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Advisors Inner Circle Fund · N-30D · For 5/30/96

Filed On 6/27/96   ·   Accession Number 935069-96-83   ·   SEC File 811-06400

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

 6/27/96  Advisors Inner Circle Fund        N-30D       5/30/96    1:183K                                   Bowne - BGM/FA

Annual or Semi-Annual Report Mailed to Shareholders   —   Rule 30d-1
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-30D       Morgan Grenfell Semi-Annual Report                   110±   465K 


Document Table of Contents

Page (sequential) | (alphabetic) Top
 
11st Page   -   Filing Submission
4Management's Discussion and Analysis of Fund Performance
11Schedule of Investments
48Financial Highlights
50Notes to Financial Statements
58Statement of Assets and Liabilities
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-------------------------------------------------------------------------------- MORGAN GRENFELL -------------------------------------------------------------------------------- INVESTMENT TRUST -------------------------------------------------------------------------------- SEMI-ANNUAL REPORT -------------------------------------------------------------------------------- UNAUDITED APRIL 30, 1996
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-------------------------------------------------------------------------------- Dear Fellow Shareholder: On behalf of the Board of Trustees of the Morgan Grenfell Investment Trust, I would like to express our appreciation for your continued support of our mutual funds. It remains our goal to provide a broad range of funds, each with specialist management teams delivering strong investment results. The performance for each of our funds for the six month period ended April 30, 1996 is described in the pages that follow. This period was very challenging for fixed income investments as interest rates rose in the U.S. and abroad during this time. Our domestic and international funds performed well in this difficult environment, generally adding value relative to their benchmark indices. Investment opportunities were attractive in the U.S. and international equity markets, particularly the smaller capitalization sectors. Both the emerging debt and equity markets were also rewarding during this period. Total aggregate assets in our funds grew to over $1.3 billion. We continue to search for ways to further enhance our shareholders' value by offering new funds to provide greater flexibility and diversification. Again, thank you for your support and trust. Sincerely, /s/ JAMES E. MINNICK James E. Minnick President, Morgan Grenfell Investment Trust
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TABLE OF CONTENTS ================================================================================ MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE................................ 5 SCHEDULE OF INVESTMENTS....................... 12 STATEMENT OF ASSETS AND LIABILITIES........... 44 STATEMENT OF OPERATIONS....................... 46 STATEMENT OF CHANGES IN NET ASSETS............ 48 FINANCIAL HIGHLIGHTS.......................... 51 NOTES TO FINANCIAL STATEMENTS................. 53
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) MUNICIPAL BOND FUND Since the Fund's inception in December 1991, we have sought to provide shareholders with a high level of federally tax exempt income consistent with the preservation of capital, without investing exclusively in long term bonds in order to obtain that high level of income. We have focused on purchasing issues with intermediate maturities and early retirement features, such as sinking funds and prepayment bond calls. Over the last six months, bond prices have declined due to rising interest rates. Nevertheless, the Fund was able to generate a positive total investment return, as the income received exceeded the decline in principal value. For the six month period ended April 30, 1996, the Morgan Grenfell Municipal Bond Fund provided a total return of 2.42%. For comparison, the Lehman Brothers seven year General Obligations Bond Index posted a return of 1.14% over the same period. We believe that bonds with sinking fund retirements and mortgage prepayment calls continue to offer attractive opportunities. FIXED INCOME FUND Since the Fund's inception in September 1992, we have sought to provide shareholders with a high level of income consistent with the preservation of capital. U.S. Treasury, corporate, mortgage backed, taxable municipal and tax exempt municipal bonds are all analyzed for possible inclusion in the portfolio. Relative value assessments are based on relative credit worthiness and cash flow structure to price. Industry and sector weightings are subordinated to the evaluation of individual bonds. For the six month period ended April 30, 1996, the Morgan Grenfell Fixed Income Fund provided a total return of 0.78%. For comparison, the Lehman Brothers Aggregate Bond Index posted a return of 0.52% over the same period. During the period, interest rates rose as the U.S. economy slowed. Yields of five-year U.S. Treasury Notes rose from 5.8% to 6.4% causing bond prices to fall. The credit quality of the portfolio was strong with 62% of the portfolio rated AAA and 72% AA or better. We continue to exercise caution in the corporate and mortgage-backed sectors, having been concerned about a lack of supply causing the yield spreads over the U.S. Treasury bonds to be too narrow. SHORT-TERM MUNICIPAL BOND FUND The Morgan Grenfell Short-Term Municipal Bond Fund was opened on March 6, 1995. Since that time, we have acquired a diversified portfolio of short-term municipal securities with a very short duration. Over the last six months, the Fund generated a total return of 2.47%. For comparison, the IBC/Donoghue Total Tax-Free Average posted a return of 1.54% over the same period. This return was achieved by investing in bonds providing a high level of tax-free income, with limited price volatility due to their short durations. 5
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) SHORT-TERM FIXED INCOME FUND The Morgan Grenfell Short-Term Fixed Income Fund was opened on March 13, 1995. In the brief period the Fund has been publicly offering its shares, we have been purchasing short-term investment grade securities. Over the last six months, the Fund generated a total return of 2.56%. For comparison, the Merrill Lynch 182 Day Treasury Index posted a return of 2.68% over the same period. This return was achieved by investing in short-term bonds providing a high level of income, with limited price volatility due to their short durations. SMALLER COMPANIES FUND The Smaller Companies Fund had net assets of $3.8 million as of April 30, 1996. The investment objective of this Fund is to maximize capital appreciation by investing in equity securities of small capitalization companies located primarily in the United States. Small companies are defined as those companies ranked according to market capitalization in the bottom 20% of the Wilshire 5000 Index. For the six months ending April 30, 1996 the Fund was up 24.01% versus the S&P Small Cap 600 Index which gained 18.11%. The Fund achieved gains virtually across all economic sectors. The Smaller Companies Fund utilizes a team approach with three portfolio managers/ analysts researching the universe for the best investment ideas. This process allows for expertise across all economic sectors thus optimizing the research function and enabling a system of control. Along with research and portfolio management, the team includes a specialized small company trading capability to maximize our execution strategy. Since the beginning of February, small-cap stocks have provided stock market leadership relative to large-cap stocks, i.e. the S&P Small Cap 600 Index gained almost 10% by April 30th vs. a modest decline by the S&P 500. This shift in leadership is expected to continue as investors focus on the superior growth prospects of many U.S. smaller companies. The structure of the U.S. economy, with its high level of entrepreneurial activity and venture capital backing, is expected to continue to provide investors with many attractive investment opportunities as early stage private companies transition to public ownership. INTERNATIONAL EQUITY FUND The International Equity Fund commenced operations on May 15, 1995 and had total net assets of $3.4 million as of April 30, 1996. The Fund's investment objective is to maximize capital appreciation by investing in equity securities of companies located in countries other than the United States. In general, the Fund invests in medium to large capitalization companies, many of them household names. In the period October 31, 1995 to April 30, 1996, the six months covered by this report, the Fund has returned 13.84%. During this period, most major world stock markets have performed strongly and the Fund's benchmark (Morgan Stanley EAFE Index) has returned 13.09%. The most notable exception to this has been the United Kingdom which returned 5.98%. Concerns have grown that with economic activity picking up, the risks for 6
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================================================================================ increasing interest rates and inflation are growing. Additionally, investors are starting to discount the negative market impact that a change in political party is likely to have if Labor Party wins the next general election. In Continental Europe, the emphasis on the peripheral markets, especially Scandinavia, has been moderated. Investment has been increased in France and Germany, primarily in consumer related industries and in Holland where the preference is for quality "Blue Chip" names. Economies in the DM Bloc have been particularly weak, exacerbated by their desire to meet the Maastricht criteria for European Union. The weak economic data in Germany has allowed the Bundesbank to cut rates to extremely low levels, and this could result in a stronger economy later in the year. The investment markets of the Pacific-basin ex Japan have been volatile during the period under review. This has largely been as a result of the heightened tension between China and Taiwan and concerns over investment in the region. However, markets have performed strongly reflecting the attractive earnings growth for the region (15%) and historically attractive PE multiples. We remain overweight in these markets despite short term concerns related to the forthcoming Most Favoured Nation status renegotiation between the U.S. and China. In Japan the market has performed strongly after the weakness of the previous six months. Action has been taken to stimulate the economy, evidenced by the strong liquidity injections into the financial system (interest rates are effectively zero). This has led to increasing signs that the Japanese economy appears to be recovering decisively from its deepest post-war slump. Encouraging consumer spending data and a firm upward trend in industrial production are feeding through to a strong recovery in corporate earnings. International equity markets, while more volatile, have continued to perform well. However, bond markets have generally produced negative returns in early 1996 as they have become concerned that world economic activity is accelerating and that inflation risks and short term interest rates will be rising in 1997. We believe that economic growth will remain modest in 1996 and there is still plenty of spare industrial capacity around the world. It is probably premature to become too concerned about rising inflation which should remain low at least in the early stages of economic recovery. Within the major equity markets we believe that the most attractive investment opportunities are in the Far East, particularly Japan, which should benefit now that the economy is finally set to recover. INTERNATIONAL SMALL CAP EQUITY FUND The International Small Cap Equity Fund commenced operations on January 3, 1994 and had total assets of $128.1 million as of April 30, 1996. The investment objective of this Fund is to maximize capital appreciation by investing primarily in equity securities of small capitalization companies located in countries other than the United States. Small capitalization companies are defined as those issuers ranked according to market capitalization in the bottom 20% of the issuers listed on a stock exchange, and companies listed on a secondary market or over-the-counter market. 7
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) International small cap equities in general continued to underperform in the first two months of the period under review. This extended to 20 months the period of small cap underperformance. This performance reflected poor investment sentiment rather than investment fundamentals. However, in the four month period ended April 1996, performance and sentiment improved and the asset class outperformed larger cap stocks. Relative performance was boosted by reductions in interest rates which have increased expectations for growth, especially in Continental Europe. Small capitalization stocks, which are highly geared to changes in expectations of economic growth rates, have performed accordingly. The Japanese economy is expected to recover and this has helped sentiment in that country. Investors have started to reassess the prospects for the asset class though we expect this process to go further in the rest of the year. The Fund underperformed its benchmark (Natwest Markets Euro/Pacific Small Cap Index) 15.09% to 18.57% for the six month period ended April 30, 1996. Stock selection and cash/liquidity management were negative while currency management was positive and country allocation neutral. Stock selection was strong in Continental Europe and the UK but weak in Japan. Our currency hedging strategy out of yen and into U.S. dollars also contributed significantly as the yen weakened in the period. We maintained a hedge on 30% of the Fund's Yen assets until February when the hedge was halved to 15% where it remained until the end of April. In May, the hedge was removed since we took the view that the risks of further yen weakness against the U.S. dollar had diminished. EUROPEAN SMALL CAP EQUITY FUND The European Small Cap Equity Fund commenced operations on November 1, 1994 and had total net assets of $11.2 million as of April 30, 1996. The objective of the Fund is to maximize capital appreciation by investing primarily in equity securities of small capitalization companies located in Europe. Small capitalization companies are defined as those issuers, ranked according to market capitalization in the bottom 20% of the companies listed on a European stock exchange, and any stock listed on a secondary market or over-the-counter market. The Fund outperformed its benchmark (the Natwest Markets European Small Cap Index) 13.57% to 11.84% for the six-month period ended April 30, 1996. Both the UK and continental Europe contributed to outperformance, with a dull two month period at the end of 1995 being outweighed by a very strong first four months of 1996. Performance has been driven by growth stocks as investors sought companies with secular growth opportunities. In the first half of the year there has been some strong outperformance from small caps relative to their large cap counterparts as investors recognize their attractiveness relative growth rates and valuations. Relative performance has also been boosted by reductions in interest rates which have increased expectations for growth, especially in Continental Europe. Small capitalization stocks, which are highly geared to changes in expectations of economic growth rates, have performed accordingly. Given the positive economic background, we believe that the risk of investing in the small 8
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================================================================================ cap sector remains low. European small cap valuations are still very attractive, particularly in Continental Europe where they trade at a discount to large cap stocks with expected relative growth rates at a 14% premium to large cap stocks. The markets remain inefficient, especially in Continental Europe, with plenty of opportunities to purchase high growth companies on low price/earnings. It remains our strategy to invest in growth companies where the growth rate, in our view, is not fully reflected in the share price. EMERGING MARKETS EQUITY FUND The inception date for the Emerging Markets Equity Fund was February 2, 1994. On April 30, 1996, the Fund has net assets of $100.6 million. The investment objective of the Fund is to maximize capital appreciation by investing primarily in equity securities of issuers located in countries which have yet to reach the level of maturity associated with developed markets. During the six month period ended April 30, 1996, the Fund's performance was 12.02% versus the benchmark performance of 16.50% (the Fund's benchmark is the Barings Emerging Markets Index). The period was marked by a sharp turnaround in sentiment to the developing markets, which generally performed poorly in 1995 following the devaluation of the Mexican Peso. Low valuations in many emerging markets led to a reappraisal in late 1995; early 1996 and has seen a steady flow of funds into many markets, particularly the poorest performers from 1995 including Latin America and the Indian sub-continent. The South African market has pulled back from its highest levels on the appointment of a new finance minister and remains virtually unchanged in U.S. dollar denominated index terms over the period. 1995 was a year of challenge for Latin America in particular; by taking the economically correct course of deflation (rather than allowing inflation to take hold) in the face of capital flight, despite the short term political cost, it appears that the longer term outcome will be increased confidence in investment in the region. The case for diversification of pension fund assets into emerging markets remains based around the superior growth rates from those countries. GLOBAL FIXED INCOME FUND The Global Fixed Income Fund commenced operations on January 3, 1994 and had total net assets of $156.6 million as of April 30, 1996. The investment objective of this Fund is to maximize total return, emphasizing current income while providing opportunities for capital growth consistent with reasonable risks. The Fund invests primarily in high grade debt obligations of the U.S. and foreign governments and their agencies, obligations of international and supranational entities, and high grade fixed income obligations of U.S. and foreign corporate issuers. The Fund uses currency hedging techniques as a means of protecting the U.S. dollar value of foreign assets. The total return for the six month period ended April 30, 1996 is 0.73% compared with (0.12%) for the Fund's benchmark (the Salomon World Government Bond Index, Unhedged, U.S.). 9
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) In February, the year-long rally in global bond markets ended as evidence of stronger than expected growth in the U.S. led to a revision of expectations about the monetary policy of the Federal Reserve. Having previously expected further easing of monetary policy, bond market investors now expect an increase in Fed Funds before the end of the year, and U.S. bond yields have risen accordingly. Although all global bond markets have experienced rising yields in the wake of the U.S. move, European bond markets have outperformed as economic growth and inflation have remained subdued throughout Europe. Improving prospects for European Monetary Union ("EMU") beginning on time in 1999 have caused the value of European markets to rise relative to Germany. The likelihood that slow growth and progress towards EMU will continue means that the Fund is significantly overweight in European markets relative to the U.S., particularly in the high yielding markets of Italy and Sweden. We have maintained an underweight position in the Japanese bond markets, as evidence of stronger growth makes the market vulnerable to a sell-off from current low yields. Developments in the currency markets at the beginning of 1996 have been less dramatic than those which occurred in 1995. We have maintained an overweight U.S. dollar position against the Japanese Yen and the Deutschemark, as we expect continued gradual appreciation against these currencies. INTERNATIONAL FIXED INCOME FUND The International Fixed Income Fund commenced operations on March 15, 1994 and had total net assets of $31.0 million as of April 30, 1996. The Fund's objective is identical to that of the Global Fixed Income Fund except the International Fixed Income Fund does not invest in U.S. dollar denominated bonds. The Fund uses currency hedging techniques as a means of protecting the U.S. dollar value of foreign assets. The Fund returned 0.87% for the six months ended April 30, 1996, compared to (0.16%) for the Fund's benchmark (the Salomon World Government Bond Index, Non-U.S. Unhedged). In Europe, we believe the continuation of slow economic growth and subdued inflation will lead to further interest rate reductions and outperformance by the high yielding European markets. The Fund is, therefore, overweight in the Italian, Swedish and Danish markets. Spread tightening relative to Germany will also be helped by continued positive sentiment with regard to progress towards EMU. The Fund's underweight position in Japan reflects our belief that Japanese bond yields will rise as stronger economic growth makes domestic equities a more attractive investment alternative for Japanese investors. 10
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================================================================================ EMERGING MARKETS DEBT FUND The Emerging Markets Debt Fund commenced operations on August 4, 1994 and had total net assets of $66.3 million as of April 30, 1996. The investment objective of this Fund is to maximize total return. The Fund invests primarily in fixed income securities of issuers located in countries with emerging securities markets. The total return for the six month period ended April 30, 1996 was 20.08% against 21.33% for the Fund's benchmark (the JP Morgan Emerging Markets Bond Index Plus). Emerging markets withstood the falling Treasury market to register strong returns as the process of structural reform continued throughout Latin America and the region began to recover from recession. The Fund's largest positions are in Argentina and Brazil. The top performing market in the first quarter was Poland, which benefited from upgrades in its credit rating by both S&P and Moody's to become an investment grade credit. Over the next six months, improving credit fundamentals could cause Brady Bond prices to continue to rise from the present, relatively low levels. Some of the most attractive investment opportunities are felt to be in the smaller, more illiquid, markets such as Panama, where the exchange of non-performing loans into Brady Bonds should be completed in June, and Russia, where an election victory for President Yeltsin would signal progress towards more economic reform. The Fund is overweight in both these markets. 11
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) MUNICIPAL BOND FUND ----------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) ----------------------------------------------------------------- MUNICIPAL BONDS -- 98.9% ALABAMA -- 3.7% Mobile, Certificate of Participation, Affordable Housing 6.000%, 02/01/98 $ 275 $ 274 6.200%, 02/01/99 350 349 6.300%, 02/01/00 400 397 6.750%, 02/01/04 4,950 4,900 State Housing Finance Authority, Multi-Family Housing, Club Apartments, Series 1, RB 5.650%, 06/01/08 2,500 2,488 ------ 8,408 ------ ARKANSAS -- 3.8% Drew County, Public Facilities Board, Single Family Mortgage, Series A-2, RB, FNMA 7.900%, 08/01/11 453 481 Fayetteville, Public Facilities Board, Single Family Mortgage, RB 7.250%, 04/01/11 1,440 1,578 Little Rock, Capital Improvement, Series 1995A, RB 5.950%, 02/01/12 680 685 Lonoke County, Residential Housing, Single Family Mortgage, Series 1993 B, RB 7.375%, 04/01/11 356 363 Mississippi County, Public Facilities Board, Mortgage, Series 1, RB 7.200%, 07/15/10 1,000 1,095 North Little Rock, Residential Housing Facilities, Series 1991-1, RB 0.000%, 12/01/10 (A) 7,765 3,019 Saline County, Residential Housing Facilities, Single Family Mortgage, RB 7.875%, 03/01/11 955 1,009 Stuttgart, Public Facilities Board, Single Family Mortgage, Series B, RB 7.750%, 09/01/11 318 329 ------ 8,559 ------ CALIFORNIA -- 4.9% Los Angeles, Community Redevelopment Agency, Angelus Plaza Project, Series A, RB, FNMA 7.400%, 06/15/10 1,000 1,079 ----------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) ----------------------------------------------------------------- Los Angeles, Community Redevelopment Agency, Monterey Hills Project B, RB 8.650%, 12/01/22 $ 330 $ 363 Los Angeles, Multi-Family Housing, Earthquake Rehabilitation Projects, Series B, RB, FNMA AMT 5.850%, 12/01/07 (B) 4,250 4,260 Napa, Housing Facility, Napa Park Apartments, Series A, RB, GNMA 7.500%, 06/20/00 542 550 Pleasant Hill, Multi-Family Housing, Ellinwood Apartments Project, Series A, RB, FNMA 5.300%, 10/01/05 (B) 3,165 3,161 Sacramento County, Multi-Family Housing, Fairway II Apartments, RB, FNMA 5.350%, 08/01/05 (B) 1,000 999 Santa Clara County, Housing Authority, RB, GNMA 7.500%, 06/20/00 660 660 ------- 11,072 ------- COLORADO -- 1.7% Commerce City, Single Family Mortgage, Series A, RB, 6.875%, 03/01/12 665 688 Logan County, Single Family Mortgage, Series A, RB, 8.500%, 11/01/11 365 373 Vail, Single Family Mortgage, Series 1992 A, RB 8.125%, 06/01/10 535 556 Westminster, Multi-Family Housing, Semper Village Apartments, RB, AXA 5.950%, 09/01/06 (B) 2,225 2,267 ------- 3,884 ------- DELAWARE -- 2.6% New Castle County, Single Family Mortgage, RB 10.250%, 11/01/05 360 382 Seaford, Economic Development Authority, Seaford Association Project, RB 6.375%, 01/01/04 2,800 2,733 State Economic Development Authority, Wilmington Friends School Project, RB 6.300%, 07/01/99 50 50 12
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================================================================================ --------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) --------------------------------------------------------------- 6.300%, 07/01/00 $ 50 $ 50 6.300%, 07/01/01 55 55 6.300%, 07/01/02 60 60 6.300%, 07/01/03 60 60 6.300%, 07/01/04 65 65 6.300%, 07/01/05 70 70 6.300%, 07/01/06 75 74 6.300%, 07/01/07 80 79 6.300%, 07/01/08 85 84 6.300%, 07/01/09 90 89 6.300%, 07/01/10 95 94 6.300%, 07/01/11 100 99 6.300%, 07/01/12 110 109 6.300%, 07/01/13 115 114 State Housing Authority, Single Family Mortgage 8.750%, 06/01/17 830 848 Sussex County, Economic Development, Gateway Partnership VI Project A, RB (LOC) 7.850%, 05/01/97 (B) 495 495 ------ 5,610 ------ FLORIDA -- 4.0% Dade County, Certificate of Participation, Government Leasing Corporation, Series B 8.500%, 04/01/07 45 44 Dade County, Certificate of Participation, Government Leasing Corporation, Series C 9.000%, 04/01/20 300 288 Dunedin, Health Facility Authority, Mease Hospital Incorporated, RB, ETM 7.600%, 10/01/08 300 336 Fernando Apartments, Elderly Housing, Section 8 Assistance, RB 9.750%, 10/01/11 778 815 Miami Beach, Housing Authority, Elderly Housing, Section 8 1995, RB 6.625%, 01/15/09 1,200 1,220 Miramar, Water Improvement Assessment, RB, FGIC 5.125%, 10/01/20 6,385 6,273 State Housing Finance Authority, Home Ownership Mortgage, Series 1987 G2, RB, GNMA, AMT 8.595%, 11/01/18 40 40 ------ 9,016 ------ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- GEORGIA -- 3.8% Atlanta, Housing Development Corporation, Bedford Tower Section 8-A, RB, HUD, FHA 6.350%, 01/01/23 $ 795 $ 804 Augusta, Housing Rehabilitation Agency, Bon Air Project, Series C, RB 7.000%, 09/01/05 1,000 1,067 Dekalb County, Housing Authority, Macon Apartments, RB 6.400%, 05/01/05 785 797 Fulton County, Housing Authority, Single Family Mortgage, RB, GNMA, AMT 6.200%, 03/01/13 2,180 2,177 Marietta, Housing Authority, Multi-Family, Ridge Pointe Apartments, Series A, RB, FNMA 5.700%, 06/01/05 (B) 1,475 1,499 Marietta, Housing Authority, Multi-Family, Series A, RB, New England Mutual Life Guaranty 6.000%, 06/01/01 (B) 1,000 1,023 Saint Mary's, Housing Authority, Multi-Family, Cumberland Oaks Apartments, Series A, RB FNMA 7.250%, 09/01/05 670 705 Saint Mary's, Housing Authority, Multi-Family, Pines Apartments, Series C, RB, FNMA 7.250%, 10/01/05 295 309 State Residential Finance Housing, Series A, RB, AMT 6.750%, 06/01/16 175 178 ------ 8,559 ------ HAWAII -- 0.2% Honolulu, Housing Authority, Multi-Family, Waipahu Towers Project, Series A, RB, GNMA, AMT 6.900%, 06/20/05 395 408 ------ IDAHO -- 0.4% State Housing Agency, Single Family Mortgage, Series F, RB, AMT 5.800%, 07/01/07 1,000 1,003 ------ 13
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) MUNICIPAL BOND FUND -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- ILLINOIS -- 11.3% Alton, Hospital Facilities, Alton Memorial Hospital Project, RB, ETM 7.000%, 07/01/05 $ 385 $ 414 Bolingbrook, Hospital Authority, Hinsdale & Sanitarium Hospital Project, RB, ETM 7.250%, 08/01/08 1,070 1,180 Bolingbrook, Mortgage, Capital Appreciation Series 1, RB 0.000%, 01/01/11(A) 11,340 4,054 Des Plains, Hospital Facilities, Holy Family Hospital Project, RB, ETM, FGIC 7.000%, 01/01/07 105 110 7.000%, 01/01/07 220 239 Des Plains, Hospital Facilities, Holy Family Hospital Project, RB, ETM, MBIA 7.000%, 01/01/07 110 116 Development Finance Authority, Catholic Health, Series A, RB, Connie Lee Insured 5.150%, 02/15/06 1,010 985 Development Finance Authority, Debt Restructure, East Saint Louis, RB, Moral Obligation 6.050%, 11/15/99 325 333 Development Finance Authority, Debt Restructure, East Saint Louis, RB, Moral Obligation 6.875%, 11/15/05 875 917 Development Finance Authority, Fund For Child Care Facilities Project, Series A, RB 7.400%, 09/01/04 2,800 3,027 Development Finance Authority, Industrial Development, Orleans Place Project, Series A, RB, Asset Guaranty, AMT 5.000%, 11/01/00 1,300 1,282 Health Facilities Authority, Lutheran Social Services, RB 6.125%, 08/15/10 1,100 1,008 6.125%, 08/15/20 3,500 3,084 Health Facilities Authority, Mercy Health Center, RB, ETM 7.100%, 06/01/09 635 698 7.500%, 09/01/09 300 334 Health Facilities Authority, Mercy Hospital & Medical Center, RB, ETM 10.000%, 01/01/15 2,150 2,843 -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Health Facilities Authority, Sydney R. Forkosh Memorial Hospital, Pre-refunded @ 100, RB 7.000%, 07/01/02 $ 210 $ 227 McHenry, Industrial Development Authority, Chroma Project, Series 1994A, RB (LOC) 5.250%, 01/01/04 (C) 200 194 Quincy, Single Family Mortgage, RB 6.875%, 03/01/10 790 814 Village of Buffalo Grove, Economic Development Project, Country Line Partners, RB 5.450%, 08/15/02 1,940 1,938 Village of Graylake, Multi-Family Housing, Country Squire Village Apartments, Series A, RB, FHA 6.000%, 06/01/05 1,420 1,434 Western Illinois University, RB, ETM 7.400%, 04/01/09 125 138 ------- 25,369 ------- INDIANA -- 1.7% Indianapolis, Economic Development, Knob in the Woods Project, RB, FNMA AMT 6.375%, 10/01/04, (B) 3,520 3,797 ------- IOWA -- 0.8% Davenport, Hospital Facility, RB, ETM 7.200%, 07/01/09 100 109 State Finance Authority, Small Business Development, Terrance Center Association, L.P. Project, RB, Guaranty Agreement with Central Life Assurance Company 7.500%, 03/01/22 1,550 1,705 ------- 1,814 ------- KANSAS -- 0.8% Johnson County, Single Family Mortgage, RB 5.625%, 05/01/02 130 132 Labette and Cowley Counties, Single Family Mortgage, Series A, RB 9.500%, 04/01/13 180 192 Reno County, Single Family Mortgage Revenue Refunding Bond, Series B 8.700%, 09/01/11 455 486 Saline County, Single Family Mortgage, Series A, RB 9.500%, 10/01/11 345 362 14
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================================================================================ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Wichita, Hospital, RB, ETM 7.000%, 03/01/06 $ 250 $ 269 Wichita, Single Family Mortgage, Series A, RB 7.100%, 09/01/09 360 372 ------ 1,813 ------ KENTUCKY -- 0.2% Greater Kentucky Housing Assistance Corporation, Section 8 Assisted, Project A, RB, MBIA, FHA 7.625%, 01/01/25 430 446 ------ LOUSIANA -- 6.0% Housing Finance Authority, Single Family Housing, RB, GNMA, AMT 8.050%, 11/01/14 470 483 Iberia, Single Family Mortgage, RB 7.375%, 01/01/11 1,105 1,188 Public Facilities Authority, Hospital, Southern Baptist Hospital, RB, ETM 8.000%, 05/15/12 190 221 Public Facilities Authority, Multi-Family Housing, Beau Terre Project, RB, FNMA 5.800%, 06/01/05 (B) 750 752 Public Facilities Authority, Multi-Family Housing, Carlyle Apartments, RB, AXA 5.950%, 06/15/05 (B) 1,440 1,489 Public Facilities Authority, Multi-Family Housing, Edgewood Apartments, RB, FNMA 5.800%, 06/01/05 (B) 5,650 5,664 Public Facilities Authority, Multi-Family Housing, Oakleigh Apartment Project, RB, AXA 5.850%, 03/15/04 315 324 5.750%, 03/15/03 295 303 5.950%, 03/15/05 330 339 Public Facilities Authority, Multi-Family Housing, River View, RB, CONN 6.000%, 07/01/97 (B) 940 942 Public Facilities Authority, Single Family Mortgage, Series A, RB 7.375%, 10/01/12 710 710 Public Facilities Authority, Single Family Mortgage, Series C, RB 8.450%, 12/01/12 895 943 ------- 13,358 ------- -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- MAINE -- 0.1% State Housing Authority, Series B, RB, AMT 8.400%, 11/15/07 $ 300 $ 309 ------ MARYLAND -- 1.8% Cecil County, Economic Development, Northeast Plaza Association, Series A, RB 6.875%, 01/15/08 1,760 1,868 Cecil County, Economic Development, Northeast Plaza Association, Series B, RB 6.875%, 01/15/10 525 556 Frederick County, Economic Development, Mortgage Revenue Refunding Bond, Series A, RB, FHA 5.900%, 02/01/05 380 380 Prince George's County, Multi-Family Mortgage, Emerson House Project, Series A, RB 6.400%, 10/15/05 1,200 1,233 ------ 4,037 ------ MICHIGAN -- 0.7% Detroit, Water Supply Systems, RB, ETM 8.875%, 01/01/05 195 227 Petoskey, Hospital Finance Authority, RB, ETM 6.700%, 03/01/07 345 368 State Hospital Finance Authority, St. Joseph Mercy Hospital Project, RB, ETM 7.000%, 07/01/05 175 189 State Hospital Finance Authority, St. Lawrence Hospital Project, RB, ETM 7.500%, 05/01/07 625 695 ------ 1,479 ------ MINNESOTA -- 0.4% Cambridge, Mortgage Revenue, Health Care Center, Series A, RB, GNMA, FHA 5.400%, 11/20/05 695 689 Dakota County, Housing & Redevelopment Authority, Single Family Mortgage, RB, FNMA, GNMA 5.750%, 10/01/04 150 149 15
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) MUNICIPAL BOND FUND -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Dakota County, Housing & Redevelopment Authority, Single Family Mortgage, RB, FNMA, GNMA, AMT 5.550%, 10/01/02 $ 130 $ 130 ------ 968 ------ MISSISSIPPI -- 2.6% Mississippi Home Corporation, Residual Capital Appreciation, Series 1992-I, RB 0.000%, 09/15/16 (A) 21,100 5,011 Mississippi Home Corporation, Single Family, Mortgage Access Program, Series 1994 A, RB, GNMA, AMT 5.000%, 06/01/04 815 810 ------ 5,821 ------ MISSOURI -- 3.4% Kansas City, Industrial Development Authority, Multi-Family Housing, Coves North Duplexes, RB, FNMA 5.600%, 09/01/05 (B) 2,780 2,804 Saint Louis County, Convention and Sports Center, Series B, RB, FHA 6.500%, 08/15/01 775 823 Saint Louis, Housing Finance Corporation, Kendelwood Section 8, Series B, RB, FHA 6.250%, 08/15/15 1,845 1,790 6.500%, 08/15/22 2,210 2,149 ------ 7,566 ------ MONTANA -- 0.2% Missoula County, Community Hospital, RB ETM, AMBAC 7.125%, 06/01/07 500 546 ------ NEBRASKA -- 1.0% Hall County, Hospital Authority, RB, ETM 8.000%, 01/01/07 205 234 Investment Finance Authority, Multi-Family Housing, Old Cheney Apartments, Series A, RB, FNMA 5.500%, 12/01/05 (B) 2,000 1,990 ------ 2,224 ------ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- NEVADA -- 0.4% Single Family Housing Authority, Series B, RB, AMT 6.450%, 10/01/07 $ 910 $ 948 ------ NEW JERSEY -- 3.2% Church Street Corporation, Elderly Housing Section 8 Assistance 1994, RB, HUD Section 8 5.000%, 03/01/01 265 260 Economic Development Authority, Economic Growth, Series H-2, RB, National Westminster, AMT (LOC) 5.000%, 10/01/05 860 839 Education Facilities Authority, Caldwell College, Series A, RB, 7.250%, 07/01/25 1,200 1,188 Mansfield Township, Board of Education Certificate of Participation, 5.500%, 03/01/07, MBIA 1,840 1,881 State Housing Finance Authority, Series A, Section 8 Assistance, RB, HUD 6.700%, 11/01/04, 3,000 3,094 ------ 7,262 ------ NEW MEXICO -- 2.0% Albuquerque, Municipal Collateralized Mortgage Obligation, Class B-2, FGIC 0.000%, 05/15/11 (A) 3,180 1,049 Bernalillo County, Multi-Family Housing, Sunchase Apartments, Series A, RB, AXA 5.800%, 11/01/06 (B) 1,500 1,521 Roswell, Airport, RB, AMT 8.500%, 11/01/98 130 130 Sandoval County, Gross Receipts Tax, RB, Intel 6.100%, 11/01/99 115 116 6.200%, 11/01/00 120 121 6.250%, 11/01/01 130 132 6.350%, 11/01/02 140 142 6.400%, 11/01/03 145 148 6.450%, 11/01/04 155 158 7.150%, 11/01/10 705 742 Santa Fe, Single Family Mortgage Authority, Series 1991, RB 8.450%, 12/01/11 211 223 ------ 4,482 ------ 16
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================================================================================ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- NEW YORK -- 2.0% Mechanicville, Multi-Family Housing, Elderly Housing, RB, FHA 6.900%, 08/01/22 $2,500 $ 2,603 UFA Development Corporation, Mortgage, Loretto Utica Project, RB, FHA 5.150%, 07/01/03 2,000 1,985 ------- 4,588 ------- NORTH CAROLINA -- 0.0% Asheville, Housing Development Corporation, Section 8 Assistance, Asheville Gardens, RB, HUD 10.500%, 11/01/09 (E) 5 7 ------- OHIO -- 2.9% Cuyahoga County, Industrial Development, Chippewa Place, RB, Series A, FHA 8.000%, 08/01/15 4,750 4,888 Housing Finance Authority, Single Family Mortgage, Series A, RB, BIGI 5.750%, 04/01/16 (D) 155 155 Housing Finance Authority, Single Family Mortgage, Series A, RB, GNMA, AMT 8.400%, 02/01/20 760 799 Lucas-Palmer, Housing Development Corporation, Palmer Gardens Section 8, RB, MBIA, FHA 5.900%, 07/01/07 295 289 Ohio Capital Corporation for Housing Mortgage, Section 8 Assistance, Project E, RB, MBIA, FHA 5.700%, 01/01/05 495 496 ------- 6,627 ------- OKLAHOMA -- 1.3% Bryan County, Single Family Mortgage, Series A, RB 8.600%, 07/01/10 520 541 Cleveland County, Home Loan Authority, Single Family Mortgage, Series 1992, RB 8.375%, 08/01/12 1,215 1,264 Housing Finance Authority, RB, GNMA, AMT 7.997%, 08/01/18 (B) 315 317 -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- McAlester, Public Works Authority, RB, FSA 8.250%, 12/01/06 $ 185 $ 225 Payne County, Housing Finance Authority, Single Family Mortgage, Series A, RB 8.625%, 03/01/11 495 513 ------ 2,860 ------ PENNSYLVANIA -- 9.6% Allegheny County, Hospital Development Authority, South Side Hospital, RB 8.500%, 06/01/01 490 505 8.750%, 06/01/10 3,890 4,020 Allegheny County, Hospital Development Authority, St. Margaret Memorial Hospital, Project A, RB 9.800%, 07/01/10 1,000 1,017 Allegheny County, Industrial Development Authority, RB Integra Bank of Pittsburgh, AMT (LOC) 6.000%, 10/01/04 1,000 1,004 Allegheny County, Residential Finance Authority, Mortgage, RB, GNMA 6.500%, 11/01/14 625 634 Allentown, Hospital Authority, Sacred Heart Hospital of Allentown, Series A, RB 6.200%, 11/15/03 700 711 Borough of Tarentum, Guaranteed Electric, Series A, RB 5.500%, 09/01/08 645 595 Butler County, Industrial Development Authority, First Mortgage, Sherwood Oaks Project, Series A, RB,Crossover Refunded @ 102 8.750%, 06/01/96 (F) 150 154 Bucks County, Industrial Development Authority, Women's Humane Society, RB 7.100%, 12/01/09 600 601 Dauphin County, General Authority, WW15 Term, RB 6.850%, 06/01/09 (C) 700 744 Falls Township, Hospital Authority, Delaware Valley Medical Center, RB, FHA 6.900%, 08/01/11 4,060 4,359 17
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) MUNICIPAL BOND FUND -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Lehigh County, General Purpose, Muhlenberg Continuing Care, RB, (LOC) 7.800%, 03/15/02 (B) $2,320 $ 2,474 Montgomery County, Higher Education & Health Authority, Northwestern Corporation, RB, 6.250%, 06/01/99 680 694 Montgomery County, Industrial Development Authority, BMHR Associate Project, RB, (LOC) 6.750%, 11/15/04 250 257 Montgomery County, Industrial Development Authority, Emergency Care Research Institute Project, RB 6.400%, 06/01/03 675 683 Philadelphia, Hospital & Higher Education Authority, Northwestern Corporation, RB 6.250%, 06/01/99 765 781 Philadelphia, Industrial Development Authority, Jeanes Physician's Office, Series A, RB 9.375%, 07/01/10 1,000 1,025 Philadelphia, Industrial Development Authority, National Board of Medical Examiners Project, RB 6.750%, 05/01/12 550 583 Pottsville, Hospital Authority, Pottsville Hospital & Warner Clinic, RB 7.250%, 07/01/24 605 608 State Housing Authority, Single Family Mortgage, RB, AMT 7.000%, 10/01/05 230 242 ------- 21,691 ------- RHODE ISLAND -- 0.2% State Industrial Facilities, Crystal Thermoplastics Project, Series A, RB, IRBA, AMT 6.900%, 08/01/14 380 387 ------- SOUTH CAROLINA -- 0.4% State Housing Finance & Development Authority, Multi-Family Housing, Runaway Bay Apartments Project, RB 5.500%, 12/01/05 1,000 999 ------- -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- SOUTH DAKOTA -- 0.5% Student Loan Assistance, Series A, RB, GTD, AMT 7.600%, 08/01/04 $ 510 $ 539 7.700%, 08/01/07 500 529 ------- 1,068 ------- TENNESSEE -- 0.2% Greeneville, Health & Education Facility Board, Southern Advent Hospital, RB, ETM 8.700%, 10/01/09 340 413 ------- TEXAS -- 11.0% Bexar County, Housing Finance Corporation Residual Bond, Capital Appreciation 0.000%, 03/01/15 (A) 1,765 514 Brazos, Higher Education Authority, RB, GTD, AMT 6.500%, 06/01/04 500 521 Bryon, Higher Education Authority, Allen Academy, Series A, RB 6.500%, 12/01/06 500 486 7.300%, 12/01/16 1,750 1,728 Collin County, Housing Finance Corporation, Multi-Family Mortgage, Preston Bend Apartments Project, RB, AXA 6.500%, 09/01/03 (B) 535 555 Denison, Hospital Authority, Texoma Medical Center, RB, ETM 7.125%, 07/01/08 100 110 Duncanville, Hospital Development Authority, Methodist Hospital Project, RB, ETM 9.000%, 01/01/10 665 806 Grand Prairie, Multi-Family Mortgage, Project A, Sugar Creek Apartments, RB 6.000%, 02/01/05 715 711 Gregg County, Housing Finance Corporation, Multi-Family Housing, Summer Lake Project, Series A, Mandatory Put @ 100, RB, AXA 6.400%, 03/01/06 500 512 Harris County, Housing Finance Corporation, Multi-Family Housing, Colonial House Apartments Project, RB, (LOC) 5.600%, 09/01/99 (B) 245 250 Northeast Hospital Authority, RB, ETM 8.000%, 07/01/08 385 443 18
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================================================================================ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Odessa, Housing Authority, Multi-Family Mortgage, Section 8 Assist Project, Series A, RB 5.875%, 10/01/03 $ 900 $ 877 Odessa, Housing Authority, Multi-Family Mortgage, Section 8 Assist Project, Series B, RB, HUD Section 8 5.875%, 10/01/03 1,720 1,677 Odessa, Housing Authority, Multi-Family Mortgage, Section 8 Assist Project, Series B, RB 6.375%, 10/01/11 2,735 2,581 Odessa, Single Family Mortgage, Series A, RB, FNMA 8.450%, 11/01/11 356 368 South Plains, Regional Housing Authority, Section 8 Assistance Project, Series A, RB, HUD 6.000%, 08/01/00 75 75 6.500%, 08/01/05 325 327 6.900%, 08/01/09 500 503 Southeast Hospital Financing Agency, Memorial Hospital System Project, RB, ETM 8.500%, 12/01/08 335 398 7.500%, 12/01/09 725 813 State Department of Housing & Community, Capital Appreciation, RB 0.000%, 03/01/15 (A) 38,030 10,411 Thomason, Health Facilities Development Corporation, El Paso County Hospital District, GO, MBIA 7.200%, 08/15/98 65 65 ------- 24,731 ------- UTAH -- 2.0% Brigham City, Special Assessment Bond, District Number 22 9.000%, 08/01/04 270 285 Hilldale, Electric Bonds, GO, AMT 7.500%, 12/15/03 500 537 Salt Lake City, Industrial Development, Hermes Association Project, RB, (LOC) 5.900%, 09/01/97 295 301 5.900%, 09/01/99 200 206 State Finance Agency, Single Family Mortgage, Issue F-1, RB, AMBAC 5.850%, 07/01/07 1,000 1,017 -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- State Housing Finance Agency, Single Family Mortgage, Series B-2, RB, FHA, AMT 7.600%, 01/01/22 $ 355 $ 371 State Municipal Finance Corporation, Local Government, RB 7.300%, 12/01/03 500 524 Weber County, Municipal Building Authority, Series 1994, RB, Asset Guaranty 6.750%, 12/15/04 1,275 1,366 ------ 4,607 ------ VIRGINIA -- 1.4% Alexandria, Redevelopment & Housing Authority, Multi-Family Housing, United Dominion- Parkwood Court, RB, AMT 6.625%, 05/01/06 (B) 2,990 3,068 ------ WASHINGTON -- 3.3% Seattle, Low Income Housing Assistance Authority, Kin On Project, Series A, RB, GNMA 7.400%, 11/20/36 1,500 1,582 State Housing Finance Commission, Series A, RB, FNMA 7.000%, 07/01/99 185 188 State Housing Finance Commission, Series B, RB, GNMA, FNMA 6.900%, 07/01/16 5,415 5,625 ------ 7,395 ------ WEST VIRGINIA -- 1.5% Harrison County, Single Family Mortgage, Series B, AMBAC 0.000%, 10/20/10 (A) 2,822 1,019 Marshall County, Capital Appreciation, RB, MBIA 0.000%, 05/01/14 (A) 3,000 784 Mason County, First Mortgage, Point Pleasant Haven, RB (LOC) 6.200%, 12/01/05 850 867 Raleigh Fayette & Nicholas Counties, Single Family Mortgage, Series B, AMBAC 0.000%, 06/20/10 (A) 2,167 745 ------ 3,415 ------ 19
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) MUNICIPAL BOND FUND -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- WISCONSIN -- 0.5% Prairie Farm, Public School District, Barron & Dunn Counties, GO 7.000%, 04/01/11 $ 215 $ 219 7.000%, 04/01/12 210 213 State Housing & Economic Development Authority, Series B, RB, GEMIC, AMT 6.625%, 09/01/20 395 394 Whitewater, Waterworks System, RB 7.500%, 07/01/16 250 278 -------- 1,104 -------- WYOMING -- 0.5% City of Cheyenne, Federal Mineral Royalty, Second Lien, RB 6.200%, 06/01/09 1,000 1,021 -------- Total Municipal Bonds (Cost $220,071,680) 222,739 -------- CASH EQUIVALENT -- 0.1% SEI Institutional Tax Free Portfolio 336 336 -------- Total Cash Equivalent (Cost $336,126) 336 -------- Total Investments -- 99.0% (Cost $220,407,806) $223,075 -------- (A) ZERO COUPON BOND. (B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS. (C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS. (D) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF INVESTMENTS IS THE RATE IN EFFECT AS OF APRIL 30, 1996. (E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS. AMT INCOME FROM SECURITY MAY BE SUBJECT TO ALTERNATIVE MINIMUM TAX. ETM ESCROWED TO MATURITY GO GENERAL OBLIGATION LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY A MAJOR COMMERCIAL BANK. RB REVENUE BOND THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS. AMBAC AMERICAN MUNICIPAL BOND ASSURANCE COMPANY ASSET GUARANTY ASSET GUARANTY AXA AXA REINSURANCE BIGI BOND INVESTORS GUARANTY INSURANCE CORPORATION -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- FGIC FEDERAL GUARANTY INSURANCE CORPORATION FHA EDERAL HOUSING AUTHORITY FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION FSA FINANCIAL SECURITY ASSISTANCE GEMIC GENERAL ELECTRIC MORTGAGE INSURANCE COMPANY GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GTD GUARANTEED STUDENT LOANS HUD HOUSING & URBAN DEVELOPMENT INTEL INTEL GUARANTY IRBA IRBA GUARANTY MBIA MUNICIPAL BOND INVESTORS ASSURANCE THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. FIXED INCOME FUND CORPORATE OBLIGATIONS -- 16.7% Aegon N.V. 8.000%, 08/15/06 $ 4,151 $ 4,343 Associated Estates Realty 8.375%, 04/15/00 18,000 18,427 Auburn Hills Trust 12.000%, 05/01/20 5,080 7,315 Equitable Life Assurance Society 6.950%, 12/01/05 7,090 6,789 Fairfax Financial Holdings 8.250%, 10/01/15 7,615 7,558 Legg Mason 6.500%, 02/15/06 1,000 924 Lehman Brothers 11.625%, 05/15/05 2,485 3,125 7.125%, 07/15/02 7,950 7,890 London Insurance Group 6.875%, 09/15/05 1,960 1,884 Met Life 6.300%, 11/01/03 6,645 6,255 Paine Webber 6.750%, 02/01/06 10,400 9,750 7.875%, 02/15/03 3,000 3,064 9.250%, 12/15/01 2,745 2,975 Prudential Funding 6.750%, 09/15/23 2,000 1,695 Prudential Insurance America 6.875%, 04/15/03 10,000 9,713 Salomon Brothers 7.250%, 05/01/01 500 496 Vesta Insurance Group 8.750%, 07/15/25 7,960 7,861 -------- Total Corporate Obligations (Cost $101,739,389) 100,064 -------- 20
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================================================================================ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- ASSET-BACKED SECURITIES -- 1.4% Auto Bond Receivables, Series 1993-G, Class A 7.000%, 09/15/98 $ 84 $ 81 Auto Bond Receivables, Series 1994-A, Class A 6.400%, 04/01/99 561 546 Auto Bond Receivables, Series 1993 K 6.350%, 02/15/99 1,389 1,333 Ford Credit Auto Lease Trust, Series 1995-1 A2 6.350%, 10/15/98 1,262 1,265 National Collegiate Trust Gate Receivable, Series 1995-S1 8.830%, 09/20/11 2,925 3,079 Navistar Financial Trust, Series 1995-B, Class A2 5.940%, 10/15/98 1,000 1,000 Structured Asset Securities, Series 1996-CFL, Class A1C 5.940%, 02/25/28 1,000 965 ------ Total Asset-Backed Securities (Cost $8,166,061) 8,269 ------ OTHER MORTGAGE-BACKED OBLIGATIONS -- 9.3% Aetna Commercial Mortgage Trust, Series 1995-C5, Class A2 6.590%, 12/26/30 10,000 9,573 Countrywide Mortgage Backed Securities, Series 1994-C, Class A8 6.500%, 03/25/24 1,265 1,014 General Electric Capital Mortgage Services, Series 1993-14, Class A7 6.500%, 11/25/23 1,275 1,069 General Electric Capital Mortgage Services, Series 1994-18, Class A2 7.000%, 08/25/24 1,005 1,006 Green Tree Finance Series 1996-2, Class A4 7.200%, 04/15/27 7,000 6,886 Green Tree Finance Series 1996-2, Class B1 7.550%, 04/15/27 7,100 7,016 Housing Securities Incorporated, Series 1994-1, Class A5 5.500%, 08/25/03 3,790 3,760 Merrill Lynch Mortgage Investors Series 1995-C2, Class A1 7.520%, 06/15/21 1,069 1,074 Merrill Lynch Mortgage Investors, Series 1991-1, Class A 7.650%, 01/15/12 2,480 2,507 -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Prudential Home Mortgage, Series 1994-17, Class A5 6.250%, 04/25/24 $ 5,700 $ 4,707 Prudential Home Mortgage, Series 1988-5, Class A 10.530%, 08/25/18 734 671 Prudential Home Mortgage, Series 1993-1, Class A1 7.500%, 02/25/23 7,050 7,064 Prudential Home Mortgage, Series 1993-61, Class A1 6.500%, 12/25/08 2,936 2,935 Prudential Home Mortgage, Series 1994-12, Class A7 6.050%, 04/25/24 3,999 3,094 Sears Mortgage Securities, Series1992-3, Class T8 7.000%, 07/25/20 440 439 Shearson Lehman, Series E, Class 2 5.750%, 07/01/97 19 19 Vanderbilt Mortgage Finance, Series 1994-A, Class A1 7.000%, 07/10/19 2,649 2,664 ------- Total Other Mortgage-Backed Obligations (Cost $56,196,090) 55,498 ------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 23.3% Drexel Burnham Lambert Trust, Series T, Class 3 8.450%, 01/20/19 3,153 3,184 Federal Home Loan Mortgage Corporation, REMIC, Series 1577, Class PG 5.500%, 03/15/21 400 373 Federal Home Loan Mortgage Corporation, REMIC, Series 1625, Class BA 5.000%, 11/15/00 630 629 Federal Home Loan Mortgage Corporation, REMIC, Series 1622, Class G 6.250%, 11/15/22 10,000 8,558 Federal Home Loan Mortgage Corporation, REMIC, Series 1773, Class E 8.500%, 04/15/23 3,260 3,378 Federal Home Loan Mortgage Corporation, REMIC, Series 1803, Class A 6.000%, 12/15/08 5,500 4,919 21
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) FIXED INCOME FUND -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Federal Home Loan Mortgage Corporation, REMIC, Series 1324, Class VD 7.000%, 06/15/05 $ 825 $ 812 Federal Home Loan Mortgage Corporation, REMIC, Series 1360, Class Pk 10.000%, 12/15/20 2,200 2,391 Federal Home Loan Mortgage Corporation, REMIC, Series 1513, Class AA 6.500%, 11/15/00 5,695 5,678 Federal Home Loan Mortgage Corporation, REMIC Series 1528, Class A 6.500%, 12/15/00 8,882 8,840 Federal Home Loan Mortgage Corporation, REMIC, Series 1667, Class PC 5.500%, 06/15/04 3,000 2,938 Federal Home Loan Mortgage Corporation, REMIC, Series 1275, Class VB 7.000%, 05/15/99 850 857 Federal Home Loan Mortgage Corporation, REMIC, Series 1640, Class V 6.500%, 12/15/98 1,135 1,128 Federal Home Loan Mortgage Corporation, REMIC, Series 1661, Class PC 5.500%, 09/15/02 950 943 Federal Home Loan Mortgage Corporation, REMIC, Series 1712, Class PC 5.500%, 02/15/03 2,735 2,698 Federal Home Loan Mortgage Corporation, REMIC, Series 33, Class C 8.000%, 09/15/18 4,887 4,924 Federal Home Loan Mortgage Corporation, REMIC, Series 70, Class C 9.000%, 09/15/20 883 924 Federal Home Loan Mortgage Corporation, GOLD, Pool #627000 6.000%, 08/01/10 14,472 13,713 Federal National Mortgage Association, REMIC, Series G92-42, Class C 7.000%, 09/25/19 3,176 3,179 Federal National Mortgage Association, REMIC, Series 1989-79D 9.000%, 11/25/19 1,350 1,413 -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Federal National Mortgage Association, REMIC, Series 1993-174, Class C 5.750%, 12/25/03 $ 750 $ 739 Federal National Mortgage Association, REMIC, Series 1995-2, Class H 8.500%, 06/25/10 18,200 18,663 Federal National Mortgage Association, REMIC, Series 1994-33, Class C 5.000%, 10/25/03 1,900 1,858 Federal National Mortgage Association, REMIC, Series 1989-74, Class J 9.800%, 10/25/19 2,500 2,697 Federal National Mortgage Association, REMIC, Series 1992-100, Class M 8.500%, 06/25/05 8,000 8,130 Federal National Mortgage Association, REMIC, Series 1993-174, Class EA 6.150%, 10/25/07 4,000 3,839 Federal National Mortgage Association, REMIC, Series 1992-43, Class E 7.500%, 04/25/22 3,220 3,150 Federal National Mortgage Association, REMIC, Series 1993-192, Class E 5.950%, 11/25/07 1,000 951 Federal National Mortgage Association, REMIC, Series 1993-223, Class PC 5.400%, 06/25/15 1,000 976 Federal National Mortgage Association, REMIC, Series 94-92, Class DE 7.500%, 07/25/07 5,267 5,150 Federal National Mortgage Association, REMIC, Series X-19C, Class G 7.500%, 08/25/21 720 700 Federal National Mortgage Association, REMIC, Series 1991-137, Class E 8.050%, 01/25/20 3,827 3,873 Federal National Mortgage Association, REMIC, Series G92-22, Class Z 7.500%, 06/25/18 4,782 4,781 Federal Home Loan Mortgage Corporation, REMIC, Pool #1462 7.500%, 01/15/03 5,000 5,077 22
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================================================================================ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Government National Mortgage Association, Pool #413221 8.250%, 05/15/10 $ 2,032 $ 2,123 Guaranteed Export Trust, Series 1994-F 8.187%, 12/15/04 4,431 4,648 -------- Total U.S. Government Agency Obligations (Cost $140,016,582) 138,834 -------- TAXABLE MUNICIPAL BONDS -- 22.6% Allegheny County, Pennsylvania Sanitation Authority, Series A, RB, MBIA 6.600%, 06/01/97 975 980 6.800%, 12/01/97 3,795 3,838 Atlanta, Georgia Urban Redevelopment Finance Authority, Series 1994, FNMA 0.000%, 10/01/16 (A) 21,000 4,069 Beaumont Properties, Michigan Series B, RB, Pre-refunded @ 101 10.500%, 01/01/99, (E) 3,000 3,308 Belmont, California Redevelopment Agency, Tax Allocation Bond, MBIA 7.550%, 08/01/11 895 857 BFC Finance, GSA Lease 7.380%, 12/01/17 7,975 7,765 California Desert Hospital Corporation, Series A, RB 8.700%, 07/01/08 200 189 8.400%, 07/01/03 2,655 2,552 California State Housing Finance Authority, Single Family Housing, Series 1995, RB, AMBAC 7.900%, 08/01/07 9,000 9,124 Cameron County, Texas Housing Finance Corporation, Series 1990A Class 1-B, RB, FGIC 10.210%, 09/01/10 2,213 2,309 Cameron County, Texas Housing Finance Corporation Series A, RB, FGIC 10.450%, 09/01/11 945 1,052 Chattahoochee Valley, Alabama Water Supply, RB, Asset Guaranty 8.600%, 10/01/07 200 219 City of Huntingdon, West Virginia Single Family Mortgage, RB 9.050%, 01/15/12 1,408 1,501 -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Compton, California Community Redevelopment Agency, Series 1995B, RB, CGIC 5.950%, 08/01/96 $ 1,785 $ 1,784 6.150%, 08/01/97 2,310 2,307 Connecticut State Health and Education, Nursing Home Program, AHF/Hartford Project, RB 8.450%, 11/01/99 830 857 Connecticut State Health and Education, Sheridan Woods Center Project, RB 7.950%, 11/01/05 1,755 1,790 8.730%, 11/01/17 1,150 1,243 Cortland Memorial Hospital, New York Series 1992 A, RB, 7.700%, 07/01/00 345 343 County of Monroe, New York Nationwide Precision Products, Series 1994B, RB (LOC) 5.950%, 12/01/04 (D) 2,095 2,095 Dauphin County, Pennsylvania General Authority, Tressler Project, Series B, Optional Put 09/01/96 @ 100, RB 7.000%, 09/01/10 1,375 1,375 Delaware State Housing Authority Series B, RB, AMBAC 6.750%, 07/01/14 955 904 Erie County, New York Industrial Development Agency, Journeys End Project, Series A, RB, Mandatory Tender @ 100, (LOC) 9.750%, 01/01/00 (C) 1,840 1,918 Harrisburg, Pennsylvania Higher Education Assistance Authority Mandatory Put @ 100 10.500%, 10/01/02 (B) 800 878 Harrisburg, Pennsylvania Resource Recovery Authority, Series 1993 B, RB (LOC) 6.000%, 09/01/98 315 308 6.875%, 09/01/03 515 483 7.750%, 09/01/13 3,145 3,019 Hofstra University, RB, MBIA 7.700%, 07/01/15 3,895 3,827 Kanawha and Putnam Counties, West Virginia, Charleston and Huntington, AMBAC, 0.000%, 12/01/16 (A) 8,360 2,048 La Follete Properties, Georgia Multi-Family Housing, La Follete Garden Apartments, 9.600%, 12/01/08 985 1,049 23
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) FIXED INCOME FUND -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Los Angeles County, Caifornia Fairplex Revenue Bond (LOC) 10.500%, 06/01/15 $ 400 $ 433 Los Angeles County, California Pension Obligation Bond, Series A, AMBAC 8.620%, 06/30/06 200 219 Los Angeles, Caifornia Community Redevelopment Agency, Angelus Project, FNMA 6.200%, 12/15/96 200 200 Massachusetts State Housing Finance Agency, Series C, RB, FHA 10.900%, 08/01/20 2,630 2,765 Mayor and City Council of Baltimore, Maryland Public Improvement, 1995A Series B, GO, FGIC 8.100%, 10/15/10 1,775 1,926 8.700%, 10/15/15 1,875 2,076 Memphis-Shelby County, Tennessee Industrial Development Board, Cleo Project, Series B, RB, (LOC) 9.100%, 02/01/04 3,310 3,426 Montgomery County, New York Industrial Development Authority, Central National Bank Project, RB, (LOC) 5.550%, 05/01/25 (D) 3,750 3,750 Muskegan County, Michigan Unlimited Tax, GO 7.000%, 06/01/96 1,000 1,000 7.250%, 12/01/96 650 653 New Jersey State Economic Development Authority, Series 1992 R2, RB (LOC) 6.800%, 12/01/02 1,350 1,320 New Jersey State Economic Development Authority, State Contract, RB 7.100%, 09/15/02 2,500 2,450 New York City Industrial Development Authority, Civic Facility, Series B, RB, MBIA 8.100%, 09/01/06 1,975 2,121 New York Port Authority, Ninetieth Series, RB 5.950%, 10/01/02 700 649 Oklahoma City, Oklahoma Airport Trust, Federal Aviation Authority, Senior Lien, Series 16, RB 9.875%, 07/01/12 1,005 1,079 Oklahoma City, Oklahoma Airport Trust, Federal Bureau Prisons Project, RB 9.800%, 11/01/14 2,650 2,898 -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Oklahoma County, Oklahoma Home Finance Authority, RB 0.000%, 07/01/12 (A) $ 3,450 $ 806 Olathe Labette County, Kansas Single Family Mortgage, Series 1993 A 0.000%, 02/01/16 (A) 1,795 458 Palm Springs, California Desert Hospital, RB 9.000%, 07/01/13 5,945 5,573 Pima and Maricopa Counties, Arizona Industrial Development Authority, Multi-Family Housing, Series 1993B, RB, FNMA 6.500%, 01/01/06 740 718 Plymouth County Massachusetts Correctional Facility, Certificate of Participation 10.400%, 04/01/22 5,100 5,693 Rhode Island Port Authority Economic Development Corporation, Central Falls Detention Center, Series A, RB 8.200%, 01/15/08 1,239 1,338 San Diego County, California Pension Obligation, Series A, FSA 6.240%, 08/15/02 2,000 1,878 San Francisco, California Redevelopment Agency, Series 1995B, RB, MBIA/FHA 7.500%, 07/01/24 3,860 3,759 Sand Creek, Idaho Limited Partnership, Multi-Family Housing, RB 8.250%, 12/01/18 3,655 3,404 Sarasota Florida Water and Sewer Utility, Series A, RB, FGIC 4.450%, 10/01/96 1,665 1,654 Shelby County, Tennessee Single Family Mortgage, Series 1991A Class A-2, FGIC 8.900%, 04/15/05 1,414 1,414 Tarrant County, Texas Housing Finance Authority, Single Family Mortgage, Series 1993, RB, MBIA 6.650%, 07/15/16 735 711 Texas State Department of Housing & Community Affairs, Single Family Mortgage, Series 1994B, RB 9.500%, 03/01/16 16,020 16,020 Utah State Housing Authority, Series D-1, RB 9.850%, 07/01/10 275 292 -------- Total Taxable Municipal Bonds (Cost $140,940,488) 134,674 -------- 24
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================================================================================ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- TAX-FREE MUNICIPAL BONDS -- 5.1% Allentown, Pennsylvania Hospital Authority, Sacred Heart Hospital of Allentown, Series A, RB 6.500%, 11/15/08 $ 3,400 $ 3,421 Borough of Tarentum, Pennsylvania Electric Utility, Series 1993 A, RB 5.875%, 09/01/18 745 678 Borough of Tarentum, Pennsylvania Water Utility, Series 1993 B, RB 5.875%, 09/01/18 450 409 Georgia State Residential Finance Housing, Series A, RB 6.750%, 06/01/16 900 914 Honolulu, Hawaii City and County, Hale Pauahi Project, Series A, RB, MBIA, FHA 6.800%, 07/01/28 3,000 3,004 King County, Washington Housing Authority, Multi-Family Mortgage, Section 8 Assisted Housing, Series A, RB 7.000%, 08/01/03 750 805 Louisiana Public Facilities Authority, Multi-Family Housing, Oakleigh Apartment Project, Mandatory Put @ 100, RB, AXA 5.950%, 03/15/05 (B) 915 945 Nelson County, Kentucky Industrial Development, RB, AMT (LOC) 6.500%, 04/01/05 2,000 2,108 NewYork State Dormitory Authority, Long Island University, RB, Asset Guaranty 6.000%, 09/01/08 3,500 3,684 South Carolina State Housing Finance Agency, Multi-Family Housing, RB, Mandatory Put @ 100, FNMA 5.700%, 06/01/05 (B) 6,050 6,269 Taos County, New Mexico Local Hospital, Series 1995 B, RB Revenue Bond Series 1995 B, Asset Guaranty 5.000%, 05/15/02 5,450 5,375 Vista, California Multi-Family Housing Authority, Pepperwood Apartment Project, Series 1995A, RB, FNMA, Mandatory Put @ 100 5.700%, 06/01/05 (D) 2,785 2,820 ------- Total Tax-Free Municipal Bonds (Cost $24,016,039) 30,432 ------- U.S. TREASURY OBLIGATIONS -- 16.7% U.S. Treasury Bond 8.125%, 08/15/19 14,350 16,002 -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- U.S. Treasury Notes 5.125%, 11/30/98 $37,025 $ 36,104 6.750%, 05/31/99 10,550 10,689 6.250%, 02/15/03 3,000 2,949 5.750%, 08/15/03 31,440 29,872 U.S. Treasury STRIPS 0.000%, 05/15/07 8,050 3,790 -------- Total U.S. Treasury Obligations (Cost $100,521,013) 99,406 -------- REPURCHASE AGREEMENT -- 5.1% J.P. Morgan Securities 5.27%, dated 04/30/96, matures 05/01/96, repurchase price $30,109,533 (collateralized by U.S. Treasury Note, par value $27,480,000, 7.875%, due 11/15/04, market value $30,711,542) 30,105 30,105 -------- Total Repurchase Agreement (Cost $30,105,125) 30,105 -------- Total Investments -- 100.2% (Cost $601,700,788) $597,282 ======== (A) ZERO COUPON BOND. (B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS. (C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS. (D) VARIABLE RATE SECURITY. THE RATE REPORTED ON THE SCHEDULE OF INVESTMENTS IS THE RATE IN EFFECT AS OF APRIL 30, 1996. (E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS. AMT INCOME FROM SECURITY MAY BE SUBJECT TO ALTERNATIVE MINIMUM TAX. GO GENERAL OBLIGATION RB REVENUE BOND REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY A MAJOR COMMERCIAL BANK. THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS. AMBAC AMERICAN MUNICIPAL BOND ASSURANCE COMPANY ASSET GUARANTY ASSET GUARANTY AXA AXA REINSURANCE CGIC CAPITAL GUARANTY INSURANCE CORPORATION FGIC FEDERAL GUARANTY INSURANCE CORPORATION FHA FEDERAL HOUSING AUTHORITY FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION FSA FINANCIAL SECURITY ASSISTANCE MBIA MUNICIPAL BOND INVESTORS ASSURANCE STRIPS SEPARATELY TRADING OF REGISTERED INTEREST AND PRINCIPAL OF SECURITIES THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 25
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) SHORT-TERM MUNICIPAL BOND FUND -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- MUNICIPAL BONDS -- 99.1% CALIFORNIA -- 5.4% Los Angeles, Housing Redevelopment Agency, Monterey Hills Redevelopment Project B, RB 5.500%, 12/01/05 $ 175 $ 175 Sacramento, Municipal Utility District, Electric Revenue, Series S, Pre-refunded @ 102, RB, FGIC 6.625%, 02/01/97 (E) 10 10 San Francisco, Multi-Family Housing, RB, FNMA 5.000%, 02/15/97 10 10 ------ 195 ------ COLORADO -- 9.4% Housing Finance Authority, Single Family Program, Series E, RB, AMT 6.250%, 12/01/09 85 85 El Paso County, Capital Appreciation, Series C, RB, AMT, (A) 0.000%, 07/10/14 1,000 255 ------ 340 ------ DELAWARE -- 5.0% State Economic Development Authority, Wilmington Friends School, RB 6.300%, 07/01/96 40 40 6.300%, 07/01/97 45 45 6.300%, 07/01/98 45 45 Dover, Delaware Water & Sewer, Series B, RB, MBIA 7.200%, 07/01/01 25 25 Dover, Delaware Water & Sewer, Series A, RB, MBIA 6.900%, 07/01/97 25 26 ------ 181 ------ KANSAS -- 4.1% Saline County, Single Family Mortgage, Series A, RB, 9.500%, 10/01/11 140 147 ------ LOUISIANA -- 5.0% Public Facility Authority, River View, Mandatory Put @ 100, RB, CONN 6.000%, 07/01/97 (B) 180 180 ------ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- MASSACHUSETTS -- 5.7% State Housing Finance Agency, Single Family, Series 8, RB 7.000%, 06/01/99 $ 200 $ 208 ------ MICHIGAN -- 2.7% State Hospital Finance Authority, RB 5.000%, 01/01/97 100 100 ------ MISSISSIPPI -- 2.6% Business Finance, Industrial Development Authority, The Taylor Group Project, RB, AMT (LOC) 5.200%, 05/01/97 95 96 ------ MISSOURI -- 2.2% St. Louis County, Single Family, RB, AMBAC 9.250%, 10/01/16 75 79 ------ NEW HAMPSHIRE -- 1.9% State Housing Finance Authority, Single Family, Exchangeable, RB, AMT, FHA, (LOC) 6.125%, 01/01/18 70 70 ------ NEW MEXICO -- 12.1% Albuquerque, Municipal Collateralized Mortgage Obligation, Class B-2, FGIC 0.000%, 05/15/11 (A) 839 277 Albuquerque, Municipal Collateralized Mortgage Obligation, Class B-1, FSA 7.650%, 08/15/07 55 58 Sandoval County, Gross Receipts Tax Revenue, RB, Intel 6.000%, 11/01/98 105 105 ------ 440 ------ NEW YORK -- 0.9% State Medical Care Facility, Finance Agency, Hospital & Nursing Home, RB, FHA 6.700%, 08/15/01 30 32 ------ OHIO -- 4.1% Housing Finance Agency, Single Family, Adjustable Rate, RB, BIGI 5.750%, 04/01/16 (D) 150 150 ------ 26
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================================================================================ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- OKLAHOMA -- 2.4% State Housing Finance Agency, Single Family, Class A, RB, AMT, GNMA 8.000%, 08/01/18 $ 85 $ 86 ---- PENNSYLVANIA -- 16.3% Erie County, Hospital Authority Health Center Facility, Manchester Presbyterian Project, RB (LOC) 7.500%, 09/15/06 25 25 Montgomery County, Redevelopment Authority, Multi-Family Housing, Gwynedd-Oxford Project, Series A, RB, Mandatory Put @ 100, CONN 6.125%, 12/01/96 (B) 185 185 Pennsylvania State, GO 6.650%, 05/15/98 115 116 7.000%, 12/01/96 65 65 5.100%, 12/01/96 100 100 Philadelphia Industrial Development Authority, Huff Paper Project, AMT 6.100%, 12/15/97 40 40 Pittsburgh, GO, ETM, AMBAC 6.400%, 09/01/96 35 35 Western Westmoreland, Municipal Authority, RB, MGG 6.150%, 10/15/97 25 25 ---- 591 ---- TENNESSEE -- 2.8% Hamilton County, Industrial Development, Ridgemont/ Mountain Brook Apartments, Mandatory Put @ 100, RB (LOC) 6.250%, 10/01/97 (B) 100 101 ---- TEXAS -- 11.2% South Plains, Regional Housing Authority, Section 8 Assistance Project, Series A, HUD Section 8, RB, 6.000%, 08/01/00 170 171 Southeast Texas, Housing Finance Residual Revenue, Series B, RB, 0.000%, 12/01/16 (A) 1,100 237 ---- 408 ---- UTAH -- 1.1% Salt Lake City, Industrial Development Authority, Hermes Associate Project, RB, (LOC) 5.900%, 09/01/96 40 40 ---- -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- WISCONSIN -- 4.2% State Housing & Economic Development Authority, Series B, RB, AMT 6.625%, 09/01/20 $ 150 $ 150 ------ Total Municipal Bonds (Cost $3,591,682) 3,594 ------ CASH EQUIVALENTS -- 5.1% SEI Institutional Tax Free Portfolio 173 173 SEI Tax-Exempt Trust - Tax Free Portfolio 13 13 ------ Total Cash Equivalents (Cost $186,672) 186 ------ Total Investments -- 104.2% (Cost $3,778,354) $3,780 ====== (A) ZERO COUPON BOND (B) MANDATORY PUT SECURITY. THE MANDATORY PUT DATE IS SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS. (C) MANDATORY TENDER SECURITY. THE MANDATORY TENDER DATE IS SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS. (D) VARIABLE RATE SECURITY. THE RATE REFLECTED ON THE SCHEDULE OF INVESTMENTS IS THE RATE IN EFFECT AT APRIL 30, 1996. (E) PRE-REFUNDED SECURITY. THE PRE-REFUNDED DATE IS SHOWN AS THE MATURITY DATE ON THE SCHEDULE OF INVESTMENTS. AMT ALTERNATIVE MINIMUM TAX ETM ESCROWED TO MATURITY LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT ISSUED BY A MAJOR COMMERCIAL BANK GO GENERAL OBLIGATION RB REVENUE BOND THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS. AMBAC AMERICAN MUNICIPAL BOND ASSURANCE COMPANY BIGI BOND INVESTORS GUARANTY ASSURANCE CORPORATION CONN CONNECTICUT GENERAL LIFE FGIC FEDERAL GUARANTY INSURANCE CORPORATION FHA FEDERAL HOUSING AUTHORITY FNMA FEDERAL NATIONAL MORTGAGE ASSOCIATION FSA FINANCIAL SECURITY ASSISTANCE GNMA GOVERNMENT NATIONAL MORTGAGE ASSOCIATION HUD HOUSING & URBAN DEVELOPMENT MBIA MUNICIPAL BOND INVESTORS ASSURANCE MGG MUNICIPAL GOVERNMENT GUARANTEED THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 27
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) SHORT-TERM FIXED INCOME FUND -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- ASSET-BACKED SECURITIES -- 11.2% Ford Credit Auto Lease Trust, Series 1995-1, Class A2 6.350%, 10/15/98 $145 $ 146 Navistar Financial Corporation Owner Trust, Series 1995-B, Class A2 5.940%, 10/15/98 150 150 Premier Auto Trust, Series 1992-4, Class A 5.050%, 01/15/98 82 83 Premier Auto Trust, Tranche 1993-5, Class A2 4.220%, 03/02/99 51 51 Sears Credit Account Trust, Series 1991-C, Class A 8.650%, 07/15/98 100 101 Standard Credit Card Master Trust, Series 1991-1, Class A 8.500%, 08/07/97 100 100 Union Federal Savings Bank Grantor Trust, Pool 1993-A, Class A 4.525%, 05/15/99 423 416 ------ Total Asset-Backed Securities (Cost $1,046,999) 1,047 ------ OTHER MORTGAGE-BACKED OBLIGATIONS -- 4.3% General Electric Capital Mortgage Services, Series 1994-18, Class A2 7.000%, 08/25/24 67 67 Green Tree Financial Corporation, Series 1993-1, Class A1 4.900%, 04/15/18 9 9 Green Tree Financial Corporation, Series 1994-1, Class A1 5.600%, 04/15/19 63 63 Green Tree Financial Corporation, Series 1995-1, Class A1 7.250%, 06/15/25 10 10 Green Tree Financial Corporation, Series 1995-4, Class A1 6.050%, 07/15/25 45 45 Housing Securities Incorporated, Series 1994-1, Class A5 5.500%, 08/25/03 100 99 Vanderbilt Mortgage Finance, Series 1994-A, Class A1 7.000%, 07/10/19 110 111 ------ Total Other Mortgage-Backed Obligations (Cost $404,693) 404 ------ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 22.7% U.S. Treasury Notes 5.875%, 07/31/97 $ 70 $ 70 5.125%, 11/30/98 1,500 1,463 6.750%, 05/31/99 570 578 ------ Total U.S. Treasury Obligations (Cost $2,117,538) 2,111 ------ U.S. GOVERNMENT AGENCY OBLIGATIONS -- 30.3% Federal Home Loan Mortgage Corporation, REMIC, Series 1230, Class H 6.500%, 09/15/05 500 496 Federal Home Loan Mortgage Corporation, REMIC, Series 1306, Class G 7.800%, 05/15/12 65 66 Federal Home Loan Mortgage Corporation, REMIC, Series 1190, Class F 7.500%, 09/15/18 32 32 Federal Home Loan Mortgage Corporation, REMIC, Series 1215, Class E 6.750%, 02/15/04 87 88 Federal Home Loan Mortgage Corporation, REMIC, Series 1607, Class B 4.350%, 06/15/03 11 12 Federal Home Loan Mortgage Corporation, REMIC, Series 1255, Class E 7.500%, 01/15/19 500 505 Federal Home Loan Mortgage Corporation, REMIC, Series 1464, Class BC 6.100%, 04/15/14 250 250 Federal National Mortgage Association, REMIC, Series G92-35, Class BA 4.000%, 01/25/18 417 407 Federal National Mortgage Association, REMIC, Series 1990-87, Class G 7.500%, 05/25/12 3 4 Federal National Mortgage Association, REMIC, Series 1991-137, Class E 8.050%, 01/25/20 48 49 28
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================================================================================ -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Federal National Mortgage Association, REMIC, Series 1992-37, Class PC 6.000%, 03/25/15 $ 177 $ 177 Federal National Mortgage Association, REMIC, Series G92-42, Class C 7.000%, 09/25/19 34 34 Federal National Mortgage Association, REMIC, Series 1992-161, Class A 6.500%, 12/25/13 42 42 Federal National Mortgage Association, REMIC, Series 1989-85, Class D 7.600%, 05/25/18 47 47 Federal National Mortgage Association, REMIC, Series 1991-165, Class H 7.500%, 04/25/20 46 46 Goldman Sachs Trust 3, Series E, Class 4 8.000%, 05/27/15 562 572 ------ Total U.S. Government Agency Obligations (Cost $2,824,916) 2,827 ------ TAXABLE MUNICIPAL BONDS -- 21.5% Bryon, Texas Higher Education Authority, Allen Academy, Series B, RB 6.500%, 12/01/99 50 50 Dallas County, Texas Housing Finance Corporation, Single Family Mortgage, RB 6.625%, 12/01/13 185 169 Dauphin County, General Authority, Tressler Project, Series B, Optional Put 09/01/96 @ 100 RB 7.000%, 09/01/10 270 270 Hillard, Ohio Housing Development Corporation, Series 1995B, RB, FHA 7.750%, 01/01/97 45 45 Indianola, Mississippi Housing Development, Section 8 Eastover Apartments, MBIA/FHA 6.600%, 01/01/99 90 89 Lancaster, California Family Housing, High Valley Apartments, RB, FHA 5.850%, 06/01/96 15 15 -------------------------------------------------------------- FACE AMOUNT MARKET VALUE DESCRIPTION (000) (000) -------------------------------------------------------------- Memphis-Shelby, Tennessee Industrial Development Board, Cleo Project, Series B, RB, (LOC) 9.100%, 02/01/04 $ 200 $ 207 Montgomery, Texas Housing Finance Corporation, Multi-Family Housing, Holly Creek, Series II, Class B, RB, FHA 5.875%, 07/01/96 35 35 Moorhead, Mississippi Housing Development, Section 8 Moorhead Manor, Series A, RB, MBIA/FHA 6.600%, 07/01/96 25 25 6.600%, 07/01/97 30 30 6.600%, 07/01/98 30 30 6.600%, 07/01/99 35 34 Ohio Capital Corporation For Housing, Series 1995-N, RB, MBIA/FHA 6.875%, 07/01/97 50 50 Plainfield, Indiana, Quaker School Building, RB, 6.150%, 07/01/96 135 135 Riverside, California Certificate of Participation, Tyler Mall Parking 10.000%, 04/01/10 400 418 Rome, New York Housing Development Section 8, Series B, RB, MBIA/FHA 7.750%, 07/01/01 55 55 San Francisco, California Redevelopment Agency, Seies 1995-C, RB, MBIA/FHA 6.375%, 01/01/00 165 163 Summit County, Colorado Snake River Water District, GO, Asset Guaranty 6.250%, 12/15/96 180 180 ------ Total Municipal Bonds (Cost $2,025,625) 2,000 ------ CASH EQUIVALENTS -- 9.3% SEI Daily Income Trust Government II Fund 439 439 SEI Daily Income Trust Treasury II Fund 427 427 ------ Total Cash Equivalents (Cost $866,821) 866 ------ Total Investments -- 99.3% (Cost $9,286,592) $9,255 ====== 29
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) SHORT-TERM FIXED INCOME FUND --------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) --------------------------------------------------------------- GO GENERAL OBLIGATION LOC SECURITIES ARE HELD IN CONNECTION WITH A LETTER OF CREDIT BY A MAJOR COMMERCIAL BANK RB REVENUE BOND REMIC REAL ESTATE MORTGAGE INVESTMENT CONDUIT THE FOLLOWING ORGANIZATIONS HAVE PROVIDED UNDERLYING CREDIT SUPPORT FOR THE SECURITIES AS DEFINED IN THE SCHEDULE OF INVESTMENTS. FHA FEDERAL HOUSING AUTHORITY MBIA MUNICIPAL BOND INVESTORS ASSURANCE THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SMALLER COMPANIES FUND COMMON STOCKS -- 81.3% CONSUMER -- 18.6% Apple South 1,500 $ 39 Barefoot 1,900 24 Barnett* 850 20 CDW Computer Centers* 450 35 Daka International* 900 27 Damark International* 4,600 52 Family Dollar Stores 1,900 29 Garden Ridge* 900 50 Just For Feet 1,700 81 Longhorn Steaks* 400 11 Micro Warehouse* 500 22 Mohawk Industries* 1,500 22 Movie Gallery* 1,800 55 Outback Steakhouse* 150 6 Petsmart* 400 18 Regal Cinemas* 300 12 Sonic* 2,600 49 Sports Authority* 2,250 67 Starbucks* 2,400 65 USA Detergents* 500 20 York Group* 300 6 ------ 710 ------ SERVICE -- 10.7% American Radio Systems* 2,000 67 Chancellor, Class A* 950 24 Daisytek International* 1,300 53 Delta & Pine Land 1,750 78 Paging Network* 2,500 59 Paxson Communications 800 12 Philip Environmental 1,000 8 PMT Services* 2,000 58 True North Communications 550 15 Vanguard Cellular Systems, Class A* 1,300 28 Vanstar 500 7 ------ 409 ------ --------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) --------------------------------------------------------------- CREDIT SENSITIVE -- 8.5% BayBanks 100 $ 10 Credit Acceptance* 2,300 43 Dime Bancorp* 5,000 61 First Bell Bancorp 1,000 14 Glendale Federal Savings Bank* 2,000 35 HFNC Financial* 2,000 28 Lennar 3,000 75 Long Island Bancorp 1,000 28 Triangle Pacific* 1,750 29 ---- 323 ---- TECHNOLOGY -- 21.9% Ade* 3,500 56 Affiliated Computer Services, Class A* 800 38 Altera* 1,100 58 CEM* 4,000 54 Ceridian* 600 29 Computervision* 4,100 50 Dendrite International* 550 13 Geoworks* 1,800 67 KLA Instruments* 750 22 MEMC Electronic Materials* 2,900 145 Mercury Interactive* 1,500 21 Micrel* 2,500 42 PCD* 5,000 67 Platinum Technology* 2,000 29 PRI Automation* 2,500 71 Rational Software* 200 11 Sandisk* 4,000 59 ---- 832 ---- HEALTHCARE -- 5.4% Genesis Health Ventures* 1,500 44 Gensia Pharmaceutical 5,500 28 Immulogic Pharmaceutical* 1,900 20 Perseptive Biosystems* 3,750 27 Quorum Health Group* 500 13 Sun Healthcare Group* 2,000 30 Value Health* 1,100 32 Ventritex * 700 11 ---- 205 ---- ENERGY -- 9.6% Benton Oil & Gas* 750 13 BJ Services* 1,500 57 Camco International 1,000 36 Devon Energy 2,000 51 Parker & Parsley Petroleum 1,000 25 Seacor Holdings* 1,050 43 Tidewater 2,250 96 United Meridian* 1,500 46 ---- 367 ---- 30
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================================================================================ --------------------------------------------------------------- SHARES/ MARKET VALUE DESCRIPTION FACE AMOUNT (000) (000) --------------------------------------------------------------- PROCESS INDUSTRIES -- 2.2% Bowater 1,000 $ 40 Potlatch 1,000 43 ------ 83 ------ CAPITAL GOODS -- 1.3% Adept Technology* 2,500 48 ------ AIR TRANSPORTATION -- 0.8% Atlantic Southeast Airlines 1,250 31 ------ BUILDING & CONSTRUCTION SUPPLIES -- 0.8% Miller Industries* 1,050 29 ------ TRANSPORTATION -- 1.5% TNT Freightways 2,500 57 ------ Total Common Stocks (Cost $2,610,898) 3,094 ------ COMMERCIAL PAPER -- 19.0% Ford Motor Credit 5.290%, 05/01/96 $724 724 ------ Total Commercial Paper (Cost $724,000) 724 ------ Total Investments -- 100.3% (Cost $3,334,898) $3,818 ====== * NON-INCOME PRODUCING SECURITY THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. INTERNATIONAL EQUITY FUND FOREIGN COMMON STOCKS -- 95.5% AUSTRALIA -- 2.4% Highlands Gold Rights * 6,200 $ -- Mayne Nickless 6,000 36 M.I.M. Holdings 31,000 46 ------ 82 ------ FINLAND -- 1.8% Nokia AB, Series A 700 25 Valmet `A' 2,600 35 ------ 60 ------ FRANCE -- 7.1% Castorama Dubois 467 89 Christian Dior 850 113 Cie de Saint Gobain 12 2 Sanofi 450 36 ------ 240 ------ --------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) --------------------------------------------------------------- HONG KONG -- 4.7% Cheung Kong Holdings 5,000 $ 36 Hong Kong Telecommunications 30,000 57 HSBC Holdings 1,000 15 Hutchison Whampoa 5,000 31 Sun Hung Kai Properties 2,000 19 ------ 158 ------ ITALY -- 1.4% Telecom Italia 22,000 49 ------ JAPAN -- 37.9% Autobac Seven 100 10 Canon 4,000 80 DDI 8 69 Hitachi 7,000 76 Ito Yokado 1,000 59 Matsushita Electric 2,000 35 Mitsubishi 5,000 71 Mitsubishi Estate 6,000 84 Mitsubishi Heavy Industries 10,000 89 Mitsubishi Materials 3,000 18 Nishimatsu Construction 6,000 71 NKK * 23,000 72 Nomura Securities 4,000 87 NSK 6,000 48 Sankyo 3,000 73 Shin Etsu Chemical 3,150 69 Sumitomo Bank 2,000 43 Suzuki Motor 3,000 38 Teijin 13,000 71 Tokio Marine & Fire Insurance 6,000 83 Toshiba 5,000 39 ------ 1,285 ------ MALAYSIA -- 2.7% Genting Berhad 5,000 45 United Engineers 7,000 48 ------ 93 ------ NETHERLANDS -- 6.9% Aegon 879 42 Elsevier 6,200 93 Gucci * 800 43 Hunter Douglas 450 29 Polygram 460 27 ------ 234 ------ SINGAPORE -- 4.0% Jardine Matheson Holdings 6,800 54 Overseas Chinese Banking Foreign 6,000 83 ------ 137 ------ SPAIN -- 1.5% Centros Comerciales Pryca 1,100 25 Telefonica de Espana 1,500 27 ------ 52 ------ 31
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) INTERNATIONAL EQUITY FUND ------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) ------------------------------------------------------------- SWEDEN -- 6.8% Astra AB, Series A 2,400 $ 107 Ericsson LM, Series B 4,400 89 Securitas AB, Series B 600 35 ------ 231 ------ SWITZERLAND -- 3.7% Roche Holdings 6 47 Sandoz Pharmaceutical 70 77 ------ 124 ------ UNITED KINGDOM -- 14.6% British Telecommunications 4,900 27 Dixons Group 24,300 180 General Electric 18,100 98 Glaxo Wellcome 8,200 99 Williams Holdings 17,400 90 ------ 494 ------ Total Foreign Common Stocks (Cost $2,762,928) 3,239 ------ FOREIGN PREFERRED STOCK -- 1.1% GERMANY -- 1.1% SAP 275 37 ------ Total Foreign Preferred Stock (Cost $44,914) 37 ------ Total Investments -- 96.6% (Cost $2,807,842) $3,276 ====== * NON-INCOME PRODUCING SECURITY. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. INTERNATIONAL SMALL CAP EQUITY FUND ------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) ------------------------------------------------------------- FOREIGN COMMON STOCKS -- 91.7% AUSTRALIA -- 1.4% Adelaide Bank 195,000 $ 581 Australian National 640,000 583 Digicall Group* 250,000 202 Foodland Associated 65,000 248 Savage Resources 231,000 203 Savage Resources Options* 23,100 6 ------ 1,823 ------ AUSTRIA -- 1.0% Austria Mikro Systeme International* 1,441 175 Wolford 5,176 1,125 ------ 1,300 ------ BELGIUM -- 0.3% Quick Restaurants 3,834 403 ------ DENMARK -- 1.6% Martin Gruppen* 14,541 850 Oticon Holding AS, Series A 10,750 1,148 ------ 1,998 ------ FINLAND -- 0.0% Benefon Oy 2,500 45 ------ FRANCE -- 3.3% Airfeu SA 6,864 248 Assystem* 4,240 513 Bertrand Faure 2,500 82 Brioche Pasquier 1,807 268 But SA 9,025 603 CIPE France SA 6,566 572 Deveaux SA 2,483 319 Filipacchi Medias 16 3 Grand Optical-Photoservice 3,783 452 Guilbert SA 3,826 628 Hermes International 1,645 436 NRJ SA 10 1 ------ 4,125 ------ GERMANY -- 2.8% Adidas* 4,710 356 Boss (Hugo) 449 449 Cewe Color Holding 3,132 1,115 Jil Sander 866 736 Kiekert* 18,876 573 Marschollek Lauten 342 345 ------ 3,574 ------ HONG KONG -- 2.2% ASM Pacific Technology 67,000 66 Chen Hsong 230,000 118 32
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================================================================================ ------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) ------------------------------------------------------------- China Resources Development 400,000 $ 247 East Asiatic Company 320,000 42 Four Seas Mercantile 250,000 95 Gold Peak 510,000 265 Grand Hotel Holdings `A' 580,000 238 Harbour Centre 211,000 286 HKR International 300,000 341 Hon Kwok Land Investment 402,000 140 Hong Kong Aircraft Engineering 44,800 114 Jardine International Motor 100,000 129 Liu Chong Hing Bank 140,000 194 Regal Hotels International 800,000 203 Wing Hang Bank 72,000 264 Winsor Industrial 73,000 67 ------ 2,809 ------ INDONESIA -- 1.0% Bukaka Teknik Utama 75,000 129 Clipan Finance 67,500 84 Fastfood Indonesia 31,000 40 PT Aneka Kimia Ray 72,000 133 PT Bank Niaga 50,000 125 PT Enseval Putera 151,000 105 Sari Husada 15,000 86 Tempo Scan Pacific 40,000 102 Tigaraksa Satria 40,000 206 Trias Sentosa 84,000 179 Wicaksana Overseas 40,000 115 ------ 1,304 ------ ITALY -- 4.8% De Rigo ADR* 40,937 1,233 Gewiss 90,031 1,302 Industria Machine* 69,153 487 Industrie Natuzzi Spa ADR 39,022 2,029 Saes Getters 20,113 508 Saes Getters Di Risp 30,614 607 ------ 6,166 ------ JAPAN -- 44.5% Aderans 20,000 475 Aichi 60,000 683 Alpine Electronics 37,000 729 Apic Yamada 22,000 686 Arcland Sakamoto 45,000 542 Belluna 1,200 26 Beltecno 30,000 356 Bridgestone 70,000 904 Cesar 80,000 796 Chubu Sekiwa Real Estate 44,000 732 Chuo Warehouse 45,000 602 Circle K 22,000 968 CKD 60,000 689 Daishowa Paper 65,000 603 Daiwabo Information Systems 27,500 618 ------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) ------------------------------------------------------------- Enix 20,000 $ 581 Fast Retailing 10,000 402 Fuji Machine Manufacturing 20,000 658 Fuso Lexel 23,000 271 Higashi Nihon House 20,000 325 Honma Golf 17,400 413 H.I.S. 15,000 884 Ichiken 50,000 579 Itoki Crebio 65,000 542 Japan Digital Lab 20,000 486 Japan Industry Land 22,000 781 Juken Sangyo 50,000 583 Kaneshita Construction 45,000 581 Kansai Sekiwa 45,000 792 Kanto Seino Transportation 25,000 787 Kawasho Lease System 10,000 124 Kawasumi Labs 40,000 555 Maezawa Kaisei 17,000 680 Mars Engineering 8,000 584 Maruco 16,000 1,432 Maspro Denkoh 25,000 686 Meitec 3,000 66 Ministop 30,000 809 Misumi 24,200 831 Mitsuba Electric 50,000 626 Mitsui High-Tec 28,000 718 Mitsui Home 45,000 753 Mitsumi Electric 30,000 548 Nichiha 38,500 707 Nichii Gakkan 16,500 888 Nippon Kanzai 22,000 661 Nippon Thompson 95,000 945 Nissin 15,600 759 Nissin Electric 100,000 809 Nitto Electric Works 60,000 958 Nitto Kohki 22,000 894 Noritsu Koki 24,000 978 OSG 95,000 788 Paramount Bed 11,000 752 Paris Miki 20,000 847 Plenus 9,900 415 PS 35,000 669 Ricoh Elemex 55,000 868 Ryohin Keikaku 8,400 751 Ryoyo Electro 23,000 592 Sakai Chemical Industry 120,000 876 Sansei Yusoki 40,000 524 Sanyo Shinpan 8,000 558 Satori Electric 17,000 780 Seijo 20,000 627 Sekiwa Real Estate 45,000 512 Shimachu 20,000 679 Shimadzu 120,000 820 Shin Nikkei 70,000 559 Shinki 24,000 895 Sintokogio 65,000 591 33
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) INTERNATIONAL SMALL CAP EQUITY FUND ------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) ------------------------------------------------------------- Stamina Foods 39,600 $ 401 Takada Kiko Steel 43,000 485 Takuma 50,000 770 Tanseisha 50,000 693 Terumo 75,000 954 TKC 24,700 765 Tohoku Misawa Home 50,000 626 Towa Pharmaceutical 11,000 293 Toyo Shutter 70,000 743 Trusco Nakayama 33,000 852 Tsudakoma 100,000 784 Wakita 40,000 719 Xebio 20,000 746 Yamae Hisano 25,000 230 Yoshinoya D&C 34 484 Yukiguni Maitake 26,000 249 ------- 56,982 ------- MALAYSIA -- 1.9% Cement Manufacturers Sarawak 15,000 87 Cycle and Carr Bin 60,000 378 Hock Hua Bank 60,000 184 IOI Properties 70,000 232 KFC Holdings 35,000 211 Metacorp 20,000 57 Muhibbah Engineering 40,000 152 Nylex Berhad 80,000 327 Public Finance 145,000 348 RJ Reynolds Berhad 70,000 222 Road Builder 25,000 110 Shah Alam Properties 38,000 148 ------- 2,456 ------- NETHERLANDS -- 2.5% Aalberts Industries 4,282 344 Gucci* 27,880 1,510 IHC Caland 11,708 460 Otra 12,430 308 Randstad Holdings 7,315 469 Sphinx Kon Gustavsberg 9,188 151 ------- 3,242 ------- NORWAY -- 3.2% Awilco AS, Series B 32,981 327 Hitec AS 58,640 330 Industri Investor* 112,740 343 Nera AS 16,461 599 Norman Data Defence* 17,150 313 Sensonor AS 39,817 334 Sysdeco Group AS* 4,000 48 System Etiketterin 47,403 744 Tomra Systems 84,595 779 Transocean* 9,709 272 ------- 4,089 ------- ------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) ------------------------------------------------------------- PHILIPPINES -- 0.2% Bacnotan Consolidated 8,000 $ 42 Belle Corporation* 400,000 59 First Philippene Holdings 74,533 170 Union Bank of Philippines* 12,000 15 ------ 286 ------ SINGAPORE -- 1.6% Amtek Engineering 170,000 285 Comfort Group 80,000 73 Courts Singapore 177,000 291 CSA Holding* 75,000 81 Haw Par Brothers International 76,000 193 Hong Leong Finance 20,000 82 Jurong Engineering 50,000 222 Singap Tech Ship & Engine 152,000 344 SNP 75,000 67 Tiger Medicals 35,000 60 Venture Manufacturing 100,000 342 ------ 2,040 ------ SOUTH KOREA -- 0.2% Daesung Industrial 1,000 80 Daesung Rights 400 8 Halla Engineering & Construction 4,364 204 ------ 292 ------ SPAIN -- 0.2% Cortefiel 13,937 301 ------ SWEDEN -- 3.6% Allgon, Series B 5,000 76 Assa Abloy, Series B* 39,202 445 Elekta Instrument AB, Series B 5,994 207 Garphyttan Industrier AB 22,000 305 Hoganas AB, Series B 23,488 780 Kalmar 34,965 634 Opcon, Series B* 320 271 Sintercast, Series A* 23,860 1,531 Trio* 10,080 342 ------ 4,591 ------ SWITZERLAND -- 0.6% Fust 1,170 363 Kardex PC 1,155 344 ------ 707 ------ THAILAND -- 0.5% Hana Microelectric 31,000 171 Regional Container Line 7,000 84 Robinson Department Store 52,000 124 Serm Suk 6,040 185 Srithai Superware 12,000 89 ------ 653 ------ 34
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================================================================================ ------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) ------------------------------------------------------------- UNITED KINGDOM -- 14.3% Albright & Wilson 60,000 $ 160 Allders 15,500 49 Allied Colloids 40,000 80 Alumasc Group 50,909 332 Amersham International 13,000 209 Applied Distribution Group 100,000 250 Argos 50,000 488 Ashtead Group 230,600 666 Associated British Ports 66,700 301 Baynes (Charles) 140,000 293 BBA Group 85,000 445 Bunzl 100,000 346 Business Post Group 75,000 426 Capital Shopping 100,000 421 Charter 17,500 250 Compass Group 40,000 329 Courtaulds Textile 32,500 204 Cowie Group 90,000 519 Daily Mail & General Trust A 17,200 420 Dalgety 50,000 294 Devro International 77,000 271 Diploma 42,500 267 Fairey Group 43,650 434 Firstbus 90,400 230 Forth Ports 37,500 378 Glynwed International 55,000 306 Great Portland Estates 38,000 104 Henlys 43,900 434 Hepworth 60,000 273 Ibstock 210,000 270 Ideal Hardware 44,000 400 ISA International 100,000 259 Laird Group 50,000 368 London Clubs 44,500 366 Marston Thompson 50,000 262 MFI Furniture 105,000 281 Mirror Group 103,700 359 Misys 26,376 327 Morrison Supermarket 25,000 64 Perkins Food 55,000 66 Pillar Property Investment 133,400 363 Pizza Express 100,000 523 Rotork 81,450 279 Rugby Group 120,000 231 Sanderson Holding 25,000 110 Scapa Group 57,000 206 Security Services 22,400 412 Sheffield Insulation 53,900 204 Smith (David S.) Holding 67,900 306 Spirax-Sarco Engineering 40,000 439 Stagecoach Holdings 38,200 261 Stat-Plus Group 40,000 142 Staveley Industries 60,000 201 --------------------------------------------------------------- SHARES/ MARKET VALUE DESCRIPTION FACE AMOUNT (000)(1) (000) --------------------------------------------------------------- Trafford Park Estates 120,000 $ 191 Trinity Holdings 45,400 268 Ulster Television 20,000 388 United News & Media 25,600 267 Vickers PLC 120,000 466 Vitec Group 45,000 511 Vosper Thornycroft 21,850 270 ------- 18,239 ------- Total Foreign Common Stocks (Cost $100,131,194) 117,425 -------- FOREIGN PREFERRED STOCKS -- 3.3% GERMANY -- 3.3% Berentzen-Gruppe 29,433 1,038 Fielmann 12,675 556 Hach 848 298 Mobel Walther 10,190 403 Puma 1,871 645 Rhone Klinikum 9,192 1,078 Sto Vorzug 601 253 -------- 4,271 -------- Total Foreign Preferred Stocks (Cost $3,696,285) 4,271 -------- COMMON STOCKS -- 0.2% UNITED STATES -- 0.2% PixTech* 36,153 316 -------- Total Common Stocks (Cost $363,926) 316 -------- FOREIGN CONVERTIBLE BONDS -- 1.5% JAPAN -- 0.6% Meitec 3.200%, 03/31/04 50,000 794 -------- NORWAY -- 0.9% Vard 0.000%, 12/12/98 $ 439 1,079 -------- Total Foreign Convertible Bonds (Cost $1,089,344) 1,873 -------- Total Investments -- 96.7% (Cost $105,280,749) $123,885 ======== *NON-INCOME PRODUCING SECURITY ADR AMERICAN DEPOSITORY RECEIPT PC PARTICIPATING CERTIFICATE (1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 35
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) EUROPEAN SMALL CAP EQUITY FUND ------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) ------------------------------------------------------------- FOREIGN COMMON STOCKS -- 82.1% AUSTRIA -- 2.7% Austria Mikro Systeme International* 868 $ 106 Wolford 889 193 ------ 299 ------ BELGIUM -- 0.7% Quick Restaurants 722 76 ------ DENMARK -- 2.8% Martin Gruppen* 1,200 70 Oticon Holding AS, Series A 2,292 245 ------ 315 ------ FINLAND -- 0.2% Benefon Oy 1,300 24 ------ FRANCE -- 7.7% Airfeu SA 1,527 55 Assystem* 910 110 Brioche Pasquier 481 71 But SA 1,250 83 CIPE France SA 1,069 93 Deveaux SA 500 64 Filipacchi Medias 3 1 Grand Optical-Photoservice 1,155 138 Guilbert SA 819 135 Hermes International 415 110 ------ 860 ------ GERMANY -- 9.6% Adidas* 950 72 Alulux Mining 72 273 Biotest 200 68 Boss (Hugo) 60 60 Cewe Color Holding 128 46 Jil Sander 156 132 Kiekert* 2,700 82 Marschollek Lauten 72 73 Sandvest Petroleum* 40 271 ------ 1,077 ------ ITALY -- 8.1% De Rigo ADR* 6,140 185 Gewiss 11,836 171 Industria Machine* 17,000 120 Industrie Natuzzi Spa ADR 3,194 166 Saes Getters 6,350 160 Saes Getters Di Risp 4,000 79 Saes Getters Priv 1,500 22 ------ 903 ------ ------------------------------------------------------------- MARKET VALUE DESCRIPTION SHARES (000) ------------------------------------------------------------- NETHERLANDS -- 3.2% Aalberts Industries 1,925 $ 155 Gucci* 1,950 106 OTRA Securities Group 3,750 93 ------ 354 ------ NORWAY -- 6.1% Awilco AS, Series B 7,210 72 Hitec AS* 6,600 37 Nera AS 2,260 82 Norman Data Defence* 3,600 66 Sensonor AS 7,681 64 Sysdeco Group AS* 2,000 24 System Etiketterin 7,651 120 Tomra Systems 15,966 147 Transocean* 2,368 66 ------ 678 ------ SPAIN -- 0.4% Cortefiel 1,885 41 ------ SWEDEN -- 8.6% Allgon, Series B 2,500 38 Assa Abloy, Series B* 7,965 90 Elekta Instrument AB, Series B 800 28 Garphyttan Industrier AB 5,000 69 Hoganas AB, Series B 6,187 205 Kalmar 7,590 138 Opcon, Series B* 70 59 Sintercast, Series A* 4,090 262 Trio* 2,170 74 ------ 963 ------ SWITZERLAND -- 1.1% Fust 142 44 Kardex PC 274 82 ------ 126 ------ UNITED KINGDOM -- 30.9% Albright & Wilson 20,000 53 Allied Colloids 25,000 50 Amersham International 3,000 48 Argos 16,800 164 Associated British Ports 6,700 30 BBA Group 32,000 167 Bradford Properties 16,000 57 Bunzl 13,700 47 Capital Shopping 12,500 53 Charter 5,000 71 Compass Group 11,000 90 Courtaulds Textiles 7,500 47 Cowie Group 14,500 84 36
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================================================================================ ------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) ------------------------------------------------------------- Daily Mail & General Trust A 4,800 $ 117 Dalgety 20,000 118 Devro International 24,200 85 Diploma 16,000 100 Fairey Group 8,750 87 Forth Ports 6,800 69 Glynwed International 22,000 122 Great Portland Estates 18,000 49 Henlys 8,900 88 Hepworth 25,000 114 Ibstock 65,000 84 Laird Group 19,200 141 London Clubs 9,750 80 MFI Furniture 36,100 97 Mirror Group 13,400 46 Misys 4,400 55 Morrison Supermarket 12,000 31 Pillar Property Investment 18,200 50 Rugby Group 40,000 77 Scapa Group 10,000 36 Security Services 7,500 138 Smith (David W.) Holding 19,400 88 Spirax-Sarco Engineering 15,000 164 Stagecoach Holdings 8,400 57 Staveley Industries 14,000 47 Trinity Holdings 10,600 63 United News & Media 3,264 34 Vickers 24,000 93 Vitec Group 4,800 55 Vosper Thornycroft 3,600 45 Wilson Holdings 25,000 70 ------ 3,461 ------ Total Foreign Common Stocks (Cost $7,291,624) 9,177 ------ FOREIGN PREFERRED STOCKS -- 7.3% GERMANY -- 7.3% Berentzen-Gruppe 4,380 155 Fielmann 2,100 92 Hach 135 47 Mobel Walther 3,230 128 Puma 400 138 Rhoen Klinikum 2,172 255 ------ 815 ------ Total Foreign Preferred Stocks (Cost $619,792) 815 ------ -------------------------------------------------------------- SHARES/FACE AMOUNT MARKET DESCRIPTION (000)(1) VALUE (000) -------------------------------------------------------------- COMMON STOCK -- 0.5% UNITED STATES -- 0.5% PixTech* 5,960 $ 52 ------- Total Common Stock (Cost $59,924) 52 ------- FOREIGN CONVERTIBLE BOND -- 2.1% NORWAY -- 2.1% Vard 0.000%, 12/12/98 $ 94 232 ------- Total Foreign Convertible Bond (Cost $94,560) 232 ------- Total Investments -- 92.0% (Cost $8,065,900) $10,276 ======= *NON-INCOME PRODUCING SECURITY ADR AMERICAN DEPOSITORY RECEIPT PC PARTICIPATING CERTIFICATE (1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. EMERGING MARKETS EQUITY FUND FOREIGN COMMON STOCKS -- 93.0% ARGENTINA -- 2.8% Atanor SA, Series D* 86,375 $ 240 Disco* 65,000 1,032 Quilmes Industrial SA ADR 33,000 396 Quilmes Industrial 16,500 196 YPF SA ADR 45,000 984 ------- 2,848 ------- BOTSWANA -- 0.6% Sechaba Investment* 800,000 596 ------- BRAZIL -- 5.9% Cia Energetica de Minas 41,800 1,087 Centrais Eletrica 872,000 615 Eletrobras 1,500,000 361 Makro Atacadista GDR* 115,000 874 Telecom Brasileiras ADR 38,740 2,097 Vale Rio Doce ADR 50,000 919 ------- 5,953 ------- CHILE -- 2.9% Cia Telecomunicacion Chile ADR 8,000 730 37
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) EMERGING MARKETS EQUITY FUND ------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) ------------------------------------------------------------- Enersis ADR 30,000 $ 893 Maderas Y Sinteticos ADR 8,500 135 Santa Isabel ADR* 40,000 1,155 ------- 2,913 ------- COLOMBIA -- 1.9% Banco de Colombia 1,933,078 865 Cadenalco ADR 25,000 425 Suramericana 38,386 662 ------- 1,952 ------- GREECE -- 1.3% Ergo Bank 7,350 370 Goody's 9,800 165 Hellenic Bottling 9,825 353 Hellenic Sugar 900 8 Hellenic Tellecomunication* 14,800 249 Lavipharm* 18,720 165 ------- 1,310 ------- HUNGARY -- 1.1% Egis Gyogyszer EDR 9,600 410 Richter Gedeon GDS 7,000 247 Richter Gedeon 12,000 419 ------- 1,076 ------- INDIA -- 7.4% Bajaj Auto 28,750 727 East India Hotels 50,000 1,036 Grasim Industries 24,200 417 Gujarat Ambuja Cement 82,800 847 Hindalco Industries 25,000 946 Larsen & Toubro 90,000 751 Mahangar Telephone 150,000 991 Oriental Bank of Commerce 206,500 515 State Bank of India* 86,000 757 Steel Authority of India GDR* 30,000 450 ------- 7,437 ------- INDONESIA -- 7.3% Bank Danamon 350,000 511 Bimantara Citra* 590,000 842 Bukaka Teknik Utama* 280,000 481 Duta Pertiwi Nusan 348,000 127 Gudang Garam 100,000 719 Kalbe Farma 95,000 275 Panin Bank 197,000 201 PT Aneka Kimia Ray 91,200 168 PT Enseval Putera 76,000 53 PT Indah Kiat Pulp & Paper 273,882 285 PT Indah Kiat Pulp & Paper Rights* 68,470 43 PT Tempo Scan Pacific 180,000 460 Semen Gresik 56,000 194 Telekomunikasi* 1,000,000 1,664 Tigaraksa Satria 104,000 536 ------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) ------------------------------------------------------------- Tjiwi Kimia 201,780 $ 212 Trias Sentosa 85,000 181 Wicaksana Overseas 150,000 432 ------- 7,384 ------- ISRAEL -- 1.8% Blue Square Stores* 126,800 921 Makhteshim Chemicals Work* 78,000 487 Tadiran Telecommunications* 25,000 364 ------- 1,772 ------- MALAYSIA -- 16.7% Arab Malaysian Merchant Bank 56,666 261 Berjaya Sports 500,000 1,604 DCB Holdings 380,000 1,387 Gadek 120,000 789 Genting Berhad 30,000 270 KFC Holdings 100,000 602 Land and General 360,000 960 Leader Universal 250,000 737 Magnum 400,000 693 Malayan Banking 190,000 1,852 Malaysian Industrial Development 343,000 572 Nylex Berhad 200,000 818 Perusahaan Otomobil 150,000 740 Petronas Gas 150,000 662 Renong Berhad 140,000 244 Resorts World Berhad 120,000 727 RJ Reynolds Berhad 180,000 570 Telekom Malaysia 160,000 1,508 UMW Holdings Berhad 200,000 658 United Engineers 160,000 1,097 ------- 16,751 ------- MEXICO -- 8.3% Cifra SA ADR* 790,000 1,043 Corporacion Geo SA ADR* 8,750 139 Corporacion Geo SA GDS* 11,250 174 Empaques Ponderosa ADS 47,000 378 Empresas Ica Sociedad Controladora ADR 75,000 1,041 Grupo Financiero Bancomer, Series B* 1,365,000 607 Grupo Financiero Bancomer, Series L* 50,555 18 Grupo Industria Bimbo, Series A 105,000 481 Grupo Industria Saltillo, Series A 40,000 830 Grupo Televisa GDR 16,000 496 Kimberly Clark, Series A 26,000 475 Nacional de Drogas, Series B 10,000 44 Nacional de Drogas, Series L 255,000 1,172 Sigma Alimentos, Series B 60,000 433 38
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================================================================================ ------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) ------------------------------------------------------------- Telefonos de Mexico ADR, Series L 16,000 $ 544 Transport Marititime de Mexico, Series L 51,000 426 ------ 8,301 ------ PAKISTAN -- 0.5% Engro Chemicals 110,000 396 Pakistan Telecom* 699 71 ------ 467 ------ PERU -- 0.8% CPT Telefonica del Peru, Series B 347,685 778 ------ PHILIPPINES -- 2.1% Aboitiz Equity Ventures* 1,628,600 318 Ayala Land, Series B 112,000 174 Bacnotan Consolidated 67,714 353 Belle Corporation* 2,100,000 310 First Philippine Holdings 99,840 227 Manila Electric 44,000 411 Metro Bank & Trust 7,000 189 Philippine National Bank* 12,000 179 ------ 2,161 ------ POLAND -- 0.6% Bank Przemyslowo* 4,420 226 Bydgosk Fabryka Kabli* 6,500 181 Zywiec* 2,000 166 ------ 573 ------ PORTUGAL -- 1.3% Banco Portugal de Invest 340 4 Banco Totta & Acores 8,000 154 Barbosa E Almeida 8,888 187 Cimentos de Portugal 13,890 261 Jeronimo Martins 4,000 321 Semapa* 24,000 259 TVI - Televisao Industries* 31,680 91 ------ 1,277 ------ SOUTH AFRICA -- 12.5% Anglo American Gold Investment 18,400 1,915 Anglovaal, Series N 26,000 904 Cadbury Schweps SA 33,500 470 DeBeers Centenary Linked Units 54,250 1,732 Fedsure Holdings 80,000 561 JCI 135,500 1,162 Malbak 152,500 733 Metro Cash & Carry 153,500 598 Metropolitian Life 48,500 674 Pick 'N Pay Stores 260,000 829 Rembrandt Group 94,000 806 ------------------------------------------------------------- MARKET DESCRIPTION SHARES VALUE (000) ------------------------------------------------------------- Smith Foods 47,750 $ 769 South African Brewery 28,800 834 Southern Life 60,000 619 ------- 12,606 ------- SOUTH KOREA -- 4.4% Daesung Industry 3,300 263 Daesung Industry Rights* 1,320 41 Dong-Ah Construction 6,120 240 Dong-Ah Construction EDR 15,186 338 Hanil Bank 9,700 122 Hyundai Engineering 12,690 641 Hyundai Motor GDR 21,000 326 Korea Electric Power 7,500 317 Korean Air Lines 5,000 162 Pohang Iron & Steel 850 67 Pohang Iron & Steel ADR 11,000 303 Samsung Electric GDR 26,360 1,081 Samsung Electric GDS 1,603 119 Shinhan Bank 19,836 438 ------- 4,458 ------- TAIWAN -- 0.4% China Steel 11,000 245 Siliconware Precision GDR* 14,804 202 ------- 447 ------- THAILAND -- 8.4% Advanced Info Service 100,000 1,696 Electricity Generating 138,000 541 Finance One 105,000 736 Krung Thai Bank 350,000 1,720 PTT Exploration 89,500 1,234 Srithai Superware 50,000 372 Thai Farmers Bank 60,000 689 Thai Military Bank 300,000 1,450 ------- 8,438 ------- TURKEY -- 2.3% Arcelik 2,050,000 237 Ardem* 1,500,000 374 Eczacibasi Yatirim 1,300,000 220 Kartonsan 2,300,000 254 T Siemens 610,000 231 T Sise Cam 1,100,000 183 Trakya Cam 2,338,748 326 Vakif Fin Kiralama 9,000,000 467 ------- 2,292 ------- UNITED KINGDOM -- 0.8% Antofagasta Holdings 160,000 837 ------- UNITED STATES -- 0.9% Mauritius Fund* 64,000 608 39
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) EMERGING MARKETS EQUITY FUND -------------------------------------------------------------- SHARES/ MARKET DESCRIPTION FACE AMOUNT (000)(1) VALUE (000) -------------------------------------------------------------- Oryx Fund* 35,000 $ 298 -------- 906 -------- Total Foreign Common Stocks (Cost $83,954,511) 93,533 -------- FOREIGN PREFERRED STOCKS -- 8.8% BRAZIL -- 8.7% Brasmotor 2,000,000 544 Cesp Cia Energetica ADR 30,000 277 Dixie Toga 1,159,338 1,087 Eletrobras 1,500,000 370 Ind Bebidas Antartica 4,920 595 Metalurgica Schulz 9,400,000 171 OSA 98,000,000 810 Petrol Brasileiros 3,466,666 404 Refripar 274,714,330 692 Telemig, Series B 15,410,000 1,260 Telerj 13,650,000 999 Weg 1,700,000 732 Unibanco 19,233,000 821 -------- 8,762 -------- PORTUGAL -- 0.1% Barbosa E Almeida 4,444 93 -------- Total Foreign Preferred Stocks (Cost $8,352,538) 8,855 -------- FOREIGN CONVERTIBLE BONDS -- 0.5% INDONESIA -- 0.0% Modernland Realty 6.000%, 01/06/03 20 21 -------- TAIWAN -- 0.5% Formosa Chemical & Fibre 1.750%, 07/19/01 $ 280 283 Yang Ming Marine 2.000%, 10/06/01 $ 210 250 -------- 533 -------- Total Foreign Convertible Bonds (Cost $555,022) 554 -------- Total Investments -- 102.3% (Cost $92,862,070) $102,942 ======== *NON-INCOME PRODUCING SECURITY ADR AMERICAN DEPOSITORY RECEIPT ADS AMERICAN DEPOSITORY SHARES EDR EUROPEAN DEPOSITORY RECEIPT GDR GLOBAL DEPOSITORY RECEIPT GDS GLOBAL DEPOSITORY SHARES (1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. GLOBAL FIXED INCOME FUND -------------------------------------------------------------- FACE MARKET DESCRIPTION AMOUNT (000)(1) VALUE (000) -------------------------------------------------------------- FOREIGN BONDS -- 75.8% AUSTRALIA -- 2.9% Australian Government 7.500%, 07/15/05 6,300 $ 4,588 ------- AUSTRIA -- 2.4% Government of Austria 8.000%, 06/17/02 DM5,100 3,682 ------- CANADA -- 5.0% Government of Canada 9.000%, 12/01/04 3,800 3,011 Ontario Hydro 9.000%, 06/24/02 5,900 4,674 ------- 7,685 ------- DENMARK -- 7.4% Kingdom of Denmark 7.000%, 12/15/04 36,000 6,092 8.000%, 03/15/06 31,000 5,528 ------- 11,620 ------- GERMANY -- 14.4% Bayer Hypo/Wech 6.000%, 09/13/00 10,100 6,809 Bundesobligation 6.375%, 05/20/98 2,900 1,987 Deutsche Pfandbriefe Hypobank 5.000%, 02/22/01 3,000 1,934 Deutschland Republic 5.250%, 10/20/98 6,800 4,576 Westdeutsche Landesbank 6.375%, 07/15/03 3,000 1,974 6.250%, 09/15/03 3,000 1,958 World Bank 7.125%, 04/12/05 5,000 3,413 ------- 22,651 ------- FINLAND -- 1.8% Republic of Finland 8.000%, 04/07/03 UK1,880 2,809 ------- ITALY -- 11.9% European Bank Reconstruction & Development 9.750%, 07/28/00 9,000,000 5,989 Republic of Italy 10.500%, 11/01/00 13,900,000 9,338 9.500%, 02/01/01 5,000,000 3,250 ------- 18,577 ------- 40
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================================================================================ ------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000)(1) VALUE (000) ------------------------------------------------------------- JAPAN -- 15.3% Government of Japan 6.700%, 06/20/00 295,000 $ 3,306 5.700%, 06/20/02 800,000 8,844 4.800%, 12/20/02 610,000 6,436 3.600%, 06/20/05 550,000 5,370 -------- 23,956 -------- SWEDEN -- 8.4% Kingdom of Sweden 10.250%, 05/05/00 31,000 5,032 13.000%, 06/15/01 23,000 4,155 10.250%, 05/05/03 24,000 3,977 -------- 13,164 -------- UNITED KINGDOM -- 6.3% Abbey National 8.000%, 04/02/03 2,500 3,723 United Kingdom Treasury 9.750%, 08/27/02 1,300 2,149 8.500%, 12/07/05 2,600 4,038 -------- 9,910 -------- Total Foreign Bonds (Cost $119,749,974) 118,642 -------- FOREIGN CURRENCY OPTION -- 0.1% GERMANY -- 0.1% Deutsche Mark Put* 07/17/96 $7,700 188 -------- Total Foreign Currency Option (Cost $145,222) 188 -------- FOREIGN TIME DEPOSIT -- 1.7% DENMARK -- 1.7% Swiss Bank 3.500%, 05/02/96 15,525 2,631 -------- Total Foreign Time Deposit (Cost $2,633,811) 2,631 -------- CORPORATE OBLIGATIONS -- 2.7% UNITED STATES -- 2.7% General Electric Capital 8.125%, 02/23/07 4,000 4,275 -------- Total Corporate Obligations (Cost $ 4,270,946) 4,275 -------- ------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000)(1) VALUE (000) ------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 15.6% U.S. Treasury Notes 6.875%, 04/30/97 3,250 $ 3,287 5.125%, 03/31/98 4,000 3,934 5.125%, 12/31/98 3,200 3,117 7.500%, 11/15/01 2,500 2,615 6.375%, 08/15/02 (2) 5,900 5,849 6.250%, 02/15/03 4,100 4,030 9.875%, 11/15/15 1,236 1,601 -------- Total U.S. Treasury Obligations (Cost $24,620,775) 24,433 -------- Total Investments -- 95.9% (Cost $151,420,728) $150,169 ======== *NON-INCOME PRODUCING SECURITY DM GERMAN MARK UK BRITISH POUND STERLING (1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED (2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE CONTRACTS WITH AN AGGREGATE MARKET VALUE OF $5,849,024 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. INTERNATIONAL FIXED INCOME FUND FOREIGN BONDS -- 93.3% DENMARK -- 9.4% Kingdom of Denmark 7.000%, 12/15/04 (2) 6,000 $ 1,015 8.000%, 03/15/06 (2) 10,600 1,890 ------- 2,905 ------- FINLAND -- 3.4% Republic of Finland 7.500%, 01/27/00 DM1,500 1,062 ------- GERMANY -- 20.7% African Development Bank 7.250%, 10/21/99 1,250 877 Bayer Landesbank 6.000%, 02/16/04 1,500 960 Deutsche Pfandbriefe Hypobank 5.000%, 02/22/01 2,100 1,354 Deutschland Bundesrepublik 7.250%, 10/21/02 710 501 KFW International Finance 7.250%, 12/03/97 1,050 722 41
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SCHEDULE OF INVESTMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) INTERNATIONAL FIXED INCOME FUND ------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000)(1) VALUE (000) ------------------------------------------------------------- LKB Baden Wurttenberg 6.625%, 08/20/03 1,100 $ 736 Norddeutsche Landesbank 6.000%, 01/05/04 1,000 640 Treuhandanstalt 7.500%, 09/09/04 900 636 ------- 6,426 ------- ITALY -- 14.7% European Bank Reconstruction & Development 9.750%, 07/28/00 1,960,000 1,304 Republic of Italy 10.500%, 11/01/98 300,000 199 10.500%, 11/01/00 2,800,000 1,881 9.500%, 02/01/01 1,800,000 1,170 ------- 4,554 ------- JAPAN -- 23.0% Asian Development Bank 5.000%, 02/05/03 100,000 1,060 Government of Japan 6.700%, 06/20/00 105,000 1,177 4.800%, 12/20/02 116,000 1,224 3.600%, 06/20/05 150,000 1,465 Japan Development Bank 5.000%, 10/01/99 100,000 1,046 World Bank 4.750%, 12/20/04 110,000 1,166 ------- 7,138 ------- SWEDEN -- 11.1% Kingdom of Sweden 10.250%, 05/05/00 7,400 1,201 13.000%, 06/15/01 (2) 7,200 1,301 10.250%, 05/05/03 5,600 928 ------- 3,430 ------- UNITED KINGDOM -- 8.4% British Telecom PLC 7.125%, 09/15/03 550 781 Halifax 7.750%, 12/03/98 300 457 United Kingdom Treasury 7.500%, 12/07/06 950 1,378 ------- 2,616 ------- ------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000)(1) VALUE (000) ------------------------------------------------------------- UNITED STATES -- 2.6% Federal National Mortgage Association 6.000%, 08/23/00 DM 1,200 $ 808 ------- Total Foreign Bonds (Cost $29,199,757) 28,939 ------- FOREIGN TIME DEPOSIT -- 2.2% DENMARK -- 2.2% National Australia Bank 3.500%, 05/02/96 4,050 686 ------- Total Foreign Time Deposit (Cost $687,081) 686 ------- FOREIGN CURRENCY OPTION -- 0.1% GERMANY -- 0.1% Deutsche Mark Put * 07/17/96 1,400 34 ------- Total Foreign Currency Option (Cost $26,404) 34 ------- Total Investments -- 95.6% (Cost $29,913,242) $29,659 ======= * NON-INCOME PRODUCING SECURITY. DM GERMAN MARK (1) IN LOCAL CURRENCY UNLESS OTHERWISE INDICATED. (2) SECURITIES SEGREGATED TO COLLATERALIZE FORWARD EXCHANGE CONTRACTS WITH AN AGGREGATE MARKET VALUE OF APPROXIMATELY $4,206,330. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 42
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================================================================================ EMERGING MARKETS DEBT FUND ------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000)(1) VALUE (000) ------------------------------------------------------------- FOREIGN BONDS -- 86.0% ARGENTINA -- 19.9% Government of Argentina 5.250%, 03/31/23 $7,300 $ 3,960 Government of Argentina FRN 6.313%, 03/31/05 9,603 7,322 6.563%, 03/31/23 2,750 1,898 ------- 13,180 ------- BRAZIL -- 24.4% Government of Brazil 8.000%, 04/15/14 7,425 4,455 5.250%, 04/15/24 4,810 2,513 Government of Brazil FRN 6.375%, 01/01/01 605 555 6.500%, 04/15/06 4,050 3,068 6.563%, 04/15/12 2,200 1,408 6.500%, 04/15/24 2,450 1,654 Petroleo Brazil FRN 10.088%, 06/08/98 2,500 2,571 ------- 16,224 ------- BULGARIA -- 1.9% Government of Bulgaria Discount FRN 6.250%, 07/28/24 2,500 1,250 ------- ECUADOR -- 4.8% Government of Ecuador 3.250%, 02/28/25 4,100 1,455 Government of Ecuador FRN 6.063%, 02/28/25 750 420 Government of Ecuador PDI 6.063%, 02/27/15 2,984 1,298 ------- 3,173 ------- MEXICO -- 14.0% Cemex SA 8.875%, 06/10/98 3,150 3,114 Government of Mexico FRN, Series A 6.250%, 12/31/19 6,500 4,274 Government of Mexico FRN, Series B 6.766%, 12/31/19 900 718 Government of Mexico, FRN, Series D 6.547%, 12/31/19 1,510 1,204 ------- 9,310 ------- NIGERIA -- 3.2% Government of Nigeria 6.250%, 11/15/20 4,000 2,090 ------- ------------------------------------------------------------- FACE AMOUNT MARKET DESCRIPTION (000)(1) VALUE (000) ------------------------------------------------------------- PANAMA -- 4.4% Government of Panama FRN 6.750%, 05/10/02 $ 3,150 $ 2,906 ------- PHILIPPINES -- 3.9% Government of Philippines FRN, Series B 5.000%, 06/01/08 3,000 2,614 ------- POLAND -- 4.7% Government of Poland 2.750%, 10/27/24 2,500 1,247 Government of Poland FRN 6.438%, 10/27/24 2,000 1,855 ------- 3,102 ------- VENEZUELA -- 4.8% Government of Venezuela 6.750%, 03/31/20 1,000 584 6.750%, 03/31/20 500 292 Government of Venezuela FRN 6.563%, 12/18/07 3,500 2,284 ------- 3,160 ------- Total Foreign Bonds (Cost $54,294,226) 57,009 ------- LOAN PARTICIPATIONS -- 9.6% MOROCCO -- 4.7% Morocco R&C Loan FRN (Participation: J.P. Morgan) (3) 01/01/09 4,350 3,110 ------- RUSSIA -- 4.9% Russian Loan Agreement (2) (Participation: J.P. Morgan) (3) DM 6,400 1,855 Russian Loan Agreement (2) (Participation: J.P. Morgan) (3) 3,550 1,429 ------- 3,284 ------- Total Loan Participations (Cost $5,676,833) 6,394 ------- Total Investments -- 95.6% (Cost $59,971,059) $63,403 ======= FRN FLOATING RATE NOTE PDI PAST DUE INCOME DM GERMAN MARK (1) IN U.S. DOLLARS UNLESS OTHERWISE INDICATED (2) NON-INCOME PRODUCING SECURITY. SECURITY IS IN DEFAULT. (3) PARTICIPATIONS WERE ACQUIRED THROUGH FINANCIAL INSTITUTIONS INDICATED PARENTHETICALLY. SEE NOTE 6. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 43
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[Enlarge/Download Table] STATEMENT OF ASSETS AND LIABILITIES (000) ======================================================================================================================= MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) --------- -------- ---------- ---------- --------- SHORT-TERM SHORT-TERM MUNICIPAL FIXED MUNICIPAL FIXED SMALLER BOND INCOME BOND INCOME COMPANIES FUND FUND FUND FUND FUND --------- -------- ---------- ---------- --------- ASSETS: Investment securities (Cost $220,408, $601,701, $3,778, $9,287, $3,335, $2,808, $105,281, $8,066, $92,862, $151,421, $29,913 and $59,971, respectively) $223,075 $597,282 $ 3,780 $ 9,255 $3,818 Cash 5 -- -- -- -- Foreign currency (Cost $1, $749, $15, $527, $5, and $1, respectively) -- -- -- -- -- Dividends and interest receivable 3,685 8,045 49 116 -- Investment securities sold -- 8,285 -- -- 41 Unrealized gain on forward foreign currency contracts -- -- -- -- -- Capital shares sold -- 1 -- -- -- Receivable due from Advisor -- -- 3 1 -- Other assets 1 -- -- -- -- -------- -------- ------- ------- ------ Total assets 226,766 613,613 3,832 9,372 3,859 -------- -------- ------- ------- ------ LIABILITIES: Income distribution payable 1,042 3,188 17 44 -- Investment securities purchased 363 13,680 175 -- 46 Demand note payable -- -- -- -- -- Unrealized loss on forward foreign currency contracts -- -- -- -- -- Investment advisory fees payable 68 176 -- -- -- Administration fees payable 20 53 4 4 3 Accrued expenses and other liabilities 33 417 9 6 3 -------- -------- ------- ------- ------ Total liabilities 1,526 17,514 205 54 52 -------- -------- ------- ------- ------ NET ASSETS: Capital shares (unlimited authorization-- $0.001 par value) 221,969 599,635 3,607 9,358 3,006 Accumulated net realized gain (loss) on investments 588 1,221 10 (6) 319 Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currency, and translation of other assets and liabilities in foreign currency -- -- -- -- -- Net unrealized appreciation (depreciation) on investments 2,667 (4,419) 2 (32) 483 Undistributed net investment income (loss) 16 (338) 8 (2) (1) -------- -------- ------- ------- ------ Net assets $225,240 $596,099 $ 3,627 $ 9,318 $3,807 ======== ======== ======= ======= ====== Outstanding shares of beneficial interest 20,815 57,898 360 935 292 NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE $ 10.82 $ 10.30 $ 10.08 $ 9.97 $13.04 ======== ======== ======= ======= ====== <FN> THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. </FN> [Enlarge/Download Table] =================================================================================================================================== ------------- ------------- --------- -------- ------- ------------- -------- INTERNATIONAL EUROPEAN EMERGING GLOBAL INTERNATIONAL EMERGING INTERNATIONAL SMALL CAP SMALL CAP MARKETS FIXED FIXED MARKETS EQUITY EQUITY EQUITY EQUITY INCOME INCOME DEBT FUND FUND FUND FUND FUND FUND FUND ------------- ------------- --------- -------- ------- ------------- -------- ASSETS: Investment securities (Cost $220,408, $601,701, $3,778, $9,287, $3,335, $2,808, $105,281, $8,066, $92,862, $151,421, $29,913 and $59,971, respectively) $3,276 $123,885 $10,276 $102,942 $150,169 $29,659 $63,403 Cash 79 3,961 804 -- 1,420 384 3,652 Foreign currency (Cost $1, $749, $15, $527, $5, and $1, respectively) 1 756 16 536 -- 6 1 Dividends and interest receivable 10 320 38 159 4,373 921 1,313 Investment securities sold 31 1,087 79 1,927 -- -- 202 Unrealized gain on forward foreign currency contracts -- -- 31 -- 710 131 62 Capital shares sold -- -- -- -- -- 2 -- Receivable due from Advisor 4 -- 1 -- -- -- -- Other assets -- 52 4 3 6 1 -- ------ -------- ------- -------- -------- ------- ------- Total assets 3,401 130,061 11,249 105,567 156,678 31,104 68,633 ------ -------- ------- -------- -------- ------- ------- LIABILITIES: Income distribution payable -- -- -- -- -- -- -- Investment securities purchased -- 1,716 63 3,345 -- -- 2,241 Demand note payable -- -- -- 1,440 -- -- -- Unrealized loss on forward foreign currency contracts -- 151 -- -- -- -- -- Investment advisory fees payable -- 90 -- 57 62 6 52 Administration fees payable 5 11 8 9 14 6 8 Accrued expenses and other liabilities 4 29 6 132 31 52 18 ------ -------- ------- -------- -------- ------- ------- Total liabilities 9 1,997 77 4,983 107 64 2,319 ------ -------- ------- -------- -------- ------- ------- NET ASSETS: Capital shares (unlimited authorization-- $0.001 par value) 2,869 112,872 8,779 92,339 152,481 29,847 56,293 Accumulated net realized gain (loss) on investments 32 (4,301) 124 (1,347) 3,137 748 3,961 Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currency, and translation of other assets and liabilities in foreign currency (1) (140) 31 8 652 117 63 Net unrealized appreciation (depreciation) on investments 468 18,604 2,210 9,958* (1,252) (254) 3,432 Undistributed net investment income (loss) 24 1,029 28 (374) 1,553 582 2,565 ------ -------- ------- -------- -------- ------- ------- Net assets $3,392 $128,064 $11,172 $100,584 $156,571 $31,040 $66,314 ====== ======== ======= ======== ======== ======= ======= Outstanding shares of beneficial interest 283 11,887 863 11,224 14,714 2,910 5,722 NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE $12.00 $ 10.77 $12.94 $ 8.96 $ 10.64 $ 10.67 $ 11.59 ====== ======== ======= ======== ======== ======= ======= <FN> *NET OF $122,000 ACCRUED FOREIGN WITHHOLDING TAXES. </FN> 45
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[Enlarge/Download Table] STATEMENT OF OPERATIONS (000) =========================================================================================================================== MORGAN GRENFELL INVESTMENT TRUST -- FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1996 (UNAUDITED) --------- -------- ---------- ---------- --------- SHORT-TERM SHORT-TERM MUNICIPAL FIXED MUNICIPAL FIXED SMALLER BOND INCOME BOND INCOME COMPANIES FUND FUND FUND FUND FUND --------- -------- ---------- ---------- --------- INVESTMENT INCOME: Interest $6,851 $18,427 $ 106 $ 188 $ -- Dividends -- -- -- -- 19 Less: Foreign taxes withheld -- -- -- -- -- ------ ------- ------ ------ ---- Total Investment Income 6,851 18,427 106 188 19 ------ ------- ------ ------ ---- EXPENSES: Investment advisory fees 448 1,066 7 12 15 Investment advisory fee reduction (64) (126) (7) (12) (15) Administration fees 125 297 21 21 15 Custodian fees 8 13 -- -- 2 Transfer agent fees 21 17 3 3 4 Professional fees 29 69 -- 1 -- Registration & filing fees 21 69 -- -- -- Printing fees 5 13 -- -- -- Trustee fees 8 18 -- -- -- Pricing fees 6 13 -- -- -- Other expenses 7 12 -- -- -- ------ ------- ------ ------ ---- Total expenses 614 1,461 24 25 21 Less: Reimbursement from Advisor -- -- (14) (10) (3) ------ ------- ------ ------ ---- Total Net Expenses 614 1,461 10 15 18 ------ ------- ------ ------ ---- NET INVESTMENT INCOME 6,237 16,966 96 173 1 ------ ------- ------ ------ ---- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net realized gain (loss) on investments: Security transactions 2,152 1,226 10 (6) 325 Option transactions -- -- -- -- -- Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions -- -- -- -- -- Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currency, and translation of other assets and liabilities in foreign currency -- -- -- -- -- Net change in unrealized appreciation (depreciation) on investments (3,105) (16,359) (23) (39) 347 ------ ------- ------ ------ ---- NET INCREASE IN NET ASSETS FROM OPERATIONS $5,284 $ 1,833 $ 83 $ 128 $ 673 ====== ======= ====== ====== ====== <FN> THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. </FN> [Enlarge/Download Table] =================================================================================================================================== ------------- ------------- --------- -------- ------- ------------- -------- INTERNATIONAL EUROPEAN EMERGING GLOBAL INTERNATIONAL EMERGING INTERNATIONAL SMALL CAP SMALL CAP MARKETS FIXED FIXED MARKETS EQUITY EQUITY EQUITY EQUITY INCOME INCOME DEBT FUND FUND FUND FUND FUND FUND FUND ------------- ------------- --------- -------- ------- ------------- -------- INVESTMENT INCOME: Interest $ -- $ 129 $ 9 $ 28 $4,671 $ 890 $ 4,071 Dividends 20 795 87 834 -- -- -- Less: Foreign taxes withheld (2) (109) (15) (57) (120) (18) -- ---- ------- ------ ------- ------ ------ ------- Total Investment Income 18 815 81 805 4,551 872 4,071 ---- ------- ------ ------- ------ ------ ------- EXPENSES: Investment advisory fees 11 545 50 501 379 71 490 Investment advisory fee reduction (11) (54) (50) (83) (8) (37) (129) Administration fees 25 61 50 57 84 38 50 Custodian fees 4 78 11 105 56 21 51 Transfer agent fees 4 6 4 6 8 4 6 Professional fees -- 16 1 15 20 3 9 Registration & filing fees -- 11 1 9 15 3 5 Printing fees -- 3 -- 3 4 1 2 Trustee fees -- 4 -- 4 5 1 3 Pricing fees 2 10 4 8 2 2 1 Other expenses -- 2 1 2 3 -- 2 ---- ------- ------ ------- ------ ------ ------- Total expenses 35 682 72 627 568 107 490 Less: Reimbursement from Advisor (22) -- (9) -- -- -- -- ---- ------- ------ ------- ------ ------ ------- Total Net Expenses 13 682 63 627 568 107 490 ---- ------- ------ ------- ------ ------ ------- NET INVESTMENT INCOME 5 133 18 178 3,983 765 3,581 ---- ------- ------ ------- ------ ------ ------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net realized gain (loss) on investments: Security transactions 38 (1,620) 124 (1,276) 3,275 575 5,647 Option transactions -- -- -- -- -- 200 -- Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions 29 1,121 (8) (334) (1,731) 113 3 Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currency, and translation of other assets and liabilities in foreign currency (10) (310) 52 23 1,114 65 125 Net change in unrealized appreciation (depreciation) on investments 333 16,934 1,131 12,788* (5,864) (1,481) 3,555 ---- ------- ------ ------- ------ ------ ------- NET INCREASE IN NET ASSETS FROM OPERATIONS $395 $16,258 $1,317 $11,379 $ 777 $ 237 $12,911 ==== ======= ====== ======= ====== ====== ======= <FN> * NET OF $122,000 CHANGE IN ACCRUED FOREIGN WITHHOLDING TAXES. </FN> 47
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[Enlarge/Download Table] STATEMENT OF CHANGES IN NET ASSETS (000) ============================================================================================================================= MORGAN GRENFELL INVESTMENT TRUST--FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1996 (UNAUDITED) AND THE YEAR ENDED OCTOBER 31, 1995 ------------------ ------------------ ---------------- --------------- SHORT-TERM SHORT-TERM MUNICIPAL FIXED MUNICIPAL FIXED BOND INCOME BOND INCOME FUND FUND FUND (2) FUND (3) 1996 1995 1996 1995 1996 1995 1996 1995 -------- -------- -------- -------- ------- ------ ------ ------ OPERATIONS: Net investment income $ 6,237 $ 10,748 $ 16,966 $ 25,635 $ 96 $ 90 $ 173 $ 79 Net realized gain (loss) from security transactions 2,152 (1,331) 1,226 8,122 10 15 (6) -- Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions -- -- -- -- -- -- -- -- Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currency, and translation of other assets and liabilities in foreign currency -- -- -- -- -- -- -- -- Net change in unrealized appreciation (depreciation) on investments (3,105) 9,806 (16,359) 18,803 (23) 25 (39) 7 -------- -------- -------- -------- ------- ------ ------ ------ Net increase (decrease) in net assets from operations 5,284 19,223 1,833 52,560 83 130 128 86 -------- -------- -------- -------- ------- ------ ------ ------ DISTRIBUTIONS TO SHAREHOLDERS: Net investment income (6,222) (10,750) (17,305) (25,636) (88) (90) (175) (79) Net realized gains -- -- (3,090) (31) (15) -- -- -- -------- -------- -------- -------- ------- ------ ------ ------ Total Distributions (6,222) (10,750) (20,395) (25,667) (103) (90) (175) (79) -------- -------- -------- -------- ------- ------ ------ ------ CAPITAL SHARE TRANSACTIONS (1): Proceeds from shares issued 25,224 92,766 195,505 301,939 1,211 5,282 6,630 4,206 Shares issued in lieu of cash distributions 4,874 7,570 18,303 20,565 99 74 132 54 Cost of shares repurchased (24,978) (53,428) (93,368) (94,732) (1,387) (1,672) (1,537) (127) -------- -------- -------- -------- ------- ------ ------ ------ INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS 5,120 46,908 120,440 227,772 (77) 3,684 5,225 4,133 -------- -------- -------- -------- ------- ------ ------ ------ Net increase (decrease) in net assets 4,182 55,381 101,878 254,665 (97) 3,724 5,178 4,140 -------- -------- -------- -------- ------- ------ ------ ------ NET ASSETS: Beginning of period 221,058 165,677 494,221 239,556 3,724 -- 4,140 -- -------- -------- -------- -------- ------- ------ ------ ------ End of period $225,240 $221,058 $596,099 $494,221 $ 3,627 $3,724 $9,318 $4,140 ======== ======== ======== ======== ======= ====== ====== ====== (1) CAPITAL SHARE TRANSACTIONS: Shares issued 2,311 8,743 18,474 29,571 121 526 662 421 Shares issued in lieu of cash distributions 446 714 1,719 2,007 9 7 13 5 Shares repurchased (2,288) (5,094) (8,816) (9,177) (137) (166) (153) (13) -------- -------- -------- -------- ------- ------ ------ ------ Net increase (decrease) in capital shares 469 4,363 11,377 22,401 (7) 367 522 413 ======== ======== ======== ======== ======= ====== ====== ====== <FN> (2) SHORT-TERM MUNICIPAL BOND FUND COMMENCED OPERATIONS ON 3/6/95. (3) SHORT-TERM FIXED INCOME FUND COMMENCED OPERATIONS ON 3/13/95. (4) SMALLER COMPANIES FUND COMMENCED OPERATIONS ON 6/30/95. (5) INTERNATIONAL EQUITY FUND COMMENCED OPERATIONS ON 5/15/95. (6) EUROPEAN SMALL CAP EQUITY FUND COMMENCED OPERATIONS ON 11/1/94. </FN> THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 48
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[Enlarge/Download Table] ======================================================================================================== ----------------- ---------------- ----------------- INTERNATIONAL SMALLER INTERNATIONAL SMALL CAP COMPANIES EQUITY EQUITY FUND (4) FUND (5) FUND ------ ------ ------ ------ -------- ------- 1996 1995 1996 1995 1996 1995 ------ ------ ------ ------ ------- ------- OPERATIONS: Net investment income $ 1 $ 8 $ 5 $ 19 $ 133 $ 268 Net realized gain (loss) from security transactions 325 (6) 38 (6) (1,620) (2,666) Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions -- -- 29 79 1,121 1 Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currency, and translation of other assets and liabilities in foreign currency -- -- (10) 9 (310) 160 Net change in unrealized appreciation (depreciation) on investments 347 136 333 135 16,934 (1,776) ------ ------ ------ ------ -------- ------- Net increase (decrease) in net assets from operations 673 138 395 236 16,258 (4,013) ------ ------ ------ ------ -------- ------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income (10) -- (108) -- (479) (270) Net realized gains -- -- -- -- -- (1,420) ------ ------ ------ ------ -------- ------- Total Distributions (10) -- (108) -- (479) (1,690) ------ ------ ------ ------ -------- ------- CAPITAL SHARE TRANSACTIONS (1): Proceeds from shares issued 496 2,500 259 2,502 22,784 33,284 Shares issued in lieu of cash distributions 10 -- 108 -- 458 1,671 Cost of shares repurchased -- -- -- (1) (1,874) (7,133) ------ ------ ------ ------ -------- ------- INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS 506 2,500 367 2,501 21,368 27,822 ------ ------ ------ ------ -------- ------- Net increase (decrease) in net assets 1,169 2,638 654 2,737 37,147 22,119 ------ ------ ------ ------ -------- ------- NET ASSETS: Beginning of period 2,638 -- 2,738 1 90,917 68,798 ------ ------ ------ ------ -------- ------- End of period $3,807 $2,638 $3,392 $2,738 $128,064 $90,917 ====== ====== ====== ====== ======== ======= (1) CAPITAL SHARE TRANSACTIONS: Shares issued Shares issued in lieu of cash 41 250 23 250 2,362 3,585 distributions Shares repurchased 1 -- 10 -- 47 178 -- -- -- -- (194) (738) ------ ------ ------ ------ -------- ------- Net increase (decrease) in capital shares 42 250 33 250 2,215 3,025 ====== ====== ====== ====== ======== ======= [Enlarge/Download Table] ---------------- ---------------- -------------------- EUROPEAN EMERGING GLOBAL SMALL CAP MARKETS FIXED EQUITY EQUITY INCOME FUND (6) FUND FUND ------- ------ -------- ------- -------- -------- 1996 1995 1996 1995 1996 1995 ------- ------ -------- ------- -------- -------- OPERATIONS: Net investment income $ 18 $ 99 $ 178 $ 292 $ 3,983 $ 4,888 Net realized gain (loss) from security transactions 124 30 (1,276) 974 3,275 1,380 Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions (8) 28 (334) (86) (1,731) (112) Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currency, and translation of other assets and liabilities in foreign currency 52 (21) 23 (17) 1,114 (207) Net change in unrealized appreciation (depreciation) on investments 1,131 1,079 12,788* (14,288) (5,864) 4,323 ------- ------ -------- ------- -------- -------- Net increase (decrease) in net assets from operations 1,317 1,215 11,379 (13,125) 777 10,272 ------- ------ -------- ------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income (99) (10) (332) (119) (5,022) (1,222) Net realized gains (30) -- (1,018) (3,167) (946) -- ------- ------ -------- ------- -------- -------- Total Distributions (129) (10) (1,350) (3,286) (5,968) (1,222) ------- ------ -------- ------- -------- -------- CAPITAL SHARE TRANSACTIONS (1): Proceeds from shares issued 518 8,121 8,336 61,891 31,345 82,695 Shares issued in lieu of cash distributions 130 10 1,350 3,286 5,007 902 Cost of shares repurchased -- (1) (12,419) (12,370) (13,927) (7,225) ------- ------ -------- ------- -------- -------- INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS 648 8,130 (2,733) 52,807 22,425 76,372 ------- ------ -------- ------- -------- -------- Net increase (decrease) in net assets 1,836 9,335 7,296 36,396 17,234 85,422 ------- ------ -------- ------- -------- -------- NET ASSETS: Beginning of period 9,336 1 93,288 56,892 139,337 53,915 ------- ------ -------- ------- -------- -------- End of period $11,172 $9,336 $100,584 $93,288 $156,571 $139,337 ======= ====== ======== ======= ======== ======== (1) CAPITAL SHARE TRANSACTIONS: Shares issued Shares issued in lieu of cash 43 808 970 7,411 2,856 7,804 distributions Shares repurchased 11 1 165 365 463 94 -- -- (1,410) (1,451) (1,280) (694) ------- ------ -------- ------- -------- -------- Net increase (decrease) in capital shares 54 809 (275) 6,325 2,039 7,204 ======= ====== ======== ======= ======== ======== <FN> * NET OF $122,000 CHANGE IN ACCRUED FOREIGN WITHHOLDING TAXES. </FN> 49
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[Enlarge/Download Table] STATEMENT OF CHANGES IN NET ASSETS (000) ======================================================================================================================= MORGAN GRENFELL INVESTMENT TRUST--FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1996 (UNAUDITED) AND THE YEAR ENDED OCTOBER 31, 1995 ------------------ ------------------ INTERNATIONAL EMERGING FIXED MARKETS INCOME DEBT FUND FUND ------------------ ------------------ 1996 1995 1996 1995 ------- ------- ------- ------- OPERATIONS: Net investment income $ 765 $ 1,222 $ 3,581 $ 5,602 Net realized gain (loss) from security transactions 775 434 5,647 (1,684) Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions 113 48 3 (75) Net change in unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currency, and translation of other assets and liabilities in foreign currency 65 312 125 (42) Net change in unrealized appreciation (depreciation) on investments (1,481) 861 3,555 (35) ------- ------- ------- ------- Net increase in net assets from operations 237 2,877 12,911 3,766 ------- ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS: Net investment income (1,587) (76) (6,315) (447) Net realized gains (282) -- -- (41) ------- ------- ------- ------- Total Distributions (1,869) (76) (6,315) (488) ------- ------- ------- ------- CAPITAL SHARE TRANSACTIONS (1): Proceeds from shares issued 4,126 10,597 41,753 64,746 Shares issued in lieu of cash distributions 1,681 60 6,315 488 Cost of shares repurchased (738) (1,093) (72,788) (322) ------- ------- ------- ------- INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS 5,069 9,564 (24,720) 64,912 ------- ------- ------- ------- Net increase (decrease) in net assets 3,437 12,365 (18,124) 68,190 ------- ------- ------- ------- NET ASSETS: Beginning of period 27,603 15,238 84,438 16,248 ------- ------- ------- ------- End of period $31,040 $27,603 $66,314 $84,438 ======= ======= ======= ======= (1) CAPITAL SHARE TRANSACTIONS: Shares issued 386 996 3,806 6,391 Shares issued in lieu of cash distributions 155 6 587 51 Shares repurchased (65) (100) (6,677) (31) ------- ------- ------- ------- Net increase (decrease) in capital shares 476 902 (2,284) 6,411 ======= ======= ======= ======= THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 50
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[Enlarge/Download Table]  FINANCIAL HIGHLIGHTS ============================================================================================================================== MORGAN GRENFELL INVESTMENT TRUST--FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1996 (UNAUDITED) AND THE PERIODS ENDED OCTOBER 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD NET DISTRIBUTIONS NET ASSET NET REALIZED DISTRIBUTIONS FROM VALUE INVESTMENT AND FROM NET REALIZED NET ASSET NET ASSETS BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL END OF OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN PERIOD (000) --------------------------------------------------------------------------------------------------------------- -------------------- MUNICIPAL BOND FUND: -------------------- 1996* $10.86 $0.30 $(0.04) $(0.30) $ -- $10.82 2.42% $225,240 1995 10.37 0.61 0.49 (0.61) -- 10.86 10.90 221,058 1994 11.36 0.60 (0.61) (0.60) (0.38) 10.37 (0.15) 165,677 1993 10.56 0.67 0.84 (0.67) (0.04) 11.36 14.68 148,022 1992(1) 10.00 0.60 0.56 (0.60) -- 10.56 13.42(DAGGER) 94,700 ------------------ FIXED INCOME FUND: ------------------ 1996* $10.62 $0.34 $(0.25) $(0.34) $(0.07) $10.30 0.78% $596,099 1995 9.93 0.70 0.69 (0.70) -- 10.62 14.53 494,221 1994 10.95 0.64 (0.91) (0.64) (0.11) 9.93 (2.58) 239,556 1993 9.92 0.64 1.03 (0.64) -- 10.95 17.28 147,917 1992(2) 10.00 0.06 (0.08) (0.06) -- 9.92 (1.61)(DAGGER) 25,528 ------------------------------- SHORT-TERM MUNICIPAL BOND FUND: ------------------------------- 1996* $10.13 $0.28 $(0.04) $(0.25) $(0.04) $10.08 2.47%$ 3,627 1995(3) 10.00 0.30 0.13 (0.30) -- 10.13 4.39(DAGGER) 3,724 ----------------------------- SHORT-TERM FIXED INCOME FUND: ----------------------------- 1996* $10.01 $0.29 (0.04) $(0.29) $ -- $ 9.97 2.56% $ 9,318 1995(4) 10.00 0.37 0.01 (0.37) -- 10.01 3.82(DAGGER) 4,140 ----------------------- SMALLER COMPANIES FUND: ----------------------- 1996* $10.55 $ -- $ 2.53 $(0.04) $ -- $13.04 24.01% $ 3,807 1995(5) 10.00 0.03 0.52 -- -- 10.55 5.50(DAGGER) 2,638 -------------------------- INTERNATIONAL EQUITY FUND: -------------------------- 1996* $10.95 $0.06 $1.42 $(0.43) $ -- $12.00 13.84% $ 3,392 1995(6) 10.00 0.08 0.87 -- -- 10.95 9.50(DAGGER) 2,738 ------------------------------------ INTERNATIONAL SMALL CAP EQUITY FUND: ------------------------------------ 1996* $9.40 $ 0.01 $ 1.62 $(0.04) $(0.22) $10.77 15.09% $128,064 1995 10.35 0.03 (0.72) (0.04) (0.22) 9.40 (6.67) 90,917 1994(7) 10.00 0.02 0.33 -- -- 10.35 3.50(DAGGER) 68,798 ------------------------------- EUROPEAN SMALL CAP EQUITY FUND: ------------------------------- 1996* $11.55 $ 0.02 $ 1.53 $(0.12) $(0.04) $12.94 13.57% $ 11,172 1995(8) 10.00 0.12 1.44 (0.01) -- 11.55 15.66(DAGGER) 9,336 RATIO OF RATIO OF RATIO OF NET INVESTMENT NET EXPENSES INCOME/(LOSS) RATIO OF INVESTMENT TO AVERAGE TO AVERAGE EXPENSES INCOME/(LOSS) NET ASSETS NET ASSETS PORTFOLIO AVERAGE TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE -------------------------------------------------------------------------------- -------------------- MUNICIPAL BOND FUND: -------------------- 0.55% 5.58% 0.61% 5.52% 29% $ -- 0.54 5.75 0.62 5.67 63 -- 0.54 5.60 0.67 5.47 94 -- 0.55 5.94 0.75 5.74 160 -- 0.55 6.31 0.79 6.07 143 -- ------------------ FIXED INCOME FUND: ------------------ 0.55% 6.37% 0.60% 6.32% 70% $ -- 0.54 6.81 0.63 6.72 182 -- 0.54 6.22 0.66 6.10 251 -- 0.55 6.01 0.72 5.84 196 -- 0.55 5.24 1.66 4.13 148 -- ------------------------------- SHORT-TERM MUNICIPAL BOND FUND: ------------------------------- 0.54% 5.50% 1.74% 4.30% 80% $ -- 0.52 4.60 2.16 2.96 62 -- ----------------------------- SHORT-TERM FIXED INCOME FUND: ----------------------------- 0.52% 5.78% 1.25% 5.05% 51% $ -- 0.52 5.86 2.84 3.54 90 -- ----------------------- SMALLER COMPANIES FUND: ----------------------- 1.25% 0.03% 2.47% (1.19)% 85% $0.06 1.25 0.94 2.28 (0.09) 23 -- -------------------------- INTERNATIONAL EQUITY FUND: -------------------------- 0.90% 0.32% 3.10% (1.88)% 11% $0.03 0.90 1.55 2.73 (0.28) 19 -- ------------------------------------ INTERNATIONAL SMALL CAP EQUITY FUND: ------------------------------------ 1.25% 0.25% 1.35% 0.15% 17% $0.02 1.25 0.41 1.48 0.18 62 -- 1.25 0.34 1.67 (0.08) 41 -- ------------------------------- EUROPEAN SMALL CAP EQUITY FUND: ------------------------------- 1.25% 0.36% 2.44% (0.83)% 27% $0.04 1.25 1.25 2.24 0.26 34 -- * FOR THE PERIOD ENDED APRIL 30, 1996. ALL RATIOS, EXCLUDING TOTAL RETURN, FOR THAT PERIOD HAVE BEEN ANNUALIZED. (DAGGER) RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED. (1) MUNICIPAL BOND FUND COMMENCED OPERATIONS ON 12/13/91. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. (2) FIXED INCOME FUND COMMENCED OPERATIONS ON 9/18/92. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. (3) SHORT-TERM MUNICIPAL BOND FUND COMMENCED OPERATIONS ON 3/6/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. (4) SHORT-TERM FIXED INCOME FUND COMMENCED OPERATIONS ON 3/13/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. (5) SMALLER COMPANIES FUND COMMENCED OPERATIONS ON 6/30/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. (6) INTERNATIONAL EQUITY FUND COMMENCED OPERATIONS ON 5/15/95. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. (7) INTERNATIONAL SMALL CAP EQUITY FUND COMMENCED OPERATIONS ON 1/3/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. (8) EUROPEAN SMALL CAP EQUITY FUND COMMENCED OPERATIONS ON 11/1/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 51
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[Enlarge/Download Table]  FINANCIAL HIGHLIGHTS ============================================================================================================================== MORGAN GRENFELL INVESTMENT TRUST--FOR THE SIX MONTH PERIOD ENDED APRIL 30, 1996 (UNAUDITED) AND THE PERIODS ENDED OCTOBER 31, FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD NET DISTRIBUTIONS NET ASSET NET REALIZED DISTRIBUTIONS FROM VALUE INVESTMENT AND FROM NET REALIZED NET ASSET NET ASSETS BEGINNING INCOME/ UNREALIZED INVESTMENT CAPITAL VALUE END TOTAL END OF OF PERIOD (LOSS) GAINS (LOSSES) INCOME GAINS OF PERIOD RETURN PERIOD (000) ---------------------------------------------------------------------------------------------------------------- ----------------------------- EMERGING MARKETS EQUITY FUND: ----------------------------- 1996* $ 8.11 $0.01 $ 0.95 $(0.03) $(0.08) $ 8.96 12.02% $100,584 1995 11.00 0.04 (2.29) (0.02) (0.62) 8.11 (21.00) 93,288 1994(1) 10.00 (0.01) 1.01 -- -- 11.00 10.00(DAGGER) 56,892 ------------------------- GLOBAL FIXED INCOME FUND: ------------------------- 1996* $10.99 $0.24 $(0.15) $(0.37) $(0.07) $10.64 0.73% $156,571 1995 9.85 0.35 0.99 (0.20) -- 10.99 13.88 139,337 1994(2) 10.00 0.25 (0.40) -- -- 9.85 (1.50)(DAGGER) 53,915 -------------------------------- INTERNATIONAL FIXED INCOME FUND: -------------------------------- 1996* $11.34 $0.27 $(0.16) $(0.66) $(0.12) $10.67 0.87% $ 31,040 1995 9.94 0.42 1.03 (0.05) -- 11.34 14.66 27,603 1994(3) 10.00 0.29 (0.35) -- -- 9.94 (0.60)(DAGGER) 15,238 --------------------------- EMERGING MARKETS DEBT FUND: --------------------------- 1996* $10.55 $0.78 $ 1.26 $(1.00) $ -- $11.59 20.08% $ 66,314 1995 10.19 0.65 (0.17) (0.11) (0.01) 10.55 4.85 84,438 1994(4) 10.00 0.13 0.06 -- -- 10.19 1.90(DAGGER) 16,248 RATIO OF RATIO OF RATIO OF NET INVESTMENT NET EXPENSES INCOME/(LOSS) RATIO OF INVESTMENT TO AVERAGE TO AVERAGE EXPENSES INCOME/(LOSS) NET ASSETS NET ASSETS PORTFOLIO AVERAGE TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE -------------------------------------------------------------------------------- ----------------------------- EMERGING MARKETS EQUITY FUND: ----------------------------- 1.25% 0.56% 1.42% 0.39% 37% $0.01 1.25 0.44 1.55 0.14 49 -- 1.36 (0.12) 1.79 (0.55) 45 -- ------------------------- GLOBAL FIXED INCOME FUND: ------------------------- 0.75% 5.27% 0.76% 5.26% 109% $ -- 0.78 5.61 0.87 5.52 147 -- 0.85 5.71 1.28 5.28 173 -- -------------------------------- INTERNATIONAL FIXED INCOME FUND: -------------------------------- 0.75% 5.36% 1.01% 5.10% 128% $ -- 0.78 5.51 1.15 5.14 187 -- 0.85 5.66 1.42 5.09 130 -- --------------------------- EMERGING MARKETS DEBT FUND: --------------------------- 1.50% 10.97% 1.90% 10.57% 129% $ -- 1.79 10.97 2.05 10.71 266 -- 1.90 7.04 2.60 6.34 52 -- * FOR THE PERIOD ENDED APRIL 30, 1996. ALL RATIOS, EXCLUDING TOTAL RETURN, FOR THAT PERIOD HAVE BEEN ANNUALIZED. (DAGGER) RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED. (1) EMERGING MARKETS EQUITY FUND COMMENCED OPERATIONS ON 2/2/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. (2) GLOBAL FIXED INCOME FUND COMMENCED OPERATIONS ON 1/3/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. (3) INTERNATIONAL FIXED INCOME FUND COMMENCED OPERATIONS ON 3/15/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. (4) EMERGING MARKETS DEBT FUND COMMENCED OPERATIONS ON 8/4/94. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 52
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NOTES TO FINANCIAL STATEMENTS ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) 1. ORGANIZATION Morgan Grenfell Investment Trust (the "Trust") was organized as a Delaware business trust on September 13, 1993. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company consisting of seventeen investment portfolios (Municipal Bond Fund, Fixed Income Fund, Short-Term Municipal Bond Fund, Short-Term Fixed Income Fund, Large Cap Growth Fund, and Smaller Companies Fund (collectively the "Domestic Funds"); International Equity Fund, Global Equity Fund, European Equity Fund, Pacific Basin Equity Fund, International Small Cap Equity Fund, European Small Cap Equity Fund, Japanese Small Cap Equity Fund, Emerging Markets Equity Fund, Global Fixed Income Fund, International Fixed Income Fund and Emerging Markets Debt Fund (collectively the "International Funds"). The Domestic Funds and International Funds are hereafter referred to collectively as the "Funds". At April 30, 1996, the Large Cap Growth Fund, Global Equity Fund, European Equity Fund, Pacific Basin Equity Fund and Japanese Small Cap Equity Fund had not yet commenced operations. The Funds' prospectus provides a description of each Fund's investment objectives, policies and strategies. On December 28, 1994, pursuant to plans of reorganization approved by the Municipal Bond Fund and the Fixed Income Fund shareholders on December 5, 1994, all of the assets of the Morgan Grenfell Municipal Bond Fund and the Morgan Grenfell Fixed Income Fund (formerly part of The Advisors' Inner Circle Fund) were transferred to the Municipal Bond Fund and Fixed Income Fund respectively (the "Portfolios"), newly formed portfolios of the Trust, in exchange for shares of the Portfolios and assumption of stated liabilities of the two funds. The Municipal Bond Fund reorganization was accomplished by a tax-free exchange of the Municipal Bond Fund's net assets (valued at $149,509,966) for 14,567,909 shares of the corresponding Portfolio. The Fixed Income Fund reorganization was accomplished by a tax-free exchange of the Fixed Income Fund's net assets (valued at $273,285,174) for 27,846,079 shares of the corresponding Portfolio. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed by the Funds. SECURITY VALUATION--Securities listed on a securities exchange for which market quotations are readily available are valued at the last quoted sales price on the principal exchange on which they are traded on the valuation date or, if there is no such reported sale on the valuation date, at the most recent quoted bid price. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price. Certain debt and fixed income investments owned by the Funds are valued at prices supplied by independent pricing agents selected by Morgan Grenfell Capital Management, Inc. and Morgan Grenfell Investment Services Limited (the "Advisors"), which prices reflect broker-dealer supplied valuations and electronic data processing techniques. Short-term investments are valued at amortized cost which approximates market value. Other securities for which market value is not readily available or securities whose market value does not, in the opinion of the applicable Advisor, reflect fair value are valued at fair value using methods determined in good faith by the valuation committee of the Board of Trustees. INCOME TAXES--It is the intention of each Fund to continue to qualify as a regulated investment company and to distribute all of its taxable income. Accordingly, no provision for Federal income taxes is considered necessary. The International Funds may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on either income earned or repatriated. The International Funds accrue such taxes when the related income is earned. NET ASSET VALUE PER SHARE--The net asset value per share is calculated on a daily basis by dividing the assets of each Fund, less its liabilities, by the number of outstanding shares of the Fund. REPURCHASE AGREEMENTS--Securities pledged as collateral for repurchase agreements are held by the 53
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NOTES TO FINANCIAL STATEMENTS (Continued) ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) custodian banks until maturity of the repurchase agreements. Provisions of the repurchase agreements and procedures adopted by the Trust require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. The Funds may also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained in a segregated account by the broker's custodian bank until maturity of the repurchase agreement. Provisions of the agreements require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default. If the counterparty defaults and the value of the collateral declines or if the counterparty enters an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited. FOREIGN CURRENCY TRANSLATION--The books and records of the International Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis: (I) market value of investment securities, other assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The International Funds do not isolate that portion of gains and losses on investments in securities which is due to changes in the foreign exchange rates from that which is due to changes in market prices of such securities. The International Funds do isolate the effect of fluctuations in foreign currency rates when determining the gain or loss upon sale or maturity of foreign currency denominated debt obligations pursuant to the Federal income tax regulations. Such amounts are categorized as foreign currency gain or loss for both financial reporting and income tax reporting purposes. The International Funds report gains and losses on foreign currency related transactions as realized and unrealized gains and losses for financial reporting purposes, whereas such gains and losses, to the extent realized, are treated as ordinary income or loss for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS--The International Funds enter into forward foreign currency contracts as hedges against portfolio positions as well as for non-hedging purposes. The aggregate principal amounts of the contracts are not recorded as the Funds do not intend to hold the contracts to maturity. All commitments are "marked-to-market" daily at the applicable foreign exchange rate and any resulting unrealized gains or losses are recorded currently. The Funds realize gains or losses at the time forward contracts are extinguished, except that gains or losses on certain open contracts are required to be recognized for U.S. Federal income tax purposes at the close of the Fund's taxable year and are generally treated as ordinary income for such purposes. FOREIGN CURRENCY OPTIONS--The premium paid by a Fund for the purchase of an option is included in the Fund's Schedule of Investments as an investment and subsequently marked to market to reflect the current market value of the option. For an option held by a Fund on the stipulated expiration date, the Fund realizes a loss. If the Fund enters into a closing sale transaction, it realizes a gain or loss, depending on whether the proceeds from the sale are greater or less than the cost of the purchased option. If the Fund exercises a purchased put option, it realizes a gain or loss from the sale of the underlying investment and proceeds from such sale will be decreased by the premium originally paid. If the Fund exercises a purchased call option, the cost of the underlying investment which the Fund purchases upon exercise will be increased by the premium originally paid. Certain foreign currency options may be required to be marked-to-market for Federal income tax purposes at the close of a Fund's taxable year, giving rise to a gain or loss that may, depending upon whether certain elections are made, be capital or ordinary in character. DISTRIBUTIONS--Distributions from net investment income and net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under generally accepted accounting principles. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid in capital in the period that the difference arises. 54
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================================================================================ EXPENSES--Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Trust are prorated to the Funds on the basis of relative net assets. Morgan Grenfell Capital Management, Inc. absorbed all expenses of organizing the Trust. All organizational costs incurred with the start of the Municipal Bond Fund and the Fixed Income Fund are being amortized on a straight line basis over a period of sixty months. OTHER--Security transactions are accounted for on the date the security is purchased or sold (trade date). Costs used in determining net realized capital gains and losses on the sale of investment securities are those of the specific securities sold adjusted for the accretion and amortization of original issue discounts and purchase premiums during the respective holding period. Original issue discounts and purchase premiums on securities held by the Funds are accreted and amortized ratably to maturity using the effective interest method. Dividend income is recognized on the ex-dividend date and interest income is recognized using the accrual method. 3. ADMINISTRATION, INVESTMENT ADVISORY, AND DISTRIBUTION AGREEMENTS The Trust has entered into an administration agreement with SEI Financial Management Corporation (the "Administrator"), pursuant to which the Administrator receives an annual fee based on the aggregate average daily net assets of all the Funds as follows: 0.15% up to $300,000,000; 0.12% from $300,000,000 up to $500,000,000; 0.10% from $500,000,000 up to $1,000,000,000; and 0.08% in excess of $1,000,000,000. Each Fund pays the Administrator a minimum annual fee that equals (after a one-year phase in period) the following: $50,000 for the Municipal Bond Fund, Fixed Income Fund, Short-Term Municipal Bond Fund, Short-Term Fixed Income Fund and Smaller Companies Fund; $75,000 for the International Equity Fund, Global Fixed Income Fund and International Fixed Income Fund; and $100,000 for the International Small Cap Equity Fund, European Small Cap Equity Fund, Emerging Markets Equity Fund, and Emerging Markets Debt Fund. The Administrator generally assists in all matters relating to the administration of the Funds, including the coordination and monitoring of any third parties furnishing services to the Funds, preparation and maintenance of financial accounting records, and the provision of necessary office space, equipment and personnel to perform administrative and clerical functions. Under advisory agreements with the Trust, Morgan Grenfell Capital Management, Inc. serves as the Advisor for the Domestic Funds and Morgan Grenfell Investment Services Limited serves as the Advisor for the International Funds. For these services, the Advisors are entitled to a monthly fee at an annual rate of each Fund's average daily net assets as follows: Municipal Bond Fund 0.40% Fixed Income Fund 0.40% Short-Term Municipal Bond Fund 0.40% Short-Term Fixed Income Fund 0.40% Smaller Companies Fund 1.00% International Equity Fund 0.70% International Small Cap Equity Fund 1.00% European Small Cap Equity Fund 1.00% Emerging Markets Equity Fund 1.00% Global Fixed Income Fund 0.50% International Fixed Income Fund 0.50% Emerging Markets Debt Fund 1.50% The Advisors have voluntarily agreed to reduce their advisory fees and/or reimburse each Fund to the extent necessary to limit the Fund's operating expenses to a specified percentage of its average net assets as follows: Municipal Bond Fund 0.55% Fixed Income Fund 0.55% Short-Term Municipal Bond Fund 0.55% Short-Term Fixed Income Fund 0.55% Smaller Companies Fund 1.25% International Equity Fund 0.90% International Small Cap Equity Fund 1.25% European Small Cap Equity Fund 1.25% Emerging Markets Equity Fund 1.25% Global Fixed Income Fund 0.75% International Fixed Income Fund 0.75% Emerging Markets Debt Fund 1.50% 55
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NOTES TO FINANCIAL STATEMENTS (Continued) ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) Certain officers and/or Trustees of the Trust are affiliated with the Administrator or Advisors. SEI Financial Services Company (the "Distributor") serves as the distributor of shares of the Funds pursuant to a distribution agreement with the Trust and assists in the sale of shares of the Funds. The Advisors, and not the Trust, are responsible for payment of any expenses or fees incurred in the marketing and distribution of shares of the Trust. 4. FORWARD FOREIGN CURRENCY CONTRACTS The International Funds enter into forward foreign currency exchange contracts as hedges against portfolio positions as well as for non-hedging purposes. Such contracts, which protect the value of the Fund's investment securities against a decline in the value of the hedged currency, do not eliminate fluctuations in the underlying prices of the securities. They simply establish an exchange rate at a future date. Also, although such contracts tend to minimize the risk of loss due to a decline in the value of a hedged currency, at the same time they tend to limit any potential gain that might be realized should the value of such foreign currency increase. The following forward foreign currency contracts were outstanding at April 30, 1996: IN UNREALIZED CURRENCY TO EXCHANGE APPRECIATION MATURITY (DELIVER)/RECEIVE FOR (DEPRECIATION) DATE (000) (000) (000) -------- ---------------- -------- ------------ INTERNATIONAL EQUITY FUND: ------------------------- FOREIGN CURRENCY SALES: 07/24/96 DM (50) $ 33 $ -- 06/27/96 JY (16,700) 158 (3) 07/24/96 NL (168) 100 1 ----- $ (2) ===== INTERNATIONAL SMALL CAP EQUITY FUND: ----------------------------------- FOREIGN CURRENCY SALES: 07/24/96 DM (5,610) $3,715 $ 31 07/09/96 FF (11,400) 2,266 53 07/18/96 JY (730,200) 6,812 (246) 07/24/96 NL (2,080) 1,233 11 ----- $(151) ===== IN UNREALIZED CURRENCY TO EXCHANGE APPRECIATION MATURITY (DELIVER)/RECEIVE FOR (DEPRECIATION) DATE (000) (000) (000) -------- ---------------- -------- ------------ EUROPEAN SMALL CAP EQUITY FUND: ------------------------------ FOREIGN CURRENCY SALES: 07/24/96 DM (499) $ 334 $ 6 05/22/96 FF (2,750) 550 18 07/24/96 NL (746) 447 9 ----- $ 33 ===== GLOBAL FIXED INCOME FUND: ------------------------ FOREIGN CURRENCY SALES: 05/21-07/18/96 CA (4,500) $ 3,289 $ (20) 05/20-07/18/96 DM (26,700) 18,293 807 05/20-07/18/96 DK (38,400) 6,684 157 06/20-08/19/96 SK (94,000) 13,831 (7) ----- $ 937 ----- FOREIGN CURRENCY PURCHASES: 05/17-06/20/96 DM 15,500 $10,145 $ (8) 07/18/96 ES 600,000 4,813 (116) ----- $(124) ----- $ 813 ===== INTERNATIONAL FIXED INCOME FUND: ------------------------------- FOREIGN CURRENCY SALES: 05/20-08/19/96 DM (7,270) $ 4,970 $ 204 05/20-06/20/96 DK (8,050) 1,414 48 06/20-08/19/96 SK (18,000) 2,645 (4) ----- $ 248 ----- FOREIGN CURRENCY PURCHASES: 07/18/96 AD 1,250 $ 979 $ (1) 06/20/96 CA 1,250 913 6 05/17-06/20/96 DM 4,080 2,741 (71) 05/20/96 DK 1,200 211 (8) 07/18/96 ES 160,000 1,283 (31) 07/30/96 UK 625 943 (8) ----- $(113) ----- $ 135 ===== EMERGING MARKETS DEBT FUND: -------------------------- FOREIGN CURRENCY SALES: 06/17/96 DM (2,300) $ 1,569 $ 62 ===== CURRENCY LEGEND --------------- AD Australian Dollar FF French Franc CA Canadian Dollar JY Japanese Yen DM German Mark NL Netherlands Guilder DK Danish Kroner SK Swedish Krona ES Spanish Peseta UK British Pound Sterling 56
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================================================================================ At April 30, 1996, the Global Fixed Income Fund and International Fixed Income Fund had unrealized gains (losses) on closed but unsettled forward foreign currency contracts of $(103,663) and $2,880, respectively, scheduled to settle between May 20, 1996 and August 19, 1996. 5. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale of securities, other than short-term investments and U.S. Government securities, during the period ended April 30, 1996, were as follows: PURCHASES SALES (000) (000) --------- -------- Municipal Bond Fund $ 80,884 $ 64,690 Fixed Income Fund 253,017 186,434 Short-Term Municipal Bond Fund 2,487 2,624 Short-Term Fixed Income Fund 5,556 843 Smaller Companies Fund 2,364 2,164 International Equity Fund 612 321 International Small Cap Equity Fund 45,495 17,813 European Small Cap Equity Fund 2,706 2,550 Emerging Markets Equity Fund 41,213 36,761 Global Fixed Income Fund 178,430 135,667 International Fixed Income Fund 38,826 34,580 Emerging Markets Debt Fund 79,556 100,764 The cost of U.S. Government security purchases and the proceeds from the sale of U.S. Government securities, during the period ended April 30, 1996, were as follows: PURCHASES SALES (000) (000) --------- -------- Fixed Income Fund $221,606 $170,453 Short-Term Fixed Income Fund 3,811 1,688 Global Fixed Income Fund 6,877 19,542 Emerging Markets Debt Fund 1,410 1,800 For Federal income tax purposes, the cost of securities owned at April 30, 1996 and the net realized gains or losses on securities sold for the period then ended was not materially different from the amounts reported for financial reporting purposes. The aggregate gross unrealized appreciation and depreciation at April 30, 1996, for each Fund is as follows: NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION/ SECURITIES SECURITIES (DEPRECIATION) (000) (000) (000) ----------- ----------- ------------- Municipal Bond Fund $ 3,531 $ (864) $ 2,667 Fixed Income Fund 4,287 (8,706) (4,419) Short-Term Municipal Bond Fund 15 (13) 2 Short-Term Fixed Income Fund 14 (46) (32) Smaller Companies Fund 553 (70) 483 International Equity Fund 514 (46) 468 International Small Cap Equity Fund 23,095 (4,491) 18,604 European Small Cap Equity Fund 2,585 (375) 2,210 Emerging Markets Equity Fund 14,836 (4,878) 9,958* Global Fixed Income Fund 703 (1,955) (1,252) International Fixed Income Fund 281 (535) (254) Emerging Markets Debt Fund 3,695 (263) 3,432 * NET OF $122,000 ACCRUED FOREIGN WITHHOLDING TAXES. At October 31, 1995 the following Funds had available realized capital losses to offset future net capital gains through the fiscal year ended 2003: (000) ------ Municipal Bond Fund $1,556 Smaller Companies Fund 6 International Equity Fund 6 International Small Cap Equity Fund 2,367 Emerging Markets Debt Fund 526 6. LOAN PARTICIPATIONS/ASSIGNMENTS The Emerging Markets Debt Fund (the "Fund") invests in U.S. dollar-denominated fixed and floating rate loans ("Loans") arranged through private negotiations between a foreign sovereign entity and one or more financial institutions ("Lenders"). The Fund invests in such Loans in the form of participations in Loans ("Participations") or assignments of all or a portion of loans from third parties ("Assignments"). Participations typically result in the Fund having a contractual relationship only with the Lender, not with the sovereign borrower. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled from 57
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NOTES TO FINANCIAL STATEMENTS (Concluded) ================================================================================ MORGAN GRENFELL INVESTMENT TRUST -- APRIL 30, 1996 (UNAUDITED) the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, nor any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation. The Fund may have difficulty disposing of Participations and Assignments because the market for such instruments is not highly liquid. 7. CONCENTRATION OF RISKS The Municipal Bond Fund and Short-Term Municipal Bond Fund invest primarily in a diversified portfolio of municipal securities, including municipal bonds and debentures, rated Baa or better by Moody's Investors Service, Inc. ("Moody's") or BBB or better by Standard & Poor's Ratings Group ("S&P"), or, if not rated, determined by the Advisor to be of comparable quality. Although the Municipal Bond Fund and Short-Term Municipal Bond Fund maintain diversified portfolios, the municipal bond issuers' abilities to meet their obligations may be affected by economic developments in a specific state or region. The Fixed Income Fund and Short-Term Fixed Income Fund invest primarily in fixed income securities rated Baa or better by Moody's or BBB or better by S&P or, if not rated, determined by the Advisor to be of comparable quality. Although the Fixed Income Fund and Short-Term Fixed Income Fund maintain diversified portfolios, the ability of the issuers of the Fund's portfolio securities to meet their obligations may be affected by changing business and economic conditions. Each International Fund invests in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. Global Fixed Income, International Fixed Income and Emerging Markets Debt Fund invest in debt securities, the market value of which may change in response to interest rate changes. Also, the ability of the issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments in a specific country, industry, or region. 58
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NOTES 59
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=================== MORGAN GRENFELL =================== INVESTMENT TRUST =================== SEMI-ANNUAL REPORT =================== APRIL 30, 1996 TRUSTEES AND OFFICERS James E. Minnick, PRESIDENT, CHIEF EXECUTIVE OFFICER AND CHAIRMAN OF THE BOARD OF TRUSTEES Patrick W. Disney, SENIOR VICE PRESIDENT AND TRUSTEE Paul K. Freeman, TRUSTEE Graham E. Jones, TRUSTEE Hugh G. Lynch, TRUSTEE William N. Searcy, TRUSTEE Edward T. Tokar, TRUSTEE David W. Baldt, VICE PRESIDENT James H. Grifo, VICE PRESIDENT Neil P. Jenkins, VICE PRESIDENT Ian D. Kelson, VICE PRESIDENT Jeffrey A. Cohen, TREASURER, PRINCIPAL ACCOUNTING OFFICER, CHIEF FINANCIAL OFFICER Mark G. Arthus, SECRETARY AND COMPLIANCE OFFICER INVESTMENT ADVISORS Morgan Grenfell Capital Management, Inc. Morgan Grenfell Investment Services Limited ADMINISTRATOR AND SHAREHOLDER SERVICING AGENT SEI Financial Management Corporation DISTRIBUTOR SEI Financial Services Company CUSTODIANS The Northern Trust Company CoreStates Bank, N.A. TRANSFER AGENT DST Systems, Inc. INDEPENDENT ACCOUNTANTS Price Waterhouse LLP LEGAL COUNSEL Hale and Dorr THIS SEMI-ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. INVESTORS SHOULD READ THE PROSPECTUS CAREFULLY BEFORE INVESTING. SHARES OF THE MORGAN GRENFELL INVESTMENT TRUST ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE SHARES ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI FINANCIAL SERVICES COMPANY, THE DISTRIBUTOR OF THE MORGAN GRENFELL INVESTMENT TRUST, IS NOT AFFILIATED WITH ANY BANK. MIT-F-009-02
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STATEMENT OF ASSETS AND LIABILITIES -------------------------------------------------------------------------------- MORGAN GRENFELL INVESTMENT TRUST - APRIL 30, 1996 (UNAUDITED) -------- -------- --------- --------- PACIFIC JAPANESE GLOBAL EUROPEAN BASIN SMALL CAP EQUITY EQUITY EQUITY EQUITY FUND FUND FUND FUND -------- -------- --------- --------- ASSETS: Cash $1,000 $1,000 $1,000 $1,000 -------- -------- --------- --------- Total assets 1,000 1,000 1,000 1,000 -------- -------- --------- --------- LIABILITIES: -- -- -- -- -------- -------- --------- --------- NET ASSETS: $1,000 $1,000 $1,000 $1,000 ======== ======== ========= ========= Shares of beneficial interest issued and outstanding (unlimited authorization -- based on $0.001 par value) 100 100 100 100 ======== ======== ========= ========= NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE $10.00 $10.00 $10.00 $10.00 ======== ======== ========= ========= THE FUNDS HAVE NOT COMMENCED OPERATIONS AS OF APRIL 30, 1996. The accompanying notes are an integral part of the financial statements.
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Notes to Financial Statements -------------------------------------------------------------------------------- Morgan Grenfell Investment Trust - April 30, 1996 (Unaudited) 1. Organization Morgan Grenfell Investment Trust (the "Trust") was organized as a Delaware business Trust on September 13, 1993. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company consisting of seventeen investment portfolios (Municipal Bond Fund, Fixed Income Fund, Short-Term Municipal Bond Fund, Short-Term Fixed Income Fund, Large Cap Growth Fund, Smaller Companies Fund, International Equity Fund, Global Equity Fund, European Equity Fund, Pacific Basin Equity Fund, International Small Cap Equity Fund, European Small Cap Equity Fund, Japanese Small Cap Equity Fund, Emerging Markets Equity Fund, Global Fixed Income Fund, International Fixed Income Fund and Emerging Markets Debt Fund. These financial statements relate only to the Global Equity Fund, European Equity Fund, Pacific Basin Equity Fund and Japanese Small Cap Equity Fund (hereafter referred to as the "Funds"). At April 30, 1996, the Funds had no operations other than the sale of initial shares to SEI Financial Management Corporation (the "Administrator"), a wholly-owned subsidiary of SEI Corporation on December 29, 1993. Morgan Grenfell Investment Services Limited (the "Advisor") absorbed all expenses of organizing the Trust. 2. Administration, Investment Advisory, and Distribution Agreements The Trust has entered into an administration with SEI Financial Management Corporation (the "Administrator"), pursuant to which the Administrator receives a monthly fee based on the aggregate average daily net assets of all the Funds as follows: 0.15% up to $300,000,000; 0.12% from $300,000,000 up to $500,000,000; 0.10% from $500,000,000 up to $1,000,000,000; and 0.08% in excess of $1,000,000,000. Each funds pays the Administrator a minimum annual fee that equals (after a one year phase in period) the following: $75,000 for the Global Equity Fund, European Equity Fund and Pacific Basin Equity Fund and $100,000 for the Japanese Small Cap Equity Fund. The Administrator generally assists in all matters relating to the administration of the Funds, including the coordination and monitoring of any third parties furnishing services to the Funds, preparation and maintenance of financial accounting records, and the provision of necessary office space, equipment and personnel to perform administrative and clerical functions. Under an advisory agreement with the Trust, Morgan Grenfell Investment Services Limited (the "Advisor") serves as the Advisor for the Funds. For these services, the Advisor is entitled to a monthly fee at an annual rate of each Fund's average daily net assets as follows: Global Equity Fund 0.70% European Equity Fund 0.70% Pacific Basin Equity Fund 0.70% Japanese Small Cap Equity Fund 1.00%
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NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- MORGAN GRENFELL INVESTMENT TRUST - APRIL 30, 1996 (UNAUDITED) The Advisor has voluntarily agreed to reduce its advisory fee to the extent necessary to limit the Fund's operating expenses to a specified percentage of its average net assets as follows: Global Equity Fund 0.90% European Equity Fund 0.90% Pacific Basin Equity Fund 0.90% Japanese Small Cap Equity Fund 1.25% Certain officers and/or Trustees of the Trust are affiliated with the Administrator or Advisor. SEI Financial Services Company (the "Distributor") serves as the distributor of shares of the Funds pursuant to a distribution agreement with the Trust and assists in the sale of shares of the Funds. The Advisor, and not the Trust, is responsible for payment of any expenses or fees incurred in the marketing and distribution of shares of the Trust.

Dates Referenced Herein   and   Documents Incorporated By Reference

Referenced-On Page
This N-30D Filing   Date First   Last      Other Filings
9/13/935059
12/29/9359
1/3/9468
2/2/948
3/15/949
8/4/9410
11/1/947
12/5/9450
12/28/9450
3/6/954
3/13/955
5/15/955
10/31/9555424F-2NT, N-30D, NSAR-B
4/30/96160NSAR-A
5/20/9654
For The Period Ended5/30/96N-30D
Filed On / Filed As Of6/27/96NSAR-A
8/19/9654
 
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