DWS Covered Bond Fund Semiannual Report 2014/2015 DWS Covered Bond Fund Contents

Deutsche Asset & Wealth Management

Deutsche Asset & Wealth Management Investment GmbH DWS Covered Bond Fund Semiannual Report 2014/2015 DWS Covered Bond Fund Contents

Semiannual report 2014/2015 for the period from October 1, 2014, through March 31, 2015 (in accordance with article 103 of the German Investment Code (KAGB))

General information 2

Semiannual report 2014 DWS Covered Bond Fund 4 2015

Investment portfolio for the reporting period 6

1 General information

Performance not a guide to future results. The Information about the all-in fee The investment return, or performance, corresponding benchmarks – if The all-in fee does not include the of a mutual fund investment is meas- available – are also presented in the following expenses: ured by the change in value of the fund’s reports. All financial data in this a) any costs that may arise in connec- units. The net asset values per unit publication is as of March 31, 2015 tion with the acquisition and disposal (= redemption prices) with the addition (unless otherwise stated). of assets; of intervening distributions, which are, b) any taxes that may arise in connec- for example, reinvested free of charge Sales prospectuses tion with administrative and custodial within the scope of investment The sole binding basis for a purchase costs; accounts at Deutsche Asset & Wealth are the current version of the sales c) the costs of asserting and enforcing Management Investment GmbH, are prospectus including the Terms and the legal claims of the investment used as the basis for calculating the Conditions of Investment and the key fund. value; in the case of domestic reinves- investor information document, which ting funds, the domestic investment are available from Deutsche Asset & The details of the fee structure are set income tax – following any deduction Wealth Management Investment out in the current sales prospectus. of foreign withholding tax – plus GmbH or any branch of Deutsche Bank solidarity surcharge charged to the AG, as well as from other paying Issue and redemption prices fund are added. Performance is agents. Each exchange trading day on the calculated in accordance with the Internet: “BVI method.” Past performance is www.dws.de

2 Semiannual report DWS Covered Bond Fund

Performance of unit classes (in euro) Unit class ISIN 6 months Class LD DE0008476532 3.8% Class FD DE000DWS1UN6 3.9% Class IC DE000DWS1UP1 3.9% Class ID DE000DWS1UQ9 4.0% Class LC DE000DWS1UL0 3.8% iBoxx € Euro Covered since July 1, 2010 (previously: REXP 2Y) 2.5%

“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: March 31, 2015

OVERVIEW OF THE UNIT CLASSES ISIN LD DE0008476532 LC DE000DWS1UL0 FD DE000DWS1UN6 IC DE000DWS1UP1 ID DE000DWS1UQ9 Security code (WKN) LD 847653 LC DWS1UL FD DWS1UN IC DWS1UP ID DWS1UQ Fund currency EUR Unit class currency LD EUR LC EUR FD EUR IC EUR ID EUR Date of inception LD May 26, 1988 and initial subscription LC April 22, 2013 FD March 15, 2013 IC June 4, 2013 ID January 20, 2014 Initial sales charge LD 2.5% LC 2.5% FD None IC None ID None Distribution policy LD Distribution LC Reinvestment FD Distribution IC Reinvestment ID Distribution All-in fee LD 0.7% p.a. LC 0.7% p.a. FD 0.4% p.a. IC 0.35% p.a. ID 0.35% p.a. Minimum investment LD None LC None FD EUR 400,000 IC EUR 25,000,000 ID EUR 25,000,000 Initial issue price LD DEM 87.12 (incl. initial sales charge) LC EUR 52.87 (incl. initial sales charge) FD EUR 50.99 IC EUR 51.65 ID EUR 52.68

4 The format used for complete dates in securities descriptions in the investment portfolio is “day/month/year”.

Investment portfolio 0for the reporting period 0 DWS Covered Bond Fund

Statement of net assets

Amount in EUR ’000 % of net asset I. Assets 1. Bonds (issuers): Institutions 2 014 921 82.20 Other financing institutions 239 007 9.75 Central governments 132 323 5.40 Regional governments 51 347 2.09 Total bonds: 2 437 598 99.44

2. Investment fund units 74 398 3.03

3. Derivatives -28 010 -1.14

4. Other assets 21 262 0.87

II. Liabilities 1. Loan liabilities -52 658 -2.15

2. Other liabilities -1 162 -0.05

III. Net assets 2 451 428 100.00

Negligible rounding errors may have arisen due to the rounding of calculated percentages.

6 DWS Covered Bond Fund

Investment portfolio – March 31, 2015

Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets (– / ’000) amount in the reporting period EUR

Securities traded on an exchange 2 437 597 640.20 99.44

Interest-bearing securities 1.2500 % Abbey National Trea. Serv. 14/18.09.24 MTN PF (XS1111559685) 3...... EUR 10 000 16 120 % 106.3450 10 634 500.00 0.43 2.2500 % AIB Mortgage Bank 14/26.03.21 MTN PF (XS1048644907) ...... EUR 10 000 % 111.2830 11 128 300.00 0.45 0.6250 % AIB Mortgage Bank 15/03.02.22 PF MTN (XS1179936551) ...... EUR 20 860 20 860 % 101.3880 21 149 536.80 0.86 4.7500 % AYT Cedulas Cajas V 03/04.12.18 PF (ES0370148019)...... EUR 30 000 % 116.3780 34 913 400.00 1.42 4.2500 % AYT Cedulas Cajas VIII 04/18.11.19 PF Cl.B (ES0312362017)...... EUR 25 000 % 118.0930 29 523 250.00 1.20 3.3750 % Banca Popolare Emilia Romagna 13/22.10.18 MTN PF (IT0004965346). . . . EUR 20 000 31 500 % 111.5030 22 300 600.00 0.91 0.8750 % Banca Popolare Emilia Romagna 15/22.01.22 MTN PF (IT0005076929). . . . EUR 40 550 40 550 % 102.6080 41 607 544.00 1.70 0.7500 % Banco Bilbao Vizcaya Argentaria 15/20.01.22 PF (ES0413211824)...... EUR 10 000 34 300 24 300 % 102.3610 10 236 100.00 0.42 3.3750 % Banco de Sabadell 13/23.01.18 PF (ES0413860323)...... EUR 10 000 12 100 % 109.2050 10 920 500.00 0.45 0.8750 % Banco de Sabadell 14/12.11.21 PF (ES0413860398)...... EUR 25 400 25 400 % 102.7940 26 109 676.00 1.07 3.1250 % Banco Mare Nostrum 14/21.01.19 PF (ES0413056047) 3 ...... EUR 36 500 % 110.9330 40 490 545.00 1.65 0.7500 % Banco Popolare Società Coop. 15/31.03.22 MTN PF (IT0005090516). . . . EUR 40 000 40 000 % 100.9920 40 396 800.00 1.65 1.0000 % Banco Popular 15/07.04.25 PF (ES0413790397)...... EUR 50 000 50 000 % 98.9710 49 485 500.00 2.02 4.1250 % Banco Popular Español 10/09.04.18 PF (ES0413790074)...... EUR 38 250 5 000 % 111.8800 42 794 100.00 1.75 3.5000 % Banco Popular Español 13/11.09.17 PF (ES0413790314)...... EUR 35 000 % 108.1710 37 859 850.00 1.54 1.1250 % Banco Santander 14/27.11.24 PF (ES0413900368)...... EUR 20 000 35 000 15 000 % 104.4860 20 897 200.00 0.85 1.5000 % Banco Santander Totta 14/03.04.17 MTN PF (PTBSQDOE0020)...... EUR 5 000 % 102.6440 5 132 200.00 0.21 1.6250 % Banco Santander Totta 14/11.06.19 MTN PF (PTBSQEOE0029)...... EUR 55 000 % 105.3850 57 961 750.00 2.36 3.6250 % Bank of Ireland Mortgage Bank 13/02.10.20 MTN PF (XS0975903112) . . . EUR 15 000 % 118.1350 17 720 250.00 0.72 1.7500 % Bank of Ireland Mortgage Bank 14/19.03.19 MTN PF (XS1046173958) . . . EUR 20 000 17 580 % 106.2210 21 244 200.00 0.87 0.5000 % Bank of Ireland Mortgage Bank 15/20.01.20 MTN PF (XS1170193061) . . . EUR 15 000 35 260 20 260 % 101.2090 15 181 350.00 0.62 0.2500 % Bank of Montreal 15/22.01.20 PF MTN (XS1172094747) ...... EUR 21 650 21 650 % 100.3170 21 718 630.50 0.89 4.0000 % Bankia 05/03.02.25 PF (ES0414950628). . . EUR 16 300 16 300 % 128.8180 20 997 334.00 0.86 4.1250 % Bankia 06/24.03.36 PF (ES0414950644). . . EUR 38 000 38 000 4 350 % 146.6970 55 744 860.00 2.27 4.5000 % Bankia 07/26.04.22 PF (ES0414950685). . . EUR 50 000 42 000 % 126.4600 63 230 000.00 2.58 5.0000 % Bankia 07/28.06.19 PF (ES0414950693). . . EUR 11 000 % 119.9930 13 199 230.00 0.54 1.0000 % Bankia 15/25.09.25 (ES0413307093). . . . EUR 27 800 27 800 % 99.9290 27 780 262.00 1.13 1.0000 % Bankinter 15/05.02.25 PF (ES0413679327). . EUR 21 600 21 600 % 102.9530 22 237 848.00 0.91 1.7500 % Bayerische Landesbank 14/08.04.24 ÖPF MTN (DE000BLB6H53)...... EUR 10 000 10 350 % 112.4730 11 247 300.00 0.46 0.6250 % Belfius Bank 14/14.10.21 MTN (BE0002477520) ...... EUR 30 000 61 000 31 000 % 101.8460 30 553 800.00 1.25 1.7500 % Belfius Bank 14/24.06.24 MTN PF (BE0002474493)...... EUR 50 000 % 110.9810 55 490 500.00 2.26 1.2500 % Berlin Hyp 14/23.04.21 E.182 PF (DE000BHY0AJ1)...... EUR 10 000 30 780 % 106.9580 10 695 800.00 0.44 0.8750 % BNP Paribas Home Loan SFH 14/14.11.24 MTN PF (FR0012300754) 3...... EUR 31 580 31 580 % 103.8510 32 796 145.80 1.34 1.7500 % BPCE SFH 14/27.06.24 MTN PF (FR0011993518)...... EUR 14 600 % 111.5940 16 292 724.00 0.66 0.5000 % BPCE SFH 15/11.10.22 MTN PF (FR0012518926)...... EUR 9 000 9 000 % 101.2500 9 112 500.00 0.37 5.3750 % Caisse Francaise Fin. Local 09/08.07.24 MTN ÖPF (FR0010775486) 3 . . EUR 10 000 % 144.2070 14 420 700.00 0.59 0.3750 % Caisse Francaise Fin. Local 14/16.09.19 MTN PF (FR0012159507) 3. . . EUR 10 000 5 200 % 101.2980 10 129 800.00 0.41 2.4000 % Caisse Refinancement l’Habitat 13/17.01.25 PF (FR0011388339) 3 . . . . . EUR 20 000 16 000 % 118.1930 23 638 600.00 0.96

7 DWS Covered Bond Fund

Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets (– / ’000) amount in the reporting period EUR

4.2500 % Caixa Geral de Depósitos 10/27.01.20 MTN PF (PTCG2YOE0001) ...... EUR 20 000 25 000 25 000 % 118.2010 23 640 200.00 0.96 3.7500 % Caixa Geral de Depósitos 13/18.01.18 MTN PF (PTCGHUOE0015)...... EUR 5 000 % 109.8410 5 492 050.00 0.22 3.0000 % Caixa Geral de Depósitos 14/15.01.19 MTN PF (PTCGHAOE0019)...... EUR 30 000 25 500 % 110.1040 33 031 200.00 1.35 3.8750 % Caixabank 05/17.02.25 PF (ES0414970204) 3...... EUR 6 800 % 130.2430 8 856 524.00 0.36 3.6250 % Caixabank 06/18.01.21 PF (ES0414970246) ...... EUR 10 000 25 000 % 119.0250 11 902 500.00 0.49 2.8750 % Caja Rural de Navarra 13/11.06.18 PF (ES0415306002)...... EUR 10 000 44 200 % 108.6430 10 864 300.00 0.44 1.2500 % Cajas Rurales Unidas 15/26.01.22 PF (ES0422714032)...... EUR 40 900 40 900 % 102.8190 42 052 971.00 1.72 0.2500 % Canadian Imperial Bank Comm. 15/28.01.20 MTN PF (XS1175865028) . . . EUR 20 670 20 670 % 100.2890 20 729 736.30 0.85 0.8750 % Cassa Risparmio ParmaPiacenza 14/31.01.22 MTN PF (IT0005057002). . . . EUR 30 000 30 000 % 103.0840 30 925 200.00 1.26 4.1250 % Cedulas TDA 5 04/29.11.19 PF (ES0317045005)...... EUR 40 000 % 117.2530 46 901 200.00 1.91 3.8750 % Cedulas TDA 6 05/23.05.05 PF (ES0317046003)...... EUR 9 700 9 700 % 125.4900 12 172 530.00 0.50 4.8750 % Cie. Financement Foncier 09/25.05.21 MTN PF (FR0010758599) ...... EUR 15 000 % 128.2900 19 243 500.00 0.78 2.3750 % Cie. Financement Foncier 12/21.11.22 MTN PF (FR0011356997) ...... EUR 11 635 % 115.2380 13 407 941.30 0.55 2.0000 % Cie. Financement Foncier 14/07.05.24 MTN PF (FR0011885722) ...... EUR 30 000 % 113.7370 34 121 100.00 1.39 0.6250 % Cie. Financement Foncier 14/12.11.21 MTN PF (FR0012299394) ...... EUR 22 500 22 500 % 102.3900 23 037 750.00 0.94 0.3750 % Cie. Financement Foncier 14/17.09.19 MTN PF (FR0012159820) ...... EUR 11 500 % 101.3250 11 652 375.00 0.48 2.5000 % CM-CIC Home Loan 13/11.09.23 MTN PF (FR0011564962) ...... EUR 23 200 % 117.3780 27 231 696.00 1.11 1.3750 % CM-CIC Home Loan 13/22.04.20 MTN PF (FR0011473495) ...... EUR 15 000 35 000 % 106.2700 15 940 500.00 0.65 1.7500 % CM-CIC Home Loan 14/19.06.24 MTN PF (FR0011991306) ...... EUR 55 000 % 111.6400 61 402 000.00 2.50 1.8260 % Comunidad Autónoma de Madrid 15/30.04.25 (ES0000101651) 3...... EUR 50 000 50 000 % 102.6940 51 347 000.00 2.09 0.6250 % Coventry Building Society 14/03.11.21 PF MTN (XS1131109537) ...... EUR 10 000 25 250 15 250 % 101.6180 10 161 800.00 0.41 4.0000 % Crédit Agricole Home Loan SFH 10/16.07.25 MTN PF (FR0010920900) . . . EUR 10 000 2 000 % 134.8480 13 484 800.00 0.55 4.0000 % Crédit Agricole Home Loan SFH 12/17.01.22 MTN PF (FR0011179852) 3. . . EUR 18 000 % 124.9640 22 493 520.00 0.92 0.6250 % Crédit Agricole Home Loan SFH 14/28.11.22 MTN PF (FR0012332450) . . . EUR 15 000 24 580 9 580 % 102.2200 15 333 000.00 0.63 3.2500 % Credito Emiliano 13/09.07.20 MTN PF (IT0004940679)...... EUR 30 000 % 115.5640 34 669 200.00 1.41 0.8750 % Credito Emiliano 14/05.11.21 PF (IT0005066763)...... EUR 19 180 19 180 % 103.2810 19 809 295.80 0.81 1.8750 % Credito Emiliano 14/27.02.19 MTN PF (IT0005000374)...... EUR 25 000 10 300 % 106.6250 26 656 250.00 1.09 0.7500 % CW Bank of Australia 14/04.11.21 MTN Reg S PF (XS1129875255)...... EUR 26 610 26 610 % 102.4160 27 252 897.60 1.11 0.2500 % Dexia Crédit Local 15/19.03.20 MTN (XS1204255522)...... EUR 18 950 18 950 % 99.9050 18 931 997.50 0.77 0.6250 % Dexia Credit Local 15/21.01.22 MTN (XS1169977896)...... EUR 26 100 26 100 % 101.1520 26 400 672.00 1.08 0.3750 % Dexia Kommunalbank Dt. 15/03.03.22 ÖPF MTN S.1637 (DE000DXA1NW1). . . . EUR 14 900 14 900 % 100.6760 15 000 724.00 0.61 2.0000 % HSBC SFH (France) 13/16.10.23 MTN PF (FR0011470764) ...... EUR 15 100 % 113.2270 17 097 277.00 0.70 4.5000 % IM Cedulas 10 - FTA 07/21.02.22 PF (ES0349045007)...... EUR 37 000 37 000 % 124.5330 46 077 210.00 1.88 4.0000 % IM Cedulas 7 - FTA 06/31.03.21 PF (ES0347784003) 3 ...... EUR 41 500 31 500 % 119.3400 49 526 100.00 2.02 0.6250 % Intesa Sanpaolo 15/20.01.22 MTN PF (IT0005082786)...... EUR 30 000 40 600 10 600 % 101.3890 30 416 700.00 1.24 3.7500 % Italy 13/01.05.21 (IT0004966401) . . . . . EUR 50 000 50 000 % 117.2850 58 642 500.00 2.39 1.7500 % Kutxabank 14/27.05.21 PF (ES0443307048) ...... EUR 10 000 45 800 % 108.3950 10 839 500.00 0.44 3.6250 % Mediobanca - Banca Credito Fin. 13/17.10.23 MTN PF (IT0004966716). . . . EUR 44 720 % 125.4640 56 107 500.80 2.29 1.1250 % Mediobanca - Banca Credito Fin. 14/17.06.19 MTN PF (IT0005028052). . . . EUR 10 000 12 050 % 104.0270 10 402 700.00 0.42

8 DWS Covered Bond Fund

Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets (– / ’000) amount in the reporting period EUR

0.8750 % National Australia Bank 15/19.02.27 MTN PF (XS1191309720) ...... EUR 5 000 26 620 21 620 % 101.2300 5 061 500.00 0.21 0.5000 % National Bank of Canada 15/26.01.22 MTN PF (XS1173616753) ...... EUR 34 830 34 830 % 100.9780 35 170 637.40 1.43 2.2500 % Nationwide Building Society 14/25.06.29 MTN PF (XS1081100239) . . . EUR 20 000 9 700 % 119.7160 23 943 200.00 0.98 0.6250 % Nationwide Building Society 15/25.03.27 MTN PF (XS1207683522) . . . EUR 43 540 43 540 % 98.6180 42 938 277.20 1.75 1.0000 % Nordea Bank Finland 14/05.11.24 MTN PF (XS1132790442) ...... EUR 10 000 24 500 14 500 % 104.8640 10 486 400.00 0.43 1.0000 % OP-Asuntoluottopankki 14/28.11.24 MTN PF (XS1144844583) ...... EUR 15 000 30 000 15 000 % 104.8660 15 729 900.00 0.64 5.1250 % Pitch 1 07/20.07.22 PF (ES0334699008). . . EUR 5 000 5 000 % 131.5000 6 575 000.00 0.27 4.2500 % PROGRAMA Cedulas TDA 6 07/28.03.27 PF S.A5 (ES0371622046)...... EUR 10 000 % 133.1830 13 318 300.00 0.54 5.9000 % Spain 11/30.07.26 (ES00000123C7) . . . . EUR 50 000 50 000 % 147.3600 73 680 000.00 3.01 1.1250 % Sparkasse KölnBonn 14/14.10.24 HPF MTN (DE000SK003B9) ...... EUR 10 000 19 800 9 800 % 107.1060 10 710 600.00 0.44 0.3750 % Swedbank Hypotek 15/11.03.22 MTN PF (XS1200837836) ...... EUR 23 600 23 600 % 100.4090 23 696 524.00 0.97 1.8750 % UniCredit Bank 14/09.04.24 MTN PF (DE000HV2AK00)...... EUR 21 620 % 113.4900 24 536 538.00 1.00 5.2500 % Unione di Banche Italiane 11/28.01.21 PF (IT0004682305) 3...... EUR 10 000 5 000 % 128.4030 12 840 300.00 0.52 3.1250 % Unione di Banche Italiane 14/05.02.24 MTN PF (IT0004992878)...... EUR 30 000 17 340 % 121.4600 36 438 000.00 1.49 1.2500 % Unione di Banche Italiane 14/07.02.25 PF (IT0005067076)...... EUR 14 000 25 090 11 090 % 105.2370 14 733 180.00 0.60 1.5000 % Westpac Banking 14/24.03.21 MTN PF (XS1047122665) ...... EUR 10 000 20 000 35 000 % 106.8230 10 682 300.00 0.44 0.6250 % Westpac Banking 15/14.01.22 MTN PF (XS1167295804) ...... EUR 26 780 26 780 % 101.3640 27 145 279.20 1.11 1.1250 % WL BANK 14/18.09.24 MTN PF (DE000A12UGG2)...... EUR 10 000 4 900 % 107.3150 10 731 500.00 0.44 1.2500 % Yorkshire Building Society 11.06.21 MTN PF (XS1076256400) ...... EUR 10 000 9 260 % 105.4470 10 544 700.00 0.43

Securitized money market instruments 5.5000 % Unicaja Banco 11/23.03.16 PF (ES0458759034)...... EUR 8 000 8 000 5 000 % 105.0800 8 406 400.00 0.34

Investment fund units 74 398 396.00 3.03

In-group fund units (incl. units of in-group funds issued by the asset management company) 74 398 396.00 3.03 Deutsche Invest I Global Bonds Dynamic Plus FC (LU0616844766) ...... Count 10 000 EUR 128.3900 1 283 900.00 0.05 DWS Institutional Money plus IC (LU0099730524) . . . Count 5 200 26 855 21 655 EUR 14 060.4800 73 114 496.00 2.98

Total securities portfolio 2 511 996 036.20 102.47

Derivatives Minus signs denote short positions

Swaps -28 010 523.89 -1.14

Interest rate swaps (Paid/received) FW Swap 0.779%/6M Euribor (DBK) 06.09.15-06.09.25 (OTC)...... EUR 150 000 -2 235 540.00 -0.09 FW Swap 1.046%/6M Euribor (DBK) 24.02.15-24.02.25 (OTC)...... EUR 100 000 -4 601 260.00 -0.19 Swap 0.997% / 6M Euribor (DBK) 02.07.14-02.07.21 (OTC)...... EUR 180 000 -8 399 035.00 -0.34 Swap 1.785%/6M Euribor (DBK) 01.04.14-01.04.24 (OTC)...... EUR 100 000 -12 774 688.89 -0.52

Cash and non-securitized money market instruments 24.46 0.00

Cash at bank 24.46 0.00

Demand deposits at Depositary Deposits in other EU/EEA currencies...... EUR 24.46 % 100 24.46 0.00

9 DWS Covered Bond Fund

Count/ Quantity/ Purchases/ Sales/ Total market % of Description currency principal additions disposals Market price value in net assets (– / ’000) amount in the reporting period EUR

Other assets 21 262 216.80 0.87 Interest receivable ...... EUR 21 218 390 89. % 100 21 218 390 .89 0 .87 Other receivables ...... EUR 43 825 .91 % 100 43 825 .91 0 .00

Loan liabilities -52 658 376.26 -2.15 EUR loans...... EUR -52 658 376 .26 % 100 -52 658 376 .26 -2 .15

Other liabilities -1 161 664.95 -0.05 Additional other liabilities...... EUR -1 161 664 95. % 100 -1 161 664 .95 -0 .05

Net assets 2 451 427 712.36 100.00

Net asset value per unit Count/ Net asset value per unit and number of units outstanding currency in the respective currency

Net asset value per unit Class LD ...... EUR 55 98. Class FD ...... EUR 56 72. Class LC ...... EUR 57 89. Class IC...... EUR 58 24. Class ID...... EUR 57 77.

Number of units outstanding Class LD ...... Count 20 726 809 768. Class FD ...... Count 10 549 239 671. Class LC ...... Count 2 479 303 .369 Class IC...... Count 6 989 241 .000 Class ID...... Count 2 462 264 .000

Total market value of securities that serve as collateral from OTC transactions with respect to third parties:. . . . EUR 27 784 782 .48

Negligible rounding errors may have arisen due to the rounding of calculated percentages .

Market abbreviations

Futures exchanges OTC = Over the Counter

Footnotes 3 These securities were completely or partly lent as securities loans . The equivalent value of the lent securities is EUR 103,827,914 .00 .

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

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

Count Count Purchases/ Sales/ Purchases/ Sales/ Description currency Description currency additions disposals additions disposals (– / ’000) (– / ’000)

Securities traded on an exchange 1 .3750 % BNP Paribas Home Loan SFH 13/17 .06 .20 MTN PF (FR0011470921). . . EUR 10 400 Interest-bearing securities 2 .1250 % BPCE SFH 13/17 .09 .20 MTN PF (FR0011565985) ...... EUR 30 000 1 .6250 % Abbey National Trea . Serv . 3 .8750 % Caixa Geral de Depósitos 13/26 11. 20. MTN PF (XS0997328066). . . EUR 27 650 06/06 .12 .16 PF (PTCGF11E0000). . . . . EUR 27 000 3 .8750 % Banco Bilbao Vizcaya Argentaria 0 .3750 % Canadian Imperial Bank Comm . 13/30 01. 23. PF (ES0413211790). . . . . EUR 5 000 14/15 .10 .19 MTN PF (XS1121257445). . . EUR 25 420 25 420 0 .7500 % Bank of Nova Scotia 14/17 .09 .21 4 .2500 % Cedulas Grupo Banco Popular 3F .T .A . MTN PF (XS1111155328)...... EUR 30 000 07/26 .04 .17 PF (ES0318822006). . . . . EUR 5 000 1 .0000 % Bayerische Landesbank 14/09 .07 .21 1 .8750 % Crédit Agricole Public Sector OPF (DE000BLB6H61)...... EUR 20 620 12/20 .09 .19 MTN ÖPF 1 .3750 % Belfius Bank 13/05 .06 .20 (FR0011321892)...... EUR 12 000 MTN PF (BE0002435106)...... EUR 25 000

10 DWS Covered Bond Fund

Count Purchases/ Sales/ Securities loans (total transactions, at the value agreed at the closing of the loan Description currency additions disposals contract) (– / ’000) Value (’000) 0.2500 % Deutsche Pfandbriefbank 14/08.09.17 HPF MTN Perpetual EUR 417 093 (DE000A11QA31)...... EUR 8 940 1.0000 % Deutsche Pfandbriefbank 14/25.03.19 Security description: 4.7500 % AYT Cedulas Cajas V 03/04.12.18 MTN PF (DE000A11QAP6)...... EUR 43 970 PF (ES0370148019), 4.2500 % AYT Cedulas Cajas VIII 4.0000 % Deutsche Pfandbriefbk. 09/22.10.19 04/18.11.19 PF Cl.B (ES0312362017), 3.3750 % Banca R.25039 MTN ÖPF (DE000A1A6LM2). . EUR 45 000 Popolare Emilia Romagna 13/22.10.18 MTN PF (IT0004965346), 1.0000 % Dexia Kommunalbank 14/11.06.19 3.8750 % Banco Bilbao Vizcaya Argentaria 13/30.01.23 S.1636 MTN ÖPF (DE000DXA1NV3). . EUR 24 000 PF (ES0413211790), 3.3750 % Banco de Sabadell 13/23.01.18 1.5000 % Eika Boligkreditt 14/12.03.21 PF (ES0413860323), 3.1250 % Banco Mare Nostrum 14/21.01.19 MTN PF (XS1044766191)...... EUR 32 210 PF (ES0413056047), 4.1250 % Banco Popular Español 1.7500 % Germany 14/15.02.24 10/09.04.18 PF (ES0413790074), 3.5000 % Banco Popular (DE0001102333)...... EUR 25 000 25 000 Español 13/11.09.17 PF (ES0413790314), 1.1250 % Banco 1.8750 % HSBC SFH (France) 13/28.10.20 Santander 14/27.11.24 PF (ES0413900368), 1.5000 % MTN PF (FR0011600923)...... EUR 34 900 Banco Santander Totta 14/03.04.17 MTN PF (PTBSQDOE0020), 0.7500 % HSH Nordbank 14/07.10.21 1.6250 % Banco Santander Totta 14/11.06.19 MTN PF S.2234 MTN PF (DE000HSH4UX4) . . . EUR 47 490 47 490 (PTBSQEOE0029), 4.1250 % Bankia 06/24.03.36 PF (ES0414950644), 0.7500 % HYPO NOE Gruppe Bank 14/22.09.21 4.5000 % Bankia 07/26.04.22 PF (ES0414950685), 5.0000 MTN PF (XS1112184715)...... EUR 15 630 % Bankia 07/28.06.19 PF (ES0414950693), 0.3750 % Caisse 3.2500 % Intesa Sanpaolo 14/10.02.26 Francaise Fin. Local 14/16.09.19 MTN PF (FR0012159507), PF MTN (IT0004992787) ...... EUR 38 000 3.8750 % Caixa Geral de Depósitos 06/06.12.16 PF (PTCGF11E0000), 0.8000 % Ireland 15/15.03.22 (IE00BJ38CQ36). . EUR 27 380 27 380 4.2500 % Caixa Geral de Depósitos 10/27.01.20 MTN 2.0000 % Ireland 15/18.02.45 (IE00BV8C9186). . EUR 64 120 64 120 PF (PTCG2YOE0001), 3.8750 % Caixabank 05/17.02.25 3.7500 % Italy B.T.P. 14/01.09.24 PF (ES0414970204), 3.6250 % Caixabank 06/18.01.21 (IT0005001547)...... EUR 20 000 20 000 PF (ES0414970246), 2.8750 % Caja Rural de Navarra 1.8750 % La Banque Postale Home Loan 13/11.06.18 PF (ES0415306002), 4.1250 % Cedulas TDA 13/11.09.20 MTN PF (FR0011565738). . EUR 12 900 5 04/29.11.19 PF (ES0317045005), 3.8750 % Cedulas 2.2500 % National Australia Bank TDA 6 05/23.05.05 PF (ES0317046003), 2.3750 % Cie. 13/06.06.25 MTN PF (XS0940332504). . EUR 20 000 Financement Foncier 12/21.11.22 MTN PF (FR0011356997), 4.6500 % Spain 10/30.07.25 (ES00000122E5). . . EUR 5 555 2.0000 % Cie. Financement Foncier 14/07.05.24 MTN 2.7500 % Spain 14/31.10.24 (ES00000126B2). . . EUR 25 000 25 000 PF (FR0011885722), 0.6250 % Cie. Financement Foncier 1.6000 % Spain 15/30.04.25 (ES00000126Z1). . . EUR 37 500 37 500 14/12.11.21 MTN PF (FR0012299394), 4.0000 % Crédit 0.5000 % UniCredit Bank Austria 14/16.01.20 Agricole Home Loan SFH 12/17.01.22 MTN PF (FR0011179852), MTN PF (AT000B049531)...... EUR 17 900 0.6250 % Crédit Agricole Home Loan SFH 14/28.11.22 2.3750 % UniCredit Bank Austria 14/22.01.24 MTN PF (FR0012332450), 3.2500 % Credito Emiliano 13/09.07.20 MTN PF (AT000B049465)...... EUR 19 000 MTN PF (IT0004940679), 1.8750 % Credito Emiliano 14/27.02.19 1.3750 % UniCredit Bank Austria 14/26.05.21 MTN PF (IT0005000374), 0.7500 % CW Bank of Australia MTN ÖPF (AT000B049507)...... EUR 16 800 14/04.11.21 MTN Reg S PF (XS1129875255), Germany 06/15.04.16 3.1250 % Unione di Banche Italiane INFL (DE0001030500), 1.7500 % Germany 14/15.02.24 13/14.10.20 MTN PF (IT0004966195) . . EUR 41 960 (DE0001102333), 3.6250 % Mediobanca - Banca Credito Fin. 13/17.10.23 MTN PF (IT0004966716), 2.2500 % National Securitized money market instruments Australia Bank 13/06.06.25 MTN PF (XS0940332504), 3.5000 % AYT Cedulas Cajas Global 0.5000 % National Bank of Canada 15/26.01.22 MTN PF 05/14.03.16 S.II PF (ES0312298013). . EUR 27 500 (XS1173616753), 4.2500 % PROGRAMA Cedulas TDA 6 07/28.03.27 3.2500 % Banco BPI 10/15.01.15 MTN PF S.A5 (ES0371622046), 5.5000 % Unicaja Banco 11/23.03.16 PF (PTBB5JOE0000)...... EUR 21 350 PF (ES0458759034), 2.3750 % UniCredit Bank Austria 3.5000 % Banco de Sabadell 06/19.01.16 14/22.01.24 MTN PF (AT000B049465), 1.3750 % UniCredit PF (ES0413860034) ...... EUR 5 000 Bank Austria 14/26.05.21 MTN ÖPF (AT000B049507), 5.2500 3.6250 % Banco de Sabadell 12/16.02.15 % Unione di Banche Italiane 11/28.01.21 PF (IT0004682305), PF (ES0413860281) ...... EUR 12 100 3.1250 % Unione di Banche Italiane 14/05.02.24 MTN 3.2500 % Banco Popolare Società Coop. PF (IT0004992878), 1.2500 % Unione di Banche Italiane 10/30.09.15 PF (IT0004641855). . . . EUR 10 000 14/07.02.25 PF (IT0005067076) 3.2500 % Bankinter 09/13.11.14 PF (ES0413679061)...... EUR 5 000 4.3750 % Cedulas TDA 3 04/03.03.16 PF (ES0317043000) ...... EUR 10 000 1.5000 % Germany 06/15.04.16 INFL (DE0001030500)...... EUR 25 000 25 000 3.7500 % IM Cedulas 4 - FTA 05/11.03.15 PF (ES0347848006) ...... EUR 5 000 3.5000 % IM Cedulas 6 - FTA 05/02.12.15 PF (ES0362859003) ...... EUR 7 500 0.1330 % PROGRAMA Cedulas TDA 6 06/08.04.16 PF Cl. A1 (ES0371622004)...... EUR 10 000

11 DWS Covered Bond Fund

Notes to the financial statements (in accordance with article 7, no. 9, of the Accounting and Valuation Regulation issued under the KAGB (KARBV))

Other disclosures Net asset value per unit, Class LD: EUR 55.98 Net asset value per unit, Class FD: EUR 56.72 Net asset value per unit, Class LC: EUR 57.89 Net asset value per unit, Class IC: EUR 58.24 Net asset value per unit, Class ID: EUR 57.77

Number of units outstanding, Class LD: 20,726,809.768 Number of units outstanding, Class FD: 10,549,239.671 Number of units outstanding, Class LC: 2,479,303.369 Number of units outstanding, Class IC: 6,989,241.000 Number of units outstanding, Class ID: 2,462,264.000

Disclosure regarding asset valuation procedures: The Depositary shall determine the value with the participation of the asset management company. The Depositary generally bases its valuation on external sources.

If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between the Depositary and the asset management company and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure.

Investments reported in this report are not valued at derived market values.

12 Asset Management Company Depositary Management

Deutsche Asset & Wealth Management State Street Bank GmbH James Dilworth (since January 1, 2015) Investment GmbH Brienner Straße 59 Speaker of the Management D-60612 Frankfurt/Main D-80333 Munich Liable equity capital as of December 31, 2014: Liable equity capital as of December 31, 2013: Holger Naumann EUR 177.9 million EUR 1,381.4 million Managing Director of Subscribed and paid-in capital Subscribed and paid-in capital DWS Holding & Service GmbH, as of December 31, 2014: EUR 115 million as of December 31, 2013: EUR 109.3 million Frankfurt/Main Chairman of the Board of Directors of Supervisory Board DWS Investment S.A., Luxembourg Managing Director of Michele Faissola RREEF Spezial Invest GmbH, Head of Asset & Wealth Management Frankfurt/Main Deutsche Bank AG, London Chairman of the Board of Directors of Chairman Oppenheim Asset Management Services S.à r.l., Luxembourg Christof von Dryander Deutsche Bank AG, Barbara Rupf Bee (since October 1, 2014) Frankfurt/Main Managing Director of Deutsche Bank Vice-Chairman (Suisse) SA, Zurich Member of the Supervisory Board of RREEF Dr. Roland Folz Spezial Invest GmbH, Frankfurt/Main Deutsche Bank AG, Member of the Supervisory Board of RREEF Frankfurt/Main Investment GmbH, Frankfurt/Main

Dr. Stefan Marcinowski Dr. Asoka Wöhrmann Ludwigshafen Managing Director of DWS Holding & Service GmbH, Friedrich von Metzler Frankfurt/Main Partner in the banking firm Member of the Board of Directors of B. Metzler seel. Sohn & Co. KGaA, DWS Investment S.A., Luxembourg Frankfurt/Main Shareholder of Andreas Pohl Deutsche Asset & Wealth Management Chairman of the Board and Investment GmbH Member of the Management of Deutsche Vermögensberatung Holding GmbH, DWS Holding & Service GmbH, Marburg Frankfurt/Main

Thomas Rodermann Deutsche Bank AG, Frankfurt/Main

Christian Strenger Frankfurt/Main

As of: April 30, 2015 Deutsche Asset & Wealth Management Investment GmbH D-60612 Frankfurt/Main Tel.: +49 (0) 69-910-12371 Fax: +49 (0) 69-910-19090 www.dws.com