . . . . . . . . . . . . . . EUR 11 000 000 11 000 0009.875 % CEMEX Espana SA/Luxembourg

-Reg- 2012/2019 . . . . . . . . . . . . . . . . EUR 1 600 000

2.75 % Petrobras Global Finance BV 2014/2018 . . . . . . . . . . . . . . . . . . . . . EUR 5 635 000 5 635 000

4.875 % Petrobras International Finance Co. (MTN) 2011/2018 . . . . . . . . . . . . . . . EUR 5 400 000 5 400 000

6.214 % Generali Finance BV 2006/2049 * . . . GBP 100 000 10 650 0006.30 % Devon Energy Corp. 2009/2019 . . . . USD 15 800 000 15 800 0008.125 % Hess Corp. 2009/2019 . . . . . . . . . . . USD 6 090 000 6 090 0008.50 % Manitowoc Co., Inc. 2010/2020 . . . . USD 11 100 0006.00 % Numericable SFR 144A 2014/2022 . . USD 2 545 0004.55 % Williams Cos, Inc./The 2014/2024 . . USD 520 000 520 000


Interest-bearing securities4.875 % HJ Heinz Co.144A 2015/2025 . . . . . . USD 11 270 0007.75 % Repsol Oil & Gas Canada, Inc.

2009/2019 . . . . . . . . . . . . . . . . . . . . . USD 20 895 000 20 895 000


In-group fund unitsdb x-trackers - FTSE 100 UCITS ETF (DR) -1D- GBP - (0.200%) . . . . . . . . . . . . . . . . . . . . . . Units 539 171 3 296 249db x-trackers - MSCI Korea Index UCITS ETF (DR) -1C- EUR - (0.450%) . . . . . . . . . . . . . . . . . . Units 113 131 200 944db x-trackers - MSCI Korea Index UCITS ETF (DR) -1C- USD - (0.450%) . . . . . . . . . . . . . . . . . . Units 113 131db x-trackers II - IBOXX Sovereigns Eurozone Yield Plus 1-3 UCITS ETF -1C- EUR - (0.050%) . . Units 4 786 953 308DWS Global Growth EUR - (1.450%) . . . . . . . . . Units 12 805 230 324DWS Global Value FCP -FD- EUR - (0.900%) . . . Units 56 787 243 918

Non-group fund unitsiShares III PLC - iShares Emerging Markets Local Government Bond UCITS ETF EUR - (0.500%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 277 220 418 969

Notes on valuation



*** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations). **** Does not include positions with a negative balance, if such exist.




272


Value (’000)Futures contracts Equity index futures Contracts purchased (Underlyings: DJ Euro Stoxx 50, S & P MINI 500 Futures, S & P MINI 500 Futures 06/2016 (CME), S&P 500) EUR 1 214 234 Contracts sold (Underlyings: Dax Index, DJ Euro Stoxx 50, DJ Euro Stoxx Auto Futures 06/2016 (EUR), DJ Euro Stoxx Bank Futures, H-Shares Index Futures, Nikkei 225 Futures) EUR 1 319 105 Interest rate futures Contracts purchased (Underlyings: Euro Bobl, Euro Bund, Euro SCHATZ Futures , Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, US Treasury Note 10-Year) EUR 796 805 Currency futures (short) Futures contracts to sell currencies EUR/AUD EUR 3 282EUR/CAD EUR 21 895EUR/CHF EUR 57EUR/CNH EUR 61EUR/GBP EUR 61 940EUR/HKD EUR 22 382EUR/KRW EUR 227 551EUR/SEK EUR 265EUR/SGD EUR 21 447EUR/USD EUR 1 397 483 Currency futures (long) Futures contracts to purchase currencies AUD/EUR EUR 2 995CAD/EUR EUR 45 465CHF/EUR EUR 47CNH/EUR EUR 51GBP/EUR EUR 177 010HKD/EUR EUR 19 272KRW/EUR EUR 303 197SEK/EUR EUR 245SGD/EUR EUR 18 206USD/EUR EUR 1 589 007


273

Securities traded on an exchange 61 785 897.56 97.11 Equities Agrium, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 773 514 5 231 CAD 115.25 141 570.65 0.22Potash Corp. of Saskatchewan, Inc. . . . . . . . . . . . . . . . . . . . . Count 6 686 8 785 10 658 CAD 20.48 94 868.03 0.15Geberit AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 675 2 965 3 872 CHF 367.2 2 939 753.93 4.62Syngenta AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 110 5 874 764 CHF 372 1 754 295.15 2.76DONG Energy A/S 144A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 609 6 609 DKK 243.4 216 218.84 0.34Novozymes A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 679 5 030 DKK 319.9 158 190.80 0.25Vestas Wind Systems A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 862 5 435 7 204 DKK 452.3 1 329 087.81 2.09Andritz AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 003 3 198 20 518 EUR 42.525 127 702.58 0.20Bayer AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 920 3 567 2 119 EUR 88.9 792 988.00 1.25Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 549 1 258 857 EUR 168.5 261 006.50 0.41Gamesa Corp Tecnologica SA . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 099 34 671 EUR 17.52 720 054.48 1.13Glanbia Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 950 5 357 2 940 EUR 16.88 218 596.00 0.34Hera SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 247 524 85 137 EUR 2.44 603 958.56 0.95Kingspan Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 062 13 067 19 513 EUR 19.79 436 606.98 0.69Nordex SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 428 9 272 20 934 EUR 25.415 824 157.62 1.30OSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 814 6 230 2 430 EUR 45.89 450 364.46 0.71Red Electrica Corp. SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 526 254 4 984 EUR 79.29 358 866.54 0.56Schneider Electric SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 184 8 411 1 227 EUR 52.38 376 297.92 0.59Senvion SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 488 24 070 9 582 EUR 12.005 173 928.44 0.27Suez Environnement SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 471 126 817 EUR 14.105 387 478.46 0.61Veolia Environnement SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 406 86 409 EUR 19.45 1 583 346.70 2.49Vinci SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 490 3 005 4 706 EUR 63.33 601 001.70 0.94Pennon Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 848 34 804 GBP 9.39 474 961.90 0.75Severn Trent Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 888 20 977 GBP 23.89 487 655.18 0.77United Utilities Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 151 3 819 45 587 GBP 10.21 655 940.07 1.03China Everbright International Ltd . . . . . . . . . . . . . . . . . . . . . . Count 391 060 391 060 240 263 HKD 8.6 389 918.43 0.61China Water Affairs Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 396 000 148 000 84 000 HKD 4.48 205 686.18 0.32Huaneng Renewables Corp. Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 1 099 625 1 099 625 545 021 HKD 2.56 326 374.70 0.51Xinjiang Goldwind Science & Technology Co., Ltd . . . . . . . . . Count 196 400 196 400 HKD 10.54 240 001.53 0.38Xinyi Solar Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 625 254 166 000 1 096 000 HKD 3.05 221 099.74 0.35Asahi Kasei Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 002 3 000 JPY 708 179 706.40 0.28Ebara Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 000 47 000 JPY 561 230 761.34 0.36FANUC Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 000 3 000 JPY 16 535 434 137.98 0.68Kubota Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95 400 113 600 18 200 JPY 1 367.5 1 141 768.45 1.79Kurita Water Industries Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 500 9 000 1 600 JPY 2 278 368 831.30 0.58Kyudenko Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 200 11 200 JPY 3 030 297 004.46 0.47Murata Manufacturing Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 5 900 5 900 1 300 JPY 11 380 587 620.04 0.92Nidec Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 900 2 000 3 300 JPY 7 722 263 570.46 0.41Panasonic Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 31 100 10 700 31 100 JPY 881 239 794.17 0.38Sekisui House Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 100 4 600 JPY 1 779.5 219 593.48 0.35Sumitomo Chemical Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 782 13 000 99 000 JPY 418 299 182.60 0.47Toyota Motor Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 200 22 200 JPY 5 052 981 564.05 1.54Coway Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 701 7 701 KRW 104 500 628 491.71 0.99Marine Harvest ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 773 25 592 12 646 NOK 139.5 505 968.75 0.80Manila Water Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 545 954 217 800 73 800 PHP 27.1 282 892.13 0.44Nibe Industrier AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 184 40 800 8 616 SEK 69.15 235 930.60 0.37Svenska Cellulosa AB SCA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 064 7 998 10 931 SEK 267.5 597 333.27 0.94Hota Industrial Manufacturing Co Ltd . . . . . . . . . . . . . . . . . . . Count 70 000 33 000 4 000 TWD 150 292 799.59 0.46Voltronic Power Technology Corp. . . . . . . . . . . . . . . . . . . . . . Count 44 650 12 000 2 000 TWD 449 559 047.84 0.88Yeong Guan Energy Technology Group Co Ltd . . . . . . . . . . . Count 75 848 14 000 TWD 204 431 474.83 0.68Acuity Brands, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 337 3 231 444 USD 246.47 2 513 589.07 3.95Albemarle Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 837 4 837 USD 78.37 341 002.84 0.54American Water Works Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 23 118 13 972 14 848 USD 82.61 1 717 967.52 2.70AO Smith Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 45 732 2 449 9 484 USD 86.17 3 544 935.64 5.57Aqua America, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 346 27 308 26 378 USD 34.89 638 575.24 1.00Archer-Daniels-Midland Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 221 29 449 22 948 USD 41.8 797 947.27 1.25CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 907 27 696 36 140 USD 23.72 232 729.84 0.37Cia de Saneamento Basico do Estado de Sao Paulo -ADR- . . Count 167 650 167 650 USD 8.925 1 345 996.25 2.12Covanta Holding Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 289 25 341 27 850 USD 16.22 193 898.84 0.31Danaher Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 099 2 746 3 969 USD 100.24 3 705 991.17 5.82Darling International, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 479 32 479 USD 14.71 429 781.17 0.68Delphi Automotive Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 775 4 657 2 514 USD 62.44 492 881.01 0.77Ecolab, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 299 736 2 203 USD 117.06 1 926 938.90 3.03Fox Factory Holding Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 146 34 222 10 076 USD 17.22 374 033.42 0.59Hain Celestial Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 486 5 944 USD 47.99 193 660.96 0.30IDEX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 123 5 123 USD 80.55 371 211.97 0.58Maxim Integrated Products, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 15 977 9 116 2 969 USD 35.26 506 768.50 0.80Mosaic Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 277 5 666 24 822 USD 25.3 97 340.11 0.15Mueller Water Products, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 252 767 66 688 78 491 USD 11.13 2 530 740.44 3.98NextEra Energy, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 764 31 236 5 472 USD 127.75 2 960 780.87 4.65Pentair Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 381 23 849 468 USD 57.39 1 207 066.99 1.90Roper Industries, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 211 710 2 785 USD 167.77 1 088 283.05 1.71




274

Sealed Air Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 132 5 474 5 585 USD 44.99 369 584.68 0.58Starbucks Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 285 7 986 USD 56.74 882 248.20 1.39Taiwan Semiconductor Manufacturing Co., Ltd -ADR- . . . . . . Count 28 623 11 219 USD 25.905 667 007.65 1.05Trimble Navigation Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 646 35 367 4 721 USD 24.17 666 319.49 1.05Tyson Foods, Inc. -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 804 6 081 1 277 USD 65.1 281 330.01 0.44Union Pacific Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 694 3 151 3 634 USD 85.81 439 528.90 0.69Wabtec Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 079 6 665 1 426 USD 70.21 2 026 057.94 3.18Watts Water Technologies, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 6 713 6 713 USD 56.39 340 526.42 0.54WhiteWave Foods Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 334 1 379 5 603 USD 45.37 380 950.58 0.60Xylem, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 564 20 013 19 130 USD 43.83 2 190 771.29 3.44

Investment fund units 408 139.37 0.64 In-group fund units Deutsche Global Liquidity Series Plc - Managed Euro Fund -Z- EUR - (0.000%) Units 41 911 875 EUR 9 985.794 408 139.37 0.64 Total securities portfolio 62 194 036.93 97.75 Cash at bank 2 011 189.73 3.16 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 353 780.50 0.56 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 92 494 111 797.33 0.18Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 74 354 9 994.09 0.02Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 980 071 105 253.71 0.17Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 210 47.52 0.00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 335 711 141 600.44 0.22 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 294 196.83 0.00Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 8 375 2 346.37 0.00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 136 122 15 781.89 0.02Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 498 353 33.93 0.00Israeli shekel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ILS 447 104.41 0.00Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 1 135 671 9 939.28 0.02Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 7 315 5 068.33 0.01New Taiwan dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 21 956 624 612 275.29 0.96New Zealand dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 21 449 13 710.57 0.02Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 3 890 698 74 391.45 0.12Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 111 763 103 142.65 0.16Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 360 240.13 0.00South Korean won . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 166 799 705 130 266.10 0.20Thai baht . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 109 324 2 798.63 0.00U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 353 972 318 420.28 0.50 Other assets 172 778.19 0.27Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133 984.85 0.21Receivables from exceeding the expense cap . . . . . . . . . . . . 5 055.12 0.01Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 738.22 0.05 Receivables from share certificate transactions 254 829.35 0.40 Total assets 64 632 834.70 101.58 Other liabilities -958 238.36 -1.51Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -958 238.36 -1.51 Liabilities from share certificate transactions -49 438.70 -0.07 Total liabilities -1 007 676.56 -1.58 Net assets 63 625 158.14 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



275


Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 136 .49Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 125 .52Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 123 .38Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 116 .54Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 109 .84Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 104 .14 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 376Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 251 949Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 62 290Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 129Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 372Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 500 Composition of the reference portfolio (according to CSSF circular 11/512)34% FTSE Environmental Opportunities All-Share Index_TR, 33% DAXglobal Agribusiness Index (in EUR), 33% S&P Global Water Index




Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 3 .569396 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1 .083580 = EUR 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 7 .439826 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687 .670916 = EUR 1Israeli shekel . . . . . . . . . . . . . . . . . . . . ILS 4 .282575 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1South Korean won . . . . . . . . . . . . . . . . KRW 1 280 .453642 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9 .311511 = EUR 1New Zealand dollar . . . . . . . . . . . . . . . NZD 1 .564381 = EUR 1Philippine peso . . . . . . . . . . . . . . . . . . PHP 52 .300337 = EUR 1Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 4 .417251 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9 .432959 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1Thai baht . . . . . . . . . . . . . . . . . . . . . . . THB 39 .063368 = EUR 1New Taiwan dollar . . . . . . . . . . . . . . . . TWD 35 .860706 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1

Notes on valuation



276


Securities traded on an exchange EquitiesAlps Electric Co., Ltd . . . . . . . . . . . . . . . . . . . . . Count 6 400 14 900ams AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 370 6 458Arcadis NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 920Boer Power Holdings Ltd . . . . . . . . . . . . . . . . . . Count 33 000 136 894Canadian Solar, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 60 679 97 011China Longyuan Power Group Corp. . . . . . . . . . . Count 203 922CT Environmental Group Ltd . . . . . . . . . . . . . . . . Count 887 712Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 065 6 211Dialog Semiconductor Plc . . . . . . . . . . . . . . . . . . Count 2 649 10 638First Solar, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 292 12 839International Flavors & Fragrances, Inc. . . . . . . . Count 18 512JinkoSolar Holding Co., Ltd -ADR- . . . . . . . . . . . . Count 27 254 52 888Kroger Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 033Mobileye NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 336Nibe Industrier AB -B- . . . . . . . . . . . . . . . . . . . . . Count 3 261 19 181Omron Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 300Renault SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 176 9 464Scatec Solar ASA . . . . . . . . . . . . . . . . . . . . . . . . . Count 58 070Sensata Technologies Holding NV . . . . . . . . . . . Count 7 689SolarCity Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 665Sprouts Farmers Market Inc . . . . . . . . . . . . . . . . Count 6 866 31 720SunPower Corp. . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 197 48 305Sunrun Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 82 673 151 390Syngenta AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 471 5 874Talgo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 267TDK Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 100Thermo Fisher Scientific, Inc. . . . . . . . . . . . . . . . Count 10 299Valmont Industries, Inc. . . . . . . . . . . . . . . . . . . . . Count 1 432Wacker Chemie AG . . . . . . . . . . . . . . . . . . . . . . . Count 4 535Zumtobel AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 206 51 794



Value (’000)Futures contracts Equity index futures Contracts sold (Underlyings: E-Mini Nasdaq 100 Futures, Nikkei 225 Futures, S & P MINI 500 Futures, S&P 500 Futures) EUR 13 542



277

Securities traded on an exchange 9 294 030 130.00 102.09 Equities Asics Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 900 24 600 JPY 1 716 51 308 400 .00 0 .56Bridgestone Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 400 32 700 JPY 3 269 50 342 600 .00 0 .55Chugai Pharmaceutical Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 32 100 2 900 8 400 JPY 3 635 116 683 500 .00 1 .28Daikin Industries Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 100 3 400 JPY 8 514 290 327 400 .00 3 .19Daiwa House Industry Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 85 000 89 400 4 400 JPY 2 982 253 470 000 .00 2 .78FANUC Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 200 1 600 JPY 16 535 85 982 000 .00 0 .94Fast Retailing Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 4 700 800 JPY 27 300 163 800 000 .00 1 .80Fuji Heavy Industries Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 75 300 11 200 12 600 JPY 3 478 261 893 400 .00 2 .88Hamamatsu Photonics KK . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 31 900 9 000 2 500 JPY 2 855 91 074 500 .00 1 .00Haseko Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 121 900 24 500 75 600 JPY 1 021 124 459 900 .00 1 .37Hitachi Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 321 000 6 000 64 000 JPY 423 .9 136 071 900 .00 1 .49Idemitsu Kosan Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 700 61 100 10 400 JPY 2 212 112 148 400 .00 1 .23Isuzu Motors Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 144 500 97 800 12 600 JPY 1 248 .5 180 408 250 .00 1 .98Japan Airlines Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 50 300 53 300 3 000 JPY 3 292 165 587 600 .00 1 .82Japan Tobacco, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 200 4 200 JPY 4 103 177 249 600 .00 1 .95Kajima Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 260 000 255 000 JPY 708 184 080 000 .00 2 .02Kao Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 600 5 100 JPY 5 929 305 936 400 .00 3 .36KDDI Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 86 700 8 900 JPY 3 113 269 897 100 .00 2 .96Keyence Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 900 500 JPY 69 140 338 786 000 .00 3 .72Komatsu Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 74 200 25 800 5 300 JPY 1 769 .5 131 296 900 .00 1 .44Kubota Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 90 900 10 400 26 500 JPY 1 367 .5 124 305 750 .00 1 .37Lion Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 90 000 27 000 13 000 JPY 1 685 151 650 000 .00 1 .67Makita Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 500 5 300 2 100 JPY 6 760 172 380 000 .00 1 .89Mazda Motor Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 74 900 44 200 56 700 JPY 1 359 101 789 100 .00 1 .12MEIJI Holdings Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 000 1 300 5 800 JPY 10 430 239 890 000 .00 2 .64Mitsubishi Electric Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 246 000 107 000 16 000 JPY 1 208 297 168 000 .00 3 .26Mitsubishi Heavy Industries Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 472 000 70 000 45 000 JPY 407 .4 192 292 800 .00 2 .11Mitsubishi UFJ Financial Group, Inc . . . . . . . . . . . . . . . . . . . . . Count 493 200 106 100 44 400 JPY 455 .9 224 849 880 .00 2 .47Mitsui Chemicals, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 547 000 226 000 129 000 JPY 372 203 484 000 .00 2 .24Mitsui Fudosan Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 54 000 25 000 33 000 JPY 2 331 .5 125 901 000 .00 1 .38MS&AD Insurance Group Holdings Inc . . . . . . . . . . . . . . . . . . Count 53 100 8 800 5 600 JPY 2 621 .5 139 201 650 .00 1 .53Murata Manufacturing Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 8 500 3 100 JPY 11 380 96 730 000 .00 1 .06NGK Insulators Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 40 000 40 000 JPY 2 047 81 880 000 .00 0 .90NGK Spark Plug Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 300 8 500 11 000 JPY 1 529 58 560 700 .00 0 .64Nidec Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 900 1 400 JPY 7 722 107 335 800 .00 1 .18Nippon Suisan Kaisha Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 213 800 223 200 9 400 JPY 524 112 031 200 .00 1 .23Nippon Telegraph & Telephone Corp . . . . . . . . . . . . . . . . . . . . Count 67 900 6 500 24 700 JPY 4 800 325 920 000 .00 3 .58Nitto Denko Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 800 24 300 2 100 JPY 6 436 230 408 800 .00 2 .53Ono Pharmaceutical Co Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 71 600 63 400 6 300 JPY 4 432 317 331 200 .00 3 .49Oriental Land Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 100 14 700 JPY 6 624 113 270 400 .00 1 .24PeptiDream Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 400 30 600 1 700 JPY 6 080 196 992 000 .00 2 .16Rakuten, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 800 14 900 JPY 1 102 .5 48 289 500 .00 0 .53Santen Pharmaceutical Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 43 300 34 000 JPY 1 600 69 280 000 .00 0 .76Shimano, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 300 1 700 JPY 15 530 51 249 000 .00 0 .56Shionogi & Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 700 4 700 JPY 5 568 287 865 600 .00 3 .16SMC Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 500 1 100 JPY 24 905 136 977 500 .00 1 .50Softbank Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 600 2 200 JPY 5 789 55 574 400 .00 0 .61Sony Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 143 800 15 200 7 600 JPY 2 988 429 674 400 .00 4 .72Start Today Co Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 300 4 400 3 700 JPY 5 380 157 634 000 .00 1 .73Sumitomo Realty & Development Co ., Ltd . . . . . . . . . . . . . . . Count 84 000 10 000 4 000 JPY 2 754 .5 231 378 000 .00 2 .54Sysmex Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 400 1 100 JPY 6 990 86 676 000 .00 0 .95Temp Holdings Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 79 100 15 400 17 600 JPY 1 762 139 374 200 .00 1 .53Toho Co ., Ltd/Tokyo . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 900 35 800 1 900 JPY 2 824 95 733 600 .00 1 .05Toyota Motor Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 400 1 900 4 400 JPY 5 052 128 320 800 .00 1 .41Tsuruha Holdings Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 800 4 700 1 400 JPY 12 370 220 186 000 .00 2 .42Unicharm Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 600 7 800 JPY 2 285 51 641 000 .00 0 .57

Total securities portfolio 9 294 030 130.00 102.09 Derivatives (Minus signs denote short positions) Currency derivatives -399 019 022.00 -4.38Receivables/payables Currency futures Currency futures (short) Closed positions JPY/EUR 13 .3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -29 987 623 .00 -0 .33 Currency futures (long) Open positions EUR/JPY 76 .2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -369 031 399 .00 -4 .05


Count/ Quantity/ Purchases/ Sales/ Currency Market price Total market % ofDescription units/ principal additions disposals value in net currency amount in the reporting period JPY assets


278

Count/ Quantity/ Purchases/ Sales/ Currency Market price Total market % ofDescription units/ principal additions disposals value in net currency amount in the reporting period JPY assets

Cash at bank 202 526 008.00 2.22 Deposits in non-EU/EEA currencies Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 202 526 008 .00 2 .22 Other assets 88 764 308.00 0.98Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 009 762 .00 0 .10Receivables from exceeding the expense cap . . . . . . . . . . . . 97 677 .00 0 .00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79 656 869 .00 0 .88 Total assets * 9 585 320 446.00 105.29 Other liabilities -82 533 786.00 -0.91Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -82 533 786 .00 -0 .91 Total liabilities -481 552 808.00 -5.29 Net assets 9 103 767 638.00 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .


Net asset value per share Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 89 .92Class MFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 80 .06Class JPY FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 9 396 .86 Number of shares outstanding Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 421Class MFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 975 000Class JPY FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 128 Composition of the reference portfolio (according to CSSF circular 11/512)TOPIX INDEX (TOKYO) in JPY Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 97 .850 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 104 .468 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 102 .225 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled JPY 0 .00 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes . Market abbreviations



As of: June 30, 2016 Euro . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 0 .008738 = JPY 1

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus . If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are not valued at derived market values . Footnote



279


Securities traded on an exchange Equities Dai-ichi Life Insurance Co., Ltd . . . . . . . . . . . . . . Count 113 800Dentsu, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 300East Japan Railway Co. . . . . . . . . . . . . . . . . . . . . Count 30 500Kansai Paint Co., Ltd . . . . . . . . . . . . . . . . . . . . . . Count 31 000Mitsubishi Chemical Holdings Corp. . . . . . . . . . . Count 52 700 253 300Mitsui & Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 99 300NEC Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 125 000 930 000Seven & I Holdings Co., Ltd . . . . . . . . . . . . . . . . Count 30 200Sumitomo Metal Mining Co., Ltd . . . . . . . . . . . . Count 67 000Sumitomo Mitsui Financial Group, Inc. . . . . . . . . Count 5 300Tokyo Gas Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 168 000


Value (’000)Futures contracts Currency futures (short) Futures contracts to sell currencies JPY/EUR JPY 67 626 085 Currency futures (long) Futures contracts to purchase currencies EUR/JPY JPY 56 970 270




280


EquitiesAGL Energy Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 186 5 186 AUD 19 .29 66 921 .44 0 .19Alimentation Couche-Tard, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 762 3 762 CAD 54 .6 142 309 .86 0 .40BCE, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 837 1 178 CAD 60 .9 77 508 .62 0 .22Fairfax Financial Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 320 205 CAD 675 .09 149 670 .16 0 .42Rogers Communications, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 994 7 994 CAD 52 .03 288 165 .20 0 .80Royal Bank of Canada . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 868 6 329 CAD 76 .52 523 151 .73 1 .46Silver Wheaton Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 899 7 899 CAD 29 .85 163 357 .85 0 .46Chocoladefabriken Lindt & Spruengli AG . . . . . . . . . . . . . . . . Count 8 5 CHF 69 000 509 422 .24 1 .42Kuehne + Nagel International AG . . . . . . . . . . . . . . . . . . . . . . Count 3 418 2 192 CHF 135 .2 426 469 .10 1 .19Lonza Group AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 085 1 085 CHF 161 .4 161 611 .44 0 .45Nestle SA -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 486 6 486 2 690 CHF 75 448 928 .35 1 .25Partners Group Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 506 966 CHF 415 .25 577 129 .72 1 .61Roche Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 138 1 627 CHF 253 .5 500 177 .89 1 .39Schindler Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 276 2 101 CHF 175 .3 529 986 .29 1 .48Sonova Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 002 1 284 CHF 129 .7 239 630 .93 0 .67Swiss Prime Site AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 047 3 237 CHF 88 .05 410 111 .07 1 .14SwissCom AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 985 632 CHF 477 .5 434 058 .66 1 .21Novo Nordisk A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 132 5 857 DKK 355 .3 436 112 .27 1 .22William Demant Holding A/S . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 501 28 501 DKK 129 .9 497 629 .88 1 .39Aena SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 355 1 355 EUR 117 .05 158 602 .75 0 .44Amadeus IT Holding SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 236 2 717 EUR 39 .215 166 114 .74 0 .46Andritz AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 447 1 569 EUR 42 .525 104 058 .68 0 .29Bankinter SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 122 14 122 EUR 5 .751 81 215 .62 0 .23Belgacom SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 487 4 802 EUR 28 .29 211 807 .23 0 .59Christian Dior SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 948 948 EUR 144 .5 136 986 .00 0 .38Colruyt SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 941 5 734 EUR 49 .3 440 791 .30 1 .23Deutsche Telekom AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 951 10 951 EUR 15 .13 165 688 .63 0 .46Enagas SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 576 5 576 EUR 26 .975 150 412 .60 0 .42Endesa SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 952 17 929 EUR 17 .76 496 427 .52 1 .38Essilor International SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 592 1 592 EUR 118 .75 189 050 .00 0 .53Henkel AG & Co KGaA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 099 1 346 EUR 96 .22 201 965 .78 0 .56Iberdrola SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 188 51 435 EUR 5 .987 480 085 .56 1 .34Kerry Group Plc -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 001 2 566 EUR 79 .01 316 119 .01 0 .88Koninklijke Ahold NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 344 16 344 EUR 19 .785 323 366 .04 0 .90Red Electrica Corp . SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 236 2 236 2 220 EUR 79 .29 177 292 .44 0 .49RTL Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 091 2 091 EUR 73 .42 153 521 .22 0 .43Sanofi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 971 1 971 EUR 73 .99 145 834 .29 0 .41Scor SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 037 3 872 EUR 26 .585 160 493 .65 0 .45SES SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 213 6 213 5 096 EUR 19 .39 120 470 .07 0 .34Snam SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 280 52 135 EUR 5 .29 429 971 .20 1 .20Telefonica SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 204 23 864 EUR 8 .301 308 830 .40 0 .86Telenet Group Holding NV . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 390 2 816 EUR 41 .075 180 319 .25 0 .50Terna Rete Elettrica Nazionale SpA . . . . . . . . . . . . . . . . . . . . . Count 30 406 30 406 EUR 4 .898 148 928 .59 0 .42UCB SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 823 2 452 EUR 66 .66 254 841 .18 0 .71Voestalpine AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 951 4 458 EUR 29 .5 205 054 .50 0 .57Zardoya Otis SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 615 29 900 EUR 8 .4 391 566 .00 1 .09Admiral Group PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 135 3 935 1 857 GBP 19 .81 146 898 .55 0 .41Aviva Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 916 20 916 GBP 3 .844 97 180 .80 0 .27BT Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 311 22 311 GBP 4 .046 109 109 .71 0 .30GlaxoSmithKline Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 959 21 959 GBP 15 .64 415 109 .08 1 .16HSBC Holdings Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 150 13 566 7 629 GBP 4 .571 116 853 .05 0 .33Legal & General Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 63 811 40 930 2 517 GBP 1 .867 144 032 .56 0 .40Next Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 071 687 GBP 48 .503 62 788 .09 0 .17Prudential Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 971 6 971 GBP 12 .315 103 764 .31 0 .29Randgold Resources Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 738 3 039 710 GBP 82 .8 474 180 .69 1 .32Tate & Lyle Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 844 8 238 GBP 6 .6 102 461 .97 0 .29Hang Seng Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 800 5 800 HKD 132 .4 89 032 .36 0 .25Link REIT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 500 16 500 HKD 52 .8 101 006 .61 0 .28PCCW Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 122 686 HKD 5 .21 74 107 .92 0 .21Techtronic Industries Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 500 10 500 HKD 32 .25 39 260 .06 0 .11Aeon Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 300 14 300 JPY 1 586 198 491 .33 0 .55Canon, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 200 17 200 JPY 2 912 .5 438 426 .41 1 .22Lawson, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 200 2 100 JPY 8 170 228 809 .66 0 .64NH Foods Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 4 000 JPY 2 493 130 910 .91 0 .37Nikon Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 500 7 500 JPY 1 386 90 976 .00 0 .25Nippon Prologis REIT, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 69 45 JPY 251 000 151 574 .15 0 .42Nippon Telegraph & Telephone Corp . . . . . . . . . . . . . . . . . . . . Count 3 700 2 400 JPY 4 800 155 433 .74 0 .43NTT DOCOMO, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 300 8 000 JPY 2 766 .5 297 809 .20 0 .83Osaka Gas Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 40 000 40 000 JPY 392 .4 137 369 .82 0 .38Suntory Beverage & Food Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 700 2 400 JPY 4 620 149 604 .97 0 .42Terumo Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 900 6 900 JPY 4 345 262 386 .33 0 .73TonenGeneral Sekiyu KK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 000 24 000 JPY 930 301 152 .87 0 .84Trend Micro, Inc ./Japan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 200 9 200 JPY 3 645 293 486 .20 0 .82Oversea-Chinese Banking Corp ., Ltd . . . . . . . . . . . . . . . . . . . Count 4 12 600 SGD 8 .69 23 .20 0 .00Aetna, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 767 1 767 USD 121 .04 192 396 .66 0 .54Aflac, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 708 2 378 847 USD 70 .34 234 624 .93 0 .65American Electric Power Co ., Inc . . . . . . . . . . . . . . . . . . . . . . . Count 2 149 1 378 USD 68 .77 132 943 .62 0 .37American Water Works Co ., Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 6 659 4 271 1 577 USD 82 .61 494 850 .15 1 .38Annaly Capital Management, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 58 455 37 495 USD 10 .88 572 114 .07 1 .60AT&T, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 425 10 535 USD 42 .62 629 724 .94 1 .76




281

AutoZone, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 334 214 USD 786.46 236 295.35 0.66Bristol-Myers Squibb Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 183 4 183 USD 72.78 273 862.13 0.76Cadence Design Systems, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Count 7 249 7 249 USD 24.165 157 578.51 0.44Camden Property Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 047 1 954 USD 86.84 238 025.97 0.66Campbell Soup Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 749 3 687 USD 63.9 330 464.82 0.92CenterPoint Energy, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 610 8 610 USD 23.88 184 956.48 0.52Church & Dwight Co Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 670 4 278 USD 100.45 602 709.23 1.68Clorox Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 807 3 083 USD 134.93 583 464.87 1.63CMS Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 773 5 773 USD 44.96 233 485.51 0.65Consolidated Edison, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 691 5 574 200 USD 79.01 617 708.93 1.72CR Bard, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 021 655 USD 232.79 213 807.10 0.60DTE Energy Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 856 3 856 USD 97.56 338 408.20 0.94Eversource Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 744 1 760 USD 58.71 144 919.98 0.40Exxon Mobil Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 868 2 481 USD 92.53 321 959.39 0.90Facebook Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 585 1 658 USD 114.33 265 859.89 0.74Federal Realty Investment Trust . . . . . . . . . . . . . . . . . . . . . . . Count 1 600 1 026 USD 163.01 234 620.68 0.65Gartner Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 492 957 USD 94.92 127 396.83 0.36General Mills, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 895 6 346 USD 69.43 618 009.33 1.72Hershey Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 254 2 087 USD 98.15 287 302.84 0.80Home Depot, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 518 3 518 USD 126.2 399 380.87 1.11Hormel Foods Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 647 5 455 USD 35.59 212 806.91 0.59Kellogg Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 956 3 820 USD 78.68 421 551.95 1.18Level 3 Communications, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 441 6 441 USD 50.49 292 543.69 0.82McCormick & Co., Inc/MD . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 046 2 595 USD 102.46 372 917.10 1.04McKesson Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 485 1 594 USD 183 409 081.23 1.14Mettler-Toledo International, Inc. . . . . . . . . . . . . . . . . . . . . . . Count 641 641 USD 360.4 207 814.04 0.58Newmont Mining Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 404 9 880 3 347 USD 38.27 530 302.94 1.48Public Storage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 539 987 USD 252.57 349 665.23 0.98Red Hat, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 510 2 510 USD 72.99 164 804.53 0.46RenaissanceRe Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 820 1 167 USD 115.65 189 342.93 0.53Sempra Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 918 589 USD 111.89 92 398.73 0.26SYSCO Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 236 7 207 USD 50.27 508 104.08 1.42The Southern Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 635 8 104 USD 52.29 594 327.68 1.66Tyson Foods, Inc. -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 641 1 694 USD 65.1 154 661.23 0.43UDR, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 190 7 177 USD 36.25 364 896.89 1.02Varian Medical Systems Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 049 1 314 USD 80.75 148 838.94 0.42VeriSign, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 876 1 876 USD 84.67 142 887.57 0.40Verizon Communications, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 230 7 203 USD 55.03 555 918.77 1.55Visa, Inc. -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 348 4 348 USD 76.55 299 410.34 0.83Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 266 4 660 USD 72.61 474 595.81 1.32WEC Energy Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 392 1 534 USD 64.21 138 164.32 0.39

Total securities portfolio 33 086 313.69 92.28 Derivatives (Minus signs denote short positions) Equity index derivatives 14 135.00 0.04Receivables/payables Equity index futuresS & P MINI 500 Futures 09/2016 (CME) . . . . . . . . . . . . . . . . . Count 3 3 5 895.00 0.02DJ EURO STOXX 50 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . Count 8 8 8 240.00 0.02

Currency derivatives -93.32 0.00Receivables/payables Currency futures Currency futures (short) Open positionsEUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.36 0.00EUR/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.03 0.00EUR/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5.34 0.00EUR/DKK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.16 0.00EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25.02 0.00EUR/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3.76 0.00EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -39.16 0.00EUR/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.01 0.00EUR/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.06 0.00EUR/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.01 0.00EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.06 0.00EUR/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -65.73 0.00

Closed positionsEUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.01 0.00EUR/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.22 0.00EUR/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.48 0.00EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.62 0.00EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3.83 0.00EUR/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.11 0.00EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.65 0.00



282

Cash at bank 1 595 069.98 4.45 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 507 319 .43 4 .20 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 4 031 4 872 .56 0 .01Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 20 235 2 719 .80 0 .01Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 22 928 2 462 .34 0 .01Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 8 148 863 .77 0 .00 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 18 526 12 393 .04 0 .03Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 47 048 5 454 .76 0 .02Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 1 113 056 9 741 .35 0 .03Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 16 447 11 394 .56 0 .03New Zealand dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 5 647 3 609 .93 0 .01Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 4 879 4 502 .92 0 .01Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 6 980 4 659 .32 0 .01U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 27 876 25 076 .20 0 .08 Other assets 98 178.07 0.28Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 438 .02 0 .14Receivables from exceeding the expense cap . . . . . . . . . . . . 46 653 .64 0 .13Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 086 .41 0 .01 Receivables from share certificate transactions 22 035 897.40 61.46 Total assets * 56 829 621.29 158.51 Other liabilities -20 974 007.18 -58.50Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -20 974 007 .18 -58 .50 Liabilities from share certificate transactions -2 682.68 -0.01 Total liabilities -20 976 810.33 -58.51 Net assets 35 852 810.96 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .


Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105 .71Class FC EB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105 .88Class FCH (P) EB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 .93Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 108 .19Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104 .62Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104 .50Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103 .80Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 105 .88

Number of shares outstandingClass FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class FC EB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 42 524Class FCH (P) EB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 229 498Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 792Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 37 113Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 887Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 435 Composition of the reference portfolio (according to CSSF circular 11/512)MSCI THE WORLD INDEX in EUR Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure % 68 .758 Highest market risk exposure % 76 .935 Average market risk exposure % 71 .670



283

The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 8 078.02 as of the reporting date. Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes.


Futures exchangesCME = Chicago Mercantile ExchangeEUR = Eurex



As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 7.439826 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1New Zealand dollar . . . . . . . . . . . . . . . NZD 1.564381 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus.

If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure.

Assets reported in this report are not valued at derived market values.

Footnote

* Does not include positions with a negative balance, if such exist.


284



Equity index futures Contracts sold (Underlyings: DJ EURO STOXX Auto Futures 06/2016 (EUR), S & P MINI 500 Futures 06/2016 (CME)) EUR 632

Currency futures (short) Futures contracts to sell currenciesEUR/CAD EUR 2EUR/CHF EUR 6EUR/DKK EUR 2EUR/GBP EUR 3EUR/HKD EUR 1EUR/JPY EUR 5EUR/NZD EUR 1EUR/SGD EUR 1EUR/USD EUR 21 Currency futures (long) Futures contracts to purchase currencies EUR/CAD EUR 2EUR/CHF EUR 6EUR/DKK EUR 2EUR/GBP EUR 3EUR/HKD EUR 1EUR/JPY EUR 5EUR/NZD EUR 1EUR/SGD EUR 1EUR/USD EUR 21


EquitiesAmerican International Group, Inc. . . . . . . . . . . . Count 1 478Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . Count 1 613Aozora Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 000Auckland International Airport Ltd . . . . . . . . . . . . Count 34 385Australia & New Zealand Banking Group Ltd . . . Count 1 841British Land Co., Plc . . . . . . . . . . . . . . . . . . . . . . Count 7 524Bunge Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 143Cabot Oil & Gas Corp. . . . . . . . . . . . . . . . . . . . . . Count 2 982Cerner Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 246 1 246Costco Wholesale Corp . . . . . . . . . . . . . . . . . . . . Count 372Daiichi Sankyo Co., Ltd . . . . . . . . . . . . . . . . . . . . Count 5 100 5 100Exelon Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 366Ferrovial SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 419Franco-Nevada Corp. . . . . . . . . . . . . . . . . . . . . . . Count 829 829Goldcorp, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 106Golden Agri-Resources Ltd . . . . . . . . . . . . . . . . . Count 222 486HKT Trust & HKT Ltd . . . . . . . . . . . . . . . . . . . . . . Count 995Iberdrola SA -Rights Exp 01Feb16 . . . . . . . . . . . Count 28 753 28 753Intesa Sanpaolo SpA . . . . . . . . . . . . . . . . . . . . . . Count 24 312Liberty Media Group . . . . . . . . . . . . . . . . . . . . . . Count 1 816 1 816Marks & Spencer Group Plc . . . . . . . . . . . . . . . . Count 9 512 9 512Mead Johnson Nutrition Co. . . . . . . . . . . . . . . . . Count 953MTR Corp. Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 36 942Oracle Corp Japan . . . . . . . . . . . . . . . . . . . . . . . . Count 1 300Paddy Power Betfair Plc . . . . . . . . . . . . . . . . . . . Count 624 624Patterson Cos, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 2 241Repsol S.A. 14/01/2016 . . . . . . . . . . . . . . . . . . . . Count 4 255Repsol SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 255StarHub Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 995Sumitomo Metal Mining Co., Ltd . . . . . . . . . . . . Count 7 000TDC A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 092William Demant Holding A/S . . . . . . . . . . . . . . . . Count 2 044Wilmar International Ltd . . . . . . . . . . . . . . . . . . . Count 76 668XL Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 367 2 367




285

Securities traded on an exchange 6 485 993.88 98.32 Equities Dexus Property Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 575 304 AUD 9 .02 81 911 .88 1 .24Mirvac Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 767 1 055 AUD 2 .02 63 196 .26 0 .96Scentre Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 113 8 415 AUD 4 .92 95 819 .21 1 .45Transurban Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 758 3 609 AUD 11 .99 166 496 .54 2 .52Vicinity Centres . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 083 922 14 816 AUD 3 .32 57 929 .02 0 .88Chartwell Retirement Residences . . . . . . . . . . . . . . . . . . . . . Count 5 331 5 331 CAD 15 .71 58 024 .10 0 .88First Capital Realty, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 082 5 082 CAD 22 .29 78 481 .68 1 .19Inter Pipeline Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 598 276 1 760 CAD 27 .18 199 570 .77 3 .03Pembina Pipeline Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 470 100 3 274 CAD 38 .79 120 129 .83 1 .82Smart Real Estate Investment . . . . . . . . . . . . . . . . . . . . . . . . Count 2 121 2 121 CAD 37 .71 55 414 .16 0 .84TransCanada Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 953 2 953 1 019 CAD 57 .91 118 478 .78 1 .80Aena SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 588 588 EUR 117 .05 68 825 .40 1 .04Deutsche Annington Immobilien SE . . . . . . . . . . . . . . . . . . . Count 2 937 1 358 EUR 32 .765 96 230 .81 1 .46Eutelsat Communications SA . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 959 3 254 1 295 EUR 16 .985 33 273 .62 0 .50Ferrovial SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 111 151 1 659 EUR 17 .31 88 471 .41 1 .34ICADE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 701 701 EUR 63 .64 44 611 .64 0 .68Klepierre . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 246 886 EUR 39 .92 89 660 .32 1 .36SES SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 256 669 1 979 EUR 19 .39 24 353 .84 0 .37Snam SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 711 24 333 5 622 EUR 5 .29 98 981 .19 1 .50Vinci SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 493 37 167 EUR 63 .33 94 551 .69 1 .43Assura Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 59 452 1 340 GBP 0 .544 39 116 .07 0 .59Hammerson Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 878 153 GBP 5 .17 42 980 .47 0 .65Land Securities Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 690 5 690 GBP 10 .25 70 494 .40 1 .07National Grid Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 830 7 830 GBP 10 .765 101 881 .25 1 .54Severn Trent Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 076 1 430 GBP 23 .89 117 697 .92 1 .78United Utilities Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 997 2 454 GBP 10 .21 86 350 .45 1 .31China Merchants Holdings International Co ., Ltd . . . . . . . . . . Count 23 611 23 611 HKD 20 .6 56 391 .48 0 .85Link REIT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 171 HKD 52 .8 50 019 .70 0 .76Sino Land Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 479 HKD 12 .66 47 672 .54 0 .72Frontier Real Estate Investment Corp . . . . . . . . . . . . . . . . . . . Count 11 11 JPY 534 000 51 408 .66 0 .78Global One Real Estate Investment Corp . . . . . . . . . . . . . . . . Count 10 5 JPY 378 500 33 125 .94 0 .50Invesco Office J-Reit, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 75 75 JPY 94 400 61 963 .45 0 .94Japan Logistics Fund, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 8 JPY 239 700 50 347 .93 0 .76Mori Hills REIT Investment Corp . . . . . . . . . . . . . . . . . . . . . . . Count 22 20 28 JPY 161 200 31 037 .74 0 .47Nippon Accommodations Fund, Inc . . . . . . . . . . . . . . . . . . . . . Count 13 JPY 468 000 53 246 .56 0 .81Top REIT, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 13 8 JPY 415 500 47 273 .39 0 .72Auckland International Airport Ltd . . . . . . . . . . . . . . . . . . . . . . Count 29 707 29 707 NZD 6 .5 123 432 .51 1 .87Fabege AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 964 44 SEK 142 .7 29 711 .02 0 .45CapitaCommercial Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 81 069 81 069 SGD 1 .475 79 815 .22 1 .21Suntec Real Estate Investment Trust . . . . . . . . . . . . . . . . . . . Count 45 100 45 100 SGD 1 .77 53 283 .00 0 .81American Campus Communities, Inc . . . . . . . . . . . . . . . . . . . . Count 1 205 614 699 USD 51 .93 56 290 .80 0 .85American Tower Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 242 28 USD 112 .01 125 144 .12 1 .90Avangrid INC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 538 2 512 974 USD 45 .82 63 393 .32 0 .96Camden Property Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 099 30 227 USD 86 .84 85 851 .83 1 .30Crown Castle International Corp . . . . . . . . . . . . . . . . . . . . . . . Count 3 210 1 252 USD 99 .98 288 702 .29 4 .38DDR Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 192 6 192 USD 17 .99 100 206 .10 1 .52Digital Realty Trust, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 768 768 USD 107 .98 74 599 .62 1 .13Edison International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 531 1 531 USD 76 .01 104 683 .44 1 .59Education Realty Trust Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 252 722 861 USD 45 .24 50 951 .74 0 .77Enbridge Energy Management LLC . . . . . . . . . . . . . . . . . . . . Count 8 823 3 016 5 098 USD 22 .43 178 023 .62 2 .70Equity Residential . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 727 1 438 1 029 USD 67 .87 105 439 .24 1 .60Eversource Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 072 2 072 USD 58 .71 109 429 .37 1 .66Four Corners Property Trust . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 016 1 687 1 USD 19 .93 107 856 .72 1 .64Hudson Pacific Properties, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 392 2 392 USD 28 .66 61 669 .36 0 .94Kinder Morgan, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 193 3 709 6 574 USD 18 .34 118 670 .14 1 .80LaSalle Hotel Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 918 2 918 3 029 USD 23 .07 60 557 .08 0 .92Liberty Property Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 900 1 900 USD 38 .92 66 520 .96 1 .01NiSource, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 050 1 397 USD 26 .04 71 445 .17 1 .08NorthWestern Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 867 593 USD 62 .295 160 661 .92 2 .44Pattern Energy Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 811 1 482 1 552 USD 22 .37 137 059 .43 2 .08PG&E Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 888 982 USD 62 .83 163 228 .62 2 .47Republic Services, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 733 733 USD 50 .32 33 180 .02 0 .50Retail Properties of Americ A Aktie . . . . . . . . . . . . . . . . . . . . Count 5 854 2 498 USD 16 .69 87 890 .34 1 .33RMR Group Inc/The . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 51 2 1 USD 31 .45 1 442 .86 0 .02Sempra Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 546 622 USD 111 .89 155 608 .33 2 .36Senior Housing Properties Trust . . . . . . . . . . . . . . . . . . . . . . . Count 10 526 16 662 6 136 USD 21 .04 199 223 .78 3 .02Simon Property Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 475 553 78 USD 214 .49 91 650 .05 1 .39Spirit Realty Capital, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 716 173 USD 12 .57 87 248 .82 1 .32STORE Capital Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 438 1 250 USD 28 .72 88 822 .37 1 .35Ventas, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 844 1 844 USD 71 .94 119 333 .79 1 .81Vornado Realty Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 931 931 382 USD 98 .82 82 761 .17 1 .25Washington Real Estate Investment Trust . . . . . . . . . . . . . . . Count 6 058 2 937 USD 30 .9 168 391 .36 2 .55Waste Management, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 708 1 708 USD 65 .195 100 169 .20 1 .52WP Glimcher, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 857 1 857 USD 10 .91 18 225 .05 0 .28





286


Derivatives (Minus signs denote short positions) Currency derivatives -93.16 0.00Receivables/payables Currency futures Currency futures (short) Open positionsEUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -15.15 0.00EUR/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.29 0.00EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34.96 0.00EUR/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3.61 0.00EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -24.33 0.00EUR/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4.45 0.00EUR/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.60 0.00EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -4.15 0.00EUR/USD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -77.94 0.00

Closed positionsEUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.58 0.00EUR/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.60 0.00EUR/NZD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.38 0.00EUR/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.02 0.00

Cash at bank 69 919.20 1.06 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 38 915.34 0.59 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 8 590 10 382.32 0.15Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 3 758 398.36 0.01 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 1 527 1 021.41 0.02Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 3 461 401.26 0.01Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 97 545 853.70 0.01Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 581 402.55 0.01New Zealand dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 639 408.40 0.01Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 2 522 1 683.46 0.03U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 17 178 15 452.40 0.22 Other assets 47 684.74 0.72Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 752.40 0.51Receivables from exceeding the expense cap . . . . . . . . . . . . 11 971.63 0.18Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 960.71 0.03 Total assets * 6 603 635.27 100.10 Other liabilities -6 745.64 -0.10Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -6 745.64 -0.10 Total liabilities -6 876.25 -0.10 Net assets 6 596 759.02 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.


287


Net asset value per share Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104 .69Class LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105 .51Class LDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 102 .31Class XD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105 .59Class USD LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 106 .53Class USD XD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 107 .29 Number of shares outstanding Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 500Class LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class LDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class XD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class USD LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 159Class USD XD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 344

Composition of the reference portfolio (according to CSSF circular 11/512)50% Dow Jones Brookfield Global Infrastructure Index in EUR, 50% FTSE EPRA/NAREIT Developed Index in EUR


Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 94 .236 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 101 .162 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 97 .439 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0 .00 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .





Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .494856 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1New Zealand dollar . . . . . . . . . . . . . . . NZD 1 .564381 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9 .432959 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1

Notes on valuation


Footnote



288




EquitiesAlexander‘s, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 98 258Alexandria Real Estate Equities, Inc. . . . . . . . . . . Count 828American Water Works Co., Inc. . . . . . . . . . . . . . Count 184 1 046Atlantia SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 764Beijing Enterprises Holdings Ltd . . . . . . . . . . . . . Count 17 162British Land Co., Plc . . . . . . . . . . . . . . . . . . . . . . Count 80 3 605Brixmor Property Group, Inc. . . . . . . . . . . . . . . . Count 2 808 2 808Canadian Apartment Properties Reit . . . . . . . . . . Count 1 800 3 404Cofinimmo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 410Columbia Pipeline Group Inc . . . . . . . . . . . . . . . . Count 2 532CyrusOne, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 1 059Enbridge, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 524 9 411Equinix, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 109Essex Property Trust, Inc. . . . . . . . . . . . . . . . . . . Count 319Ferrovial SA -Rights Exp 17Jun16 . . . . . . . . . . . . Count 6 770 6 770Gecina SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 357GPT Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 421 18 727HCP, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 413Hong Kong & China Gas Co., Ltd . . . . . . . . . . . . Count 1 090 48 362Hospitality Properties Trust . . . . . . . . . . . . . . . . . Count 3 064Host Hotels & Resorts, Inc. . . . . . . . . . . . . . . . . Count 97 5 537ITC Holdings Corp. . . . . . . . . . . . . . . . . . . . . . . . Count 241 2 357Japan Real Estate Investment Corp. . . . . . . . . . . Count 4 12Japan Retail Fund Investment Corp. . . . . . . . . . . Count 1 31Kilroy Realty Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 957Koninklijke Vopak NV . . . . . . . . . . . . . . . . . . . . . . Count 1 949LEG Immobilien AG . . . . . . . . . . . . . . . . . . . . . . Count 10 468Mapletree Logistics Trust . . . . . . . . . . . . . . . . . . Count 69 056National Retail Properties, Inc. . . . . . . . . . . . . . . Count 1 469 1 469Paramount Group, Inc. . . . . . . . . . . . . . . . . . . . . Count 5 466 5 466Pebblebrook Hotel Trust . . . . . . . . . . . . . . . . . . . Count 2 666Post Properties, Inc. . . . . . . . . . . . . . . . . . . . . . . Count 432 1 065Prologis, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 612RioCan Real Estate Investment Trust . . . . . . . . . Count 1 357Segro Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 602St Modwen Properties Plc . . . . . . . . . . . . . . . . . Count 6 853Sydney Airport . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 395 24 395Taubman Centers, Inc. . . . . . . . . . . . . . . . . . . . . Count 507The Macerich Co. . . . . . . . . . . . . . . . . . . . . . . . . Count 464 464Tokyo Tatemono Co., Ltd . . . . . . . . . . . . . . . . . . Count 3 900 7 584Union Pacific Corp. . . . . . . . . . . . . . . . . . . . . . . . Count 1 299 1 299Veresen Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 230Weingarten Realty Investors . . . . . . . . . . . . . . . . Count 45 2 043Welltower Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 31 1 388Wereldhave NV . . . . . . . . . . . . . . . . . . . . . . . . . . Count 338 1 639Westar Energy, Inc. . . . . . . . . . . . . . . . . . . . . . . Count 302 1 050




Futures contracts to sell currencies EUR/AUD EUR 4EUR/CAD EUR 5EUR/GBP EUR 4EUR/HKD EUR 1EUR/JPY EUR 3EUR/SGD EUR 1EUR/USD EUR 26 Currency futures (long)

Futures contracts to purchase currencies AUD/EUR EUR 5CAD/EUR EUR 6GBP/EUR EUR 4HKD/EUR EUR 2JPY/EUR EUR 3SGD/EUR EUR 1USD/EUR EUR 31



289

Securities traded on an exchange 58 820 263.78 72.06 Interest-bearing securities 5.625 % 3AB Optique Developpement SAS -Reg-

2014/2019 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 750 000 150 000 % 99.388 745 410.00 0.91 7.875 % Adria Bidco BV 2013/2020 . . . . . . . . . . . . . . . . . . . EUR 400 000 % 105.53 422 120.00 0.52 6.50 % Altice Financing SA -Reg- 2013/2022 . . . . . . . . . . . EUR 200 000 % 105.584 211 168.00 0.26 4.125 % Ardagh Packaging Finance Plc Via Ardagh

Holdings USA, Inc. -Reg- 2016/2023 . . . . . . . . . . . . EUR 320 000 320 000 % 101.855 325 936.00 0.40 6.50 % Autodis SA (MTN) 2014/2019 ** . . . . . . . . . . . . . . EUR 630 000 40 000 % 102.829 647 822.70 0.79 5.875 % BiSoho SAS -Reg- 2016/2023 . . . . . . . . . . . . . . . . . EUR 160 000 160 000 % 103.28 165 248.00 0.20 4.375 % Boparan Finance Plc (MTN) -Reg- 2014/2021 . . . . . EUR 450 000 % 92.477 416 146.50 0.51 10.00 % Bormioli Rocco Holdings SA -Reg- 2011/2018 . . . . EUR 350 000 150 000 % 102.062 357 217.00 0.44 7.375 % BUT SAS -Reg- 2014/2019 . . . . . . . . . . . . . . . . . . . EUR 630 000 % 104.106 655 867.80 0.80 7.50 % Cable Communications Systems NV -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 900 000 % 105.199 946 791.00 1.16 4.625 % Cemex Finance LLC -Reg- 2016/2024 . . . . . . . . . . EUR 620 000 620 000 % 98.38 609 956.00 0.75 7.00 % Cerba European Lab SAS -Reg- 2013/2020 . . . . . . EUR 150 000 % 104.146 156 219.00 0.19 4.122 % Dry Mix Solutions Investissements SAS -Reg-

2014/2021 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 600 000 600 000 % 99.019 594 114.00 0.73 5.125 % EC Finance PLC 2014/2021 . . . . . . . . . . . . . . . . . . . EUR 550 000 150 000 % 104.437 574 403.50 0.70 4.50 % eircom Finance DAC -Reg- 2016/2022 . . . . . . . . . . EUR 1 000 000 1 000 000 % 99.411 994 110.00 1.22 5.372 % Empark Funding SA -Reg- 2013/2019 * . . . . . . . . . EUR 400 000 % 100.559 402 236.00 0.49 6.25 % Ephios BondCo 2015/2022 . . . . . . . . . . . . . . . . . . . EUR 685 000 % 105.843 725 024.55 0.89 9.00 % FTE Verwaltungs GmbH 2013/2020 . . . . . . . . . . . . EUR 500 000 % 105.703 528 515.00 0.65 4.622 % Galapagos SA -Reg- 2014/2021 * . . . . . . . . . . . . . . EUR 450 000 % 93.361 420 124.50 0.51 7.25 % Gamenet SpA -Reg- 2013/2018 . . . . . . . . . . . . . . . EUR 500 000 125 000 % 101.552 507 760.00 0.62 7.50 % Garfunkelux Holdco 3 SA 2015/2022 . . . . . . . . . . . EUR 700 000 200 000 % 98.275 687 925.00 0.84 3.50 % Gestamp Funding Luxembourg SA -Reg-

2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 340 000 340 000 % 102.215 347 531.00 0.43 3.75 % GOODYEAR DUNLOP Tires 2015/2023 . . . . . . . . . EUR 410 000 300 000 % 103.848 425 776.80 0.52 5.125 % Grupo Antolin Dutch BV 2015/2022 . . . . . . . . . . . . EUR 850 000 % 104.593 889 040.50 1.09 5.294 % Guala Closures SpA 2012/2019 * ** . . . . . . . . . . . EUR 200 000 % 100.252 200 504.00 0.25 3.50 % Hanesbrands Finance Luxembourg SCA -Reg-

2016/2024 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 690 000 690 000 % 101.259 698 687.10 0.86 6.75 % Holdikks SAS -Reg- 2014/2021 . . . . . . . . . . . . . . . . EUR 250 000 250 000 % 95.865 239 662.50 0.29 7.00 % Holding Medi-Partenaires SAS -Reg- 2013/2020. . . EUR 580 000 % 104.723 607 393.40 0.74 6.875 % HomeVi SAS -Reg- 2014/2021 . . . . . . . . . . . . . . . . EUR 920 000 % 106.251 977 509.20 1.20 7.50 % HP Pelzer Holding GmbH (MTN) -Reg- 2014/2021 . EUR 840 000 % 105.511 886 292.40 1.09 5.451 % Hydra Dutch Holdings 2BV -Reg- 2014/2019 * . . . . EUR 129 000 % 100 129 000.00 0.16 8.00 % Hydra Dutch Holdings 2BV -Reg- 2015/2019 . . . . . EUR 602 826 117 281 % 108.091 651 600.27 0.80 4.00 % Ineos Finance PLC 2015/2023 ** . . . . . . . . . . . . . . EUR 650 000 650 000 % 96.176 625 144.00 0.77 6.00 % InterXion Holding NV 2013/2020 . . . . . . . . . . . . . . . EUR 620 000 100 000 % 105.126 651 781.20 0.80 5.419 % Lecta SA 2012/2018 ** . . . . . . . . . . . . . . . . . . . . . . EUR 180 000 % 98.861 177 949.80 0.22 8.875 % Lecta SA -Reg- (MTN) 2012/2019 . . . . . . . . . . . . . . EUR 400 000 400 000 % 103.685 414 740.00 0.51 6.875 % Lincoln Finance Ltd 2016/2021 . . . . . . . . . . . . . . . . EUR 840 000 840 000 % 107.315 901 446.00 1.10 7.00 % Lock AS -Reg- 2014/2021 . . . . . . . . . . . . . . . . . . . . EUR 500 000 100 000 % 102.007 510 035.00 0.62 4.875 % Loxam SAS -Reg- 2014/2021 . . . . . . . . . . . . . . . . . EUR 695 000 % 104.216 724 301.20 0.89 3.50 % Loxam SAS -Reg- 2016/2023 . . . . . . . . . . . . . . . . . EUR 290 000 290 000 % 101.297 293 761.30 0.36 7.75 % LSF9 Balta Issuer SA 2015/2022 . . . . . . . . . . . . . . EUR 530 000 % 105.94 561 482.00 0.69 8.50 % Manutencoop Facility Management SpA

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 200 000 % 82.992 165 984.00 0.20 3.875 % Matterhorn Telecom SA -Reg- 2015/2022 . . . . . . . EUR 1 250 000 250 000 135 000 % 96.766 1 209 575.00 1.48 6.875 % NH Hoteles SA -Reg- 2013/2019 . . . . . . . . . . . . . . EUR 700 000 700 000 % 108.864 762 048.00 0.93 4.50 % Novafives SAS -Reg- 2014/2021 . . . . . . . . . . . . . . . EUR 270 000 % 89.886 242 692.20 0.30 5.625 % Numericable Group SA -Reg- 2014/2024 . . . . . . . . EUR 400 000 400 000 % 101.04 404 160.00 0.49 7.75 % Onorato Armatori SpA -Reg- 2016/2023 ** . . . . . . EUR 590 000 590 000 % 96.066 566 789.40 0.69 5.25 % Paprec Holding 2015/2022 ** . . . . . . . . . . . . . . . . . EUR 796 000 150 000 % 101.304 806 379.84 0.99 5.25 % Play Finance 2 SA -Reg- 2014/2019 ** . . . . . . . . . . EUR 695 000 % 102.672 713 570.40 0.87 4.432 % ProGroup AG 2015/2022 . . . . . . . . . . . . . . . . . . . . . EUR 500 000 % 100.381 501 905.00 0.61 5.125 % ProGroup AG -Reg- 2015/2022 . . . . . . . . . . . . . . . . EUR 450 000 % 105.637 475 366.50 0.58 8.50 % Rain CII Carbon LLC 2012/2021 . . . . . . . . . . . . . . . EUR 150 000 % 76.75 115 125.00 0.14 6.625 % Rapid Holding GmbH -Reg- 2015/2022 . . . . . . . . . . EUR 830 000 450 000 % 103.5 859 050.00 1.05 6.75 % RPG Byty Sro -Reg- 2013/2020 . . . . . . . . . . . . . . . . EUR 400 000 % 103.357 413 428.00 0.51 8.25 % Safari Holding Verwaltungs GmbH -Reg-

2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 540 000 200 000 % 105.664 570 585.60 0.70 4.125 % Samvardhana Motherson Automotive Systems

Group BV -Reg- 2014/2021 . . . . . . . . . . . . . . . . . . . EUR 750 000 % 100.747 755 602.50 0.93 3.375 % Sappi Papier Holding GmbH 2015/2022 ** . . . . . . . EUR 950 000 450 000 % 101.123 960 668.50 1.18 3.25 % Schaeffler Finance BV 2015/2025 . . . . . . . . . . . . . . EUR 825 000 % 102.667 847 002.75 1.04 9.875 % Schmolz + Bickenbach Luxembourg SA -Reg-

2012/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 424 144 % 100.669 426 982.03 0.52 5.625 % SGD Group SAS -Reg- 2014/2019 . . . . . . . . . . . . . . EUR 400 000 200 000 % 102.461 409 844.00 0.50 7.50 % Silk Bidco AS -Reg- 2015/2022 . . . . . . . . . . . . . . . . EUR 855 000 300 000 % 101.868 870 971.40 1.07 2.875 % SPCM SA -Reg- 2015/2023 . . . . . . . . . . . . . . . . . . . EUR 750 000 750 000 % 96.37 722 775.00 0.89 6.125 % Techem GmbH 2012/2019 . . . . . . . . . . . . . . . . . . . EUR 200 000 % 104.251 208 502.00 0.25 3.625 % Telecom Italia SpA/Milano (MTN) 2016/2026 . . . . . EUR 440 000 440 000 % 103.367 454 814.80 0.56 7.375 % THOM Europe SAS -Reg- 2014/2019 . . . . . . . . . . . EUR 480 000 % 104.828 503 174.40 0.62 5.262 % TMF Group Holding BV 2012/2018 * . . . . . . . . . . . EUR 180 000 % 100.385 180 693.00 0.22 5.00 % Trionista HoldCo GmbH 2013/2020 . . . . . . . . . . . . EUR 500 000 % 102.806 514 030.00 0.63 4.625 % Unitymedia Hessen GmbH & Co. KG /

Unitymedia NRW GmbH 2015/2026 . . . . . . . . . . . . EUR 1 150 000 1 150 000 % 103.642 1 191 883.00 1.46 6.00 % Verisure Holding AB 2015/2022 . . . . . . . . . . . . . . . EUR 500 000 % 106.819 534 095.00 0.65




290

7.50 % Viridian Group FundCo II Ltd -Reg- 2015/2020 . . . . EUR 560 000 100 000 % 103.969 582 226.40 0.71 6.625 % Vivacom 2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . EUR 850 000 % 101.989 866 906.50 1.06 4.00 % Wind Acquisition Finance SA -Reg- 2014/2020 . . . . EUR 1 200 000 1 200 000 % 99.084 1 189 008.00 1.46 3.75 % Ziggo Secured Finance BV 2015/2025 . . . . . . . . . . EUR 950 000 % 97.979 930 800.50 1.14 8.875 % Zinc Capital SA (MTN) 2011/2018 . . . . . . . . . . . . . . EUR 650 000 150 000 % 100.101 650 656.50 0.80 7.875 % Zobele Holding SpA -Reg- 2013/2018 . . . . . . . . . . . EUR 200 000 % 101.605 203 210.00 0.25 5.50 % Boparan Finance Plc -Reg- 2014/2021 . . . . . . . . . . GBP 250 000 % 88.087 266 176.86 0.33 7.00 % GHD Bondco Plc -Reg- 2014/2020 . . . . . . . . . . . . . GBP 500 000 200 000 % 94.782 572 814.96 0.70 7.00 % Infinis Plc -Reg- 2013/2019 . . . . . . . . . . . . . . . . . . . GBP 500 000 200 000 % 100.5 607 371.69 0.74 9.50 % Keystone Financing 2014/2019 . . . . . . . . . . . . . . . . GBP 690 000 % 101.728 848 414.48 1.04 6.75 % MEIF Renewable Energy UK Plc -Reg- 2015/2020 . GBP 351 000 90 000 % 100.606 426 824.63 0.52 7.00 % Mizzen Bondco 2014/2021 . . . . . . . . . . . . . . . . . . . GBP 378 800 % 95.819 438 712.57 0.54 6.50 % New Look Secured Issuer 2015/2022 . . . . . . . . . . . GBP 600 000 100 000 % 92.274 669 189.43 0.82 6.625 % Twinkle Pizza Plc -Reg- 2014/2021 . . . . . . . . . . . . . GBP 500 000 250 000 % 94.238 569 527.29 0.70 5.125 % Virgin Media Secured Finance Plc (MTN) -Reg-

2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 500 000 700 000 % 98.042 1 777 550.29 2.18 7.50 % AK Steel Corp. 2016/2023 . . . . . . . . . . . . . . . . . . . . USD 300 000 300 000 % 102.125 275 603.92 0.34 7.50 % Altice Financing SA 144A 2016/2026 . . . . . . . . . . . USD 510 000 510 000 % 97.375 446 734.73 0.55 6.625 % Altice Financing SA 2015/2023 . . . . . . . . . . . . . . . . USD 350 000 350 000 % 97.875 308 156.89 0.38 7.00 % AmeriGas Finance LLC 2012/2022 . . . . . . . . . . . . . USD 7 000 % 105.875 6 666.89 0.01 6.375 % APX Group, Inc. 2013/2019 . . . . . . . . . . . . . . . . . . . USD 990 000 % 98.081 873 478.35 1.07 6.00 % Berry Plastics Corp. 2016/2022 . . . . . . . . . . . . . . . . USD 610 000 610 000 % 103.125 565 881.98 0.69 5.125 % CHS/Community Health Systems, Inc. 2014/2021 . USD 755 000 % 98.875 671 530.15 0.82 5.125 % Community Health Systems, Inc. 2012/2018 . . . . USD 71 000 279 000 % 101.513 64 835.38 0.08 6.75 % CSC Holdings LLC 2011/2021 . . . . . . . . . . . . . . . . . USD 412 000 400 000 % 101.625 376 642.95 0.46 6.50 % Fresenius Medical Care US Finance, Inc. 144A

2011/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 000 % 108 6 800.70 0.01 3.75 % HCA, Inc. 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . USD 900 000 % 103.688 839 461.88 1.03 4.25 % HCA, Inc. 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . USD 550 000 % 104.224 515 661.34 0.63 5.625 % International Game Technology PLC 2015/2020 . . . USD 800 000 % 105.5 759 232.02 0.93 6.875 % MPT Operating Partnership LP 2011/2021 . . . . . . . USD 330 000 200 000 % 103.562 307 431.62 0.38 6.375 % MPT Operating Partnership LP Via MPT

Finance Corp. 2016/2024 . . . . . . . . . . . . . . . . . . . . USD 400 000 400 000 % 106.511 383 253.84 0.47 6.25 % Numericable Group SA 2014/2024 . . . . . . . . . . . . . USD 650 000 % 93.875 548 902.71 0.67 4.875 % Samvardhana Motherson Automotive

Systems Group BV 2016/2021 . . . . . . . . . . . . . . . . USD 200 000 200 000 % 100.65 181 082.23 0.22 6.25 % Tenet Healthcare Corp. 2011/2018 . . . . . . . . . . . . . USD 1 250 000 250 000 % 105.964 1 191 523.12 1.46 4.625 % United Rentals North America, Inc. 2015/2023 . . . USD 655 000 250 000 % 100.812 594 001.79 0.73 5.50 % Unitymedia Hessen GmbH & Co. KG 144A

2012/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 000 000 250 000 400 000 % 100.998 908 541.65 1.11

Securities admitted to or included in organized markets 16 526 529.75 20.24 Interest-bearing securities 7.375 % Interoute Finco 2015/2020 . . . . . . . . . . . . . . . . . . . EUR 580 000 200 000 % 106.451 617 415.80 0.76 4.875 % Telenet Finance VI 2015/2027 . . . . . . . . . . . . . . . . . EUR 2 000 000 1 000 000 250 000 % 102.058 2 041 160.00 2.50 7.75 % Cognita Financing Plc 2015/2021 . . . . . . . . . . . . . . GBP 650 000 360 000 % 102.003 801 391.58 0.98 5.50 % Altice US Finance I Corp. 144A 2016/2026 . . . . . . . USD 200 000 200 000 % 100 179 912.80 0.22 7.875 % APX Group, Inc. 144A 2016/2022 . . . . . . . . . . . . . . USD 500 000 500 000 % 100.875 453 717.59 0.55 6.00 % Calpine Corp 2013/2022 . . . . . . . . . . . . . . . . . . . . . USD 850 000 % 105 802 860.87 0.98 6.875 % Carlson Wagonlit BV 144A 2012/2019 . . . . . . . . . . USD 750 000 400 000 % 102.75 693 226.51 0.85 4.375 % CommScope, Inc. 2015/2020 . . . . . . . . . . . . . . . . . USD 50 000 % 103.25 46 439.99 0.06 7.875 % Constellium NV 144A 2016/2021 ** . . . . . . . . . . . . USD 850 000 850 000 % 103.125 788 524.07 0.97 5.625 % Denali Borrower LLC 144A 2013/2020 . . . . . . . . . . USD 80 000 % 104.75 75 383.46 0.09 3.48 % Diamond 1 Finance Corp. Via Diamond 2 Finance

Corp. 144A 2016/2019 . . . . . . . . . . . . . . . . . . . . . . USD 490 000 490 000 % 102.192 450 448.40 0.55 5.00 % First Data Corp. 2015/2024 . . . . . . . . . . . . . . . . . . . USD 750 000 250 000 % 99.75 672 986.32 0.82 4.50 % Fresenius US Finance II Inc 2015/2023 . . . . . . . . . USD 780 000 700 000 % 102.5 719 201.42 0.88 6.50 % Hughes Satellite Systems Corp. 2012/2019 . . . . . . USD 770 000 % 107.5 744 614.10 0.91 7.50 % Micron Technology, Inc. 144A 2016/2023 . . . . . . . USD 430 000 430 000 % 106.494 411 934.06 0.50 6.00 % National CineMedia LLC 2012/2022 . . . . . . . . . . . . USD 50 000 % 103.875 46 721.11 0.06 3.125 % QVC, Inc. 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . USD 750 000 500 000 % 102.5 691 539.82 0.85 6.875 % Reynolds Group Issuer Inc / Reynolds Group Issuer

LLC / Reynolds Group Issuer Lu 2012/2021 . . . . . . USD 700 000 200 000 % 103.288 650 399.16 0.80 5.125 % Reynolds Group Issuer, Inc. Via Reynolds Group

Issuer LLC Via Reynolds Group Issuer Luxemburg 144A 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 80 000 80 000 % 100.625 72 414.90 0.09

5.875 % Sabine Pass Liquefaction LLC 144A 2016/2026 . . . USD 630 000 630 000 % 100 566 725.32 0.69 5.25 % Sabre GLBL Inc 2015/2023 . . . . . . . . . . . . . . . . . . . USD 700 000 600 000 % 101.875 641 501.58 0.79 4.875 % Smurfit Kappa Acquisitions 144A 2012/2018 . . . . . USD 800 000 % 104.188 749 786.59 0.92 9.00 % Sprint Communications, Inc. 2011/2018 . . . . . . . . . USD 650 000 250 000 % 106.562 623 088.63 0.76 6.875 % Titan International, Inc. 2014/2020 . . . . . . . . . . . . . USD 70 000 % 85.812 54 035.69 0.07 8.375 % United States Steel Corp. 144A 2016/2021 . . . . . . USD 300 000 300 000 % 104.875 283 025.32 0.35 5.125 % Univision Communications, Inc. 2013/2023 . . . . . . USD 1 100 000 % 99.5 984 572.80 1.21 5.375 % UPCB Finance IV Ltd 144A 2015/2025 . . . . . . . . . . USD 1 000 000 250 000 % 99 890 568.36 1.09 4.75 % West Corp. 144A 2016/2021 . . . . . . . . . . . . . . . . . . USD 340 000 340 000 % 99.5 304 322.50 0.37 7.375 % Western Digital, Corp. 144A 2016/2023 . . . . . . . . . USD 490 000 490 000 % 106.312 468 611.00 0.57

Unlisted securities 527 973.64 0.65



291

Interest-bearing securities 6.875 % Entertainment One Ltd 2015/2022 . . . . . . . . . . . . . GBP 430 000 150 000 % 101.584 527 973.64 0.65

Total securities portfolio 75 874 767.17 92.95 Derivatives (Minus signs denote short positions) Currency derivatives -340 731.87 -0.42Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 6.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 195 972.90 0.24EUR/USD 26.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -536 959.62 -0.66 Closed positions EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161.21 0.00EUR/USD 0.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93.64 0.00 Cash at bank 5 999 077.09 7.35 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 254 996.03 1.54 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 7 716 9 326.92 0.01 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 150 284 1 034 754.14 1.27 Time deposits EUR deposits (Norddeutsche Landesbank 0.01% 01/07/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 700 000 3 700 000.00 4.53

Other assets 1 263 184.98 1.55Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 253 061.56 1.54Receivables from exceeding the expense cap . . . . . . . . . . . . 10 123.42 0.01 Receivables from share certificate transactions 103.70 0.00 Total assets *** 83 333 360.69 102.09 Other liabilities -1 166 870.16 -1.43Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 166 870.16 -1.43 Total liabilities -1 703 829.78 -2.09 Net assets 81 629 530.91 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105.35Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 104.16Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 101.31Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103.99 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 48 600Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 741 995Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 333 Composition of the reference portfolio (according to CSSF circular 11/512)Merrill - BB-B Global Non-Financial High Yield Constrained Index




292


The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.4, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 31 526 860.84 as of the reporting date.


Contracting parties for currency futuresBNP Paribas SA, Crédit Suisse London Branch (GFX), Deutsche Bank AG Frankfurt, Merrill Lynch International, Morgan Stanley and Co. International PLC, Nomura International PLC and Westpac Banking Corporation



5.625 % 3AB Optique Developpement SAS -Reg- 2014/2019 EUR 500 000 496 940.006.50 % Autodis SA (MTN) 2014/2019 EUR 700 000 719 803.005.294 % Guala Closures SpA 2012/2019 * EUR 100 000 100 252.004.00 % Ineos Finance PLC 2015/2023 EUR 600 000 577 056.005.419 % Lecta SA 2012/2018 EUR 100 000 98 861.007.75 % Onorato Armatori SpA -Reg- 2016/2023 EUR 500 000 480 330.005.25 % Paprec Holding 2015/2022 EUR 700 000 709 128.005.25 % Play Finance 2 SA -Reg- 2014/2019 EUR 500 000 513 360.003.375 % Sappi Papier Holding GmbH 2015/2022 EUR 500 000 505 615.007.875 % Constellium NV 144A 2016/2021 USD 800 000 742 140.30

Total receivables from securities loans 4 943 485.30 4 943 485.30 Contracting parties for securities loans Barclays Capital Securities Limited, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, Unicredit Bank AG Total collateral pledged by third parties for securities loans EUR 6 640 425.59thereof: Bonds EUR 6 034 639.21Equities EUR 605 786.38



British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation


Footnotes



293


Securities traded on an exchange Interest-bearing securities 6.375 % Cerved Group SpA (MTN) -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 7.00 % Financiere Gaillon 8 SAS -Reg-

(MTN) 2014/2019 . . . . . . . . . . . . . . . EUR 500 000 5.875 % Gestamp Funding Luxembourg SA

-Reg- 2013/2020 . . . . . . . . . . . . . . . . EUR 100 000 6.75 % Goodyear Dunlop Tires Europe BV

-Reg- 2011/2019 . . . . . . . . . . . . . . . . EUR 300 000 6.00 % InterXion Holding NV 2016/2020 . . . . EUR 100 000 100 000 9.00 % Magnolia BC SA (MTN) -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . EUR 115 000 6.50 % WEPA Hygieneprodukte GmbH

-Reg- 2013/2020 . . . . . . . . . . . . . . . . EUR 400 000 400 000 7.00 % Priory Group No 3 Plc -Reg-

2011/2018 . . . . . . . . . . . . . . . . . . . . . GBP 122 441 7.875 % Altice Financing SA 2012/2019 . . . . . USD 800 000 5.625 % Gestamp Funding Luxembourg SA

144A 2013/2020 . . . . . . . . . . . . . . . . USD 720 000 4.875 % Numericable Group SA 2014/2019 . . USD 350 000 700 000


Interest-bearing securities 7.875 % Aguila 3 SA 144A 2011/2018 . . . . . . USD 700 000 6.00 % Berry Plastics Corp. 2015/2022 . . . . . USD 200 000 610 000 5.00 % Freescale Semiconductor Inc

2013/2021 . . . . . . . . . . . . . . . . . . . . . USD 1 350 000 4.875 % HJ Heinz Co.144A 2015/2025 . . . . . . USD 108 000


Value (’000)Futures contracts Currency futures (short)

Futures contracts to sell currenciesEUR/GBP EUR 8 082EUR/USD EUR 21 528 Currency futures (long)

Futures contracts to purchase currencies GBP/EUR EUR 1 083USD/EUR EUR 3 232




294

Securities traded on an exchange 321 543 244.59 84.82 Interest-bearing securities 1.75 % 2i Rete Gas SpA (MTN) 2014/2019 . . . . . . . . . . . . . EUR 2 069 000 170 000 530 000 % 105.054 2 173 567.26 0.57 3.75 % ACEA SpA 2013/2018 . . . . . . . . . . . . . . . . . . . . . . . EUR 2 098 000 140 000 560 000 % 108.102 2 267 979.96 0.60 0.125 % Air Liquide Finance SA (MTN) 2016/2020 . . . . . . . . EUR 1 200 000 1 200 000 % 100.515 1 206 180.00 0.32 0.425 % Alfa Laval Treasury International AB (MTN)

2014/2019 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 570 000 230 000 380 000 % 99.489 1 561 977.30 0.41 3.25 % Alliander NV 2013/2049 * . . . . . . . . . . . . . . . . . . . . EUR 1 630 000 240 000 390 000 % 105 1 711 500.00 0.45 0.00 % Allianz Finance II BV (MTN) 2016/2020 . . . . . . . . . . EUR 1 600 000 1 600 000 % 99.892 1 598 272.00 0.42 4.125 % Allied Irish Banks PLC 2015/2025* . . . . . . . . . . . . . EUR 1 290 000 210 000 330 000 % 93.326 1 203 905.40 0.32 5.125 % America Movil SAB de CV 2013/2073 * . . . . . . . . . EUR 2 063 000 300 000 260 000 % 105.319 2 172 730.97 0.57 1.75 % Anglo American Capital Plc (MTN) 2014/2018 . . . . EUR 1 679 000 250 000 210 000 % 99.096 1 663 821.84 0.44 0.249 % Anheuser-Busch InBev NV (MTN) 2014/2018 * . . . EUR 1 450 000 420 000 % 100.177 1 452 566.50 0.38 0.625 % Anheuser-Busch InBev SA/NV (MTN) 2016/2020 . . EUR 5 360 000 5 360 000 % 101.888 5 461 196.80 1.44 1.75 % AP Moeller - Maersk A/S (MTN) 2016/2021 . . . . . . EUR 1 640 000 1 640 000 % 104.546 1 714 554.40 0.45 0.25 % AstraZeneca Plc (MTN) 2016/2021 . . . . . . . . . . . . . EUR 1 910 000 1 910 000 % 100.356 1 916 799.60 0.51 6.50 % Autodis SA (MTN) 2014/2019 ** . . . . . . . . . . . . . . EUR 450 000 250 000 % 102.829 462 730.50 0.12 4.50 % Banco Bilbao Vizcaya Argentaria SA 2007/2022 * . EUR 1 350 000 200 000 250 000 % 100.645 1 358 707.50 0.36 3.75 % Banco do Brasil SA (MTN) -Reg- 2013/2018 . . . . . . EUR 1 160 000 500 000 200 000 % 100.45 1 165 220.00 0.31 1.625 % Banque Federative du Credit Mutuel SA (MTN)

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 100 000 100 000 300 000 % 102.58 1 128 380.00 0.30 6.00 % Barry Callebaut Services NV 2007/2017 . . . . . . . . . EUR 770 000 50 000 200 000 % 105.761 814 359.70 0.21 0.375 % BAT International Finance Plc (MTN) 2015/2019 . . EUR 3 350 000 500 000 810 000 % 100.752 3 375 192.00 0.89 2.375 % BBVA Senior Finance SAU (MTN) 2014/2019 . . . . . EUR 1 500 000 200 000 400 000 % 105.219 1 578 285.00 0.42 3.50 % BBVA Sub Capital Unipers -Reg- 2014/2024 * . . . . EUR 900 000 200 000 200 000 % 101.976 917 784.00 0.24 1.125 % Belfius Bank SA/NV (MTN) 2014/2017 . . . . . . . . . . EUR 1 300 000 400 000 % 101.042 1 313 546.00 0.35 0.50 % Berkshire Hathaway, Inc. 2016/2020 . . . . . . . . . . . EUR 100 000 100 000 % 101.012 101 012.00 0.03 0.50 % Berkshire Hathaway, Inc. 2016/2020 . . . . . . . . . . . EUR 1 140 000 1 140 000 % 101.012 1 151 536.80 0.30 6.50 % BG Energy Capital Plc 2012/2072 * . . . . . . . . . . . . EUR 1 103 000 200 000 310 000 % 107.549 1 186 265.47 0.31 4.00 % Bharti Airtel International Netherlands BV

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 916 000 590 000 490 000 % 107.306 4 202 102.96 1.11 5.019 % BNP Paribas SA 2008/2049 * . . . . . . . . . . . . . . . . . EUR 1 000 000 150 000 200 000 % 102.611 1 026 110.00 0.27 3.625 % Bord Gais Eireann 2012/2017 . . . . . . . . . . . . . . . . . EUR 2 510 000 720 000 % 105.15 2 639 265.00 0.70 4.625 % Brambles Finance Plc 2011/2018 . . . . . . . . . . . . . . EUR 2 021 000 170 000 510 000 % 108.034 2 183 367.14 0.58 1.125 % British Telecommunications Plc 2014/2019 . . . . . . EUR 1 894 000 130 000 500 000 % 102.847 1 947 922.18 0.51 2.625 % Carlsberg Breweries A/S (MTN) 2012/2019 . . . . . . EUR 1 521 000 230 000 380 000 % 107.35 1 632 793.50 0.43 1.125 % Carnival Corp 2015/2019 . . . . . . . . . . . . . . . . . . . . . EUR 1 500 000 230 000 370 000 % 102.251 1 533 765.00 0.40 1.875 % Carrefour SA 2012/2017 . . . . . . . . . . . . . . . . . . . . . EUR 1 650 000 460 000 % 102.825 1 696 612.50 0.45 4.379 % Casino Guichard Perrachon SA (MTN) 2010/2017 . EUR 2 050 000 750 000 350 000 % 102.348 2 098 134.00 0.55 4.481 % Casino Guichard Perrachon SA (MTN) 2010/2018 . EUR 1 850 000 700 000 350 000 % 110.232 2 039 292.00 0.54 4.625 % Cemex Finance LLC -Reg- 2016/2024 . . . . . . . . . . EUR 450 000 450 000 % 98.38 442 710.00 0.12 3.00 % Centrica Plc 2015/2076 * . . . . . . . . . . . . . . . . . . . . EUR 940 000 940 000 % 93.191 875 995.40 0.23 4.75 % Cie de St-Gobain (MTN) 2007/2017 . . . . . . . . . . . . EUR 1 658 000 460 000 % 103.699 1 719 329.42 0.45 5.75 % Cirsa Funding Luxembourg SA -Reg- 2016/2021 . . EUR 1 360 000 1 360 000 % 102.867 1 398 991.20 0.37 1.161 % Citigroup, Inc. (MTN) 2005/2017 * . . . . . . . . . . . . . EUR 858 000 240 000 % 100.018 858 154.44 0.23 3.125 % Coca-Cola Enterprises, Inc. 2010/2017 . . . . . . . . . . EUR 1 682 000 480 000 % 103.923 1 747 984.86 0.46 0.00 % Coca-Cola European Partners Plc 2016/2017 * . . . . EUR 3 500 000 3 500 000 % 100.108 3 503 780.00 0.92 3.625 % Commerzbank AG (MTN) 2012/2017 . . . . . . . . . . . EUR 2 401 000 670 000 % 103.728 2 490 509.28 0.66 0.50 % Commerzbank AG (MTN) 2015/2018 . . . . . . . . . . . EUR 1 397 000 400 000 % 100.81 1 408 315.70 0.37 0.50 % Daimler AG (MTN) 2016/2019 . . . . . . . . . . . . . . . . . EUR 2 580 000 2 840 000 260 000 % 101.587 2 620 944.60 0.69 0.25 % Daimler AG (MTN) 2016/2020 . . . . . . . . . . . . . . . . . EUR 3 565 000 3 565 000 % 100.667 3 588 778.55 0.95 0.50 % Danske Bank A/S (MTN) 2016/2021 . . . . . . . . . . . . EUR 1 105 000 1 105 000 % 101.05 1 116 602.50 0.29 0.75 % Danske Bank AS (MTN) 2015/2020 . . . . . . . . . . . . EUR 2 140 000 310 000 510 000 % 102.303 2 189 284.20 0.58 4.25 % Delta Lloyd NV (MTN) 2010/2017 . . . . . . . . . . . . . . EUR 1 900 000 280 000 460 000 % 105.179 1 998 401.00 0.53 3.625 % Deutsche Bahn Finance BV (MTN) 2009/2017 . . . . EUR 434 000 434 000 % 105.019 455 782.46 0.12 1.125 % Deutsche Pfandbriefbank AG (MTN) 2016/2020 . . . EUR 2 935 000 2 935 000 % 101.99 2 993 406.50 0.79 0.375 % Deutsche Post AG (MTN) 2016/2021 . . . . . . . . . . . EUR 960 000 960 000 % 101.606 975 417.60 0.26 1.00 % DH Europe Finance SA 2015/2019 . . . . . . . . . . . . . EUR 1 735 000 490 000 % 102.779 1 783 215.65 0.47 3.00 % DNB Bank ASA (MTN) 2013/2023 * . . . . . . . . . . . . EUR 1 641 000 240 000 400 000 % 103.573 1 699 632.93 0.45 4.875 % DONG Energy A/S (MTN) 2013/3013 * . . . . . . . . . . EUR 2 784 000 410 000 670 000 % 105.323 2 932 192.32 0.77 5.75 % EDP Finance BV 2012/2017 . . . . . . . . . . . . . . . . . . EUR 1 152 000 340 000 % 106.822 1 230 589.44 0.32 7.375 % EnBW Energie Baden-Wuerttemberg AG

(MTN) 2011/2072 * . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 573 000 230 000 200 000 % 104.148 1 638 248.04 0.43 3.625 % Enel Finance International NV 2012/2018 . . . . . . . . EUR 1 605 000 240 000 % 106.58 1 710 609.00 0.45 6.50 % Enel SpA 2013/2074 * . . . . . . . . . . . . . . . . . . . . . . . EUR 1 101 000 200 000 200 000 % 108.273 1 192 085.73 0.31 3.25 % Energa Finance AB (MTN) 2013/2020 . . . . . . . . . . . EUR 1 360 000 110 000 200 000 % 108.322 1 473 179.20 0.39 4.375 % EP Energy AS-Reg- 2013/2018 . . . . . . . . . . . . . . . . EUR 1 670 000 600 000 230 000 % 104.971 1 753 015.70 0.46 4.125 % Eutelsat SA 2010/2017 . . . . . . . . . . . . . . . . . . . . . . EUR 850 000 250 000 % 102.969 875 236.50 0.23 1.125 % Eutelsat SA 2016/2021 ** . . . . . . . . . . . . . . . . . . . . EUR 2 700 000 2 700 000 % 100.816 2 722 032.00 0.72 4.875 % EWE AG 2004/2019 . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 812 000 550 000 350 000 % 115.37 2 090 504.40 0.55 0.50 % FedEx Corp. 2016/2020 . . . . . . . . . . . . . . . . . . . . . . EUR 1 160 000 1 160 000 % 100.78 1 169 048.00 0.31 7.75 % Fiat Finance & Trade SA (MTN) 2012/2016 . . . . . . EUR 1 214 000 360 000 % 102.044 1 238 814.16 0.33 6.50 % FMC Finance VIII SA 2011/2018 . . . . . . . . . . . . . . . EUR 1 950 000 130 000 500 000 % 113.021 2 203 909.50 0.58 2.875 % G4S International Finance Plc 2012/2017 . . . . . . . . EUR 1 491 000 420 000 % 102.071 1 521 878.61 0.40 4.125 % Gas Natural Capital Markets SA (MTN) 2012/2017 . EUR 2 000 000 700 000 % 103.349 2 066 980.00 0.55 5.44 % Gazprom OAO Via Gaz Capital SA (MTN)

-Reg- 2007/2017 ** . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 301 000 370 000 260 000 % 105.426 1 371 592.26 0.36 3.875 % GDF Suez 2013/2049 * . . . . . . . . . . . . . . . . . . . . . . EUR 1 500 000 100 000 400 000 % 104.66 1 569 900.00 0.41 1.875 % General Motors Financial International BV

(MTN) 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 604 000 110 000 420 000 % 104.027 1 668 593.08 0.44 5.625 % GlaxoSmithKline Capital Plc (MTN) 2007/2017 . . . . EUR 3 460 000 3 460 000 % 108.393 3 750 397.80 0.99 5.25 % Glencore Finance Europe SA (MTN) 2010/2017 ** EUR 2 950 000 200 000 400 000 % 103.304 3 047 468.00 0.80




295

4.625 % Glencore Finance Europe SA (MTN) 2012/2018 . . . EUR 1 874 000 280 000 240 000 % 105.761 1 981 961.14 0.52 0.75 % Goldman Sachs Group, Inc./The (MTN)

2016/2019 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 350 000 2 760 000 410 000 % 101.28 2 380 080.00 0.63 9.50 % HeidelbergCement Finance Luxembourg SA

(MTN) 2011/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 050 000 200 000 250 000 % 121.33 1 273 965.00 0.34 8.00 % HeidelbergCement Finance Luxembourg SA

2009/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 748 000 490 000 % 104.334 1 823 758.32 0.48 0.65 % Honeywell International, Inc. 2016/2020 . . . . . . . . . EUR 1 390 000 1 650 000 260 000 % 101.508 1 410 961.20 0.37 2.50 % Hutchison Whampoa Europe Finance 12 Ltd

2012/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 876 000 310 000 % 102.302 896 165.52 0.24 3.75 % Hutchison Whampoa Europe Finance 13 Ltd

2013/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 130 000 310 000 500 000 % 102.545 2 184 208.50 0.58 4.25 % Iberdrola International BV (MTN) 2012/2018 . . . . . . EUR 200 000 % 109.596 219 192.00 0.06 5.75 % Iberdrola International BV (MTN) 2013/2049 * . . . . EUR 1 700 000 200 000 400 000 % 106.921 1 817 657.00 0.48 4.50 % Imperial Tobacco Finance Plc (MTN) 2011/2018 . . . EUR 1 117 000 340 000 % 108.78 1 215 072.60 0.32 3.50 % ING Bank NV 2013/2023 * . . . . . . . . . . . . . . . . . . . EUR 1 688 000 250 000 420 000 % 105.064 1 773 480.32 0.47 4.00 % Intesa Sanpaolo SpA (MTN) 2012/2017 . . . . . . . . . EUR 500 000 200 000 % 105.037 525 185.00 0.14 0.998 % Intesa Sanpaolo SpA -Reg- 2014/2019 * . . . . . . . . . EUR 1 435 000 410 000 % 100.583 1 443 366.05 0.38 2.375 % IPIC GMTN Ltd 2012/2018 . . . . . . . . . . . . . . . . . . . EUR 1 717 000 120 000 440 000 % 104.26 1 790 144.20 0.47 1.125 % ISS Global A/S (MTN) 2014/2020 . . . . . . . . . . . . . . EUR 3 000 000 3 000 000 % 102.194 3 065 820.00 0.81 4.375 % JPMorgan Chase Bank NA 2006/2021 * . . . . . . . . . EUR 800 000 100 000 200 000 % 100.578 804 624.00 0.21 2.375 % KBC Groep NV (MTN) 2014/2024 * . . . . . . . . . . . . EUR 2 000 000 300 000 500 000 % 101.733 2 034 660.00 0.54 1.00 % KBC Groep NV (MTN) 2016/2021 . . . . . . . . . . . . . . EUR 400 000 400 000 % 101.88 407 520.00 0.11 5.625 % KBC Groep NV 2014/2049 * . . . . . . . . . . . . . . . . . . EUR 400 000 % 94.929 379 716.00 0.10 7.50 % Koninklijke KPN NV (MTN) 2009/2019 . . . . . . . . . . EUR 1 513 000 440 000 % 119.176 1 803 132.88 0.48 6.125 % Koninklijke KPN NV 2013/2049 * . . . . . . . . . . . . . . EUR 1 907 000 130 000 500 000 % 106.715 2 035 055.05 0.54 1.00 % LeasePlan Corp NV (MTN) 2016/2020 . . . . . . . . . . EUR 800 000 800 000 % 101.239 809 912.00 0.21 6.50 % Lloyds Bank Plc (MTN) 2010/2020 . . . . . . . . . . . . . EUR 1 250 000 1 250 000 % 115.381 1 442 262.50 0.38 3.779 % Madrilena Red de Gas Finance BV (MTN)

2013/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 740 000 230 000 710 000 % 108.065 2 960 981.00 0.78 0.50 % McDonald‘s Corp. 2016/2021 . . . . . . . . . . . . . . . . . EUR 1 300 000 1 300 000 % 101.222 1 315 886.00 0.35 0.75 % Merck Financial Services GmbH 2015/2019 . . . . . . EUR 1 080 000 310 000 % 102.321 1 105 066.80 0.29 5.75 % Mondi Finance Plc (MTN) 2010/2017 . . . . . . . . . . . EUR 1 760 000 490 000 % 104.254 1 834 870.40 0.48 2.25 % Morgan Stanley (MTN) 2013/2018 . . . . . . . . . . . . . EUR 1 703 000 480 000 % 103.663 1 765 380.89 0.47 6.307 % Natixis 2007/2049 * . . . . . . . . . . . . . . . . . . . . . . . . EUR 400 000 50 000 150 000 % 105.535 422 140.00 0.11 1.125 % Nomura Europe Finance NV 2015/2020 . . . . . . . . . EUR 1 190 000 600 000 1 530 000 % 101.302 1 205 493.80 0.32 6.75 % OMV AG (MTN) 2011/2049 * . . . . . . . . . . . . . . . . . EUR 2 139 000 310 000 500 000 % 108.076 2 311 745.64 0.61 0.60 % OMV AG (MTN) 2014/2018 . . . . . . . . . . . . . . . . . . . EUR 1 890 000 530 000 % 101.416 1 916 762.40 0.51 1.875 % Orange SA (MTN) 2013/2018 . . . . . . . . . . . . . . . . . EUR 1 100 000 1 900 000 % 104.213 1 146 343.00 0.30 7.875 % Origin Energy Finance Ltd (MTN) 2011/2071 * . . . EUR 880 000 100 000 200 000 % 98.39 865 832.00 0.23 2.875 % Origin Energy Finance Ltd 2012/2019 . . . . . . . . . . . EUR 1 410 000 500 000 200 000 % 104.275 1 470 277.50 0.39 5.00 % Pernod Ricard SA 2011/2017 . . . . . . . . . . . . . . . . . EUR 1 300 000 400 000 % 103.534 1 345 942.00 0.35 5.50 % Petroleos Mexicanos (MTN) 2009/2017 . . . . . . . . . EUR 3 296 000 2 060 000 770 000 % 102.485 3 377 905.60 0.89 3.75 % Petroleos Mexicanos (MTN) 2016/2019 . . . . . . . . . EUR 1 980 000 1 980 000 % 104.615 2 071 377.00 0.55 1.625 % PGE Sweden AB 2014/2019 . . . . . . . . . . . . . . . . . . EUR 2 560 000 380 000 600 000 % 101.977 2 610 611.20 0.69 5.125 % Procter & Gamble Co./The 2007/2017 . . . . . . . . . . EUR 940 000 940 000 % 106.987 1 005 677.80 0.27 4.25 % RCI Banque SA (MTN) 2012/2017 . . . . . . . . . . . . . EUR 1 019 000 290 000 % 103.499 1 054 654.81 0.28 5.625 % Renault SA 2010/2017 . . . . . . . . . . . . . . . . . . . . . . EUR 1 200 000 350 000 % 104.023 1 248 276.00 0.33 4.375 % Repsol International Finance BV (MTN)

2012/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 300 000 1 500 000 200 000 % 106.796 1 388 348.00 0.37 3.625 % Royal Bank of Scotland Group Plc (MTN)

2014/2024 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 398 000 % 97.511 388 093.78 0.10 4.625 % Royal Bank of Scotland Plc (MTN) 2004/2021 * . . . EUR 1 202 000 350 000 % 98.864 1 188 345.28 0.31 5.125 % RTE Reseau de Transport d‘Electricite SA (MTN)

2008/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 300 000 1 300 000 % 111.644 1 451 372.00 0.38 1.10 % Santander Consumer Finance SA 2015/2018 . . . . . EUR 1 700 000 500 000 % 101.56 1 726 520.00 0.46 1.375 % Santander International Debt SAU (MTN)

2014/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 000 000 700 000 % 100.973 2 019 460.00 0.53 1.375 % Santander International Debt SAU (MTN)

2016/2021 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 900 000 2 200 000 300 000 % 102.809 1 953 371.00 0.52 8.25 % Santos Finance Ltd (MTN) 2010/2070 * . . . . . . . . . EUR 1 410 000 520 000 260 000 % 101.751 1 434 689.10 0.38 0.50 % Sinopec Group Overseas Development 2015 Ltd

-Reg- 2015/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 510 000 130 000 390 000 % 100.53 1 518 003.00 0.40 5.125 % Smurfit Kappa Acquisitions -Reg- 2012/2018 . . . . . EUR 1 310 000 110 000 360 000 % 108.036 1 415 271.60 0.37 2.375 % Snam SpA (MTN) 2013/2017 . . . . . . . . . . . . . . . . . EUR 814 000 100 000 300 000 % 102.402 833 552.28 0.22 1.50 % Snam SpA -Reg- 2014/2019 . . . . . . . . . . . . . . . . . . EUR 632 000 100 000 200 000 % 103.983 657 172.56 0.17 0.573 % Societe Des Autoroutes Paris-Rhin-Rhone

2015/2020* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 700 000 200 000 400 000 % 100.606 1 710 302.00 0.45 0.75 % Societe Generale SA 2015/2020 . . . . . . . . . . . . . . . EUR 1 000 000 200 000 300 000 % 102.272 1 022 720.00 0.27 5.625 % SSE Plc 2012/2049 * . . . . . . . . . . . . . . . . . . . . . . . . EUR 815 000 200 000 300 000 % 104.152 848 838.80 0.22 1.75 % Standard Chartered Plc (MTN) 2012/2017 . . . . . . . EUR 110 000 1 000 000 % 102.107 112 317.70 0.03 0.50 % Svenska Cellulosa AB SCA (MTN) 2015/2020 . . . . EUR 1 270 000 110 000 350 000 % 101.026 1 283 030.20 0.34 5.849 % Swiss Life Insurance & Pension Group (MTN)

2007/2049 * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 300 000 350 000 550 000 % 103.04 2 369 920.00 0.63 4.375 % TDC A/S (MTN) 2011/2018 . . . . . . . . . . . . . . . . . . . EUR 2 040 000 570 000 % 106.945 2 181 678.00 0.58 6.50 % Telefonica Europe BV 2013/2049 * . . . . . . . . . . . . . EUR 1 200 000 200 000 300 000 % 105.016 1 260 192.00 0.33 5.625 % Telekom Austria AG 2013/2049* . . . . . . . . . . . . . . EUR 1 143 000 170 000 280 000 % 105.035 1 200 550.05 0.32 6.655 % TenneT Holding BV 2010/2049 * . . . . . . . . . . . . . . EUR 1 380 000 210 000 340 000 % 104.827 1 446 612.60 0.38 4.625 % Teollisuuden Voima Oyj (MTN) 2012/2019 . . . . . . . EUR 1 156 000 350 000 % 108.654 1 256 040.24 0.33 4.375 % The Goldman Sachs Group, Inc. (MTN) 2010/2017 EUR 1 350 000 350 000 % 103.07 1 391 445.00 0.37 2.375 % Turkiye Vakiflar Bankasi TAO 2016/2021 . . . . . . . . EUR 1 280 000 1 280 000 % 100.511 1 286 540.80 0.34 1.125 % UBS AG 2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 165 000 340 000 % 103.724 1 208 384.60 0.32 2.625 % UniCredit Bank Austria AG (MTN) 2013/2018 . . . . . EUR 1 700 000 600 000 300 000 % 103.48 1 759 160.00 0.46



296

0.902 % UniCredit SpA -Reg- 2014/2017 * . . . . . . . . . . . . . . EUR 1 600 000 440 000 % 100.397 1 606 352.00 0.42 2.75 % Unione di Banche Italiane SCpA (MTN) 2013/2017 EUR 1 590 000 440 000 % 102.117 1 623 660.30 0.43 4.375 % Vale SA (MTN) 2010/2018 ** . . . . . . . . . . . . . . . . . EUR 1 820 000 260 000 450 000 % 102.619 1 867 665.80 0.49 4.45 % Veolia Environnement SA 2013/2049 * . . . . . . . . . EUR 1 500 000 200 000 400 000 % 105.162 1 577 430.00 0.42 0.75 % Vivendi SA 2016/2021 . . . . . . . . . . . . . . . . . . . . . . . EUR 2 100 000 2 100 000 % 101.157 2 124 297.00 0.56 3.875 % Volkswagen International Finance NV 2013/2049 * EUR 1 650 000 140 000 420 000 % 102.792 1 696 068.00 0.45 0.75 % Volkswagen Leasing GmbH 2015/2020 . . . . . . . . . EUR 1 330 000 110 000 350 000 % 101.012 1 343 459.60 0.35 1.625 % Vonovia Finance BV 2015/2020 . . . . . . . . . . . . . . . . EUR 1 400 000 200 000 2 000 000 % 105.121 1 471 694.00 0.39 0.397 % Wells Fargo & Co. -Reg- 2014/2019 * . . . . . . . . . . EUR 1 330 000 380 000 % 100.205 1 332 726.50 0.35 6.75 % Wendel SA 2011/2018 . . . . . . . . . . . . . . . . . . . . . . EUR 2 100 000 700 000 % 111.67 2 345 070.00 0.62 0.75 % WPP Finance 2013 2015/2019 . . . . . . . . . . . . . . . . EUR 1 060 000 200 000 300 000 % 101.565 1 076 589.00 0.28 2.25 % ZF North America Capital, Inc. 2015/2019 . . . . . . . EUR 2 000 000 300 000 500 000 % 102.885 2 057 700.00 0.54 6.625 % EDP Finance BV (MTN) 2002/2017 . . . . . . . . . . . . . GBP 1 190 000 1 540 000 350 000 % 104.805 1 507 465.70 0.40 7.625 % Ladbrokes Group Finance Plc 2010/2017 . . . . . . . . GBP 737 000 220 000 % 102.84 916 110.86 0.24 6.125 % Siemens Financieringsmaatschappij NV 2006/2066 GBP 610 000 160 000 % 100.584 741 612.79 0.20 5.375 % Telefonica Emisiones SAU (MTN) 2006/2018 . . . . . GBP 1 170 000 1 510 000 340 000 % 106.19 1 501 716.52 0.40 2.625 % Volkswagen Financial Services NV (MTN)

2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 420 000 1 800 000 380 000 % 102.333 1 756 396.35 0.46 6.25 % ABN Amro Bank NV (MTN) 2012/2022 * . . . . . . . . USD 1 385 000 200 000 600 000 % 104.372 1 300 366.72 0.34 2.35 % Actavis Funding SCS 2015/2018 . . . . . . . . . . . . . . . USD 2 640 000 190 000 690 000 % 101.417 2 408 500.57 0.64 3.00 % Actavis Funding SCS 2015/2020 . . . . . . . . . . . . . . . USD 1 150 000 540 000 160 000 % 103.018 1 065 719.77 0.28 2.25 % Agricultural Bank China HK 2014/2017 . . . . . . . . . . USD 1 264 000 200 000 400 000 % 100.871 1 146 952.59 0.30 2.65 % Anheuser-Busch InBev Finance, Inc. 2016/2021 . . USD 1 690 000 2 110 000 420 000 % 103.586 1 574 779.80 0.42 8.25 % Aviva Plc 2012/2049 . . . . . . . . . . . . . . . . . . . . . . . . USD 863 000 % 105.961 822 600.39 0.22 6.375 % Banco Santander SA -Reg- 2014/2049 * . . . . . . . . . USD 600 000 % 87.893 474 392.27 0.13 2.25 % Bank of America Corp. (MTN) 2015/2020 . . . . . . . . USD 1 340 000 190 000 3 730 000 % 100.601 1 212 660.31 0.32 5.75 % Bank of America Corp. 2007/2017 . . . . . . . . . . . . . USD 1 800 000 500 000 % 105.847 1 713 890.71 0.45 2.05 % Bank of America NA 2015/2018 . . . . . . . . . . . . . . . USD 1 210 000 250 000 % 101.49 1 104 696.12 0.29 2.75 % Barclays Plc 2014/2019 . . . . . . . . . . . . . . . . . . . . . . USD 960 000 200 000 % 99.657 860 619.36 0.23 2.05 % BHP Billiton Finance USA Ltd 2013/2018 . . . . . . . . USD 1 180 000 100 000 160 000 % 101.358 1 075 895.19 0.28 4.75 % BP Capital Markets Plc 2009/2019 . . . . . . . . . . . . . USD 1 546 000 330 000 350 000 % 108.596 1 510 279.70 0.40 1.625 % BP Capital Markets Plc 2012/2017 . . . . . . . . . . . . . USD 1 830 000 610 000 % 100.443 1 653 494.79 0.44 1.65 % Capital One NA/Mclean VA 2015/2018 . . . . . . . . . . USD 1 224 000 250 000 % 100.012 1 101 192.96 0.29 1.875 % Carnival Corp. 2012/2017 . . . . . . . . . . . . . . . . . . . . USD 1 607 000 450 000 % 100.938 1 459 159.07 0.38 1.85 % Citigroup, Inc. 2014/2017 . . . . . . . . . . . . . . . . . . . . USD 1 796 000 120 000 460 000 % 100.7 1 626 918.18 0.43 5.375 % Colombia Telecomunicacio 2015/2049 . . . . . . . . . . USD 2 180 000 840 000 380 000 % 88.236 1 730 351.65 0.46 2.45 % Columbia Pipeline Group, Inc. 2016/2018 . . . . . . . . USD 1 430 000 1 430 000 % 100.32 1 290 492.92 0.34 8.375 % Cooperatieve Centrale Raiffeisen-

Boerenleenbank BA 2011/2049 * . . . . . . . . . . . . . . USD 565 000 300 000 % 100.517 510 881.33 0.13 4.90 % EDP Finance BV -Reg- 2009/2019 . . . . . . . . . . . . . . USD 1 248 000 700 000 300 000 % 106.146 1 191 654.30 0.31 3.85 % Gazprom OAO Via Gaz Capital SA -Reg-

2013/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 260 000 1 260 000 % 101.084 1 145 737.24 0.30 3.50 % General Motors Co. 2014/2018 . . . . . . . . . . . . . . . . USD 1 864 000 130 000 490 000 % 103.023 1 727 476.58 0.46 2.95 % HSBC Holdings Plc 2016/2021 . . . . . . . . . . . . . . . . USD 2 520 000 2 520 000 % 101 2 289 570.29 0.60 2.30 % KeyCorp (MTN) 2013/2018 . . . . . . . . . . . . . . . . . . . USD 1 620 000 240 000 270 000 % 101.69 1 481 929.23 0.39 2.35 % Lloyds Bank Plc 2014/2019 . . . . . . . . . . . . . . . . . . . USD 770 000 % 100.394 695 393.38 0.18 2.00 % Lloyds Bank PLC 2015/2018 . . . . . . . . . . . . . . . . . . USD 1 950 000 630 000 % 100.279 1 759 043.88 0.46 2.50 % McGraw-Hill Financial IN 2015/2018 . . . . . . . . . . . . USD 636 000 50 000 110 000 % 102.275 585 138.50 0.15 2.10 % Molson Coors Brewing Co. 2016/2021 . . . . . . . . . . USD 535 000 535 000 % 100.39 483 143.68 0.13 5.50 % Nordea Bank AB -Reg- 2014/2049 * . . . . . . . . . . . . USD 500 000 % 95.422 429 190.98 0.11 2.75 % Orange SA 2014/2019 . . . . . . . . . . . . . . . . . . . . . . . USD 1 870 000 130 000 480 000 % 103.391 1 739 227.56 0.46 8.375 % Petrobras Global Finance BV 2016/2021 . . . . . . . . . USD 1 650 000 1 650 000 % 103.065 1 529 773.80 0.40 2.70 % Quest Diagnostics, Inc. 2014/2019 . . . . . . . . . . . . . USD 1 848 000 510 000 % 102.248 1 699 764.89 0.45 2.50 % Quest Diagnostics, Inc. 2015/2020 . . . . . . . . . . . . . USD 482 000 40 000 80 000 % 101.895 441 806.38 0.12 3.25 % Reynolds American, Inc. 2015/2020 . . . . . . . . . . . . USD 1 172 000 80 000 1 348 000 % 105.774 1 115 163.65 0.29 7.00 % RWE AG 2012/2072 * . . . . . . . . . . . . . . . . . . . . . . . USD 816 000 430 000 1 010 000 % 101.898 747 976.38 0.20 2.00 % Santander Bank NA 2015/2018 . . . . . . . . . . . . . . . . USD 1 690 000 500 000 % 99.727 1 516 112.84 0.40 2.75 % Sinopec Group Overseas Development 2012 Ltd

-Reg- 2012/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 300 000 200 000 400 000 % 101.179 1 183 220.82 0.31 8.25 % Societe Generale SA (MTN) 2013/2049 * . . . . . . . . USD 500 000 % 99.287 446 575.05 0.12 1.85 % Southern Power Co 2015/2017 . . . . . . . . . . . . . . . . USD 1 690 000 310 000 % 100.782 1 532 151.62 0.40 8.375 % Sprint Communications Inc 2009/2017 . . . . . . . . . . USD 1 200 000 350 000 % 102.924 1 111 046.10 0.29 2.45 % Sumitomo Mitsui Banking Corp. 2015/2020 . . . . . . USD 1 080 000 500 000 % 102.254 993 427.39 0.26 2.125 % Swedbank AB 2012/2017 . . . . . . . . . . . . . . . . . . . . USD 1 310 000 600 000 % 101.048 1 190 784.67 0.31 5.50 % Swedbank AB 2015/2049 * ** . . . . . . . . . . . . . . . . USD 800 000 % 98.226 706 884.59 0.19 1.90 % Sysco Corp. 2016/2019 . . . . . . . . . . . . . . . . . . . . . . USD 2 200 000 2 200 000 % 101.201 2 002 809.08 0.53 3.192 % Telefonica Emisiones SAU 2013/2018 . . . . . . . . . . USD 800 000 150 000 % 102.789 739 722.27 0.20 1.75 % Telenor ASA 2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 1 200 000 400 000 % 100.746 1 087 535.09 0.29 3.375 % Tencent Holdings Ltd -Reg- 2012/2018 . . . . . . . . . USD 1 400 000 700 000 % 102.581 1 291 894.45 0.34 4.75 % UBS AG 2013/2023 * . . . . . . . . . . . . . . . . . . . . . . . USD 770 000 % 102.546 710 299.51 0.19 6.375 % UniCredit SpA (MTN) -Reg- 2013/2023 * ** . . . . . . USD 400 000 % 101.073 363 686.53 0.10 2.70 % UnitedHealth Group Inc 2015/2020 . . . . . . . . . . . . . USD 1 920 000 280 000 460 000 % 104.174 1 799 246.02 0.47

Securities admitted to or included in organized markets 42 019 027.33 11.09 Interest-bearing securities 0.875 % BMW Finance NV 2015/2020 . . . . . . . . . . . . . . . . . EUR 1 635 000 240 000 1 500 000 % 103.626 1 694 285.10 0.452.50 % ABN AMRO Bank NV -Reg- 2013/2018 . . . . . . . . . USD 921 000 200 000 % 102.311 847 645.04 0.222.625 % Anglo American Capital Plc 2012/2017 . . . . . . . . . . USD 1 900 000 400 000 400 000 % 99.975 1 708 744.31 0.456.463 % AXA SA -Reg- 2006/2049 * . . . . . . . . . . . . . . . . . . . USD 800 000 100 000 300 000 % 104.372 751 114.35 0.202.75 % Banco de Credito del Peru -Reg- 2014/2018 . . . . . . USD 850 000 240 000 % 101.113 773 139.72 0.206.25 % BHP Billiton Finance USA Ltd 2015/2075 . . . . . . . . USD 570 000 % 106.063 543 839.60 0.142.00 % BMW US Capital LLC -Reg- 2016/2021 . . . . . . . . . USD 3 150 000 3 150 000 % 100.531 2 848 673.16 0.75



297

2.70 % BNP Paribas SA (MTN) 2013/2018 . . . . . . . . . . . . . USD 1 862 000 460 000 390 000 % 102.442 1 715 891.38 0.452.375 % BNP Paribas SA 2012/2017 . . . . . . . . . . . . . . . . . . . USD 1 038 000 90 000 270 000 % 101.318 946 054.22 0.252.75 % CNPC General Capital Ltd -Reg- 2012/2017 . . . . . . USD 1 911 000 400 000 400 000 % 101.124 1 738 389.11 0.462.625 % Credit Agricole SA -Reg- 2013/2018 . . . . . . . . . . . . USD 1 400 000 250 000 % 102.465 1 290 433.55 0.343.48 % Diamond 1 Finance Corp. Via Diamond 2

Finance Corp. 144A 2016/2019 . . . . . . . . . . . . . . . . USD 1 830 000 1 830 000 % 102.192 1 682 286.87 0.445.125 % Enel Finance International NV 2009/2019 . . . . . . . . USD 2 390 000 200 000 140 000 % 110.31 2 371 629.37 0.636.25 % Enel Finance International SA -Reg- 2007/2017 . . . USD 1 605 000 240 000 % 105.66 1 525 519.31 0.402.70 % Glencore Finance Canada Ltd -Reg- 2012/2017 . . . USD 1 450 000 100 000 200 000 % 99.975 1 304 041.71 0.351.625 % Hutchison Whampoa International 14 Ltd -Reg-

2014/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 265 000 600 000 % 100.44 1 142 955.43 0.302.05 % Imperial Tobacco Finance PLC 2015/2018 . . . . . . . USD 1 575 000 400 000 400 000 % 100.932 1 430 018.00 0.381.144 % ING Bank NV 2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 1 960 000 200 000 600 000 % 99.71 1 758 023.50 0.463.875 % Intesa Sanpaolo SpA 2013/2018 . . . . . . . . . . . . . . . USD 2 799 000 790 000 % 102.386 2 577 956.24 0.682.375 % Intesa Sanpaolo SpA 2014/2017 . . . . . . . . . . . . . . . USD 900 000 200 000 % 100.445 813 210.35 0.222.15 % Mizuho Bank Ltd 2015/2018 . . . . . . . . . . . . . . . . . . USD 460 000 % 101.175 418 661.58 0.113.125 % Petroleos Mexicanos 2014/2019 . . . . . . . . . . . . . . . USD 850 000 240 000 % 100.344 767 259.72 0.203.50 % RCI Banque SA -Reg- 2013/2018 . . . . . . . . . . . . . . USD 1 208 000 200 000 290 000 % 103.117 1 120 544.92 0.306.875 % Sable International Finance Ltd 2015/2022 . . . . . . . USD 950 000 200 000 % 102.457 875 582.97 0.237.75 % Sappi Papier Holding GmbH 144A 2012/2017 . . . . USD 2 060 000 2 500 000 440 000 % 103.812 1 923 751.35 0.514.875 % Smurfit Kappa Acquisitions 144A 2012/2018 . . . . . USD 500 000 % 104.188 468 616.62 0.123.40 % Solvay Finance (America) 2015/2020 ** . . . . . . . . . USD 1 980 000 200 000 410 000 % 104.47 1 860 753.53 0.492.20 % Swedbank AB 144A 2015/2020 . . . . . . . . . . . . . . . USD 1 810 000 500 000 200 000 % 101.452 1 651 852.46 0.444.00 % Turkiye Garanti Bankasi AS 2012/2017 . . . . . . . . . . USD 1 100 000 400 000 % 102.059 1 009 894.62 0.276.25 % Vale Overseas Ltd 2006/2017 . . . . . . . . . . . . . . . . . USD 1 030 000 150 000 260 000 % 102.074 945 767.59 0.251.60 % Volkswagen Group of America Finance LLC -Reg-

2014/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 680 000 200 000 600 000 % 100.081 1 512 491.65 0.40

Total securities portfolio 363 562 271.92 95.91 Derivatives (Minus signs denote short positions) Interest rate derivatives -202 765.42 -0.05Receivables/payables Interest rate futures US Treasury Notes 5 year Futures 09/2016 (CBT) . . . . . . . . . Count -100 -100 -167 965.42 -0.04Germany Federal Republic Bonds 5 year 09/2016 (EUR) . . . . Count -30 -30 -34 800.00 -0.01 Currency derivatives 576 759.82 0.15Receivables/payables Currency futures Currency futures (short) Open positions EUR/GBP 5.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -14 612.27 0.00EUR/USD 112.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 583 683.76 0.15 Closed positions EUR/GBP 1.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 688.33 0.00 Cash at bank 6 065 696.65 1.60 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 862 097.26 1.55 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 7 939 9 595.41 0.00 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 215 664 194 003.98 0.05 Other assets 6 296 826.36 1.66Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 491 637.84 1.18Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 805 188.52 0.48 Receivables from share certificate transactions 4 866 290.88 1.29 Total assets *** 381 382 457.90 100.61 Other liabilities -740 519.05 -0.20Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -259 435.19 -0.07Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -481 083.86 -0.13



298

Liabilities from share certificate transactions -1 347 972.14 -0.36 Total liabilities -2 305 868.88 -0.61 Net assets 379 076 589.02 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 134.87Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 130.44Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.14Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 123.04 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 104 215Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 260 299Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91 507Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 460 648 Presentation of the maximum limit (according to CSSF circular 11/512)5% of portfolio value

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 0.413 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 0.809 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 0.649 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the absolute value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.4, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 120 945 154.92 as of the reporting date.


Futures exchanges CBT = Chicago Board of TradeEUR = Eurex

Contracting parties for currency futuresDeutsche Bank AG Frankfurt and Morgan Stanley and Co. International PLC



6.50 % Autodis SA (MTN) 2014/2019 EUR 500 000 514 145.001.125 % Eutelsat SA 2016/2021 EUR 2 700 000 2 722 032.005.44 % Gazprom OAO Via Gaz Capital SA (MTN) -Reg- 2007/2017 EUR 1 300 000 1 370 538.005.25 % Glencore Finance Europe SA (MTN) 2010/2017 EUR 2 950 000 3 047 468.000.75 % Goldman Sachs Group, Inc./The (MTN) 2016/2019 EUR 2 300 000 2 329 440.001.375 % Santander International Debt SAU (MTN) 2016/2021 EUR 1 700 000 1 747 753.004.375 % Vale SA (MTN) 2010/2018 EUR 1 300 000 1 334 047.002.05 % Imperial Tobacco Finance PLC 2015/2018 USD 700 000 635 563.563.40 % Solvay Finance (America) 2015/2020 USD 1 800 000 1 691 594.125.50 % Swedbank AB 2015/2049 * USD 800 000 706 884.586.375 % UniCredit SpA (MTN) -Reg- 2013/2023 * USD 400 000 363 686.53 Total receivables from securities loans 16 463 151.79 16 463 151.79



299



Securities traded on an exchange Interest-bearing securities 1.75 % Abbey National Treasury Services Plc

2013/2018 . . . . . . . . . . . . . . . . . . . . . EUR 1 675 000 2.00 % Abbey National Treasury Services Plc/

London (MTN) 2014/2019 . . . . . . . . . EUR 1 664 000 2.50 % Anglo American Capital Plc

2012/2018 . . . . . . . . . . . . . . . . . . . . . EUR 100 000 1 410 000 5.875 % ArcelorMittal (MTN) 2010/2017 . . . . EUR 90 000 1 660 000 10.24 % Baggot Securities Ltd -Reg-

2013/2049 . . . . . . . . . . . . . . . . . . . . . EUR 1 402 000 1.00 % Banco Bilbao Vizcaya Argentaria SA

2016/2021 . . . . . . . . . . . . . . . . . . . . . EUR 1 100 000 1 100 000 2.75 % Bank of Ireland 2013/2016 . . . . . . . . EUR 900 000 6.00 % Barclays Bank Plc (MTN) 2008/2018 . EUR 1 490 000 2.625 % Barclays PLC 2015/2025* . . . . . . . . . EUR 100 000 1 060 000 1.125 % Bayer AG (MTN) 2014/2018 . . . . . . . EUR 1 330 000 3.75 % BPCE SA (MTN) 2010/2017 . . . . . . . EUR 1 450 000 4.75 % BPCE SA 2006/2049 * . . . . . . . . . . . EUR 1 100 000 8.75 % Cirsa Funding Luxembourg SA -Reg-

2010/2018 . . . . . . . . . . . . . . . . . . . . . EUR 504 174 3.875 % Credit Suisse AG/London (MTN)

2010/2017 . . . . . . . . . . . . . . . . . . . . . EUR 1 200 000 0.625 % Daimler AG 2015/2020 . . . . . . . . . . . EUR 1 400 000 4.75 % EDP Finance BV (MTN) 2009/2016 . . EUR 1 558 000 11.75 % Eileme 2 AB -Reg- 2012/2020 . . . . . . EUR 1 083 000 4.25 % Electricite de France SA (MTN)

2013/2049 * . . . . . . . . . . . . . . . . . . . EUR 900 000 2 000 000 4.00 % Enel Finance International NV (MTN)

2009/2016 . . . . . . . . . . . . . . . . . . . . . EUR 770 000 6.25 % ESB Finance Ltd 2012/2017 . . . . . . EUR 523 000 1.875 % FCE Bank Plc (MTN) 2013/2016 . . . . EUR 1 092 000 3.625 % GE Capital European Funding (MTN)

2011/2017 . . . . . . . . . . . . . . . . . . . . . EUR 1 807 000 5.317 % Generali Finance BV 2006/2049 * . . . EUR 200 000 1 600 000 5.50 % Global Switch Holdings Ltd (MTN)

2011/2018 . . . . . . . . . . . . . . . . . . . . . EUR 2 116 000 5.75 % Hit Finance BV 2011/2018 . . . . . . . . EUR 200 000 0.625 % HSBC France SA 2015/2020 . . . . . . . EUR 2 100 000 5.451 % Hydra Dutch Holdings 2BV -Reg-

2014/2019 * . . . . . . . . . . . . . . . . . . . EUR 400 000

4.125 % International Game Technology Plc -Reg- 2015/2020 . . . . . . . . . . . . . . . . EUR 100 000 1 740 000

1.875 % Kering SA 2013/2018 . . . . . . . . . . . . EUR 1 900 000 11.875 % Lloyds Bank Plc (MTN) 2011/2021 * . EUR 1 863 000 1.875 % Lloyds Bank Plc 2013/2018 . . . . . . . . EUR 1 641 000 1.625 % Mediobanca SpA (MTN) 2016/2021 . EUR 1 810 000 1 810 000 4.125 % Nationwide Building Society (MTN)

2013/2023 * . . . . . . . . . . . . . . . . . . . EUR 1 127 000 1.625 % Nationwide Building Society (MTN)

2014/2019 . . . . . . . . . . . . . . . . . . . . . EUR 1 827 000 1.875 % Nordea Bank AB 2015/2025* . . . . . . EUR 796 000 2.75 % Petrobras Global Finance BV

2014/2018 . . . . . . . . . . . . . . . . . . . . . EUR 1 080 000 1 901 000 4.875 % Petrobras International Finance Co.

(MTN) 2011/2018 . . . . . . . . . . . . . . . EUR 100 000 1 433 000 7.375 % Peugeot SA (MTN) 2013/2018 . . . . . EUR 150 000 2 188 000 4.875 % Repsol International Finance BV

(MTN) 2012/2019 . . . . . . . . . . . . . . . EUR 1 100 000 1.50 % Royal Bank of Scotland Group Plc

2013/2016 . . . . . . . . . . . . . . . . . . . . . EUR 2 370 000 6.625 % RWE Finance BV (MTN) 2008/2019 . EUR 100 000 1 400 000 2.50 % Schaeffler Finance BV -Reg-

2015/2020 . . . . . . . . . . . . . . . . . . . . . EUR 1 660 000 4.375 % Snam SpA (MTN) 2012/2016 . . . . . . EUR 461 000 3.75 % Societe Generale SA (MTN)

2012/2017 . . . . . . . . . . . . . . . . . . . . . EUR 1 100 000 0.702 % Telefonica Emisiones SAU

2014/2017 * . . . . . . . . . . . . . . . . . . . EUR 1 100 000 1.25 % Tesco Corporate Treasury Services Plc

2013/2017 . . . . . . . . . . . . . . . . . . . . . EUR 1 570 000 1.375 % Tesco Corporate Treasury Services Plc

2014/2019 . . . . . . . . . . . . . . . . . . . . . EUR 1 550 000 1.625 % Thales SA (MTN) 2013/2018 . . . . . . . EUR 1 900 000 5.875 % Wendel SA 2012/2019 . . . . . . . . . . . EUR 700 000 700 000 2.625 % FCE Bank Plc (MTN) 2014/2018 . . . . GBP 1 660 000 1 660 000 7.75 % Thomas Cook Group Plc (MTN)

2010/2017 . . . . . . . . . . . . . . . . . . . . . GBP 1 120 000 1.625 % ABB Finance USA, Inc. 2012/2017 . . USD 1 265 000 2.00 % Abbey National Treasury Services

PLC/United Kingdom 2015/2018 . . . . USD 2 220 000 2.125 % American Express Credit Corp.

2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 120 000 2 228 000

Contracting parties for securities loans Barclays Capital Securities Limited, Citigroup Global Markets, Crédit Suisse Securities (Europe) Ltd. FI, Deutsche Bank AG FI, HSBC Bank PLC FI, Morgan Stanley Intl. FI, UBS AG London Branch Total collateral pledged by third parties for securities loans EUR 18 052 342.39thereof: Bonds EUR 12 110 285.74Equities EUR 5 942 056.65


As of: June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation


Footnotes






300


1.90 % Anheuser-Busch InBev Finance, Inc. 2016/2019 . . . . . . . . . . . . . . . . . . . . . USD 2 140 000 2 140 000

10.85 % ArcelorMittal 2009/2019 . . . . . . . . . . USD 1 380 000 1 380 000 7.25 % Chesapeake Energy Corp.

2008/2018 . . . . . . . . . . . . . . . . . . . . . USD 1 130 000 4.20 % ConocoPhillips Co. 2016/2021 . . . . . USD 2 420 000 2 420 000 2.95 % Deutsche Bank AG 2015/2020 . . . . . USD 2 620 000 3.20 % DNB Bank ASA -Reg- 2012/2017 . . . USD 1 788 000 3.00 % Express BVI 2015 Ltd 2015/2018 . . . USD 430 000 1.724 % Ford Motor Credit Co. LLC

2014/2017 . . . . . . . . . . . . . . . . . . . . . USD 3 399 000 6.25 % GTH Finance BV -Reg- 2016/2020 . . USD 1 035 000 1 035 000 5.625 % HSBC Holdings Plc 2014/2049 * . . . USD 840 000 3.50 % Jaguar Land Rover Automotive Plc

144A 2015/2020 . . . . . . . . . . . . . . . . USD 1 100 000 2.00 % JPMorgan Chase & Co. 2012/2017 . USD 100 000 1 788 000 2.10 % McDonald‘s Corp 2015/2018 . . . . . . USD 80 000 1 410 000 1.50 % Medtronic Inc 2015/2018 . . . . . . . . . USD 2 930 000 3.15 % Newell Brands, Inc. 2016/2021 . . . . . USD 1 000 000 1 000 000 2.00 % Nomura Holdings, Inc. (MTN)

2013/2016 . . . . . . . . . . . . . . . . . . . . . USD 430 000 2.75 % Orange SA 2011/2016 . . . . . . . . . . . . USD 970 000 1.99 % Petrobras Global Finance BV

2013/2016 * . . . . . . . . . . . . . . . . . . . USD 668 000 5.875 % Petrobras International Finance Co.,

SA 2007/2018 . . . . . . . . . . . . . . . . . . USD 450 000 6.40 % Royal Bank of Scotland Group Plc

2009/2019 . . . . . . . . . . . . . . . . . . . . . USD 411 000 4.375 % Royal Bank of Scotland Plc

2011/2016 . . . . . . . . . . . . . . . . . . . . . USD 578 000 1.25 % Statoil ASA 2014/2017 . . . . . . . . . . . USD 1 720 000 3.65 % Verizon Communications, Inc.

2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 150 000 2 760 000


Interest-bearing securities 1.50 % Thermo Fisher Scientific 2015/2020 . EUR 670 000 2.60 % Amazon.com, Inc. 2014/2019 . . . . . . USD 190 000 3 280 000 3.579 % CCO Safari II LLC 2015/2020 . . . . . . USD 690 000 2.45 % Columbia Pipeline Group 2015/2018 . USD 1 470 000 2.00 % Daimler Finance North America LLC

2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 200 000 3 490 000 2.35 % Electricite de France SA 2015/2020 . USD 3 330 000 1.80 % ING Bank NV 2015/2018 . . . . . . . . . . USD 2 670 000 3.75 % ING Bank NV -Reg- 2012/2017 . . . . . USD 600 000 7.50 % Micron Technology, Inc. 144A

2016/2023 . . . . . . . . . . . . . . . . . . . . . USD 430 000 430 000


Value (’000)Futures contracts Interest rate futures Contracts purchased (Underlyings: Euro Bobl, Germany Federal Republic Bonds 5 year, Germany Federal Republic Notes 10 year, US Treasury Note 5-Year) EUR 73 689 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 46 825EUR/USD EUR 518 681 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 50 525USD/EUR EUR 659 641 Swaps Credit default swaps Protection seller (Underlying: RWE) EUR 5 000


301

Securities traded on an exchange 203 739 144.25 88.92 Equities AIA Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 583 575 676 701 963 126 HKD 46 .25 8 491 458 .40 3 .71China Communications Construction Co ., Ltd -H- . . . . . . . . . Count 2 020 000 2 020 000 HKD 8 .3 1 943 843 .85 0 .85China Construction Bank Corp . -H- . . . . . . . . . . . . . . . . . . . . . Count 7 734 000 836 000 HKD 5 .13 4 599 953 .54 2 .01China Life Insurance Co ., Ltd -H- . . . . . . . . . . . . . . . . . . . . . . Count 832 075 HKD 16 .62 1 603 339 .18 0 .70China Mobile Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 000 HKD 88 .75 5 144 821 .11 2 .25China Overseas Land & Investment Ltd . . . . . . . . . . . . . . . . . Count 1 561 018 668 176 421 263 HKD 24 .5 4 434 104 .33 1 .93CK Hutchison Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 151 081 261 500 110 419 HKD 84 .55 1 481 001 .08 0 .65Industrial & Commercial Bank of China Ltd -H- . . . . . . . . . . . . Count 10 100 000 HKD 4 .29 5 023 548 .25 2 .19PetroChina Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 648 414 1 201 213 1 923 586 HKD 5 .29 2 237 647 .63 0 .98Ping An Insurance Group Co . of China Ltd . . . . . . . . . . . . . . . Count 625 500 625 500 824 871 HKD 34 .15 2 476 566 .16 1 .08Power Assets Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 263 500 263 500 HKD 71 .05 2 170 584 .08 0 .95Shenzhou International Group Holdings Ltd . . . . . . . . . . . . . . Count 485 944 485 944 HKD 37 .45 2 109 939 .29 0 .92Sun Hung Kai Properties Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 501 000 501 000 HKD 93 5 401 975 .21 2 .36Techtronic Industries Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 957 999 112 001 HKD 32 .25 3 582 009 .12 1 .56Tencent Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 588 966 131 916 77 950 HKD 176 .3 12 038 557 .44 5 .25Astra International Tbk PT . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 400 000 IDR 7 400 3 224 473 .12 1 .41Bank Rakyat Indonesia Persero Tbk PT . . . . . . . . . . . . . . . . . Count 2 938 251 2 761 749 IDR 10 800 2 160 527 .08 0 .94Unilever Indonesia Tbk PT . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 230 600 230 600 IDR 45 075 707 688 .45 0 .31ITC Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 403 370 296 630 INR 369 1 983 765 .93 0 .87Larsen & Toubro Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 145 836 INR 1 498 2 911 635 .61 1 .27Asahi Kasei Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 386 000 386 000 JPY 708 2 391 789 .14 1 .04Bridgestone Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 134 700 68 300 JPY 3 269 3 853 761 .58 1 .68FANUC Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 400 5 400 JPY 16 535 6 714 667 .42 2 .93Hoya Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 700 35 700 JPY 3 634 1 135 417 .19 0 .50Japan Tobacco, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 145 000 JPY 4 103 5 206 811 .39 2 .27Keyence Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 400 11 400 JPY 69 140 6 898 212 .25 3 .01Komatsu Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 210 000 JPY 1 769 .5 3 252 162 .13 1 .42Mitsubishi Estate Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 220 000 64 000 134 000 JPY 1 873 3 606 307 .75 1 .57Mitsubishi UFJ Financial Group, Inc . . . . . . . . . . . . . . . . . . . . . Count 535 100 1 322 400 JPY 455 .9 2 135 044 .20 0 .93Nippon Telegraph & Telephone Corp . . . . . . . . . . . . . . . . . . . . Count 84 100 84 100 JPY 4 800 3 532 966 .83 1 .54ORIX Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 242 200 255 700 JPY 1 308 2 772 580 .79 1 .21Seven & I Holdings Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 191 600 19 000 57 300 JPY 4 281 7 178 654 .62 3 .13Toyota Motor Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 65 200 134 800 JPY 5 052 2 882 791 .71 1 .26Cheil Industries, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 680 9 680 KRW 123 000 929 857 .95 0 .41Hyundai Motor Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 874 12 126 KRW 135 500 2 314 747 .60 1 .01KB Financial Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 29 386 54 614 KRW 32 600 748 159 .53 0 .33Korea Electric Power Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 72 710 16 710 KRW 60 400 3 429 787 .58 1 .50KT Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 94 000 KRW 29 650 2 176 650 .45 0 .95KT&G Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 200 28 000 6 800 KRW 136 500 2 259 980 .30 0 .99LG Chem Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 300 5 300 KRW 260 000 1 076 181 .09 0 .47LG Household & Health Care Ltd . . . . . . . . . . . . . . . . . . . . . . Count 3 234 3 234 KRW 1117 000 2 821 170 .47 1 .23NAVER Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 KRW 710 000 3 326 945 .90 1 .45Samsung Electronics Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 270 1 538 700 KRW 1425 000 12 542 234 .62 5 .47Samsung Life Insurance Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . Count 25 240 4 760 KRW 100 500 1 981 032 .28 0 .86Shinhan Financial Group Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . Count 116 120 16 120 KRW 38 000 3 446 091 .18 1 .50GT Capital Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 78 550 PHP 1 440 2 162 739 .43 0 .94Metropolitan Bank & Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 656 822 PHP 90 .35 2 862 197 .02 1 .25DBS Group Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 283 500 283 500 SGD 15 .76 2 982 277 .93 1 .30Bangkok Bank PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 575 000 THB 158 .5 2 333 068 .13 1 .02Siam Cement PCL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 92 400 92 400 THB 476 1 125 924 .41 0 .49Fubon Financial Holding Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 1 237 000 1 237 000 TWD 37 .65 1 298 720 .95 0 .57Alibaba Group Holding * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 78 481 30 791 USD 78 .8 5 563 176 .16 2 .43Baidu, Inc . -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 652 1 348 USD 162 .49 2 141 685 .10 0 .93Ctrip .com International Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . Count 64 186 64 186 USD 40 .81 2 356 345 .52 1 .03HDFC Bank Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 15 006 USD 65 .39 882 690 .28 0 .39New Oriental Education & Technology Group, Inc . -ADR- . . . Count 65 500 65 500 USD 41 .79 2 462 327 .06 1 .07Taiwan Semiconductor Manufacturing Co ., Ltd -ADR- . . . . . . Count 653 410 112 670 USD 25 .905 15 226 547 .45 6 .65

Investment fund units 5 195 540.69 2.27 In-group fund units db x-trackers - FTSE VIETNAM UCITS ETF -1C- EUR - (0 .650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 55 458 EUR 21 .29 1 180 700 .82 0 .52db x-trackers - MSCI Japan Index UCITS ETF (DR) -1C- EUR - (0 .400%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 94 538 94 538 EUR 41 .54 3 927 108 .52 1 .71db x-trackers - FTSE VIETNAM UCITS ETF -1C- USD - (0 .650%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Units 4 122 USD 23 .66 87 731 .35 0 .04 Total securities portfolio 208 934 684.94 91.19




302

Derivatives (Minus signs denote short positions) Derivatives on individual securities 6 686 797.36 2.92 Warrants on securities Equity warrants Cathay Financial Holding Co., Ltd 17/07/2017 . . . . . . . . . . . . Count 1 900 000 USD 1.0856 1 855 476.69 0.81Fubon Financial Holding Co., Ltd 25/03/2021 . . . . . . . . . . . . . Count 2 800 000 USD 1.1678 2 941 430.35 1.28Largan Precision Co., Ltd 05/10/2020 . . . . . . . . . . . . . . . . . . . Count 23 000 17 000 USD 91.3433 1 889 890.32 0.83 Cash at bank 9 843 048.09 4.30 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 327 361.01 0.58 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 0.83 0.00 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 3 017 2 018.50 0.00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 38 306 387 4 441 228.36 1.93Indian rupee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . INR 32 036 232 426 974.45 0.19Indonesian rupiah . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 1 299 851 876 88 499.52 0.04Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 48 089 980 420 878.68 0.18New Taiwan dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 6 539 051 182 345.85 0.08Philippine peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PHP 2 027 467 38 765.86 0.02Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 199 810 133 369.04 0.06South Korean won . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 2 377 090 484 1 856 444.00 0.81Thai baht . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 5 125 325 131 205.39 0.06U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 882 602 793 956.60 0.35 Other assets 3 105 566.28 1.36Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 350 972.28 0.59Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 754 594.00 0.77 Receivables from share certificate transactions 2 268 445.13 0.98 Total assets 230 838 612.98 100.75 Other liabilities -342 672.00 -0.15Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -342 672.00 -0.15 Liabilities from share certificate transactions -1 363 688.07 -0.60 Total liabilities -1 706 431.25 -0.75 Net assets 229 132 181.73 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 243.15Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 216.37Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 203.99Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 196.03Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 167.74Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 125.26Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 118.97 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 134 550Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 464 047Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 238 202Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 211 795Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 595Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 657Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 300



303

Composition of the reference portfolio (according to CSSF circular 11/512)50% MSCI AC FAR EAST ex JAPAN Constituents, 50% MSCI AC FAR EAST in EUR Constituents


Securities lending



Alibaba Group Holding Count 450 000 3 189 853 .94 Total receivables from securities loans 3 189 853.94 3 189 853.94 Contracting party for securities loans HSBC Bank PLC Total collateral pledged by third parties for securities loans EUR 3 314 593.68 thereof: Equities EUR 3 314 593 .68


As of: June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Indonesian rupiah . . . . . . . . . . . . . . . . IDR 14 687 .670916 = EUR 1Indian rupee . . . . . . . . . . . . . . . . . . . . . INR 75 .030793 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114 .260909 = EUR 1South Korean won . . . . . . . . . . . . . . . . KRW 1 280 .453642 = EUR 1Philippine peso . . . . . . . . . . . . . . . . . . PHP 52 .300337 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1 .498170 = EUR 1Thai baht . . . . . . . . . . . . . . . . . . . . . . . THB 39 .063368 = EUR 1New Taiwan dollar . . . . . . . . . . . . . . . . TWD 35 .860706 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1

Notes on valuation


Footnote

* Some or all of these securities are lent .


304





Securities traded on an exchange Equities Anhui Conch Cement Co., Ltd -H- . . . . . . . . . . . . Count 740 000Bank of China Ltd -H- . . . . . . . . . . . . . . . . . . . . . Count 7 705 137China Merchants Bank Co., Ltd -H- . . . . . . . . . . . Count 1 118 655China Overseas Property Holdings Ltd . . . . . . . . Count 438 035China Unicom Hong Kong Ltd . . . . . . . . . . . . . . . Count 1 454 544Hanjaya Mandala Sampoerna Tbk PT . . . . . . . . . Count 632 800Hitachi Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 160 000Hon Hai Precision Industry Co., Ltd -GDR Reg - . Count 6 224ICICI Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 098 743JD.com, Inc. -ADR- . . . . . . . . . . . . . . . . . . . . . . . Count 104 466Mega Financial Holding Co., Ltd . . . . . . . . . . . . . Count 689 000 689 000Nomura Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . Count 471 000Pegatron Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 548 000 548 000Samsung SDS Co., Ltd . . . . . . . . . . . . . . . . . . . . Count 3 640SK Hynix, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 119 000Softbank Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 90 000


Additions DisposalsWarrants

Warrants on securities

Equity warrantsAdvanced Semiconductor Engineering, Inc. 21/01/2020. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 400 000Delta Electronics, Inc. 24/01/2017 . . . . . . . . . . . Count 530 000MediaTek, Inc. 30/01/2017 . . . . . . . . . . . . . . . . . Count 200 000Uni-President Enterprises Corp. 24/04/2017 . . . . Count 18 901Uni-President Enterprises Corp. 27/04/2017 . . . . Count 222 960

305

Securities traded on an exchange 4 166 817 021.05 96.60 Equities BCE, Inc. * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 430 000 173 197 CAD 60.9 60 336 052.13 1.40Enbridge, Inc. * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 092 000 241 710 129 327 CAD 54.31 78 716 367.23 1.82TransCanada Corp. * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 165 000 185 100 182 495 CAD 57.91 86 863 040.25 2.01Nestle SA -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 565 000 50 000 177 858 CHF 75 108 321 440.89 2.51Novartis AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 355 000 48 200 145 650 CHF 79.3 99 163 376.41 2.30Roche Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 545 000 77 500 53 492 CHF 253.5 127 500 911.35 2.95Allianz SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 935 000 185 800 93 397 EUR 126.15 117 950 250.00 2.73AXA SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 086 000 834 700 196 400 EUR 17.55 36 609 300.00 0.85Fuchs Petrolub AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 622 000 32 608 EUR 32.085 19 956 870.00 0.46Fuchs Petrolub AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 900 000 24 064 EUR 35.155 31 639 500.00 0.73Hannover Rueck SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 599 000 46 600 65 494 EUR 93.06 55 742 940.00 1.29Sampo -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 557 000 156 582 EUR 36.11 56 223 270.00 1.30Sanofi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 544 000 588 100 44 100 EUR 73.99 40 250 560.00 0.93Unibail-Rodamco SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 182 500 2 800 26 217 EUR 233.9 42 686 750.00 0.99Unilever NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 627 000 871 034 94 800 EUR 41.55 109 151 850.00 2.53Wincor Nixdorf AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 293 120 293 120 EUR 47.93 14 049 241.60 0.33BAE Systems Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 125 000 1 018 032 GBP 5.14 56 691 045.68 1.31British American Tobacco Plc . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 453 000 158 900 134 826 GBP 47.34 83 140 444.78 1.93British Sky Broadcasting Group Plc . . . . . . . . . . . . . . . . . . . . . Count 800 000 313 900 2 176 505 GBP 8.435 8 156 306.73 0.19Imperial Tobacco Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 353 000 17 100 132 434 GBP 39.835 65 145 000.80 1.51Reckitt Benckiser Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 882 000 172 800 114 161 GBP 73.36 78 207 136.26 1.81Japan Tobacco, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 093 986 255 100 JPY 4 103 75 193 035.50 1.74KDDI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 578 000 1 578 000 JPY 3 113 42 992 078.91 1.00Nippon Telegraph & Telephone Corp. . . . . . . . . . . . . . . . . . . . Count 3 907 000 97 000 410 200 JPY 4 800 164 129 624.27 3.81KT&G Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 691 000 67 123 KRW 136 500 73 662 565.29 1.71Gjensidige Forsikring BA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 370 000 53 700 378 462 NOK 138.8 50 234 167.64 1.16Telenor ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 895 000 806 968 239 315 NOK 137.2 57 390 686.13 1.33Chunghwa Telecom Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 241 500 TWD 116.5 20 276 643.55 0.47Taiwan Semiconductor Manufacturing Co., Ltd . . . . . . . . . . . Count 1 310 000 1 310 000 TWD 162.5 5 936 163.13 0.14AbbVie, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 790 500 147 400 84 500 USD 61.42 43 676 090.09 1.01Altria Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 666 000 205 573 USD 67.9 101 759 939.03 2.36AT&T, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 332 000 34 100 299 946 USD 42.62 89 407 522.00 2.07Automatic Data Processing, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 337 000 44 728 USD 89.71 27 195 861.72 0.63CF Industries Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 082 000 321 700 116 615 USD 23.72 23 087 346.03 0.54Chunghwa Telecom Co., Ltd -ADR- . . . . . . . . . . . . . . . . . . . . Count 207 963 99 334 USD 36.1 6 753 444.61 0.16Cisco Systems, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 452 000 1 129 700 630 684 USD 28.21 138 353 770.75 3.21Coca-Cola Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 685 000 242 900 169 180 USD 44.67 67 709 237.71 1.57Dominion Resources, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 837 000 41 700 73 575 USD 76.5 57 599 532.68 1.34Dow Chemical Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 445 000 62 100 50 300 USD 49.32 19 743 090.93 0.46Duke Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 939 000 112 872 USD 84.2 71 122 948.16 1.65Genuine Parts Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 185 000 21 585 USD 99.42 16 545 410.78 0.38HCP, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 750 000 605 226 USD 34.89 23 539 340.96 0.55Merck & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 942 000 40 300 227 542 USD 56.98 99 541 398.31 2.31NextEra Energy, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 986 500 239 700 94 000 USD 127.75 113 367 890.40 2.63PepsiCo, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 037 000 44 800 111 299 USD 104.36 97 352 003.47 2.26Pfizer, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 894 000 968 300 565 793 USD 34.95 122 426 432.41 2.84PG&E Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 648 000 74 605 USD 62.83 36 624 704.75 0.85Philip Morris International, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Count 1 037 000 133 141 USD 99.18 92 519 851.52 2.15Procter & Gamble Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 004 000 116 166 USD 83.91 75 784 344.87 1.76Raytheon Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 676 000 76 884 USD 135.25 82 246 236.93 1.91Taiwan Semiconductor Manufacturing Co., Ltd -ADR- . . . . . . Count 5 070 000 1 596 400 723 997 USD 25.905 118 147 251.44 2.74Target Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 815 000 429 016 20 416 USD 69.91 51 254 143.16 1.19UGI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 302 000 162 647 USD 44.48 52 096 413.93 1.21Verizon Communications, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 990 000 119 900 326 676 USD 55.03 148 013 990.64 3.43Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 794 900 285 600 60 000 USD 72.61 51 920 755.17 1.20WEC Energy Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 426 000 182 763 USD 64.21 82 367 192.30 1.91

Interest-bearing securities 3.00 % United States Treasury Note/Bond 2010/2017 * . . USD 57 596 000 32 596 000 % 101.693 52 688 639.24 1.220.75 % United States Treasury Note/Bond 2012/2017 * . . USD 80 000 000 21 912 000 % 100.24 72 138 004.66 1.672.125 % United States Treasury Note/Bond 2014/2021 * . . USD 70 000 000 70 000 000 % 105.078 66 167 148.88 1.531.00 % United States Treasury Note/Bond 2015/2018 * . . USD 70 000 000 70 000 000 % 100.656 63 382 717.19 1.470.75 % United States Treasury Note/Bond 2015/2018 * . . USD 75 000 000 75 000 000 % 100.24 67 629 379.37 1.572.125 % United States Treasury Note/Bond 2015/2025 * . . USD 71 901 400 13 683 700 % 105.656 68 338 368.43 1.58

Total securities portfolio 4 166 817 021.05 96.60 Derivatives (Minus signs denote short positions) Currency derivatives 679 128.45 0.02Receivables/payables




306

Currency futures Currency futures (short) Open positionsCHF/CAD 11.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40 625.93 0.00CHF/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -20.32 0.00CHF/NOK 32.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 321.30 0.00CHF/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158.80 0.00CHF/SGD 2.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -28 259.03 0.00EUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.54 0.00EUR/CAD 0.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49.45 0.00EUR/GBP 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 045.67 0.00EUR/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2.44 0.00EUR/JPY 93 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -34 608.05 0.00EUR/NOK 2.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 234.75 0.00GBP/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -23.96 0.00GBP/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -59.65 0.00GBP/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -12.67 0.00SEK/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.02 0.00USD/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2.40 0.00USD/CAD 15.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140 792.57 0.00USD/GBP 10.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 732 684.27 0.03USD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.73 0.00USD/JPY 1530.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -395 180.61 -0.01USD/NOK 41.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 094.46 0.00USD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49.99 0.00

Closed positionsAUD/CHF 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.18 0.00CAD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.10 0.00CAD/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 469.73 0.00CHF/CAD 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 834.27 0.00CHF/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.36 0.00CHF/NOK 4.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 700.88 0.00CHF/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.30 0.00CHF/SGD 3.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 367.94 0.00EUR/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.01 0.00EUR/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -32.49 0.00EUR/CHF 5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 216.70 0.00EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 624.27 0.00EUR/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.05 0.00EUR/JPY 10.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52.16 0.00EUR/NOK 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 210.18 0.00EUR/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.14 0.00EUR/SGD 1.3 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 127.55 0.00EUR/USD 16.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50 319.12 0.00GBP/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.28 0.00GBP/CHF 1.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57 919.90 0.00GBP/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.39 0.00GBP/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.08 0.00GBP/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.17 0.00GBP/SGD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 910.33 0.00HKD/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.01 0.00JPY/CHF 1.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 700.14 0.00JPY/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.04 0.00JPY/SGD 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -362.79 0.00NOK/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.10 0.00NOK/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 822.47 0.00SEK/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.54 0.00USD/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.20 0.00USD/CAD 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 987.08 0.00USD/CHF 16.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 739.50 0.00USD/GBP 1.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110 716.09 0.00USD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.04 0.00USD/JPY 213.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -7 783.97 0.00USD/NOK 7.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 741.08 0.00USD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14.20 0.00USD/SGD 8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 740.17 0.00



307


Open positionsCHF/AUD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5.09 0.00CHF/EUR 17.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72 398.69 0.00CHF/GBP 11 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 469 853.85 0.02CHF/JPY 10.8 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -399 494.59 -0.01CHF/USD 64.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -577 977.04 -0.01SEK/CAD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -15.17 0.00SEK/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -23.38 0.00SEK/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51.34 0.00SEK/JPY 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -88.71 0.00SEK/NOK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -9.57 0.00SGD/CAD 1.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 885.91 0.00SGD/EUR 2.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 819.55 0.00SGD/GBP 1.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68 348.07 0.00SGD/HKD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.18 0.00SGD/JPY 1.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -27 865.35 0.00SGD/NOK 0.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 782.67 0.00SGD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21.40 0.00SGD/USD 6.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 665.62 0.00USD/EUR 17.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193 313.76 0.00

Cash at bank 136 666 724.86 3.17 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 296 575.10 0.08 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 9 065 188 10 957 091.14 0.25Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 75 120 276 8 067 463.71 0.19Polish zloty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 0 0.02 0.00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 3 225 371 341 925.69 0.01Hungarian forint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HUF 27 623 87.22 0.00 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 16 685 11 161.30 0.00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 585 040 67 829.32 0.00Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 4 787 356 364 41 898 462.23 0.97Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 44 268 290 30 670 178.51 0.71New Taiwan dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 396 614 041 11 059 850.37 0.26Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 3 904 866 3 603 669.76 0.08Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 2 455 355 1 638 902.81 0.04South Korean won . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 3 191 208 582 2 492 248.43 0.06U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 25 080 238 22 561 279.25 0.52 Time deposits Other assets 14 026 673.99 0.33Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 167 863.16 0.24Prepaid placement fee ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 219 090.27 0.05Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 636 019.83 0.04Receivables from exceeding the expense cap . . . . . . . . . . . . 218.59 0.00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 482.14 0.00 Receivables from share certificate transactions 7 845 877.95 0.18 Total assets *** 4 327 508 490.85 100.33 Other liabilities -5 743 363.36 -0.13Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5 743 363.36 -0.13 Liabilities from share certificate transactions -6 805 064.93 -0.17 Total liabilities -14 021 492.84 -0.33 Net assets 4 313 486 998.01 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages.



308


Net asset value per share Class CHF FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 156 .11Class CHF LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 150 .43Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 197 .48Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 136 .18Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 117 .73Class IDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 110 .96Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 188 .74Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 162 .57Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 181 .00Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 148 .32Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 125 .49Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 120 .09Class GBP C RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 126 .14Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 124 .26Class GBP LD DS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 162 .67Class GBP LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 106 .47Class SEK FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 103 .68Class SEK LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1 096 .74Class SGD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 14 .61Class SGD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 14 .93Class SGD LDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 13 .91Class SGD LDQH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 11 .82Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 125 .83Class USD FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 .00Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 151 .00Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 152 .60Class USD LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 123 .71Class USD LDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 94 .70Class USD LDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 110 .03 Number of shares outstanding Class CHF FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 305 944Class CHF LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 671 582Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 415 241Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 835Class ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 544Class IDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 96 500Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 398 123Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 055 062Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 105 205Class ND . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 943 794Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 599 748Class PFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 445 211Class GBP C RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 74Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 851Class GBP LD DS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91 740Class GBP LDMH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70Class SEK FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 95Class SEK LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 91Class SGD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 87 293Class SGD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 861 074Class SGD LDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 128 926Class SGD LDQH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 873 145Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 226 917Class USD FCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 268 833Class USD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 802 165Class USD LDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 617 119Class USD LDM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 459Class USD LDQ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 712

Composition of the reference portfolio (according to CSSF circular 11/512)MSCI World High Dividend Yield in EUR Constituents


In the reporting period, the average leverage effect from the use of derivatives was 0 .0, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0 .00 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .


309



Contracting parties for currency futuresState Street Bank London and State Street Bank and Trust Company



BCE, Inc. Count 607 000 25 611 177.10 Enbridge, Inc. Count 750 000 28 220 495.25 TransCanada Corp. Count 2 050 000 82 249 068.853.00 % United States Treasury Note/Bond 2010/2017 USD 55 000 000 50 313 826.750.75 % United States Treasury Note/Bond 2012/2017 USD 78 500 000 70 785 417.212.125 % United States Treasury Note/Bond 2014/2021 USD 50 000 000 47 262 249.001.00 % United States Treasury Note/Bond 2015/2018 USD 50 000 000 45 273 369.500.75 % United States Treasury Note/Bond 2015/2018 USD 50 000 000 45 086 253.002.125 % United States Treasury Note/Bond 2015/2025 USD 65 900 000 62 634 364.38

Total receivables from securities loans 457 436 221.04 457 436 221.04 Contracting parties for securities loans BNP Paribas Arbitrage SNC, Bank of America Merrill Lynch, DekaBank Deutsche Girozentrale, Nomura International PLC, Skandinaviska Enskilda Banken, Société Générale, UBS AG London Branch Total collateral pledged by third parties for securities loans EUR 482 347 622.68 thereof: Bonds EUR 104 733 056.58Equities EUR 377 614 566.10



Australian dollar . . . . . . . . . . . . . . . . . . AUD 1.494856 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.443366 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1.083580 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8.625178 = EUR 1Hungarian forint . . . . . . . . . . . . . . . . . . HUF 316.719933 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 114.260909 = EUR 1South Korean won . . . . . . . . . . . . . . . . KRW 1 280.453642 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9.311511 = EUR 1Polish zloty . . . . . . . . . . . . . . . . . . . . . PLN 4.417251 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.498170 = EUR 1New Taiwan dollar . . . . . . . . . . . . . . . . TWD 35.860706 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.111650 = EUR 1

Notes on valuation


Footnotes



310



Securities traded on an exchange Equities Baxalta Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 116 539GlaxoSmithKline Plc . . . . . . . . . . . . . . . . . . . . . . Count 1 021 304Johnson & Johnson . . . . . . . . . . . . . . . . . . . . . . . Count 546 173Pearson Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 162 100 2 729 481Praxair, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 175 497Singapore Post Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 14 294 385Swedbank AB . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 630 276Wincor Nixdorf AG . . . . . . . . . . . . . . . . . . . . . . . Count 293 120Yara International ASA . . . . . . . . . . . . . . . . . . . . . Count 519 389

Interest-bearing securities0 .375 % United States Treasury Note

2014/2016 . . . . . . . . . . . . . . . . . . . . . USD 58 098 5002 .00 % United States Treasury Note/Bond

2011/2016 . . . . . . . . . . . . . . . . . . . . . USD 57 956 8000 .75 % United States Treasury Note/Bond

2012/2017 . . . . . . . . . . . . . . . . . . . . . USD 54 934 700 54 934 7000 .75 % United States Treasury Note/Bond

2014/2017 . . . . . . . . . . . . . . . . . . . . . USD 25 504 700 70 466 800


Value (’000)Futures contracts Currency futures (short) Futures contracts to sell currencies AUD/CHF EUR 2CAD/SEK EUR 9CAD/SGD EUR 3 797CHF/CAD EUR 39 740CHF/HKD EUR 13CHF/NOK EUR 21 967CHF/SEK EUR 8 715CHF/SGD EUR 27 182EUR/CAD EUR 3 085EUR/CHF EUR 133 144EUR/GBP EUR 5 576EUR/HKD EUR 1EUR/JPY EUR 4 751EUR/NOK EUR 1 631EUR/SEK EUR 795EUR/SGD EUR 17 024EUR/USD EUR 232 155GBP/CAD EUR 3GBP/CHF EUR 58 652GBP/JPY EUR 4GBP/NOK EUR 2GBP/SEK EUR 17GBP/SGD EUR 6 656HKD/SGD EUR 1JPY/CHF EUR 50 831JPY/SEK EUR 14JPY/SGD EUR 5 754NOK/SEK EUR 5NOK/SGD EUR 2 031SEK/SGD EUR 811USD/AUD EUR 3USD/CAD EUR 56 890USD/CHF EUR 449 996USD/GBP EUR 103 713USD/HKD EUR 20USD/JPY EUR 88 223USD/NOK EUR 32 131USD/SEK EUR 12 949USD/SGD EUR 70 608


Value (’000)Currency futures (long)

Futures contracts to purchase currenciesAUD/CHF EUR 2CAD/EUR EUR 3 703CAD/SEK EUR 10CAD/SGD EUR 4 482CHF/CAD EUR 33 482CHF/EUR EUR 118 079CHF/HKD EUR 11CHF/NOK EUR 17 738CHF/SEK EUR 7 019CHF/SGD EUR 25 024GBP/CAD EUR 2GBP/CHF EUR 71 072GBP/EUR EUR 6 750GBP/JPY EUR 4GBP/NOK EUR 1GBP/SEK EUR 19GBP/SGD EUR 8 078HKD/EUR EUR 1HKD/SGD EUR 2JPY/CHF EUR 59 664JPY/EUR EUR 5 583JPY/SEK EUR 15JPY/SGD EUR 6 757NOK/EUR EUR 2 050NOK/SEK EUR 6NOK/SGD EUR 2 503SEK/EUR EUR 959SEK/SGD EUR 1 000SGD/EUR EUR 14 979USD/AUD EUR 3USD/CAD EUR 47 848USD/CHF EUR 498 724USD/EUR EUR 216 424USD/GBP EUR 85 889USD/HKD EUR 16USD/JPY EUR 75 204USD/NOK EUR 25 974USD/SEK EUR 10 470USD/SGD EUR 72 781



311

Securities traded on an exchange 1 106 528 242.92 95.34 Equities Acerinox SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 2 000 000 EUR 9 .835 19 670 000 .00 1 .70Acerinox SA -Rights Exp 13Jul16 . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 2 000 000 EUR 0 .445 890 000 .00 0 .08Allianz SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 298 301 148 200 18 600 EUR 126 .15 37 630 671 .15 3 .24Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 436 168 EUR 116 .4 50 769 955 .20 4 .37Applus Services SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 000 400 000 EUR 8 .744 3 497 600 .00 0 .30ASML Holding NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 189 500 100 000 110 500 EUR 87 .58 16 596 410 .00 1 .43AXA SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 406 201 791 900 EUR 17 .55 24 678 827 .55 2 .13Banco Bilbao Vizcaya Argentaria SA . . . . . . . . . . . . . . . . . . . . Count 1 360 000 5 360 000 4 000 000 EUR 4 .998 6 797 280 .00 0 .59Banco Santander SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 100 000 12 100 000 3 000 000 EUR 3 .395 30 894 500 .00 2 .66BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 755 500 755 500 EUR 68 .1 51 449 550 .00 4 .43BNP Paribas SA * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 433 636 739 100 EUR 39 .39 17 080 922 .04 1 .47Cap Gemini SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 210 000 210 000 EUR 77 .94 16 367 400 .00 1 .41Deutsche Post AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 829 271 136 800 EUR 25 .055 45 832 384 .91 3 .95Deutsche Telekom AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 568 373 700 000 760 400 EUR 15 .13 38 859 483 .49 3 .35Dialog Semiconductor Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 481 215 300 000 36 000 EUR 26 .755 12 874 907 .33 1 .11Enel SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 884 200 1 349 100 EUR 3 .92 38 746 064 .00 3 .34Essilor International SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 120 000 201 478 EUR 118 .75 14 250 000 .00 1 .23Ferrovial SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 626 172 100 000 964 700 EUR 17 .31 10 839 037 .32 0 .93Flow Traders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 485 000 150 000 EUR 30 .595 14 838 575 .00 1 .28Fresenius SE & Co . KGaA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 382 919 250 000 28 600 EUR 64 .95 24 870 589 .05 2 .14Gamesa Corp Tecnologica SA . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 032 059 1 237 300 EUR 17 .52 18 081 673 .68 1 .56HeidelbergCement AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 154 865 40 000 134 800 EUR 67 .06 10 385 246 .90 0 .90Heineken NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 300 000 300 000 EUR 82 .74 24 822 000 .00 2 .14Hera SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 846 822 1 500 000 EUR 2 .44 16 706 245 .68 1 .44Huhtamaki Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 530 000 530 000 28 600 EUR 36 .85 19 530 500 .00 1 .68Inditex SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 349 100 450 000 100 900 EUR 29 .71 40 081 761 .00 3 .45Indra Sistemas SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000 2 000 000 EUR 9 .358 18 716 000 .00 1 .61ING Groep NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 389 260 1 753 500 EUR 9 .148 31 004 950 .48 2 .67Intesa Sanpaolo SpA * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 675 274 4 000 000 14 485 700 EUR 1 .644 15 906 150 .46 1 .37KBC Groep NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 301 500 200 000 372 600 EUR 43 .59 13 142 385 .00 1 .13Koninklijke Ahold NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 688 500 740 000 51 500 EUR 19 .785 13 621 972 .50 1 .17LVMH Moet Hennessy Louis Vuitton SA . . . . . . . . . . . . . . . . Count 195 400 210 000 14 600 EUR 135 .7 26 515 780 .00 2 .28Moncler SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 986 300 134 600 EUR 14 .02 13 827 926 .00 1 .19NH Hotels SA * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 720 293 328 300 EUR 3 .77 21 565 504 .61 1 .86Nokia Oyj * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 807 400 2 600 000 2 792 600 EUR 5 .04 19 189 296 .00 1 .65Orange SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 127 500 100 000 1 995 100 EUR 14 .5 30 848 750 .00 2 .66OSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 279 100 104 900 EUR 45 .89 12 807 899 .00 1 .10Pernod-Ricard SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 126 600 70 000 271 100 EUR 99 .57 12 605 562 .00 1 .09Renault SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 223 324 40 000 258 700 EUR 68 .03 15 192 731 .72 1 .31Sampo -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 317 383 23 700 EUR 36 .11 11 460 700 .13 0 .99Sanofi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 300 000 300 000 EUR 73 .99 22 197 000 .00 1 .91SAP AG * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 600 100 615 300 EUR 66 .85 40 116 685 .00 3 .46Schneider Electric SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 880 000 880 000 EUR 52 .38 46 094 400 .00 3 .97Symrise AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 353 600 380 000 26 400 EUR 60 .65 21 445 840 .00 1 .85Technip SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 310 000 310 000 EUR 48 .15 14 926 500 .00 1 .29Teleperformance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 140 000 140 000 EUR 76 .35 10 689 000 .00 0 .92Unilever NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 372 219 317 600 EUR 41 .55 57 015 699 .45 4 .91Vinci SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 483 119 594 600 EUR 63 .33 30 595 926 .27 2 .64 Total securities portfolio 1 106 528 242.92 95.34 Derivatives (Minus signs denote short positions) Derivatives on individual securities 2 165 905.00 0.19 Securities options Receivables/payables Equity options Total SA 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 000 19 000 2 165 905 .00 0 .19 Currency derivatives 603 938.45 0.05Receivables/payables




312

Currency futures Currency futures (short) Open positions GBP/EUR 0.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -9 666.26 0.00SGD/EUR 0.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 120.50 0.00SGD/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.01 0.00USD/EUR 40.7 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 508 582.06 0.04 Closed positions EUR/GBP 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -956.14 0.00EUR/SGD 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 659.81 0.00EUR/USD 8.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99 198.47 0.01 Cash at bank 51 908 099.55 4.47 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 13 104 965.46 1.13 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 17 20.95 0.00Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 16 886 1 813.47 0.00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 12 260 1 299.67 0.00 Time deposits USD deposits (Norddeutsche Landesbank 0.01% 1/7/2016) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 800 000.00 3.34 Other assets 8 889 411.31 0.77Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 456 973.15 0.30Prepaid placement fee ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219 496.75 0.02Receivables from exceeding the expense cap . . . . . . . . . . . . 0.01 0.00Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 212 941.40 0.45 Receivables from share certificate transactions 2 333 735.60 0.20 Total assets *** 1 172 439 955.23 101.02 Other liabilities -8 642 591.73 -0.74Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -8 642 591.73 -0.74 Liabilities from share certificate transactions -3 178 127.82 -0.28 Total liabilities -11 831 341.95 -1.02 Net assets 1 160 608 613.28 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 179.45Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99.84Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100.41Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 158.94Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 145.14Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 143.88Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 93.84Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 101.49Class GBP DH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 83.69Class SGD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 9.56Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 103.99Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 99.97 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 811 617Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 43 831Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 337 445Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 467 492Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 250 716Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 361 322Class PFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 141 049Class GBP D RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 666Class GBP DH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 026Class SGD LCH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 52 476Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 022Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 397 599



313

Composition of the reference portfolio (according to CSSF circular 11/512)EURO STOXX 50 Constituents

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 90 .980 Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 103 .238 Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 97 .844 The values-at-risk were calculated for the period from January 1, 2016, through June 30, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 . In the reporting period, the average leverage effect from the use of derivatives was 0 .1, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) . The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 81 781 561 .31 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes




Securities lending



BNP Paribas SA Count 425 000 16 740 750 .00Intesa Sanpaolo SpA Count 5 435 000 8 935 140 .00NH Hotels SA Count 1 250 000 4 712 500 .00Nokia Oyj Count 1 000 000 5 040 000 .00SAP AG Count 590 000 39 441 500 .00

Total receivables from securities loans 74 869 890.00 74 869 890.00 Contracting parties for securities loans Nomura International PLC, Skandinaviska Enskilda Banken and Societe Generale . Total collateral pledged by third parties for securities loans EUR 79 620 045.38 thereof: Bonds EUR 19 545 501 .95Equities EUR 60 074 543 .43


As of: June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9 .311511 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9 .432959 = EUR 1

Notes on valuation


Footnotes

* Some or all of these securities are lent . ** The prepaid placement fee is amortized over a period of three years (as specified in article 12 (d) of the general section of the management regulations) .*** Does not include positions with a negative balance, if such exist .


314


Securities traded on an exchange Equities Anima Holding SpA . . . . . . . . . . . . . . . . . . . . . . . Count 1 400 000 3 200 000Bayer AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 590 000Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 807 482Ferrovial SA -Rights Exp 17Jun16 . . . . . . . . . . . . Count 986 172 986 172GEA Group AG . . . . . . . . . . . . . . . . . . . . . . . . . . Count 339 100 339 100GrandVision NV . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 114 711International Consolidated Airlines Group SA . . . Count 4 050 218Luxottica Group SpA . . . . . . . . . . . . . . . . . . . . . . Count 410 107Mediaset SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 100 000Societe Generale SA . . . . . . . . . . . . . . . . . . . . . . Count 1 226 021Telefonica Deutschland Holding AG . . . . . . . . . . Count 300 000 5 552 000Telefonica SA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 020 142United Internet AG -Reg- . . . . . . . . . . . . . . . . . . . Count 380 931Wirecard AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 777 517Zalando SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 681 000


Value (’000)Futures contracts Securities futures Equity futures Contracts sold (Underlying: Total) EUR 178 055 Equity index futures Contracts sold (Underlying: DJ Euro Stoxx 50) EUR 30 850 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 1 498EUR/SGD EUR 2 417EUR/USD EUR 372 130 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 1 235SGD/EUR EUR 1 971USD/EUR EUR 299 646


Transactions completed during the reporting period that no longer appear in the investment portfolio


315

Securities traded on an exchange 130 786 553.05 98.21 Equities Actelion Ltd -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 350 2 000 CHF 162 .8 1 855 496 .68 1 .39Dufry AG * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 510 2 400 3 000 CHF 116 .1 2 090 394 .78 1 .57Geberit AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 6 000 CHF 367 .2 2 033 259 .20 1 .53Kuehne + Nagel International AG . . . . . . . . . . . . . . . . . . . . . . Count 19 000 1 800 CHF 135 .2 2 370 659 .15 1 .78Nestle SA -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 800 8 000 CHF 75 2 408 681 .24 1 .81Roche Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 400 2 000 1 700 CHF 253 .5 5 942 244 .31 4 .46Straumann Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 200 2 300 CHF 386 .25 3 635 862 .81 2 .73Syngenta AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 200 5 200 CHF 372 1 785 192 .72 1 .34Chr Hansen Holding A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 000 DKK 436 .8 2 054 886 .66 1 .54Coloplast A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 000 13 000 DKK 496 .7 867 910 .04 0 .65Novo Nordisk A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 33 900 10 000 DKK 355 .3 1 618 945 .03 1 .22Acerinox SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 000 70 000 EUR 9 .835 688 450 .00 0 .52Acerinox SA -Rights Exp 13Jul16 . . . . . . . . . . . . . . . . . . . . . . Count 70 000 70 000 EUR 0 .445 31 150 .00 0 .02Allianz SE -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 800 14 800 EUR 126 .15 1 867 020 .00 1 .40Anheuser-Busch InBev NV . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 200 EUR 116 .4 2 002 080 .00 1 .50ASML Holding NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 200 EUR 87 .58 2 382 176 .00 1 .79AXA SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 66 140 16 700 EUR 17 .55 1 160 757 .00 0 .87Banco Santander SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 300 000 390 000 90 000 EUR 3 .395 1 018 500 .00 0 .77Bank Austria -Rights Exp 08Aug08 . . . . . . . . . . . . . . . . . . . . . Count 143 780 EUR 0 14 .38 0 .00BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 000 32 000 EUR 68 .1 2 179 200 .00 1 .64BNP Paribas SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21 200 35 000 EUR 39 .39 835 068 .00 0 .63Cap Gemini SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 000 20 000 EUR 77 .94 1 558 800 .00 1 .17Deutsche Post AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 107 300 EUR 25 .055 2 688 401 .50 2 .02Deutsche Telekom AG -Reg- . . . . . . . . . . . . . . . . . . . . . . . . . . Count 120 500 35 000 39 800 EUR 15 .13 1 823 165 .00 1 .37Dialog Semiconductor Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 27 000 27 000 EUR 26 .755 722 385 .00 0 .54Enel SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 700 730 100 000 EUR 3 .92 2 746 861 .60 2 .06Essilor International SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 13 070 10 000 EUR 118 .75 1 552 062 .50 1 .17Ferrovial SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 90 190 68 600 EUR 17 .31 1 561 188 .90 1 .17Fresenius SE & Co . KGaA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 100 EUR 64 .95 2 669 445 .00 2 .00Gamesa Corp Tecnologica SA . . . . . . . . . . . . . . . . . . . . . . . . . Count 150 000 86 000 EUR 17 .52 2 628 000 .00 1 .97HeidelbergCement AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 919 3 800 13 000 EUR 67 .06 1 402 828 .14 1 .05Heineken NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 32 000 32 000 EUR 82 .74 2 647 680 .00 1 .99Immoeast AG * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 900 000 EUR 0 390 .00 0 .00Inditex SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 94 440 45 000 28 350 EUR 29 .71 2 805 812 .40 2 .11Indra Sistemas SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 115 812 115 812 EUR 9 .358 1 083 768 .70 0 .81ING Groep NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 354 570 46 900 EUR 9 .148 3 243 606 .36 2 .44Intesa Sanpaolo SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 546 400 550 000 EUR 1 .644 898 281 .60 0 .67KBC Groep NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 000 14 000 EUR 43 .59 1 482 060 .00 1 .11Koninklijke Ahold NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 75 200 75 200 EUR 19 .785 1 487 832 .00 1 .12Moncler SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 96 900 35 000 EUR 14 .02 1 358 538 .00 1 .02NH Hotels SA * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 468 000 EUR 3 .77 1 764 360 .00 1 .33Nokia Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 310 000 50 000 EUR 5 .04 1 562 400 .00 1 .17Orange SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 190 600 91 400 EUR 14 .5 2 763 700 .00 2 .08Pernod-Ricard SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 000 2 000 26 440 EUR 99 .57 1 393 980 .00 1 .05Renault SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 700 EUR 68 .03 1 816 401 .00 1 .36Sampo -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 190 EUR 36 .11 1 667 920 .90 1 .25SAP AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 28 500 2 000 31 000 EUR 66 .85 1 905 225 .00 1 .43Schneider Electric SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 63 000 63 000 EUR 52 .38 3 299 940 .00 2 .48Symrise AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 000 30 000 EUR 60 .65 1 819 500 .00 1 .37Teleperformance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 000 9 000 EUR 76 .35 687 150 .00 0 .52Total SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 38 580 38 580 EUR 43 .05 1 660 869 .00 1 .25Vinci SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 100 7 000 47 000 EUR 63 .33 1 272 933 .00 0 .96Auto Trader Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 320 000 320 000 GBP 3 .471 1 342 527 .12 1 .01BHP Billiton Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 180 000 180 000 GBP 9 .261 2 014 878 .51 1 .51Compass Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 140 000 140 000 GBP 14 .01 2 370 743 .93 1 .78Croda International Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 35 917 35 918 1 GBP 30 .68 1 331 906 .95 1 .00ICAP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 160 000 40 000 GBP 4 .084 789 812 .84 0 .59IMI Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 120 000 120 000 GBP 9 .48 1 375 016 .97 1 .03Reckitt Benckiser Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 100 10 000 GBP 73 .36 4 087 697 .26 3 .07Rentokil Initial Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 140 000 1 140 000 GBP 1 .908 2 628 378 .30 1 .97Royal Dutch Shell Plc -A- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 97 870 GBP 20 .055 2 372 415 .38 1 .78Royal Dutch Shell Plc -B- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 148 835 25 655 GBP 20 .155 3 625 820 .92 2 .72Unilever Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 75 800 40 000 10 000 GBP 34 .99 3 205 764 .56 2 .41WPP Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 166 700 101 700 15 000 GBP 15 .45 3 113 024 .65 2 .34DNB ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 000 100 000 NOK 99 .8 1 071 791 .69 0 .81Marine Harvest ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 170 100 20 000 20 000 NOK 139 .5 2 548 345 .83 1 .91Svenska Cellulosa AB SCA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 67 300 7 200 SEK 267 .5 1 908 494 .54 1 .43

CertificatesDWS GO SA - DWS UK Best Picks TR Index Certificate . . . . Count 25 000 EUR 87 .86 2 196 500 .00 1 .65





316

Derivatives (Minus signs denote short positions) Derivatives on individual securities 192 754.01 0.14 Warrants on securities Equity warrants BG Group 09/2016 (EUR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 100 192 754 .01 0 .14 Currency derivatives 62 997.65 0.05Receivables/payables Currency futures Currency futures (long) Open positions GBP/EUR 5 .9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62 997 .65 0 .05 Cash at bank 1 751 697.06 1.32 Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1 710 778 .79 1 .28 Deposits in other EU/EEA currencies Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 74 358 9 994 .58 0 .01Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 93 564 10 048 .18 0 .01Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 92 161 9 770 .09 0 .01 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 872 583 .62 0 .00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 310 35 .99 0 .00Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 1 0 .38 0 .00Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 10 752 9 922 .66 0 .01South African rand . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 1 010 61 .73 0 .00U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 557 501 .04 0 .00 Other assets 408 351.44 0.31Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 408 351 .44 0 .31 Receivables from share certificate transactions 270 166.59 0.20 Total assets 133 472 634.63 100.23 Short-term liabilities -13 730.31 -0.01 Loans in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP -11 360 -13 730 .31 -0 .01 Other liabilities -229 421.10 -0.17Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -229 421 .10 -0 .17 Liabilities from share certificate transactions -64 249.00 -0.05 Total liabilities -307 515.24 -0.23 Net assets 133 165 119.39 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages . Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 172 .15Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 152 .90Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 150 .51Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 138 .02Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 88 .23 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 109 640Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 369 760Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 24 433Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 376 491Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 26 629



317

Composition of the reference portfolio (according to CSSF circular 11/512)MSCI EUROPE in EUR Constituents




Contracting party for currency futuresDeutsche Bank AG Frankfurt

Securities lending



Dufry AG Count 18 794 2 013 679 .11Immoeast AG Count 885 241 88 .52NH Hotels SA Count 341 859 1 288 808 .43 Total receivables from securities loans 3 302 576.06 3 302 576.06 Contracting parties for securities loans Crédit Suisse Securities (Europe) Ltd . EQ, Goldman Sachs Int ., Merrill Lynch International

Total collateral pledged by third parties for securities loans EUR 3 467 569.45 thereof: Bonds EUR 2 939 .00Equities EUR 3 464 630 .45


As of: June 30, 2016 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1 .494856 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1 .443366 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1 .083580 = EUR 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 7 .439826 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0 .827335 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 8 .625178 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9 .311511 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 9 .432959 = EUR 1U .S . dollar . . . . . . . . . . . . . . . . . . . . . . USD 1 .111650 = EUR 1South African rand . . . . . . . . . . . . . . . . ZAR 16 .360704 = EUR 1

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus . If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are not valued at derived market values . Footnote

* Some or all of these securities are lent .


318


Securities traded on an exchange Equities Anima Holding SpA . . . . . . . . . . . . . . . . . . . . . . . Count 195 100Bayer AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 370BG Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 57 600Croda International Plc . . . . . . . . . . . . . . . . . . . . Count 45 500Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 40 900Ferrovial SA -Rights Exp 17Jun16 . . . . . . . . . . . . Count 134 190 134 190International Consolidated Airlines Group SA . . . Count 493 500ITV Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 831 650Lloyds Banking Group Plc . . . . . . . . . . . . . . . . . . Count 2 859 900Luxottica Group SpA . . . . . . . . . . . . . . . . . . . . . . Count 40 100Meda AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 125 000Société Générale SA . . . . . . . . . . . . . . . . . . . . . . Count 66 800Syngenta AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 200Telefonica Deutschland Holding AG . . . . . . . . . . Count 499 900Telefonica SA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 143 000Telenor ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 109 830TUI AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 159 800 159 800TUI AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 109 800 219 600UBS Group AG . . . . . . . . . . . . . . . . . . . . . . . . . . Count 153 400Unilever NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 77 450United Internet AG -Reg- . . . . . . . . . . . . . . . . . . . Count 43 530Wirecard AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 84 350


Value (’000)Futures contracts Securities futures Equity futures Contracts sold (Underlying: BG Group) EUR 4 000 Equity index futures Contracts sold (Underlying: DJ Euro Stoxx 50) EUR 3 014 Currency futures (short) Futures contracts to sell currencies EUR/GBP EUR 44 662 Currency futures (long) Futures contracts to purchase currencies GBP/EUR EUR 29 788




319

Securities traded on an exchange 24 549 080.59 65.98 Interest-bearing securities 3.60 % AbbVie, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . . . . USD 70 000 70 000 % 105.022 73 515.40 0.20 4.50 % AbbVie, Inc. 2015/2035 . . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 % 104.904 110 149.20 0.30 4.70 % AbbVie, Inc. 2015/2045 . . . . . . . . . . . . . . . . . . . . . . USD 85 000 85 000 % 104.637 88 941.45 0.24 3.20 % AbbVie, Inc. 2016/2026 . . . . . . . . . . . . . . . . . . . . . . USD 340 000 340 000 % 101.474 345 011.60 0.93 3.00 % Actavis Funding SCS 2015/2020 . . . . . . . . . . . . . . . USD 125 000 125 000 % 103.018 128 772.50 0.35 4.75 % Actavis Funding SCS 2015/2045 . . . . . . . . . . . . . . . USD 75 000 75 000 % 105.483 79 112.25 0.21 3.25 % Actavis, Inc. 2012/2022 . . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 % 102.438 107 559.90 0.29 2.80 % Aetna, Inc. 2016/2023 . . . . . . . . . . . . . . . . . . . . . . . USD 115 000 115 000 % 101.98 117 277.00 0.32 4.375 % Aetna, Inc. 2016/2046 . . . . . . . . . . . . . . . . . . . . . . . USD 150 000 150 000 % 104.545 156 817.50 0.42 3.60 % Alibaba Group Holding Ltd 2015/2024 . . . . . . . . . . USD 270 000 270 000 % 102.916 277 873.20 0.75 9.95 % Altria Group, Inc. 2008/2038 . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 180.425 360 850.00 0.97 3.125 % America Movil SAB de CV 2012/2022 . . . . . . . . . . USD 270 000 270 000 % 102.721 277 346.70 0.75 3.30 % American International Group, Inc. 2016/2021 . . . . USD 160 000 160 000 % 104.054 166 486.40 0.45 3.30 % American Tower Corp. 2016/2021 . . . . . . . . . . . . . USD 80 000 80 000 % 104.284 83 427.20 0.22 4.85 % Anadarko Petroleum Corp. 2016/2021 . . . . . . . . . . USD 55 000 55 000 % 105.987 58 292.85 0.16 5.55 % Anadarko Petroleum Corp. 2016/2026 . . . . . . . . . . USD 215 000 215 000 % 111.174 239 024.10 0.64 6.60 % Anadarko Petroleum Corp. 2016/2046 . . . . . . . . . . USD 85 000 85 000 % 119.598 101 658.30 0.27 3.65 % Anheuser-Busch InBev Finance, Inc. 2016/2026 . . USD 510 000 510 000 % 107.293 547 194.30 1.47 4.70 % Anheuser-Busch InBev Finance, Inc. 2016/2036 . . USD 95 000 95 000 % 112.655 107 022.25 0.29 4.90 % Anheuser-Busch InBev Finance, Inc. 2016/2046 . . USD 225 000 225 000 % 117.742 264 919.50 0.71 3.30 % Anthem, Inc. 2012/2023 . . . . . . . . . . . . . . . . . . . . . USD 70 000 70 000 % 103.853 72 697.10 0.20 3.375 % AstraZeneca Plc 2015/2025 . . . . . . . . . . . . . . . . . . USD 185 000 185 000 % 105.136 194 501.60 0.52 4.375 % AstraZeneca Plc 2015/2045 . . . . . . . . . . . . . . . . . . USD 125 000 125 000 % 108.97 136 212.50 0.37 4.35 % AT&T, Inc. 2013/2045 . . . . . . . . . . . . . . . . . . . . . . . USD 45 000 45 000 % 97.161 43 722.45 0.12 2.45 % AT&T, Inc. 2015/2020 . . . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 % 101.917 107 012.85 0.29 3.40 % AT&T, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . . . . . USD 255 000 255 000 % 102.277 260 806.35 0.70 4.75 % AT&T, Inc. 2015/2046 . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 102.989 102 989.00 0.28 3.80 % AT&T, Inc. 2016/2022 . . . . . . . . . . . . . . . . . . . . . . . USD 65 000 65 000 % 106.505 69 228.25 0.19 4.125 % AT&T, Inc. 2016/2026 . . . . . . . . . . . . . . . . . . . . . . . USD 320 000 320 000 % 107.678 344 569.60 0.93 3.00 % Banco Bilbao Vizcaya Argentaria SA 2015/2020 . . . USD 320 000 320 000 % 102.056 326 579.20 0.88 3.30 % Bank of America Corp. (MTN) 2013/2023 . . . . . . . . USD 145 000 145 000 % 103.196 149 634.20 0.40 4.375 % Barclays Plc 2016/2026 . . . . . . . . . . . . . . . . . . . . . . USD 325 000 325 000 % 101.217 328 955.25 0.88 4.375 % BBVA Bancomer SA/Texas 144A 2014/2024 . . . . . USD 150 000 150 000 % 104.755 157 132.50 0.42 1.45 % Branch Banking & Trust Co. 2016/2019 . . . . . . . . . USD 250 000 250 000 % 100.294 250 735.00 0.67 2.95 % Capital One NA/Mclean VA 2014/2021 . . . . . . . . . . USD 340 000 340 000 % 102.45 348 331.70 0.94 5.25 % CBL & Associates LP 2013/2023 . . . . . . . . . . . . . . USD 270 000 270 000 % 98.194 265 123.80 0.71 4.60 % CBL & Associates LP 2014/2024 . . . . . . . . . . . . . . USD 125 000 125 000 % 90.193 112 741.25 0.30 2.381 % CC Holdings GS V LLC via Crown Castle GS III

Corp. 2013/2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 60 000 60 000 % 101.029 60 617.40 0.16 2.55 % Citizens Bank NA/Providence RI (MTN) 2016/2021 USD 250 000 250 000 % 100.974 252 435.00 0.68 4.15 % Co.noCo.Phillips Co. 2014/2034 . . . . . . . . . . . . . . . USD 175 000 175 000 % 101.532 177 681.00 0.48 4.20 % ConocoPhillips Co. 2016/2021 . . . . . . . . . . . . . . . . USD 90 000 90 000 % 108.216 97 393.95 0.26 3.40 % Crown Castle International Corp. 2016/2021 . . . . . USD 140 000 140 000 % 104.5 146 300.00 0.39 3.70 % Crown Castle International Corp. 2016/2026 . . . . . USD 250 000 250 000 % 102.782 256 953.75 0.69 5.125 % CVS Health Corp. 2015/2045 . . . . . . . . . . . . . . . . . USD 160 000 160 000 % 124.742 199 587.20 0.54 4.25 % Ecopetrol SA 2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 190 000 190 000 % 104.019 197 636.10 0.53 4.65 % Energy Transfer Partners LP 2011/2021 . . . . . . . . . USD 90 000 90 000 % 103.37 93 033.00 0.25 5.95 % Energy Transfer Partners LP 2013/2043 . . . . . . . . . USD 55 000 55 000 % 99.906 54 948.30 0.15 4.868 % Everest Reinsurance Holdings, Inc. 2014/2044 . . . USD 165 000 165 000 % 102.689 169 436.85 0.46 5.10 % Exelon Corp. 2016/2045 . . . . . . . . . . . . . . . . . . . . . USD 80 000 80 000 % 115.767 92 613.84 0.25 4.114 % Exxon Mobil Corp. 2016/2046 . . . . . . . . . . . . . . . . . USD 150 000 150 000 % 113.347 170 020.50 0.46 4.55 % FedEx Corp. 2016/2046 . . . . . . . . . . . . . . . . . . . . . . USD 90 000 90 000 % 108.826 97 943.40 0.26 3.625 % Fidelity National Information Services, Inc.

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 210 000 210 000 % 105.9 222 391.05 0.60 4.75 % FS Investment Corp. 2015/2022 . . . . . . . . . . . . . . . USD 120 000 120 000 % 101.606 121 927.80 0.33 5.95 % Gap, Inc./The 2011/2021 . . . . . . . . . . . . . . . . . . . . . USD 480 000 480 000 % 105.003 504 014.40 1.35 4.418 % GE Capital International Funding Co. 144A

2015/2035 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 270 000 270 000 % 112.638 304 123.95 0.82 6.75 % General Motors Co. 2016/2046 . . . . . . . . . . . . . . . . USD 200 000 200 000 % 120.32 240 639.00 0.65 3.20 % General Motors Financial Co., Inc. 2015/2020 . . . . USD 220 000 220 000 % 101.437 223 161.40 0.60 3.75 % Government Properties Income Trust 2014/2019. . USD 170 000 170 000 % 102.307 173 921.90 0.47 3.80 % Halliburton Co 2015/2025 . . . . . . . . . . . . . . . . . . . . USD 430 000 430 000 % 104.239 448 227.70 1.20 3.375 % Healthcare Trust of America Holdings LP

2014/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 185 000 185 000 % 102.083 188 853.55 0.51 3.00 % Home Depot, Inc./The 2016/2026 . . . . . . . . . . . . . . USD 160 000 160 000 % 106.507 170 411.20 0.46 5.00 % Hospitality Properties Trust 2012/2022 . . . . . . . . . . USD 195 000 195 000 % 106.63 207 928.50 0.56 5.625 % HSBC Holdings Plc 2014/2049 * . . . . . . . . . . . . . . . USD 215 000 215 000 % 96.196 206 821.40 0.56 3.90 % HSBC Holdings Plc 2016/2026 . . . . . . . . . . . . . . . . USD 710 000 710 000 % 102.855 730 270.50 1.96 3.75 % IPIC GMTN Ltd 144A 2011/2017 . . . . . . . . . . . . . . USD 200 000 200 000 % 101.702 203 404.00 0.55 5.125 % Jefferies Group LLC 2011/2018 . . . . . . . . . . . . . . . USD 225 000 225 000 % 104.595 235 338.75 0.63 6.50 % Jefferies Group LLC 2013/2043 . . . . . . . . . . . . . . . USD 60 000 60 000 % 99.43 59 657.70 0.16 3.70 % Johnson & Johnson 2016/2046 . . . . . . . . . . . . . . . USD 145 000 145 000 % 112.63 163 314.23 0.44 3.20 % JPMorgan Chase & Co. 2013/2023 . . . . . . . . . . . . . USD 270 000 270 000 % 103.801 280 262.70 0.75 6.375 % Kinder Morgan Energy Partners LP 2011/2041 . . . . USD 20 000 20 000 % 105.317 21 063.40 0.06 3.45 % Kinder Morgan Energy Partners LP 2012/2023 . . . . USD 115 000 115 000 % 97.744 112 405.03 0.30 2.125 % Korea National Oil Corp. 144A 2016/2024 . . . . . . . USD 200 000 200 000 % 100.554 201 107.00 0.54 5.625 % Legg Mason, Inc. 2014/2044 . . . . . . . . . . . . . . . . . USD 155 000 155 000 % 103.878 161 010.13 0.43 4.65 % Lloyds Banking Group Plc 2016/2026 . . . . . . . . . . . USD 395 000 395 000 % 101.206 399 763.70 1.07 4.125 % Loews Corp. 2013/2043 . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 % 100.953 106 000.65 0.28 3.45 % Macy‘s Retail Holdings, Inc. 2015/2021 . . . . . . . . . USD 300 000 300 000 % 102.659 307 977.00 0.83




320

4.90 % Manulife Financial Corp. 2010/2020 . . . . . . . . . . . . USD 85 000 85 000 % 110.716 94 109.03 0.25 5.375 % Manulife Financial Corp. 2016/2046 . . . . . . . . . . . . USD 95 000 225 000 130 000 % 117.81 111 919.03 0.30 3.00 % Molson Coors Brewing Co. 2016/2026 . . . . . . . . . . USD 150 000 150 000 % 100.152 150 228.00 0.40 4.20 % Molson Coors Brewing Co. 2016/2046 . . . . . . . . . . USD 170 000 170 000 % 100.665 171 130.50 0.46 4.95 % Omega Healthcare Investors, Inc. 2014/2024. . . . . USD 195 000 195 000 % 102.272 199 430.40 0.54 3.375 % ONEOK Partners LP 2012/2022 . . . . . . . . . . . . . . . USD 80 000 80 000 % 98.08 78 463.60 0.21 4.45 % PepsiCo, Inc. 2015/2046 . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 % 116.815 122 655.75 0.33 2.707 % Petronas Global Sukuk Ltd 144A 2015/2020 . . . . . USD 320 000 320 000 % 101.184 323 788.80 0.87 4.25 % Philip Morris International, Inc. 2014/2044 . . . . . . . USD 95 000 95 000 % 111 105 450.00 0.28 2.85 % Plains All American Pipeline LP Via PAA Finance

Corp. 2012/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 280 000 280 000 % 92.258 258 323.80 0.69 5.50 % Regency Energy Partners LP via Regency Energy

Finance Corp. 2012/2023 . . . . . . . . . . . . . . . . . . . . USD 150 000 150 000 % 100.807 151 210.50 0.41 2.25 % Regions Bank/Birmingham AL 2015/2018 . . . . . . . USD 250 000 250 000 % 100.698 251 743.75 0.68 2.90 % Republic Services, Inc. 2016/2026 . . . . . . . . . . . . . USD 60 000 60 000 % 101.213 60 727.80 0.16 7.25 % Reynolds American, Inc. 2007/2037 . . . . . . . . . . . . USD 190 000 190 000 % 137.901 262 011.90 0.70 3.75 % Rio Tinto Finance USA Ltd 2015/2025 . . . . . . . . . . USD 150 000 150 000 % 104.967 157 450.50 0.42 4.50 % Santander Holdings USA, Inc. 2015/2025 . . . . . . . . USD 185 000 185 000 % 103.229 190 973.65 0.51 2.70 % Santander Holdings USA, Inc. 2016/2019 . . . . . . . . USD 360 000 360 000 % 100.337 361 213.20 0.97 2.50 % Santander UK Plc 2016/2019 . . . . . . . . . . . . . . . . . USD 270 000 270 000 % 100.846 272 284.20 0.73 4.15 % Select Income Reit 2015/2022 . . . . . . . . . . . . . . . . USD 200 000 200 000 % 100.384 200 769.00 0.54 4.00 % Shell International Finance BV 2016/2046 . . . . . . . USD 125 000 245 000 120 000 % 103.276 129 095.00 0.35 1.75 % Sinopec Group Overseas Development 2014

Ltd 144A 2014/2017 . . . . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 % 100.256 200 512.00 0.54 2.125 % Sinopec Group Overseas Development 2016

Ltd 144A 2016/2019 . . . . . . . . . . . . . . . . . . . . . . . . USD 312 000 312 000 % 100.524 313 634.88 0.84 3.40 % Solvay Finance America LLC 144A 2015/2020 . . . . USD 200 000 200 000 % 104.307 208 614.00 0.56 3.25 % Southern Co./The 2016/2026 . . . . . . . . . . . . . . . . . USD 475 000 475 000 % 104.092 494 437.00 1.33 3.05 % Standard Chartered Plc 144A 2016/2021 . . . . . . . . USD 360 000 360 000 % 101.739 366 260.40 0.98 4.05 % Standard Chartered Plc 144A 2016/2026 . . . . . . . . USD 325 000 325 000 % 100.715 327 323.75 0.88 3.50 % Stryker Corp. 2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 52 000 52 000 % 106.362 55 308.24 0.15 4.625 % Stryker Corp. 2016/2046 . . . . . . . . . . . . . . . . . . . . . USD 59 000 59 000 % 112.552 66 405.68 0.18 5.30 % Sunoco Logistics Partners Operations LP

2014/2044 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 90 000 90 000 % 98.544 88 690.05 0.24 4.40 % Sunoco Logistics Partners Operations LP

2015/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 185 000 185 000 % 105.222 194 659.78 0.52 3.00 % UBS Group Funding Jersey Ltd 144A 2016/2021 . . USD 270 000 270 000 % 101.756 274 741.20 0.74 4.125 % UBS Group Funding Jersey Ltd 144A 2016/2026 . . USD 420 000 420 000 % 104.046 436 993.20 1.17 2.50 % United States Treasury Note/Bond 2016/2046 . . . . USD 90 000 967 000 877 000 % 104.5 94 050.00 0.25 4.672 % Verizon Communications Inc 2015/2055 . . . . . . . . . USD 240 000 240 000 % 100.436 241 046.40 0.65 3.50 % Verizon Communications, Inc. 2014/2024 . . . . . . . . USD 315 000 315 000 % 106.493 335 452.95 0.90 4.272 % Verizon Communications, Inc. 2015/2036 . . . . . . . . USD 115 000 115 000 % 102.832 118 256.80 0.32 4.30 % VISA Inc 2015/2045 . . . . . . . . . . . . . . . . . . . . . . . . . USD 270 000 270 000 % 116.403 314 288.10 0.84 4.80 % Voya Financial, Inc. 2016/2046 . . . . . . . . . . . . . . . . USD 165 000 165 000 % 100.56 165 924.00 0.45 4.90 % Wells Fargo & Co 2015/2045 . . . . . . . . . . . . . . . . . USD 180 000 180 000 % 110.097 198 174.60 0.53 1.75 % Wells Fargo Bank NA 2016/2019 . . . . . . . . . . . . . . USD 450 000 450 000 % 101.168 455 256.00 1.22 2.60 % Westpac Banking Corp. 2015/2020 . . . . . . . . . . . . . USD 230 000 230 000 % 103.274 237 530.20 0.64 4.00 % Williams Partners LP 2011/2021 . . . . . . . . . . . . . . . USD 230 000 230 000 % 98.931 227 541.30 0.61 3.60 % Williams Partners LP 2015/2022 . . . . . . . . . . . . . . . USD 85 000 85 000 % 94.096 79 981.60 0.21 5.25 % Yapi ve Kredi Bankasi AS 144A 2013/2018 . . . . . . . USD 200 000 200 000 % 104.17 208 340.00 0.56 4.50 % Zoetis, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . . . . . USD 154 000 154 000 % 110.298 169 858.92 0.46

Securities admitted to or included in organized markets 10 974 288.53 29.45 Interest-bearing securities 4.50 % AIA Group Ltd 144A 2016/2046 . . . . . . . . . . . . . . . USD 270 000 270 000 % 109.053 294 443.10 0.79 5.25 % Apollo Investment Corp. 2015/2025 . . . . . . . . . . . . USD 190 000 190 000 % 99.746 189 516.45 0.51 3.45 % Apple, Inc. 2015/2045 . . . . . . . . . . . . . . . . . . . . . . . USD 75 000 75 000 % 94.888 71 166.00 0.19 3.875 % Ares Capital Corp. 2014/2020 . . . . . . . . . . . . . . . . . USD 160 000 160 000 % 103.459 165 534.40 0.44 6.05 % Barclays Bank Plc 144A 2007/2017 . . . . . . . . . . . . USD 225 000 225 000 % 104.965 236 171.25 0.63 4.70 % Burlington Northern Santa Fe LLC 2015/2045 . . . . USD 65 000 65 000 % 117.888 76 626.88 0.21 4.50 % Caixa Economica Federal 144A 2013/2018 . . . . . . . USD 200 000 200 000 % 100.067 200 134.00 0.54 3.875 % Celgene Corp. 2015/2025 . . . . . . . . . . . . . . . . . . . . USD 175 000 175 000 % 107.05 187 337.50 0.50 5.00 % Celgene Corp. 2015/2045 . . . . . . . . . . . . . . . . . . . . USD 35 000 35 000 % 110.979 38 842.65 0.10 3.579 % Charter Communications Operating LLC

Via Charter Communications Operating Capital 144A 2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 105 000 105 000 % 104.416 109 637.33 0.29

4.908 % Charter Communications Operating LLC Via Charter Communications Operating Capital 144A 2015/2025 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 160 000 160 000 % 109.272 174 835.20 0.47

6.484 % Charter Communications Operating LLC Via Charter Communications Operating Capital 144A 2015/2045 . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 120.81 120 809.50 0.32

1.55 % Citigroup, Inc. 2014/2017 . . . . . . . . . . . . . . . . . . . . USD 340 000 340 000 % 100.272 340 923.10 0.92 2.375 % Credit Agricole SA/London 144A 2016/2021 . . . . . USD 250 000 250 000 % 101.106 252 765.00 0.68 3.80 % Credit Suisse Group Funding Guernsey Ltd 144A

2016/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 500 000 500 000 % 99.926 499 630.00 1.34 3.48 % Diamond 1 Finance Corp. Via Diamond 2



Finance Corp. 144A 2016/2023 . . . . . . . . . . . . . . . . USD 120 000 120 000 % 103.184 123 820.80 0.33



321

8.10 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2036 . . . . . . . . . . . . . . . . . . . . . . USD 130 000 130 000 % 107.998 140 397.40 0.38

4.875 % Discovery Communications LLC 2013/2043 . . . . . . USD 45 000 45 000 % 90.494 40 722.30 0.11 4.875 % Electricite de France SA 144A 2014/2044 . . . . . . . USD 150 000 150 000 % 106.318 159 476.25 0.43 4.75 % Electricite de France SA 144A 2015/2035 . . . . . . . USD 60 000 60 000 % 107.234 64 340.70 0.17 4.50 % Express Scripts Holding Co. 2016/2026 . . . . . . . . . USD 155 000 155 000 % 110.205 170 817.75 0.46 4.80 % Express Scripts Holding Co. 2016/2046 . . . . . . . . . USD 100 000 100 000 % 100.965 100 965.00 0.27 4.875 % Forest Laboratories LLC 144A 2014/2021 . . . . . . . USD 325 000 325 000 % 111.196 361 385.38 0.97 3.20 % General Motors Financial Co., Inc. 2016/2021 . . . . USD 265 000 265 000 % 100.205 265 543.25 0.71 4.75 % Gilead Sciences Inc 2015/2046 . . . . . . . . . . . . . . . . USD 75 000 75 000 % 114.498 85 873.50 0.23 4.625 % Glencore Funding LLC 144A 2014/2024 . . . . . . . . . USD 100 000 100 000 % 93.861 93 861.00 0.25 3.60 % Hewlett Packard Enterprise Co. 144A 2015/2020 . USD 110 000 110 000 % 104.141 114 555.10 0.31 4.90 % Hewlett Packard Enterprise Co. 144A 2015/2025 . USD 165 000 165 000 % 104.601 172 591.65 0.46 6.375 % HSBC Holdings Plc 2015/2049 * . . . . . . . . . . . . . . . USD 340 000 340 000 % 95.309 324 050.60 0.87 3.00 % Hyundai Capital America 144A 2015/2020 . . . . . . . USD 200 000 200 000 % 103.454 206 908.00 0.56 2.375 % Intesa Sanpaolo SpA 2014/2017 . . . . . . . . . . . . . . . USD 465 000 465 000 % 100.445 467 069.25 1.25 5.125 % KKR Group Finance Co III LLC 144A 2014/2044 . . . USD 130 000 130 000 % 101.928 132 507.05 0.36 4.65 % KLA-Tencor Corp. 2014/2024 . . . . . . . . . . . . . . . . . USD 55 000 55 000 % 108.941 59 917.55 0.16 4.375 % Kraft Heinz Foods Co. 144A 2016/2046 . . . . . . . . . USD 145 000 145 000 % 106.404 154 285.08 0.41 2.75 % Lam Research Corp. 2015/2020 . . . . . . . . . . . . . . . USD 130 000 130 000 % 102.411 133 134.30 0.36 3.90 % Lam Research Corp. 2016/2026 . . . . . . . . . . . . . . . USD 95 000 95 000 % 105.336 100 069.20 0.27 6.00 % Macquarie Group Ltd 144A 2010/2020 . . . . . . . . . . USD 235 000 235 000 % 109.817 258 069.95 0.69 4.50 % Massachusetts Mutual Life Insurance Co. 144A

2015/2065 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 45 000 45 000 % 96.237 43 306.74 0.12 2.878 % Molex Electronic Technologies LLC 144A

2015/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000 % 99.828 99 828.50 0.27 3.15 % Mylan NV 144A 2016/2021 . . . . . . . . . . . . . . . . . . . USD 215 000 215 000 % 101.494 218 212.10 0.59 5.25 % Mylan NV 144A 2016/2046 . . . . . . . . . . . . . . . . . . . USD 115 000 115 000 % 105.132 120 901.80 0.32 2.65 % Oracle Corp. 2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 295 000 295 000 % 100.065 295 191.75 0.79 3.30 % Penske Truck Leasing Co Lp / PTL Finance Corp

2015/2021 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 160 000 160 000 % 102.888 164 620.80 0.44 5.50 % Petroleos Mexicanos 2012/2044 . . . . . . . . . . . . . . . USD 90 000 90 000 % 89.828 80 845.20 0.22 6.375 % Petroleos Mexicanos 2014/2045 . . . . . . . . . . . . . . . USD 60 000 60 000 % 99.5 59 700.00 0.16 2.40 % QBE Insurance Group Ltd 144A 2013/2018 . . . . . . USD 445 000 445 000 % 101.22 450 431.23 1.21 3.00 % Roche Holdings, Inc. 144A 2015/2025 . . . . . . . . . . USD 270 000 270 000 % 106.973 288 827.10 0.78 3.50 % Scentre Group Trust 1 via Scentre Group

Trust 2 144A 2014/2025 . . . . . . . . . . . . . . . . . . . . . USD 140 000 140 000 % 103.719 145 206.60 0.39 4.00 % Schlumberger Holdings Corp. 144A 2015/2025 . . . USD 380 000 380 000 % 107.661 409 111.80 1.10 5.75 % Seagate HDD Cayman 2014/2034 . . . . . . . . . . . . . USD 145 000 145 000 % 70.3 101 935.00 0.27 2.625 % Societe Generale SA 144A 2015/2020 . . . . . . . . . . USD 405 000 405 000 % 101.666 411 745.28 1.11 2.75 % Societe Generale SA 2012/2017 . . . . . . . . . . . . . . . USD 250 000 250 000 % 101.689 254 222.50 0.68 2.45 % Starbucks Corp. 2016/2026 . . . . . . . . . . . . . . . . . . . USD 130 000 130 000 % 101.512 131 965.60 0.35 2.10 % SunCorp.-Metway Ltd 144A 2016/2019 . . . . . . . . . USD 125 000 125 000 % 100.948 126 185.63 0.34 4.25 % Swiss Re Treasury US Corp. 144A 2012/2042 . . . . USD 80 000 80 000 % 106.69 85 352.00 0.23 2.60 % Synchrony Financial 2015/2019 . . . . . . . . . . . . . . . . USD 145 000 145 000 % 100.877 146 271.65 0.39 2.125 % Volkswagen Group of America Finance LLC 144A

2014/2019 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 270 000 270 000 % 100.756 272 042.55 0.73 7.375 % Western Digital, Corp. 144A 2016/2023 . . . . . . . . . USD 5 000 5 000 % 106.312 5 315.63 0.01

Total securities portfolio 35 523 369.12 95.43 Derivatives (Minus signs denote short positions) Currency derivatives -17 591.53 -0.05Receivables/payables Currency futures Currency futures (short) Closed positions USD/EUR 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.46 0.00 Currency futures (long) Open positions EUR/USD 1.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -17 591.07 -0.05 Cash at bank 1 452 824.52 3.90 Deposits in non-EU/EEA currencies U.S. dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1 452 824.52 3.90 Other assets 1 552 263.59 4.17Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311 329.52 0.84Receivables from exceeding the expense cap . . . . . . . . . . . . 24 855.74 0.07Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 216 078.33 3.26



322


Total assets ** 38 528 457.23 103.50 Other liabilities -1 284 867.70 -3.45Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 284 867 .70 -3 .45 Total liabilities -1 302 459.23 -3.50 Net assets 37 225 998.00 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .


Net asset value per share Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106 .13Class LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105 .85Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 105 .85Class XCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106 .37Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 106 .71Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 106 .44Class USD LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 106 .44Class USD XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 106 .94 Number of shares outstanding Class FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class LDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class XCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 000Class USD FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 109Class USD LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 109Class USD LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 209Class USD XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 336 304 Composition of the reference portfolio (according to CSSF circular 11/512)Barclays Capital U .S . Credit (Returns Universe) in USD Constituents



Contracting party for currency futuresState Street Bank and Trust Company Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund . The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus . If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the SICAV and which are based as far as possible on market parameters . This procedure is subject to an ongoing monitoring process . The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure . Assets reported in this report are not valued at derived market values . Footnotes



323





Securities traded on an exchange Interest-bearing securities 2.50 % Abbey National Treasury Services Plc/

United Kingdom 2016/2019 . . . . . . . USD 270 000 270 000 3.375 % Air Lease Corp. 2016/2021 . . . . . . . . USD 290 000 290 000 5.65 % AT&T, Inc. 2016/2047 . . . . . . . . . . . . USD 180 000 180 000 2.75 % Berkshire Hathaway, Inc. 2016/2023 USD 235 000 235 000 3.119 % BP Capital Markets Plc 2016/2026 . . USD 90 000 90 000 1.85 % Compass Bank 2014/2017 . . . . . . . . USD 250 000 250 000 5.95 % ConocoPhillips Co. 2016/2046 . . . . . USD 45 000 45 000 3.80 % DIRECTV Holdings LLC / DIRECTV

Financing Co, Inc. 2012/2022 . . . . . . USD 65 000 65 000 2.943 % Ford Motor Credit Co LLC

2016/2019 . . . . . . . . . . . . . . . . . . . . . USD 205 000 205 000 3.75 % Goldman Sachs Group, Inc./The

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 85 000 85 000 6.00 % HP, Inc. 2011/2041 . . . . . . . . . . . . . . USD 105 000 105 000 3.75 % Imperial Tobacco Finance Plc 144A

2015/2022 . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 3.25 % Kellogg Co. 2016/2026 . . . . . . . . . . . USD 250 000 250 000 2.40 % Lloyds Bank Plc 2015/2020 . . . . . . . . USD 200 000 200 000 3.85 % Mitsubishi UFJ Financial Group, Inc.

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 460 000 460 000 5.45 % Morgan Stanley 2007/2017 . . . . . . . . USD 100 000 100 000 5.50 % Morgan Stanley 2010/2020 . . . . . . . . USD 130 000 130 000 2.50 % Morgan Stanley 2016/2021 . . . . . . . . USD 170 000 170 000 4.20 % Newell Rubbermaid, Inc. 2016/2026 . USD 225 000 225 000 5.50 % Newell Rubbermaid, Inc. 2016/2046 . USD 55 000 55 000 4.00 % Noble Holding International Ltd

2015/2018 . . . . . . . . . . . . . . . . . . . . . USD 35 000 35 000 3.80 % ONEOK Partners LP 2015/2020 . . . . USD 60 000 60 000 2.85 % PepsiCo, Inc. 2016/2026 . . . . . . . . . . USD 145 000 145 000 4.90 % Plains All American Pipeline LP

Via PAA Finance Corp. 2014/2045 . . USD 47 000 47 000 2.00 % Realty Income Corp. 2012/2018 . . . . USD 170 000 170 000 5.85 % Reynolds American, Inc. 2015/2045 . USD 35 000 35 000 4.375 % Royal Bank of Scotland Plc

2011/2016 . . . . . . . . . . . . . . . . . . . . . USD 150 000 150 000 3.45 % Santander Holdings USA, Inc.

2013/2018 . . . . . . . . . . . . . . . . . . . . . USD 40 000 40 000 5.179 % Santander Issuances SAU

2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 200 000 200 000 3.85 % Spirit AeroSystems, Inc.

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 40 000 40 000 3.784 % Sumitomo Mitsui Financial Group, Inc.

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 285 000 285 000 6.125 % Trinity Acquisition Plc 2013/2043 . . . USD 100 000 100 000 1.375 % UBS AG 2015/2017 . . . . . . . . . . . . . . USD 250 000 250 000 2.25 % United States Treasury Note/Bond

2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 1 735 000 1 735 000 3.15 % Visa Inc 2015/2025 . . . . . . . . . . . . . . USD 195 000 195 000 3.00 % Wells Fargo & Co. 2016/2026 . . . . . . USD 270 000 270 000 2.85 % Westpac Banking Corp. 2016/2026 . USD 200 000 200 000 4.95 % ConocoPhillips Co. 2016/2026 . . . . . USD 220 000 220 000 Securities admitted to or included in organized markets Interest-bearing securities 4.95 % 21st Century Fox America, Inc.

2016/2045 . . . . . . . . . . . . . . . . . . . . . USD 50 000 50 000 3.25 % Apple, Inc. 2016/2026 . . . . . . . . . . . . USD 230 000 230 000 4.40 % Australia & New Zealand Banking

Group Ltd 144A 2016/2026 . . . . . . . . USD 410 000 410 000 2.50 % Banque Federative du

Credit Mutuel SA 144A 2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 280 000 280 000

2.00 % BMW US Capital LLC 144A 2016/2021 . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000

2.80 % BMW US Capital LLC 144A 2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 185 000 185 000

4.908 % CCO Safari II LLC 144A 2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 160 000 160 000

6.484 % CCO Safari II LLC 144A 2015/2045 . . . . . . . . . . . . . . . . . . . . . USD 100 000 100 000

3.579 % CCO Safari II LLC 2015/2020 . . . . . . USD 105 000 105 000 4.50 % Commonwealth Bank of Australia

144A 2015/2025 . . . . . . . . . . . . . . . . USD 200 000 200 000


4.55 % Credit Suisse Group Funding Guernsey Ltd 144A 2016/2021 . . . . . USD 340 000 340 000

0.716 % Daimler Finance North America LLC 144A 2015/2017 * . . . . . . . . . . . . . . . USD 265 000 265 000

6.02 % Diamond 1 Finance Corp. Via Diamond 2 Finance Corp. 144A 2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 250 000 250 000

3.80 % eBay, Inc. 2016/2022 . . . . . . . . . . . . USD 112 000 112 000 3.70 % Electronic Arts, Inc. 2016/2021 . . . . . USD 45 000 45 000 5.10 % Exelon Corp. 144A 2015/2045 . . . . . USD 80 000 80 000 5.00 % Expedia Inc 2015/2026 . . . . . . . . . . . USD 65 000 65 000 1.061 % Goldman Sachs Group, Inc./

The (MTN) 2014/2017 * . . . . . . . . . . USD 235 000 235 000 4.30 % HSBC Holdings Plc 2016/2026 . . . . . USD 270 000 270 000 3.375 % National Australia Bank Ltd/New York

2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 250 000 250 000 3.00 % Schlumberger Holdings Corp. 144A

2015/2020 . . . . . . . . . . . . . . . . . . . . . USD 195 000 195 000 5.75 % Seagate HDD Cayman 144A

2014/2034 . . . . . . . . . . . . . . . . . . . . . USD 145 000 145 000 2.45 % Svenska Handelsbanken AB (MTN)


2015/2022 . . . . . . . . . . . . . . . . . . . . USD 2 500 000 2 500 000 2.875 % United States Treasury Note/Bond








2016/2026 . . . . . . . . . . . . . . . . . . . . . USD 2 965 000 2 965 000 4.80 % Walgreens Boots Alliance, Inc.

2014/2044 . . . . . . . . . . . . . . . . . . . . . USD 155 000 155 000 3.10 % Walgreens Boots Alliance, Inc. 2

016/2023 . . . . . . . . . . . . . . . . . . . . . . USD 70 000 70 000 3.50 % Trinity Acquisition Plc 2016/2021 . . . USD 60 000 60 000


Value (’000)Futures contracts Currency futures (short) Futures contracts to sell currencies USD/EUR USD 5 972 Currency futures (long) Futures contracts to purchase currencies EUR/USD USD 5 932

324

Deutsche Invest I SICAV – June 30, 2016

Statement of net assets as of June 30, 2016

* The portfolio compositions, incomes, expenses and statements of changes in net assets of the sub-funds managed in foreign currencies were converted into euro at the stated exchange rate.

Fiscal six-month period ended June 30, 2016 . . . . . . . . . . USD 1.111649 = EUR 1 Fiscal six-month period ended June 30, 2016 . . . . . . . . . . JPY 114.260909 = EUR 1** The fund’s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results

of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results.

Deutsche Invest ISICAVEUR*

Deutsche Invest I AfricaEUR


USD

% of Consolidated net assets

Assets

Total securities portfolio 22 709 347 871.72 95.98 67 547 208.72 24 981 380.75

Derivatives on individual securities 15 131 462.08 0.07 0.00 0.00

Equity index derivatives 3 631 257.22 0.02 0.00 0.00

Interest rate derivatives 164 836.35 0.00 0.00 0.00

Currency derivatives 26 156 748.84 0.11 0.00 0.00

Swaps 5 482 661.35 0.02 0.00 0.00

Cash at bank 801 542 130.16 3.39 12 837 097.24 3 149 821.49

Other assets 377 401 423.74 1.60 285 629.02 1 268 368.60

Receivables from share certificate transactions 132 784 546.40 0.56 118 750.49 0.00

Total assets 24 071 642 937.86 101.74 80 788 685.47 29 399 570.84

Liabilities

Derivatives on individual securities - 61 870.00 0.00 0.00 0.00

Equity index derivatives - 9 290 229.26 - 0.04 0.00 0.00

Interest rate derivatives - 11 182 559.03 - 0.05 0.00 0.00

Currency derivatives - 26 222 046.47 - 0.11 0.00 - 262 464.10

Option contracts - 118 332.20 0.00 0.00 0.00

Swaps - 5 966 360.13 - 0.03 0.00 0.00

Short-term liabilities - 880 433.00 0.00 - 370 701.25 0.00

Other liabilities - 275 417 532.72 - 1.16 - 502 666.88 - 1 240 357.14

Liabilities from share certificate transactions - 82 662 076.76 - 0.34 - 519 016.46 0.00

Total liabilities - 411 801 439.57 - 1.74 - 1 392 384.59 - 1 502 821.24

Net assets 23 659 841 498.30 100.00 79 396 300.88 27 896 749.60

325


EUR


EUR


EUR


USD


EUR

4 653 744.23 70 078 750.43 38 493 979.19 473 207 042.05 120 007 777.16

156 456.79 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

515 922.65 2 527 587.30 223 142.88 19 720 556.78 6 705 137.05

52 849.25 218 446.32 1 236 283.63 10 127 209.42 1 490 400.44

0.00 6 252.37 851.16 57 178.54 1 542 085.47

5 378 972.92 72 831 036.42 39 954 256.86 503 111 986.79 129 745 400.12

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 - 712 218.76 0.00

0.00 0.00 0.00 - 6 404 775.48 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 - 253 407.43 0.00 0.00

- 22 366.63 - 122 394.12 - 265 334.42 - 597 564.77 - 865 353.26

- 4 837.17 - 68 725.90 - 200 666.98 - 1 367 686.73 - 228 142.71

- 27 203.80 - 191 120.02 - 719 408.83 - 9 082 245.74 - 1 093 495.97

5 351 769.12 72 639 916.40 39 234 848.03 494 029 741.05 128 651 904.15

326


Statement of net assets as of June 30, 2016 Deutsche Invest I

ConvertiblesEUR


EUR


EUR

Assets

Total securities portfolio 2 411 880 477.68 45 786 266.41 508 362.71

Derivatives on individual securities 0.00 0.00 0.00

Equity index derivatives 0.00 0.00 0.00

Interest rate derivatives 0.00 0.00 0.00

Currency derivatives 9 337 964.79 44 242.23 125.38

Swaps 0.00 0.00 0.00

Cash at bank 200 649 268.14 941 164.20 3 444 731.32

Other assets 42 519 652.92 769 075.52 16 369.65

Receivables from share certificate transactions 31 404 462.52 0.00 0.00

Total assets 2 695 791 826.05 47 540 748.36 3 969 589.06

Liabilities


Equity index derivatives - 6 275 768.83 0.00 0.00

Interest rate derivatives 0.00 - 79 013.86 0.00

Currency derivatives 0.00 0.00 0.00

Option contracts 0.00 0.00 0.00

Swaps 0.00 0.00 0.00

Short-term liabilities 0.00 0.00 0.00

Other liabilities - 29 371 615.80 - 175 682.74 0.00

Liabilities from share certificate transactions - 13 678 090.64 0.00 0.00

Total liabilities - 49 325 475.27 - 254 696.60 0.00

Net assets 2 646 466 350.78 47 286 051.76 3 969 589.06




327


EUR

Deutsche Invest I Emerging Markets

CorporatesUSD

Deutsche Invest I Emerging Markets IG

Sovereign DebtUSD


SatellitesEUR


Sovereign DebtEUR

5 535 290.02 379 547 652.65 228 141 622.00 4 374 549.82 47 344 403.42

0.00 0.00 0.00 250 976.30 0.00

0.00 0.00 0.00 0.00 0.00

0.00 99 414.10 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

5 475.41 14 160 153.92 15 518 483.29 218 020.35 2 384 521.65

24 304.25 33 927 075.84 3 382 497.19 255 225.84 1 699 632.21

0.00 199 090.28 0.00 3 841.60 5 713.63

5 565 069.68 427 933 386.79 247 042 602.48 5 102 613.91 51 434 270.91

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 - 1 997 232.47 - 3 462 757.61 0.00 - 708 787.32

0.00 0.00 0.00 0.00 0.00

0.00 - 6 632 502.12 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

- 6 729.66 - 42 919 561.27 - 139 126.09 - 30 895.95 - 1 065 690.91

0.00 - 270 213.10 0.00 0.00 - 21 409.40

- 6 729.66 - 51 819 508.96 - 3 601 883.70 - 30 895.95 - 1 795 887.63

5 558 340.02 376 113 877.83 243 440 718.78 5 071 717.96 49 638 383.28

328


Statement of net assets as of June 30, 2016 Deutsche Invest I Emerging

Markets Top DividendEUR


EUR


EUR

Assets

Total securities portfolio 161 541 539.61 108 189 732.00 1 902 524 991.70



Interest rate derivatives 0.00 70 287.00 0.00


Swaps 0.00 0.00 0.00

Cash at bank 20 892 582.99 1 837 074.68 5 042 214.28

Other assets 2 195 208.91 1 374 392.45 30 688 702.04

Receivables from share certificate transactions 900 914.10 0.00 19 113 972.51

Total assets 185 530 245.61 111 471 486.13 1 957 369 880.53

Liabilities






Swaps 0.00 0.00 0.00


Other liabilities - 479 198.01 - 118 013.52 - 1 021 518.50

Liabilities from share certificate transactions - 8 705 430.00 - 2 281 375.83 - 15 399 010.31

Total liabilities - 9 184 628.01 - 2 399 389.35 - 16 420 528.81

Net assets 176 345 617.60 109 072 096.78 1 940 949 351.72




329


EUR


EUR


EUR


EUR


EUR

1 391 106 890.95 827 469 743.78 1 720 565 057.30 65 094 531.10 12 159 753.71

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 368 612.70 0.00 76 292.74 30 868.60

0.00 0.00 0.00 0.00 0.00

12 589 837.64 25 503 996.48 10 222 255.98 256 920.49 1 324 703.48

19 952 761.17 16 059 691.65 20 571 790.37 1 584 463.73 347 163.90

16 919 382.01 10 677 836.60 482 354.69 69 000.68 0.00

1 440 568 871.77 880 079 881.21 1 751 841 458.34 67 081 208.74 13 862 489.69

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

- 1 953 014.35 0.00 - 1 467 020.00 0.00 - 80 190.74

- 1 553 452.97 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 - 242 132.36 0.00

- 8 623 391.34 - 2 105 535.68 - 847 916.97 - 1 394 569.09 - 15 333.42

- 1 453 817.88 - 3 618 668.30 - 2 834 845.42 - 457 542.45 0.00

- 13 583 676.54 - 5 724 203.98 - 5 149 782.39 - 2 094 243.90 - 95 524.16

1 426 985 195.23 874 355 677.23 1 746 691 675.95 64 986 964.84 13 766 965.53

330

Statement of net assets as of June 30, 2016 Deutsche Invest I German Equities

EUR


USD


EUR

Assets

Total securities portfolio 541 357 777.75 640 955 263.16 997 062 390.85


Equity index derivatives 548 911.08 0.00 0.00


Currency derivatives 2 407 423.21 0.00 0.00

Swaps 0.00 0.00 4 752 705.77

Cash at bank 11 990 105.29 2 448 650.68 26 204 914.14

Other assets 2 493 674.80 1 490 917.06 105 117 675.28

Receivables from share certificate transactions 2 347 073.51 636 825.85 237 624.52

Total assets 561 144 965.64 645 531 656.75 1 133 375 310.56

Liabilities

Derivatives on individual securities - 61 870.00 0.00 0.00


Interest rate derivatives 0.00 0.00 - 3 029 825.08

Currency derivatives 0.00 0.00 - 6 684 021.20

Option contracts 0.00 0.00 - 118 332.20

Swaps 0.00 0.00 0.00


Other liabilities - 3 536 464.04 - 1 813 520.49 - 103 759 739.15

Liabilities from share certificate transactions - 11 829 728.70 - 1 252 228.26 - 550 878.96

Total liabilities - 15 428 062.74 - 3 065 748.75 - 114 142 796.59

Net assets 545 716 902.90 642 465 908.00 1 019 232 513.97





331

Deutsche Invest I Global Bonds Dynamic

PlusEUR

Deutsche Invest I Global Commodities

BlendEUR


EUR


EUR


EUR

16 994 936.58 12 185 469.10 56 696 708.96 530 895 548.29 728 147 364.13

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

54 760.36 0.00 230 043.67 0.00 0.00

155 406.99 189 494.48 0.00 0.00 0.00

2 689 631.65 3 712 322.67 2 822 513.62 9 593 138.98 63 544 153.09

2 703 620.82 31 815.72 909 966.36 4 258 450.71 9 383 396.68

0.00 7 792.08 0.00 58 264.96 1 241 458.76

22 598 356.40 16 126 894.05 60 659 232.61 544 805 402.94 802 316 372.66

0.00 0.00 0.00 0.00 0.00

- 43 448.94 0.00 0.00 0.00 0.00

- 62 237.91 0.00 - 131 685.56 0.00 0.00

0.00 0.00 0.00 0.00 - 131 392.78

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

- 2 600 066.47 - 7 572.04 - 532 602.51 - 837 058.08 - 10 162 250.18

0.00 0.00 0.00 - 366 509.98 - 1 121 683.56

- 2 705 753.32 - 7 572.04 - 664 288.07 - 1 203 568.06 - 11 415 326.52

19 892 603.08 16 119 322.01 59 994 944.54 543 601 834.88 790 901 046.14

332



Global Real Estate Securities

USD


USD


USD

Assets






Swaps 0.00 0.00 0.00

Cash at bank 2 841 279.57 949 794.56 933 293.16

Other assets 1 446 016.50 519 885.48 415 226.80

Receivables from share certificate transactions 1 093 116.91 38 545.50 0.00

Total assets 129 832 966.65 58 822 671.63 39 387 964.23

Liabilities



Interest rate derivatives 0.00 - 1 858.54 0.00

Currency derivatives - 91 574.86 - 1 230 746.68 0.00


Swaps 0.00 0.00 0.00

Short-term liabilities 0.00 - 513.19 0.00

Other liabilities - 852 191.43 - 2 997 004.79 - 296 737.18

Liabilities from share certificate transactions - 13 563.48 - 160 799.03 - 3 726.90

Total liabilities - 957 329.77 - 4 390 922.23 - 300 464.08

Net assets 128 875 636.88 54 431 749.40 39 087 500.15




333

Deutsche Invest I Gold and Precious

Metals EquitiesUSD


EUR


EUR


EUR


EUR

154 818 863.92 23 507 395.94 54 663 875.14 23 769 490.72 22 920 563.60

0.00 0.00 0.00 983 064.28 414 217.02

0.00 0.00 0.00 495 604.82 273 484.87

0.00 0.00 0.00 0.00 5 120.00

0.00 0.00 248 102.17 0.00 0.00

0.00 0.00 0.00 0.00 0.00

4 688 846.07 368 788.40 3 020 771.65 515 647.43 2 232 080.72

18 769.87 163 547.48 54 055.90 148 027.12 342 200.04

1 642 034.06 4 129.90 757 068.69 15 272.60 20 091.96

161 168 513.92 24 043 861.72 58 743 873.55 25 927 106.97 26 207 758.21

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 - 132 538.91 - 184 759.53

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

- 1 339 366.97 - 55 354.84 - 22 057.85 - 30 356.82 - 30 221.23

- 1 328 628.80 - 9 564.80 - 254 943.68 - 123 707.23 0.00

- 2 667 995.77 - 64 919.64 - 277 001.53 - 286 602.96 - 214 980.76

158 500 518.15 23 978 942.08 58 466 872.02 25 640 504.01 25 992 777.45

334


Multi Asset DynamicEUR


EUR


EUR

Assets


Derivatives on individual securities 3 307 518.72 0.00 973 772.60

Equity index derivatives 1 816 567.22 0.00 482 554.23



Swaps 0.00 385 054.11 0.00

Cash at bank 1 230 186.75 11 752 967.28 413 552.71

Other assets 104 027.73 829 071.32 64 980.64

Receivables from share certificate transactions 451.44 35 161.92 0.00

Total assets 69 397 182.04 89 423 071.28 10 700 932.82

Liabilities


Equity index derivatives 0.00 - 82 601.46 0.00

Interest rate derivatives - 24 797.60 0.00 0.00

Currency derivatives - 142 118.91 - 461 613.25 - 18 292.84


Swaps 0.00 0.00 0.00


Other liabilities - 90 071.23 - 117 686.40 - 23 773.28

Liabilities from share certificate transactions - 20 465.22 - 15 939.07 0.00

Total liabilities - 277 452.96 - 677 840.18 - 42 066.12

Net assets 69 119 729.08 88 745 231.10 10 658 866.70





335


EUR


EUR


EUR


JPY

Deutsche Invest I Quant Equity Low

Volatility WorldEUR

24 437 291.94 2 354 976 822.31 62 194 036.93 9 294 030 130.00 33 086 313.69

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 14 135.00

0.00 0.00 0.00 0.00 0.00

0.00 11 435 488.62 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

1 255 112.86 75 508 512.51 2 011 189.73 202 526 008.00 1 595 069.98

240 122.84 25 614 257.93 172 778.19 88 764 308.00 98 178.07

15 233.20 3 627 748.94 254 829.35 0.00 22 035 897.40

25 947 760.84 2 471 162 830.31 64 632 834.20 9 585 320 446.00 56 829 594.14

0.00 0.00 0.00 0.00 0.00

0.00 - 2 888 410.04 0.00 0.00 0.00

- 8 120.73 - 3 502 345.16 0.00 0.00 0.00

- 365 295.83 0.00 0.00 - 399 019 022.00 - 93.32

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

- 487 354.12 - 18 610 972.58 - 958 238.36 - 82 533 786.00 - 20 974 007.18

0.00 - 2 132 759.40 - 49 437.70 0.00 - 2 682.68

- 860 770.68 - 27 134 487.18 - 1 007 676.06 - 481 552 808.00 - 20 976 783.18

25 086 990.16 2 444 028 343.13 63 625 158.14 9 103 767 638.00 35 852 810.96

336



Real Assets IncomeEUR

Deutsche Invest I Senior Secured High Yield

CorporatesEUR


EUR

Assets





Currency derivatives 0.00 0.00 576 759.82

Swaps 0.00 0.00 0.00

Cash at bank 69 919.20 5 999 077.09 6 065 696.65

Other assets 47 684.74 1 263 184.98 6 296 826.36

Receivables from share certificate transactions 0.00 103.70 4 866 290.88

Total assets 6 603 597.82 83 137 132.94 381 367 845.63

Liabilities



Interest rate derivatives 0.00 0.00 - 202 765.42

Currency derivatives - 93.16 - 340 731.87 0.00


Swaps 0.00 0.00 0.00


Other liabilities - 6 745.64 - 1 166 870.16 - 740 519.05

Liabilities from share certificate transactions 0.00 0.00 - 1 347 972.14

Total liabilities - 6 838.80 - 1 507 602.03 - 2 291 256.61

Net assets 6 596 759.02 81 629 530.91 379 076 589.02




337


EUR


EUR


EUR


EUR


USD

208 934 684.94 4 166 817 021.05 1 106 528 242.92 130 786 553.05 35 523 369.12

6 686 797.36 0.00 2 165 905.00 192 754.01 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 679 128.45 603 938.45 62 997.65 0.00

0.00 0.00 0.00 0.00 0.00

9 843 048.09 136 666 724.86 51 908 099.55 1 751 697.06 1 452 824.52

3 105 566.28 14 026 673.99 8 889 411.31 408 351.44 1 552 263.59

2 268 445.13 7 845 877.95 2 333 735.60 270 166.59 0.00

230 838 541.80 4 326 035 426.30 1 172 429 332.83 133 472 519.80 38 528 457.23

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 - 17 591.53

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 - 13 730.31 0.00

- 342 672.00 - 5 743 363.36 - 8 642 591.73 - 229 421.10 - 1 284 867.70

- 1 363 688.07 - 6 805 064.93 - 3 178 127.82 - 64 249.00 0.00

- 1 706 360.07 - 12 548 428.29 - 11 820 719.55 - 307 400.41 - 1 302 459.23

229 132 181.73 4 313 486 998.01 1 160 608 613.28 133 165 119.39 37 225 998.00

Investment Company

Deutsche Invest I

2, Boulevard Konrad Adenauer

1115 Luxembourg, Luxembourg

RC B 86 435

Board of Directors of the

Investment Company

Doris Marx

Chairman

Deutsche Asset Management S.A.,

Luxembourg

Heinz-Wilhelm Fesser

Independent member

c/o Deutsche Asset Management S.A.,

Luxembourg

Markus Kohlenbach

Independent member

c/o Deutsche Asset Management S.A.,

Luxembourg

Stephan Scholl


International GmbH,

Frankfurt/Main

Niklas Seifert (since April 27, 2016)


Luxembourg

Sven Sendmeyer (since April 27, 2016)


Investment GmbH,

Frankfurt/Main

Management Company and Central

Administration Agent, Registrar and

Transfer Agent, Main Distributor

Deutsche Asset Management S.A.



Equity capital as of December 31, 2015:

EUR 251.7 million before profit appropriation

Supervisory Board of the

Management Company

Holger Naumann

Chairman


Investment GmbH,

Frankfurt/Main

Nathalie Bausch

Deutsche Bank Luxembourg S.A.,

Luxembourg

Reinhard Bellet

Deutsche Bank AG,

Frankfurt/Main

Marzio Hug

Deutsche Bank AG,

London

Stefan Kreuzkamp (since February 1, 2016)


Investment GmbH,

Frankfurt/Main

Frank Krings (since May 10, 2016)

Deutsche Bank Luxembourg S.A.,

Luxembourg

Dr. Matthias Liermann


Investment GmbH,

Frankfurt/Main

Management Board of the

Management Company

Dirk Bruckmann (since January 14, 2016)

Chairman


Investment GmbH,

Frankfurt/Main

Ralf Rauch


Luxembourg

Martin Schönefeld


Luxembourg

Barbara Schots


Luxembourg

Fund Managers

For the sub-funds Deutsche Invest I Asian

Bonds and Deutsche Invest I Asian Small/

Mid Cap:


Investment GmbH

Mainzer Landstr. 11-17

60329 Frankfurt/Main, Germany

As sub-fund manager for these sub-funds:

Deutsche Asset Management (Hong Kong)

Limited

International Commerce Center, Floor 58,

1 Austin Road West, Kowloon,

Hong Kong

For the sub-funds Deutsche Invest I Brazilian

Equities and Deutsche Invest I Latin

American Equities:


Investment GmbH



and

Deutsche Bank S.A. – Banco Alemão

Av. Brigadeiro Faria Lima, 3900

04538-132 São Paulo,

Brazil

For the sub-fund

Deutsche Invest I Chinese Equities:

Harvest Global Investments Limited

Suites 1301–1304, Two Exchange Square

8 Connaught Place

Hong Kong, China

For the sub-fund

Deutsche Invest I China Bonds:


Investment GmbH



As sub-fund manager for this sub-fund:

Harvest Global Investments Limited

Suites 1301–1304, Two Exchange Square

8 Connaught Place

Hong Kong, China

For the sub-funds Deutsche Invest I Global

Bonds, Deutsche Invest I Global Bonds

Dynamic Plus, Deutsche Invest I CROCI

Flexible Allocation, Deutsche Invest I CROCI

Sectors, Deutsche Invest I Emerging Markets

Satellites and Deutsche Invest I Emerging

Markets Corporates:


Investment GmbH



and

Deutsche Asset Management (UK) Limited

1 Great Winchester Street

London EC2N 2DB

United Kingdom

For the sub-funds Deutsche Invest I Asian

Equities Unconstrained, Deutsche Invest I

Global Emerging Markets Equities and

Deutsche Invest I Top Asia:


Investment GmbH



and

Deutsche Asset Management (UK) Limited

1 Great Winchester Street

London EC2N 2DB

United Kingdom

and

Deutsche Asset Management (Hong Kong)

Limited

International Commerce Center, Floor 58,

1 Austin Road West, Kowloon,

Hong Kong


Infrastructure and Deutsche Invest I Real

Assets Income:


Investment GmbH




RREEF America LLC


222 S. Riverside Plaza, Floor 24

Chicago, IL 60606

U.S.


Thematic and Deutsche Invest I Global

Agribusiness:

Global Thematic Partners, LLC

681 Fifth Avenue

12th Floor

New York, NY 10022

U.S.


Commodities Blend and Deutsche Invest I

Gold and Precious Metals Equities:

Deutsche Investment Management America Inc.

345 Park Avenue

New York, NY 10154

U.S.

For the sub-fund Deutsche Invest I Global

Real Estate Securities:

RREEF America LLC


222 S. Riverside Plaza, Floor 24

Chicago, IL 60606

U.S.

As sub-fund manager this sub-fund:

For the management of the European part of

the portfolio:

Deutsche Alternative Asset

Management (UK) Limited

1 Appold Street

London EC2A 2UU

United Kingdom

For the management of the Asian, Australian

and New Zealand portfolio component:

Deutsche Australia Limited,

Deutsche Bank Place

Cnr. Hunter and Phillip Streets

Sydney NSW 2000

Australia

For the sub-fund Deutsche Invest I Quant

Equity Low Volatility World:


Investment GmbH

Mainzer Landstr. 11–17


Acting as sub-manager for this sub-fund:

Sal. Oppenheim jr. & Cie. AG Co. KGaA

Unter Sachsenhausen 4

50667 Köln, Germany

For the sub-fund

Deutsche Invest I Nomura Japan Growth:


Investment GmbH




Nomura Asset Management Deutschland

KAG mbH

Gräfstr. 109


The sub-fund manager in turn has further

delegated fund management to

Nomura Asset Management Co Ltd. Tokyo

1-12-1 Nihonbashi, Chuo-ku

Tokyo 103-8260,

Japan

For the sub-fund

Deutsche Invest I USD Corporate Bonds:


Investment GmbH





345 Park Avenue

New York, NY 10154

U.S.

For all other sub-funds:


Investment GmbH



Investment Advisor


Corporate Bonds, Deutsche Invest Global

Short Duration and Deutsche Invest I

Multi Credit:


345 Park Avenue

New York, NY 10154

U.S.

Depositary and Administrator

State Street Bank Luxembourg S.C.A.

49, Avenue J. F. Kennedy


Auditor

KPMG Luxembourg

Société coopérative

39, Avenue John F. Kennedy


Sales and Paying Agents,

Main Distributor

LUXEMBOURG

Deutsche Asset Management S.A.



Deutsche Bank Luxembourg S.A.



As of: July 31, 2016

Deutsche Invest I SICAV2, Boulevard Konrad Adenauer1115 Luxembourg, LuxembourgRC B 86 435Tel.: +352 4 21 01-1 Fax: +352 4 21 01-9 00

Deutsche Invest I - funds360.euronext.com

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