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Deutsche Portfolio Trust – ‘N-Q’ for 10/31/17

On:  Tuesday, 12/26/17, at 8:47am ET   ·   Effective:  12/26/17   ·   For:  10/31/17   ·   Accession #:  88053-17-1856   ·   File #:  811-00042

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

12/26/17  Deutsche Portfolio Trust          N-Q        10/31/17    2:420K                                   Deutsche Int'l Fd, Inc.DWS Total Return Bond Fund Class A (SZIAX) — Class C (SZICX) — Class R (SZIRX) — Class S (SCSBX) — Institutional Class (SZIIX)

Quarterly Schedule of Portfolio Holdings of a Management Investment Company   —   Form N-Q
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Deutsche Total Return Bond Fund                     HTML    154K 
 2: EX-99.CERT  Certifications                                      HTML     15K 


N-Q   —   Deutsche Total Return Bond Fund


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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

_______________________________

Investment Company Act file number: 811-00042

Deutsche Portfolio Trust

(Exact name of registrant as specified in charter)

 

345 Park Avenue
New York, NY 10154-0004

(Address of principal executive offices) (Zip code)

 

Paul Schubert

345 Park Avenue

New York, NY 10154-0004

(Name and address of agent for service)

Registrant's telephone number, including area code: (212) 250-3220

Date of fiscal year end: 1/31

Date of reporting period: 10/31/2017

 

ITEM 1. SCHEDULE OF INVESTMENTS

 

 

Investment Portfolio                                                     as of October 31, 2017 (Unaudited)

 

 

Deutsche Total Return Bond Fund

(formerly Deutsche Core Plus Income Fund)

 

  Principal
Amount ($) (a)
  Value ($)
Corporate Bonds 54.7%
Consumer Discretionary 8.3%
AMC Networks, Inc., 5.0%, 4/1/2024     800,000   815,000
Beacon Escrow Corp., 144A, 4.875%, 11/1/2025     1,105,000   1,118,481
CalAtlantic Group, Inc., 5.0%, 6/15/2027     600,000   630,750
CCO Holdings LLC, 144A, 5.125%, 5/1/2027     1,250,000   1,262,500
Charter Communications Operating LLC:  
      3.579%, 7/23/2020     270,000   277,263
      144A, 3.75%, 2/15/2028     1,130,000   1,092,727
      4.908%, 7/23/2025     707,000   752,120
      144A, 5.375%, 5/1/2047     280,000   283,460
CVS Health Corp., 5.125%, 7/20/2045     320,000   357,578
Discovery Communications LLC:  
      5.0%, 9/20/2037     500,000   515,477
      5.2%, 9/20/2047     620,000   631,989
General Motors Co.:  
      5.4%, 4/1/2048     700,000   740,661
      6.6%, 4/1/2036     340,000   406,873
General Motors Financial Co., Inc., 3.15%, 6/30/2022     3,140,000   3,172,994
Hilton Domestic Operating Co., Inc., 4.25%, 9/1/2024     900,000   919,125
Hilton Worldwide Finance LLC, 4.875%, 4/1/2027     1,545,000   1,622,250
KFC Holding Co., 144A, 4.75%, 6/1/2027     775,000   795,344
Lennar Corp., 4.125%, 1/15/2022     915,000   947,025
Macy's Retail Holdings, Inc., 3.45%, 1/15/2021     600,000   601,742
Myriad International Holdings BV, 144A, 4.85%, 7/6/2027     400,000   410,590
NCL Corp., Ltd., 144A, 4.75%, 12/15/2021     775,000   806,388
Nordstrom, Inc.:  
      4.0%, 3/15/2027 (b)     425,000   418,341
      5.0%, 1/15/2044     670,000   633,214
PetSmart, Inc., 144A, 5.875%, 6/1/2025     580,000   506,050
PulteGroup, Inc., 5.0%, 1/15/2027     725,000   761,250
Sabre GLBL, Inc., 144A, 5.375%, 4/15/2023     900,000   943,956
Tata Motors Ltd., REG S, 5.75%, 10/30/2024     900,000   983,840
Tesla, Inc., 144A, 5.3%, 8/15/2025 (b)     3,250,000   3,136,250
Toll Brothers Finance Corp., 4.875%, 11/15/2025     900,000   943,875
Viacom, Inc.:  
      5.875% , 2/28/2057 (b)     215,000   212,904
      6.25% , 2/28/2057 (b)     230,000   227,240
Viking Cruises Ltd., 144A, 5.875%, 9/15/2027     3,175,000   3,198,812
Walgreens Boots Alliance, Inc., 4.8%, 11/18/2044     280,000   291,099
  30,417,168
Consumer Staples 1.4%
Kraft Heinz Foods Co., 4.375%, 6/1/2046     885,000   864,191
Molson Coors Brewing Co.:  
      3.0%, 7/15/2026     260,000   253,209
      4.2%, 7/15/2046     625,000   615,981
PepsiCo, Inc., 4.45%, 4/14/2046     165,000   183,886
Philip Morris International, Inc., 2.0%, 2/21/2020     300,000   299,995
Pilgrim's Pride Corp., 144A, 5.875%, 9/30/2027     600,000   624,000
Simmons Foods, Inc., 144A, 5.75%, 11/1/2024     2,135,000   2,145,035
Smithfield Foods, Inc., 144A, 2.65%, 10/3/2021     290,000   287,681
  5,273,978
Energy 7.9%
BP Capital Markets PLC, 3.279%, 9/19/2027     1,165,000   1,172,057
Canadian Natural Resources Ltd.:  
      3.85%, 6/1/2027     520,000   530,916
      4.95%, 6/1/2047     415,000   448,854
Cenovus Energy, Inc.:  
      144A, 4.25%, 4/15/2027     335,000   336,142
      144A, 5.4%, 6/15/2047     960,000   990,981
Continental Resources, Inc., 5.0%, 9/15/2022     450,000   455,063
Enbridge, Inc.:  
      2.9%, 7/15/2022     570,000   573,280
      5.5%, 12/1/2046     140,000   164,823
Energy Transfer Equity LP, 4.25%, 3/15/2023 (b)     1,320,000   1,343,113
Energy Transfer LP:  
      4.5%, 11/1/2023     830,000   872,972
      5.95%, 10/1/2043     425,000   452,611
EnLink Midstream Partners LP, 5.45%, 6/1/2047     620,000   643,474
EQT Corp., 3.9%, 10/1/2027     1,350,000   1,341,679
Halliburton Co., 4.85%, 11/15/2035     790,000   871,829
Hess Corp.:  
      5.6%, 2/15/2041     285,000   298,168
      5.8%, 4/1/2047     250,000   269,828
Kinder Morgan Energy Partners LP, 4.7%, 11/1/2042     790,000   767,011
Kinder Morgan, Inc., 3.15%, 1/15/2023     1,020,000   1,026,106
Magellan Midstream Partners LP, 4.2%, 10/3/2047     275,000   271,474
Newfield Exploration Co., 5.75%, 1/30/2022     450,000   483,750
Noble Energy, Inc., 3.85%, 1/15/2028     1,330,000   1,335,076
Noble Holding International Ltd.:  
      5.75%, 3/16/2018     190,000   191,425
      7.75%, 1/15/2024 (b)     1,960,000   1,754,200
Parsley Energy LLC, 144A, 5.625%, 10/15/2027     535,000   552,056
Petrobras Global Finance BV:  
      6.125%, 1/17/2022     882,000   953,442
      8.375%, 5/23/2021     1,025,000   1,181,953
Petroleos Mexicanos:  
      144A, 5.375%, 3/13/2022     914,000   971,491
      6.75%, 9/21/2047     780,000   803,946
Petronas Global Sukuk Ltd., 144A, 2.707%, 3/18/2020     750,000   755,548
Plains All American Pipeline LP:  
      2.85%, 1/31/2023     675,000   648,716
      4.3%, 1/31/2043     435,000   381,213
Rosneft Finance SA, 144A, 7.25%, 2/2/2020     450,000   489,150
Sabine Pass Liquefaction LLC, 5.0%, 3/15/2027     1,315,000   1,414,795
Sinopec Group Overseas Development 2016 Ltd., 144A, 2.125%, 5/3/2019     513,000   511,401
Sunoco Logistics Partners Operations LP, 5.3%, 4/1/2044     265,000   263,464
The Oil & Gas Holding Co. BSC, 144A, 7.5%, 10/25/2027     3,465,000   3,595,076
  29,117,083
Financials 17.5%
AEGON Funding Co., LLC, 5.75%, 12/15/2020     375,000   409,923
ANZ New Zealand International Ltd.:  
      144A, 2.125%, 7/28/2021     395,000   388,671
      144A, 2.75%, 2/3/2021     385,000   388,019
Ares Capital Corp.:  
      3.625%, 1/19/2022     900,000   909,946
      3.875%, 1/15/2020     1,275,000   1,306,730
Banco de Credito e Inversiones, 144A, 3.5%, 10/12/2027     1,145,000   1,116,375
Banco do Brasil SA, 144A, 4.625%, 1/15/2025     1,665,000   1,661,670
Banco General SA, 144A, 4.125%, 8/7/2027     1,450,000   1,442,025
Banco Santander SA:  
      3.125%, 2/23/2023     400,000   401,432
      3.8%, 2/23/2028     1,200,000   1,199,302
Bank of America Corp., 3.824%, 1/20/2028     1,855,000   1,909,985
Banque Federative du Credit Mutuel SA, 144A, 2.5%, 4/13/2021     515,000   517,731
Barclays PLC, 4.836%, 5/9/2028     3,160,000   3,296,405
Blackstone Holdings Finance Co., LLC, 144A, 5.0%, 6/15/2044     150,000   168,694
BNP Paribas SA, 144A, 4.625%, 3/13/2027     2,120,000   2,267,361
BPCE SA, 2.65%, 2/3/2021     515,000   519,893
Credit Agricole SA:  
      144A, 2.375%, 7/1/2021     330,000   329,698
      144A, 3.25%, 10/4/2024     850,000   849,872
Credit Suisse Group AG, 144A, 4.282%, 1/9/2028     570,000   594,227
Credit Suisse Group Funding Guernsey Ltd.:  
      3.8%, 6/9/2023     980,000   1,017,097
      4.55%, 4/17/2026     850,000   912,591
Everest Reinsurance Holdings, Inc., 4.868%, 6/1/2044     635,000   658,619
FS Investment Corp., 4.75%, 5/15/2022     790,000   819,937
Grain Spectrum Funding II LLC, 144A, 3.29%, 10/10/2034     163,140   162,732
HSBC Holdings PLC:  
      4.375%, 11/23/2026     730,000   767,687
      6.0% , 5/22/2027     565,000   600,313
Industrial & Commercial Bank of China Ltd., 3.231%, 11/13/2019     310,000   314,675
Intesa Sanpaolo SpA:  
      144A, 3.125%, 7/14/2022     1,880,000   1,884,981
      3.875%, 1/15/2019     700,000   713,690
Jefferies Group LLC, 6.5%, 1/20/2043     125,000   143,367
JPMorgan Chase & Co., 2.95%, 10/1/2026     1,955,000   1,920,503
KKR Group Finance Co. III LLC, 144A, 5.125%, 6/1/2044     335,000   366,147
Kookmin Bank, 144A, 2.875%, 3/25/2023     3,750,000   3,722,393
Kyobo Life Insurance Co., Ltd., 144A, 3.95%, 7/24/2047     1,335,000   1,355,759
Legg Mason, Inc., 5.625%, 1/15/2044     600,000   659,606
Lloyds Banking Group PLC, 2.907%, 11/7/2023 (c)     1,345,000   1,344,410
Loews Corp., 4.125%, 5/15/2043     500,000   503,332
Macquarie Bank Ltd., 144A, 6.125%, 3/28/2027     1,505,000   1,582,508
Macquarie Group Ltd., 144A, 6.0%, 1/14/2020     625,000   673,046
Manulife Financial Corp., 4.061%, 2/24/2032     1,400,000   1,416,489
Massachusetts Mutual Life Insurance Co., 144A, 4.5%, 4/15/2065     220,000   228,492
Morgan Stanley, 3.625%, 1/20/2027     1,410,000   1,435,744
Nationwide Building Society, 144A, 2.45%, 7/27/2021     370,000   369,671
Nationwide Financial Services, Inc., 144A, 5.3%, 11/18/2044     510,000   586,275
Northwestern Mutual Life Insurance Co., 144A, 3.85%, 9/30/2047     1,100,000   1,085,789
Prologis International Funding II SA, 144A, 4.875%, 2/15/2020     750,000   791,116
Regions Bank, 2.25%, 9/14/2018     485,000   486,461
Royal Bank of Scotland Group PLC, 3.498%, 5/15/2023     2,300,000   2,317,980
Santander Holdings U.S.A., Inc., 144A, 3.7%, 3/28/2022     1,915,000   1,959,400
Societe Generale SA:  
      144A, 2.625%, 9/16/2020     625,000   630,949
      144A, 7.375% , 12/29/2049     2,224,000   2,451,960
Suncorp-Metway Ltd.:  
      144A, 2.1%, 5/3/2019     505,000   502,197
      144A, 2.8%, 5/4/2022     1,040,000   1,044,227
Swiss Re Treasury U.S. Corp., 144A, 4.25%, 12/6/2042     450,000   462,448
Synchrony Bank, 3.0%, 6/15/2022     545,000   544,012
Synchrony Financial, 2.6%, 1/15/2019     300,000   301,674
The Goldman Sachs Group, Inc.:  
      3.75%, 2/25/2026     2,015,000   2,067,293
      4.017%, 10/31/2038     465,000   468,617
Unifin Financiera SAB de CV SOFOM ENR, 144A, 7.0%, 1/15/2025     885,000   925,931
Visa, Inc., 3.15%, 12/14/2025     355,000   362,835
Voya Financial, Inc., 4.8%, 6/15/2046     630,000   672,451
Wells Fargo & Co., 3.0%, 10/23/2026     1,925,000   1,886,283
Westpac Banking Corp., 5.0%, 9/21/2027     940,000   944,773
Woori Bank, 144A, 4.5%, 9/27/2021     750,000   747,169
  64,491,588
Health Care 2.1%
Celgene Corp.:  
      3.45%, 11/15/2027 (c)     1,105,000   1,103,321
      4.35%, 11/15/2047 (c)     440,000   438,825
HCA, Inc., 5.25%, 6/15/2026     900,000   957,375
Shire Acquisitions Investments Ireland DAC, 3.2%, 9/23/2026     1,355,000   1,320,984
Stryker Corp.:  
      3.375%, 11/1/2025     240,000   246,256
      4.625%, 3/15/2046     120,000   131,949
Teva Pharmaceutical Finance Netherlands III BV:  
      3.15%, 10/1/2026 (b)     1,790,000   1,583,341
      4.1%, 10/1/2046 (b)     1,850,000   1,479,075
Zoetis, Inc., 4.5%, 11/13/2025     305,000   339,782
  7,600,908
Industrials 2.6%
Acwa Power Management & Investments One Ltd., 144A, 5.95%, 12/15/2039     1,450,000   1,500,866
CSX Corp., 4.25%, 11/1/2066     620,000   609,323
FedEx Corp., 4.55%, 4/1/2046     490,000   521,802
Mexico City Airport Trust, 144A, 5.5%, 7/31/2047     1,715,000   1,698,707
Northrop Grumman Corp., 4.03%, 10/15/2047     690,000   710,975
Rockwell Collins, Inc., 4.35%, 4/15/2047     860,000   922,071
The Brink's Co., 144A, 4.625%, 10/15/2027     1,100,000   1,094,610
Transurban Finance Co. Pty Ltd., 144A, 3.375%, 3/22/2027     635,000   619,892
United Rentals North America, Inc.:  
      5.5%, 5/15/2027     1,610,000   1,722,700
      5.875%, 9/15/2026     275,000   299,750
  9,700,696
Information Technology 3.5%
Alibaba Group Holding Ltd.:  
      3.125%, 11/28/2021     114,000   116,224
      3.6%, 11/28/2024     334,000   345,688
Amazon.com, Inc., 144A, 4.25%, 8/22/2057     795,000   834,963
Apple, Inc., 3.45%, 2/9/2045     370,000   351,910
Broadcom Corp.:  
      144A, 3.0%, 1/15/2022     370,000   375,128
      144A, 3.5%, 1/15/2028     570,000   566,674
      144A, 3.625%, 1/15/2024     655,000   676,504
CA, Inc., 3.6%, 8/15/2022     440,000   451,206
Dell International LLC:  
      144A, 3.48%, 6/1/2019     795,000   809,259
      144A, 4.42%, 6/15/2021     650,000   683,479
      144A, 5.875%, 6/15/2021     1,655,000   1,733,245
      144A, 8.1%, 7/15/2036     275,000   348,747
DXC Technology Co., 4.75%, 4/15/2027     1,355,000   1,456,963
Expedia, Inc., 144A, 3.8%, 2/15/2028     665,000   646,970
Fidelity National Information Services, Inc., 3.625%, 10/15/2020     250,000   259,234
Hewlett Packard Enterprise Co., 3.6%, 10/15/2020     595,000   615,239
Pitney Bowes, Inc., 3.625%, 9/15/2020     310,000   310,296
Seagate HDD Cayman, 144A, 4.25%, 3/1/2022     440,000   447,193
Tencent Holdings Ltd., 144A, 3.8%, 2/11/2025     750,000   786,767
The Priceline Group, Inc.:  
       2.75%, 3/15/2023     510,000   509,509
       3.55%, 3/15/2028     570,000   574,568
  12,899,766
Materials 3.1%
Anglo American Capital PLC, 144A, 4.75%, 4/10/2027     1,580,000   1,670,213
AngloGold Ashanti Holdings PLC, 5.125%, 8/1/2022 (b)     750,000   787,500
Celulosa Arauco y Constitucion SA, 144A, 5.5%, 11/2/2047 (c)     430,000   433,010
Cemex SAB de CV, 144A, 7.75%, 4/16/2026 (b)     500,000   566,300
Corp. Nacional del Cobre de Chile, 144A, 3.625%, 8/1/2027     420,000   422,474
Freeport-McMoRan, Inc.:  
      2.375%, 3/15/2018     450,000   450,000
      6.875%, 2/15/2023     520,000   568,812
Glencore Funding LLC, 144A, 4.625%, 4/29/2024     120,000   127,837
LYB International Finance II BV, 3.5%, 3/2/2027     1,625,000   1,623,939
Mexichem SAB de CV, 144A, 5.875%, 9/17/2044     700,000   723,800
Solvay Finance America LLC:  
      144A, 3.4%, 12/3/2020     255,000   262,218
      144A, 4.45%, 12/3/2025     340,000   365,069
St. Marys Cement, Inc., 144A, 5.75%, 1/28/2027     885,000   931,463
Vale Overseas Ltd., 6.25%, 8/10/2026     1,380,000   1,590,105
Yamana Gold, Inc., 4.95%, 7/15/2024     775,000   798,314
  11,321,054
Real Estate 3.4%
American Tower Corp., (REIT), 3.3%, 2/15/2021     230,000   235,987
CBL & Associates LP:  
      (REIT), 5.25%, 12/1/2023 (b)     530,000   532,584
      (REIT), 5.95%, 12/15/2026 (b)     620,000   618,353
Crown Castle International Corp., (REIT), 5.25%, 1/15/2023     640,000   708,347
Equinix, Inc., (REIT), 5.375%, 4/1/2023     900,000   929,250
Government Properties Income Trust:  
      (REIT), 3.75%, 8/15/2019     465,000   472,797
      (REIT), 4.0%, 7/15/2022     1,100,000   1,116,723
Hospitality Properties Trust:  
      (REIT), 3.95%, 1/15/2028     370,000   363,058
      (REIT), 5.0%, 8/15/2022     1,060,000   1,140,449
Host Hotels & Resorts LP, (REIT), 3.875%, 4/1/2024     680,000   697,799
MGM Growth Properties Operating Partnership LP, (REIT), 4.5%, 9/1/2026     840,000   843,150
Omega Healthcare Investors, Inc., (REIT), 4.95%, 4/1/2024     670,000   707,387
SBA Communications Corp., 144A, (REIT), 4.0%, 10/1/2022     1,350,000   1,370,250
Select Income REIT:  
      (REIT), 4.15%, 2/1/2022     590,000   601,281
      (REIT), 4.25%, 5/15/2024     395,000   400,151
VEREIT Operating Partnership LP:  
      (REIT), 3.95%, 8/15/2027     910,000   908,759
      (REIT), 4.125%, 6/1/2021     850,000   888,128
  12,534,453
Telecommunication Services 2.7%
AT&T, Inc.:  
      3.4%, 5/15/2025     985,000   972,555
      3.9%, 8/14/2027     1,375,000   1,369,500
      4.5%, 5/15/2035     840,000   818,773
      5.15%, 2/14/2050     815,000   803,410
Bharti Airtel International Netherlands BV, 144A, 5.125%, 3/11/2023     900,000   963,972
Crown Castle Towers LLC, 144A, 3.222%, 5/15/2042     240,000   243,778
Deutsche Telekom International Finance BV, 144A, 2.82%, 1/19/2022     570,000   573,638
Empresa Nacional de Telecomunicaciones SA, REG S, 4.75%, 8/1/2026     750,000   777,065
Sprint Spectrum Co., LLC, 144A, 3.36%, 3/20/2023     905,000   918,122
Telefonica Emisiones SAU, 5.213%, 3/8/2047     490,000   539,541
Verizon Communications, Inc.:  
      2.625%, 8/15/2026     1,465,000   1,381,847
      4.272%, 1/15/2036     610,000   598,344
  9,960,545
Utilities 2.2%
AmeriGas Partners LP, 5.5%, 5/20/2025     792,000   809,820
EDP Finance BV, 144A, 3.625%, 7/15/2024     930,000   941,848
Electricite de France SA, 144A, 4.75%, 10/13/2035     1,045,000   1,149,237
Enel Finance International NV:  
      144A, 3.5%, 4/6/2028     1,255,000   1,233,224
      144A, 4.75%, 5/25/2047     630,000   670,061
Exelon Corp., 5.1%, 6/15/2045     270,000   311,087
Israel Electric Corp., Ltd., Series 6, 144A, REG S, 5.0%, 11/12/2024     900,000   968,004
NRG Energy, Inc., 6.625%, 1/15/2027     815,000   867,975
Southern Co., 3.25%, 7/1/2026     590,000   586,718
Southern Power Co., Series F, 4.95%, 12/15/2046     440,000   472,070
  8,010,044
Total Corporate Bonds (Cost $196,891,227)   201,327,283
Mortgage-Backed Securities Pass-Throughs 16.8%
Federal Home Loan Mortgage Corp.:  
      3.5%, with various maturities from 6/1/2028 until 7/1/2045     7,566,600   7,844,017
      4.5%,  12/1/2040        1,006,654   1,079,183
      5.0%, 12/1/2040     257,857   282,000
      5.5%, with various maturities from 6/1/2035 until 6/1/2039     1,890,368   2,113,107
      6.0%, 11/1/2038     396,492   445,119
      7.5%, 2/1/2035     261,780   298,539
Federal National Mortgage Association:  
      3.0%, with various maturities from 12/1/2042 until 11/1/2047 (c)     10,878,156   10,886,113
      3.5%, with various maturities from 11/1/2042 until 12/1/2046     11,229,060   11,610,072
      4.0%, with various maturities from 9/1/2040 until 11/1/2045     5,253,403   5,563,033
      4.5%, 11/1/2043     710,204   762,705
      5.0%, with various maturities from 12/1/2039 until 11/1/2041     2,488,303   2,738,481
      5.5%, with various maturities from 2/1/2031 until 2/1/2042     3,193,771   3,553,252
      6.5%, with various maturities from 5/1/2023 until 4/1/2037     273,232   306,583
Government National Mortgage Association:  
      3.0%, with various maturities from 7/15/2042 until 8/15/2042     1,083,884   1,100,788
      3.5%, with various maturities from 9/20/2047 until 11/1/2047 (c)     5,594,394   5,806,782
      4.0%, with various maturities from 5/15/2047 until 11/1/2047 (c)     5,796,239   6,100,682
      4.5%, 7/15/2040     150,478   161,041
      5.5%, 6/15/2042     164,948   185,480
      6.5%, with various maturities from 12/15/2023 until 7/15/2039     716,778   818,337
Total Mortgage-Backed Securities Pass-Throughs (Cost $61,396,977)   61,655,314
Asset-Backed 5.7%
Automobile Receivables 1.8%
AmeriCredit Automobile Receivables Trust, "C", Series 2016-2, 2.87%, 11/8/2021     1,000,000   1,010,588
Avis Budget Rental Car Funding AESOP LLC, "C", Series 2015-1A, 144A, 3.96%, 7/20/2021     2,200,000   2,183,278
Ford Credit Auto Owner Trust, "A", Series 2014-2, 144A, 2.31%, 4/15/2026     1,500,000   1,509,579
Santander Drive Auto Receivables Trust, "B", Series 2016-2, 2.08%, 2/16/2021     400,000   400,706
Skopos Auto Receivables Trust, "A", Series 2015-1A, 144A, 3.1%, 12/15/2023     56,853   56,859
SunTrust Auto Receivables Trust, "C", Series 2015-1A, 144A, 2.5%, 4/15/2021     1,200,000   1,197,560
  6,358,570
Credit Card Receivables 1.2%
Master Credit Card Trust II, "A", Series 2017-1A, 144A, 2.26%, 7/21/2021     500,000   502,501
World Financial Network Credit Card Master Trust, "M", Series 2016-A, 2.33%, 4/15/2025     4,000,000   3,944,657
  4,447,158
Miscellaneous 2.7%
Domino's Pizza Master Issuer LLC, "A23", Series 2017-1A, 144A, 4.118%, 7/25/2047     5,665,800   5,822,743
Hilton Grand Vacations Trust, "B", Series 2014-AA, 144A, 2.07%, 11/25/2026     340,290   335,714
SBA Tower Trust, "C", Series 2014-1A, 144A, 2.898%, 10/15/2044     330,000   332,550
Taco Bell Funding LLC, "A2I", Series 2016-1A, 144A, 3.832%, 5/25/2046     2,925,450   2,979,717
Voya CLO Ltd., "C", Series 2015-1A, 144A, 3-month USD-LIBOR + 3.400%,  4.754% *, 4/18/2027     500,000   505,717
  9,976,441
Total Asset-Backed (Cost $20,618,477)   20,782,169
Commercial Mortgage-Backed Securities 3.3%
Banc of America Commercial Mortgage Trust, "AM", Series 2006-3, 5.917% *, 7/10/2044     137,633   96,913
CGBAM Commercial Mortgage Trust, "A", Series 2015-SMRT, 144A, 2.808%, 4/10/2028     1,000,000   1,012,487
Commercial Mortgage Trust, "A3", Series 2013-CR12, 3.765%, 10/10/2046     200,000   211,091
CSAIL Commercial Mortgage Trust, "A4", Series 2015-C4, 3.808%, 11/15/2048     1,000,000   1,054,769
FHLMC Multifamily Structured Pass-Through Certificates:  
      "X1", Series K043, Interest Only, 0.546% **, 12/25/2024     7,935,336   262,317
      "X1", Series K054, Interest Only, 1.179% **, 1/25/2026     5,495,112   444,820
GS Mortgage Securities Trust:  
      "A4", Series 2014-GC22, 3.587%, 6/10/2047     1,000,000   1,045,394
      "AAB", Series 2014-GC18, 3.648%, 1/10/2047     170,000   177,425
JPMBB Commercial Mortgage Securities Trust:  
      "A3", Series 2014-C19, 3.669%, 4/15/2047     150,000   154,886
      "A3", Series 2015-C31, 3.801%, 8/15/2048     1,680,000   1,763,607
JPMorgan Chase Commercial Mortgage Securities Corp., "A4", Series 2007-C1, 5.716%, 2/15/2051     94,671   94,561
Wells Fargo Commercial Mortgage Trust:  
      "A5", Series 2015-LC20, 3.184%, 4/15/2050     1,000,000   1,013,660
      "A4", Series 2015-C27, 3.19%, 2/15/2048     2,780,000   2,835,102
      "A4", Series 2015-SG1, 3.789%, 9/15/2048     1,500,000   1,580,208
      "B", Series 2016-C33, 4.506%, 3/15/2059     500,000   531,014
Total Commercial Mortgage-Backed Securities (Cost $12,243,208)   12,278,254
Collateralized Mortgage Obligations 7.2%
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, "10A3", Series 2005-10, 6.0%, 11/25/2035     248,662   152,955
Fannie Mae Connecticut Avenue Securities:  
      "1M1", Series 2016-C03, 1-month USD-LIBOR + 2.000%, 3.238% * , 10/25/2028     368,838   375,148
      "1M1", Series 2016-C02, 1-month USD-LIBOR + 2.150%, 3.388% * , 9/25/2028     656,104   663,309
Federal Home Loan Mortgage Corp.:  
      "IK", Series 4048, Interest Only, 3.0%, 5/15/2027     1,188,398   111,281
      "AI", Series 3763, Interest Only, 3.5%, 6/15/2025     401,842   21,291
      "PI", Series 3773, Interest Only, 3.5%, 6/15/2025     114,347   4,384
      "PI", Series 3940, Interest Only, 4.0%, 2/15/2041     2,088,601   310,040
      "UA", Series 4298, 4.0%, 2/15/2054     285,220   282,729
      "6", Series 233, Interest Only, 4.5%, 8/15/2035     314,644   65,603
      "C31", Series 303, Interest Only, 4.5%, 12/15/2042     7,439,566   1,506,455
      "C32", Series 303, Interest Only, 4.5%, 12/15/2042     2,602,587   555,983
      "MS", Series 3055, Interest Only, (1.0%) of 1-month USD-LIBOR + 6.600%, 5.361% *, 10/15/2035     2,768,344   446,418
      "SG", Series 3859, Interest Only, (1.0%) of 1-month USD-LIBOR + 6.700%, 5.461% * , 11/15/2039     2,211,789   152,089
Federal National Mortgage Association:  
      "AL", Series 2014-11, 2.5%, 11/25/2042     2,000,000   1,826,556
      "KM", Series 2012-146, 3.0%, 1/25/2043     1,775,000   1,589,384
      "ZL" , Series 2017-55, 3.0%, 10/25/2046     2,020,075   1,847,373
      "PZ", Series 2016-9, 3.5%, 3/25/2046     5,982,207   5,681,742
      "CE", Series 2015-60, 3.75%, 8/25/2045     2,082,000   2,131,956
      "4", Series 406, Interest Only, 4.0%, 9/25/2040     1,321,851   263,941
      "SD", Series 2003-129, Interest Only, (1.0%) of 1-month USD-LIBOR + 7.000%, 5.762% * , 1/25/2024     1,136,485   94,153
      "YI", Series 2008-36, Interest Only, (1.0%) of 1-month USD-LIBOR + 7.200%, 5.962% * , 7/25/2036     4,457,391   755,056
      "S", Series 2003-2, Interest Only, (1.0%) of 1-month USD-LIBOR + 7.750%, 6.512% * , 2/25/2033     1,170,587   224,241
      "SN", Series 2003-7, Interest Only, (1.0%) of 1-month USD-LIBOR + 7.750%, 6.512% * , 2/25/2033     1,721,451   329,783
Government National Mortgage Association:  
      "BL", Series 2013-19, 2.5%, 2/20/2043     1,120,820   1,035,987
      "LM", Series 2015-65, 3.0%, 5/20/2045     2,204,000   2,097,311
      "DI", Series 2014-102, Interest Only, 3.5%, 7/16/2029     10,445,092   968,891
      "HZ", Series 2012-56, 3.5%, 6/20/2040     1,050,446   1,055,784
      "PI", Series 2015-40, Interest Only, 4.0%, 4/20/2044     907,500   124,845
      "AI", Series 2011-94, Interest Only, 4.5%, 1/20/2039     526,347   9,104
      "DI", Series 2011-40, Interest Only, 4.5%, 12/20/2040     208,288   1,111
      "EI", Series 2011-162, Interest Only, 4.5%, 5/20/2040     595,716   25,324
      "IP", Series 2014-115, Interest Only, 4.5%, 2/20/2044     793,087   149,418
      "PI", Series 2014-108, Interest Only, 4.5%, 12/20/2039     1,090,404   192,941
      "IN", Series 2009-69, Interest Only, 5.5%, 8/20/2039     218,633   40,380
      "IV", Series 2009-69, Interest Only, 5.5%, 8/20/2039     705,455   120,608
      "IJ", Series 2009-75, Interest Only, 6.0%, 8/16/2039     178,994   31,356
      "PI", Series 2009-76, Interest Only, 6.0%, 3/16/2039     563,791   47,169
      "SB", Series 2014-81, (4.0%) of 1-month USD-LIBOR + 16.400%, 11.46% * , 6/20/2044     636,115   797,140
Wells Fargo Mortgage Backed Securities Trust, "1A2", Series 2003-L, 3.466% *, 11/25/2033     315,862   319,295
Total Collateralized Mortgage Obligations (Cost $26,605,972)   26,408,534
Government & Agency Obligations 8.3%
Other Government Related (d) 0.2%
Novatek OAO, 144A, 6.604%, 2/3/2021     900,000   990,234
Sovereign Bonds 2.3%
French Republic Government Bond OAT, 144A, REG S, 1.75%, 5/25/2066 EUR   1,478,094   1,647,265
Government of Canada, 2.75%, 12/1/2064 CAD   1,585,000   1,392,874
Government of Ukraine:  
      144A, 7.375%, 9/25/2032     935,000   921,790
      144A, 7.75%, 9/1/2022     1,000,000   1,068,706
Kingdom of Sweden, Series 1053, 3.5%, 3/30/2039 SEK   12,345,000   2,005,263
Saudi Government International Bond:  
      144A, 2.375%, 10/26/2021     760,000   747,110
      144A, 3.625%, 3/4/2028     665,000   660,013
  8,443,021
U.S. Government Sponsored Agency 0.6%
Federal Home Loan Mortgage Corp., 6.75%, 3/15/2031     1,500,000   2,164,673
U.S. Treasury Obligations 5.2%
U.S. Treasury Bonds:  
      Zero Coupon, 8/15/2042     1,325,000   647,620
      3.0%, 5/15/2047     975,000   999,489
U.S. Treasury Inflation-Indexed Bond, 0.875%, 2/15/2047     1,570,858   1,550,586
U.S. Treasury Notes:  
      1.875%, 8/31/2024 (b)     6,785,000   6,638,963
      2.125%, 9/30/2024     6,700,000   6,657,602
      2.25%, 8/15/2027     2,606,700   2,577,985
  19,072,245
Total Government & Agency Obligations (Cost $30,613,507)   30,670,173
Municipal Bonds and Notes 0.5%
Kentucky, Asset/Liability Commission, General Fund Revenue, 3.165%, 4/1/2018   648,098   651,409
Nashville & Davidson County, TN, Metropolitan Government, Convention Center Authority Revenue, Build America Bonds, Series A2, 7.431%, 7/1/2043   750,000   1,032,352
Total Municipal Bonds and Notes (Cost $1,398,097)   1,683,761
Short-Term U.S. Treasury Obligations 1.4%
U.S. Treasury Bills:  
      1.18% **, 8/16/2018 (e)     2,330,000   2,304,790
      1.381% **, 10/11/2018 (f)     3,000,000   2,959,723
Total Short-Term U.S. Treasury Obligations (Cost $5,262,626)   5,264,513
  Shares   Value ($)
Securities Lending Collateral 5.0%
Deutsche Government & Agency Securities Portfolio "Deutsche Government Cash Institutional Shares", 0.97% (g) (h) (Cost $18,331,700)     18,331,700   18,331,700
Cash Equivalents 5.8%
Deutsche Central Cash Management Government Fund, 1.08% (g)     21,483,126   21,483,126
Deutsche Variable NAV Money Fund "Capital Shares", 1.32% (g)     709   709
Total Cash Equivalents (Cost $21,483,835)   21,483,835
  % of
Net Assets
  Value ($)
Total Investment Portfolio (Cost $394,845,626) 108.7   399,885,536
Other Assets and Liabilities, Net (8.7)   (31,898,357)
Net Assets 100.0   367,987,179
                       

 

For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.
* Variable or floating rate security. These securities are shown at their current rate as of October 31, 2017. For securities based on a published reference rate and spread, the reference rate and spread are indicated within the description above. Certain variable rate securities are not based on a published reference rate and spread but adjust periodically based on current market conditions, prepayment of underlying positions and/or other variables.
** Annualized yield at time of purchase; not a coupon rate.
(a) Principal amount stated in U.S. dollars unless otherwise noted.
(b) All or a portion of these securities were on loan. In addition, "Other Assets and Liabilities, Net" may include pending sales that are also on loan. The value of securities loaned at October 31, 2017 amounted to $17,778,889, which is 4.8% of net assets.
(c) When-issued or delayed delivery security included.
(d) Government-backed debt issued by financial companies or government sponsored enterprises.
(e) At October 31, 2017, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
(f) At October 31, 2017, this security has been pledged, in whole or in part, to cover initial margin requirements for open centrally cleared swap contracts.
(g) Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(h) Represents collateral held in connection with securities lending.  Income earned by the Fund is net of borrower rebates.
144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
CLO: Collateralized Loan Obligation
Interest Only: Interest Only (IO) bonds represent the "interest only" portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages.
LIBOR: London Interbank Offered Rate
REG S: Securities sold under Regulation S may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REIT: Real Estate Investment Trust
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets.  Effective maturities of these investments may be shorter than stated maturities due to prepayments.  Some separate investments in the Federal Home Loan Mortgage Corp., Federal National Mortgage Association and Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.
A summary of the Fund’s transactions with affiliated Underlying Deutsche Funds during the period ended October 31, 2017 is as follows:

 

Affiliate Value ($) at
1/31/2017
Purchase Cost ($) Sales Cost ($) Realized Gain/ (Loss) ($)

Change in

Unrealized

Appreciation

(Depreciation)

($)

Income Distributions ($) Value ($) at 10/31/2017
Deutsche Central Cash Management Government Fund 5,510,191 152,288,531 136,315,596

 

 

 

 

27,262 21,483,126
Deutsche Variable NAV Money Fund            — 5,000,709 5,000,000

 

 

 

           3,230 709
Total 5,510,191 157,289,240    141,315,596

 

          30,492 21,483,835

 

At October 31, 2017, open futures contracts purchased were as follows:

 

Futures  Currency  Expiration
Date
  Contracts  Notional
Amount ($)
  Notional
Value ($)
  Unrealized
(Depreciation) ($)
10 Year Australian Bond   

AUD

   12/15/2017   62    6,160,377    6,114,294    (46,083)

 

At October 31, 2017, open futures contracts sold were as follows:
Futures  Currency  Expiration
Date
  Contracts  Notional
Amount ($)
  Notional
Value ($)
     Unrealized
Appreciation
(Depreciation) ($)
5 Year U.S. Treasury Note   

USD

   12/29/2017   47    5,553,984    5,507,813       46,171
Euro-BUXL 30 Year German Government Bond   

EUR

   12/7/2017   11    2,144,937    2,128,553       16,384
Euro-OAT French Government Bond   

EUR

   12/7/2017   37    6,744,040    6,786,437       (42,397)
U.S. Treasury Long Bond   

USD

   12/19/2017   22    3,413,267    3,354,312       58,955
Ultra 10 Year U.S. Treasury Note   

USD

   12/19/2017   126    17,117,320    16,874,156       243,164
Ultra Long U.S. Treasury Bond   

USD

   12/19/2017   13    2,150,503    2,142,156       8,347
Total net unrealized appreciation                       330,624  

 

At October 31, 2017, open interest rate swap contracts were as follows:

 

Centrally Cleared Swaps  
Cash Flows
Paid by
the Fund/ Frequency
Cash Flows
Received by
the Fund/ Frequency
Effective/
Expiration
Date
Notional
Amount ($)
Currency Value ($) Upfront Payments
Paid ($)
Unrealized
(Depreciation) ($)

Fixed — 0.228%
Annually

Floating — 3-Month STIBOR
Quarterly

7/18/2017
7/18/2021

66,500,000

SEK

(42,411)

(42,411)

                 

 

STIBOR: Stockholm Interbank Offered Rate; 3-Month STIBOR rate at October 31, 2017 is -0.536%.
As of October 31, 2017, the Fund had the following open forward foreign currency contracts:

 

Contracts to Deliver  In Exchange For  Settlement
Date
  Unrealized
Appreciation ($)
  Counterparty
NZD   5,403,581   USD   3,995,975   11/8/2017   298,915   Australia & New Zealand Banking Group Ltd.
CAD   1,841,000   USD   1,460,230   11/30/2017   32,855   Citigroup, Inc.
EUR   3,332,456   USD   4,008,281   12/1/2017   119,784   Toronto-Dominion Bank
EUR   3,499,000   USD   4,131,952   1/4/2018   40,321   Citigroup, Inc.
SEK   16,719,000   USD   2,071,208   1/18/2018   63,867   Danske Bank AS
EUR   1,389,000   USD   1,646,480   1/24/2018   20,260   HSBC Holdings PLC
CAD   5,001,009   NZD   5,700,000   1/30/2018   14,259   Canadian Imperial Bank of Commerce
Total unrealized appreciation               590,261    
Contracts to Deliver   In Exchange For   Settlement
Date
   Unrealized
Depreciation ($)
   Counterparty
USD   3,901,440   NZD   5,403,581   11/8/2017   (204,379)  Australia & New Zealand Banking Group Ltd.
USD   3,957,958   EUR   3,332,456   12/1/2017   (69,461)  JPMorgan Chase Securities, Inc.
USD   4,126,097   EUR   3,499,000   1/4/2018   (34,466)  Citigroup, Inc.
Total unrealized depreciation               (308,306)   

 

Currency Abbreviation
AUD Australian Dollar    
CAD Canadian Dollar    
EUR Euro    
NZD New Zealand Dollar    
SEK Swedish Krona    
USD United States Dollar    

 

Fair Value Measurements

 

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.

 

The following is a summary of the inputs used as of October 31, 2017 in valuing the Fund's investments.

 

Assets   Level 1   Level 2   Level 3   Total
Fixed Income Investments (i)                
  Corporate Bonds $ $ 201,327,283 $ $ 201,327,283
  Mortgage-Backed Securities Pass-Throughs     61,655,314     61,655,314
  Asset-Backed     20,782,169     20,782,169
  Commercial Mortgage-Backed Securities     12,278,254     12,278,254
  Collateralized Mortgage Obligations     26,408,534     26,408,534
  Government & Agency Obligations     30,670,173     30,670,173
  Municipal Bonds and Notes     1,683,761     1,683,761
  Short-Term U.S. Treasury Obligations     5,264,513     5,264,513
Short-Term Investments (i)   39,815,535       39,815,535
Derivatives (j)                
  Futures Contracts   373,021       373,021
  Forward Foreign Currency Exchange Contracts     590,261     590,261
Total $ 40,188,556 $ 360,660,262 $ $ 400,848,818
Liabilities   Level 1   Level 2   Level 3   Total
Derivatives (j)                
  Futures Contracts $ (88,480) $ $ $ (88,480)
  Interest Rate Swap Contracts     (42,411)     (42,411)
  Forward Foreign Currency Exchange Contracts     (308,306)     (308,306)
Total $ (88,480) $ (350,717) $ $ (439,197)

 

There have been no transfers between fair value measurement levels during the period ended October 31, 2017.
(i) See Investment Portfolio for additional detailed categorizations.
(j) Derivatives include unrealized appreciation (depreciation) on open futures contracts, interest rate swap contracts and forward foreign currency exchange contracts.

 

 

Derivatives

 

The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Fund's derivative instruments as of October 31, 2017 categorized by the primary underlying risk exposure. 

 

 

Primary Underlying Risk Disclosure

Futures Swaps Forward Currency Contracts
Foreign Exchange Contracts   $       —   $       —   $   281,955
Interest Rate Contracts   $   284,541   $   (42,411)   $        —

  

 

ITEM 2. CONTROLS AND PROCEDURES
   
  (a) The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
   
  (b) There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
   
ITEM 3. EXHIBITS
   
  Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

 

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant: Deutsche Total Return Bond Fund (formerly Deutsche Core Plus Income Fund), a series of Deutsche Portfolio Trust
   
By:

/s/Hepsen Uzcan

Hepsen Uzcan

President

   
Date: December 19, 2017

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

By:

/s/Hepsen Uzcan

Hepsen Uzcan

President

   
Date: December 19, 2017
   
   
   
By:

/s/Paul Schubert

Paul Schubert

Chief Financial Officer and Treasurer

   
Date: December 19, 2017


Dates Referenced Herein

This ‘N-Q’ Filing    Date    Other Filings
Filed on / Effective on:12/26/17None on these Dates
12/19/17
For Period End:10/31/17
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Filing Submission 0000088053-17-001856   –   Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

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