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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) |
Document/Exhibit Description Pages Size 1: N-Q Deutsche Total Return Bond Fund HTML 154K 2: EX-99.CERT Certifications HTML 15K
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)
345 Park Avenue
(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% |
Floating —
3-Month STIBOR |
7/18/2017 |
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 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 President |
| Date: | December 19, 2017 |
| By: |
Chief Financial Officer and Treasurer |
| Date: | December 19, 2017 |
| This ‘N-Q’ Filing | Date | Other Filings | ||
|---|---|---|---|---|
 | ||||
| Filed on / Effective on: | 12/26/17 | None on these Dates | ||
| 12/19/17 | ||||
| For Period End: | 10/31/17 | |||
| List all Filings | ||||