N-Q 1 nq073116dit_sgs.htm DEUTSCHE STRATEGIC GOVERNMENT SECURITIES FUND

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

_______________________________

Investment Company Act file number: 811-04049

Deutsche Income Trust

(Exact name of registrant as specified in charter)

 

345 Park Avenue
New York, NY 10154

(Address of principal executive offices) (Zip code)

 

Paul Schubert

60 Wall Street

New York, NY 10005

(Name and address of agent for service)

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

Date of fiscal year end: 10/31

Date of reporting period: 7/31/2016

 

ITEM 1. SCHEDULE OF INVESTMENTS

 

 

Investment Portfolio                                                                                             as of July 31, 2016 (Unaudited)

 

 

Deutsche Strategic Government Securities Fund

 

 

  Principal
Amount ($)		   Value ($)
  Mortgage-Backed Securities Pass-Throughs 89.6%
Federal Home Loan Mortgage Corp.:  
  3.5%, 6/1/2046     10,969,658   11,646,031
  7.0%, 10/1/2038     222,347   246,667
Federal National Mortgage Association, 4.0%, 9/1/2040     888,216   962,686
Government National Mortgage Association:  
  3.0%, with various maturities from 9/15/2042 until 5/20/2046 (a)     254,207,461   267,120,256
  3.5%, with various maturities from 11/20/2041 until 5/20/2046 (a)     177,247,902   189,108,186
  4.0%, with various maturities from 8/20/2030 until 3/15/2046     77,754,076   84,473,290
  4.49%,  6/15/2041        1,046,940   1,154,264
  4.5%, with various maturities from 6/20/2033 until 4/15/2046     63,727,293   70,103,204
  4.55%, 1/15/2041     1,971,160   2,168,013
  5.0%, with various maturities from 3/20/2029 until 7/20/2041     79,363,270   89,171,115
  5.5%, with various maturities from 12/15/2024 until 5/20/2041     91,387,538   103,620,880
  6.0%, with various maturities from 11/15/2028 until 2/20/2039     67,026,037   77,999,129
  6.5%, with various maturities from 6/20/2032 until 3/20/2039     11,095,461   12,915,590
  7.0%, with various maturities from 9/15/2035 until 2/15/2039     2,449,410   2,794,431
  7.5%, with various maturities from 1/20/2027 until 6/20/2031     6,436   7,914
Total Mortgage-Backed Securities Pass-Throughs (Cost $890,252,073)   913,491,656
  Commercial Mortgage-Backed Securities 0.9%
FHLMC Multifamily Structured Pass-Through Certificates:  
  "A2", Series KJ02, 2.597%, 9/25/2020     1,450,000   1,506,553
  "A2", Series K050, 3.334%, 8/25/2025     6,710,000   7,443,383
Total Commercial Mortgage-Backed Securities (Cost $8,375,748)   8,949,936
  Collateralized Mortgage Obligations 20.0%
Fannie Mae Whole Loan, "IO2", Series 2007-W8, Interest Only, 6.0%, 9/25/2037     424,458   37,250
Federal Home Loan Mortgage Corp.:  
  "EA", Series 2530, Principal Only, Zero Coupon, 1/15/2032     280,426   258,771
  "CO", Series 3820, Principal Only, Zero Coupon, 3/15/2041     663,406   661,251
  "PT", Series 3586, 1.846% **, 2/15/2038     2,238,030   2,093,235
  "YI", Series 3936, Interest Only, 3.0%, 6/15/2025     628,338   23,141
  "AI", Series 4016, Interest Only, 3.0%, 9/15/2025     7,129,854   400,731
  "DI", Series 3952, Interest Only, 3.0%, 11/15/2025     1,194,361   71,711
  "EI", Series 3953, Interest Only, 3.0%, 11/15/2025     1,489,487   79,913
  "IO", Series 3974, Interest Only, 3.0%, 12/15/2025     1,471,203   97,598
  "GI", Series 3985, Interest Only, 3.0%, 10/15/2026     791,675   53,268
  "DI", Series 4010, Interest Only, 3.0%, 2/15/2027     1,176,315   96,264
  "IK", Series 4048, Interest Only, 3.0%, 5/15/2027     5,150,710   469,972
  "CZ", Series 4113, 3.0%, 9/15/2042     2,694,556   2,776,692
  "DA", Series 4552, 3.5%, 1/15/2043     9,353,141   9,798,518
  "PI", Series 3940, Interest Only, 4.0%, 2/15/2041     5,436,721   508,569
  "C25", Series 304, Interest Only, 4.0%, 10/15/2041     12,677,604   1,959,032
  "C1", Series 329, Interest only, 4.0%, 12/15/2041     19,585,032   2,972,699
  "ZC", Series 4158, 4.0%, 1/15/2043     625,601   622,301
  "UZ", Series 4339, 4.0%, 2/15/2054     4,203,896   4,427,814
  "UA", Series 4298, 4.0%, 2/15/2054     2,768,955   2,825,746
  "JI", Series 3558, Interest Only, 4.5%, 12/15/2023     7,288   0
  "PI", Series 3843, Interest Only, 4.5%, 5/15/2038     6,508,677   446,999
  "C32", Series 303, Interest Only, 4.5%, 12/15/2042     19,057,073   3,405,489
  "C28", Series 303, Interest only, 4.5%, 1/15/2043     24,522,444   4,505,257
  "57", Series 256, Interest Only, 5.0%, 3/15/2023     416,525   23,496
  "SY", Series 3035, Interest Only, 5.619% *, 9/15/2035     542,903   74,373
  "IO", Series 2580, Interest Only, 6.0%, 3/15/2033     189,255   37,875
  "MI", Series 3871, Interest Only, 6.0%, 4/15/2040     1,133,162   104,572
  "IJ", Series 4472, Interest Only, 6.0%, 11/15/2043     8,361,017   1,812,818
  "SG", Series 3033, Interest Only, 6.169% *, 9/15/2035     839,277   127,582
  "SP", Series 4047, Interest Only, 6.169% *, 12/15/2037     5,575,263   583,330
  "JS", Series 3572, Interest Only, 6.319% *, 9/15/2039     1,184,416   182,289
  "A", Series 172, Interest Only, 6.5%, 1/1/2024     93,158   14,254
  "C22", Series 324, Interest Only, 6.5%, 4/15/2039     10,239,867   2,423,711
  "SB", Series 2742, Interest Only, 6.519% *, 1/15/2019     430,162   22,782
  "SN", Series 3175, Interest Only, 6.669% *, 6/15/2036     1,802,217   362,352
Federal National Mortgage Association:  
  "1", Series 17, Principal Only, Zero Coupon, 5/25/2017     18   18
  "DI", Series 2011-136, Interest Only, 3.0%, 1/25/2026     1,323,554   57,392
  "IB", Series 2013-35, Interest Only, 3.0%, 4/25/2033     9,299,361   1,456,616
  "LA", Series 2013-30, 3.0%, 3/25/2043     2,000,000   2,021,817
  "Z", Series 2013-44, 3.0%, 5/25/2043     3,001,319   3,023,297
  "HI", Series 2010-123, Interest Only, 3.5%, 3/25/2024     1,365,656   26,861
  "KI", Series 2011-72, Interest Only, 3.5%, 3/25/2025     2,038,437   32,513
  ''IO", Series 2012-146, Interest Only, 3.5%, 1/25/2043     6,632,918   984,450
  "LZ", Series 2013-6, 3.5%, 2/25/2043     828,376   916,568
  "BI", Series 2011-42, Interest Only, 4.0%, 8/25/2025     759,740   19,925
  "4", Series 406, Interest Only, 4.0%, 9/25/2040     4,330,643   606,491
  "C2", Series 410, Interest Only, 4.0%, 4/25/2042     4,537,218   741,339
  "ZM", Series 2012-63, 4.0%, 6/25/2042     1,232,696   1,330,688
  "25", Series 351, Interest Only, 4.5%, 5/25/2019     432,977   18,515
  "CZ", Series 2011-99, 4.5%, 10/25/2041     13,667,059   16,263,464
  "ZP", Series 2011-123, 4.5%, 12/25/2041     3,202,604   3,957,292
  "21", Series 334, Interest Only, 5.0%, 3/25/2018     289,351   7,752
  "20", Series 334, Interest Only, 5.0%, 3/25/2018     228,200   6,089
  ''23", Series 339, Interest Only, 5.0%, 6/25/2018     221,062   6,216
  "27", Series 351, Interest Only, 5.0%, 4/25/2019     388,558   17,660
  "26", Series 381, Interest Only, 5.0%, 12/25/2020     123,847   8,261
  "IO", Series 2016-26, Interest Only, 5.0%, 5/25/2046     21,970,057   4,011,025
  "KT", Series 2007-32, 5.5%, 4/25/2037     599,696   673,453
  "UI", Series 2010-126, Interest only, 5.5%, 10/25/2040     9,733,496   1,771,021
  "IO", Series 2014-70, Interest Only, 5.5%, 10/25/2044     11,382,327   2,450,379
  "BI", Series 2015-97, Interest Only, 5.5%, 1/25/2046     9,831,120   1,722,366
  "PJ", Series 2004-46, Interest Only, 5.512% *, 3/25/2034     1,488,317   218,147
  "HS", Series 2009-87, Interest Only, 5.662% *, 11/25/2039     3,573,736   662,520
  "WI", Series 2011-59, Interest Only, 6.0%, 5/25/2040     1,958,049   124,099
  "PI", Series 2006-20, Interest Only, 6.192% *, 11/25/2030     2,851,809   412,218
  "SA", Series 2005-17, Interest Only, 6.212% *, 3/25/2035     1,218,677   200,351
  "SI", Series 2007-23, Interest Only, 6.282% *, 3/25/2037     1,350,199   245,283
  "SJ", Series 2007-36, Interest Only, 6.282% *, 4/25/2037     889,475   151,464
  "HI", Series 2010-2, Interest Only, 6.5%, 2/25/2040     1,000,000   289,356
Government National Mortgage Association:  
  "PO", Series 2007-18, Principal Only, Zero Coupon, 5/20/2035     571,603   481,322
  "GZ", Series 2015-64, 2.0%, 5/20/2045     4,606,145   3,735,518
  "PB", Series 2012-90, 2.5%, 7/20/2042     3,000,000   2,904,185
  "HX", Series 2012-91, 3.0%, 9/20/2040     4,080,249   4,199,653
  "BZ", Series 2013-79, 3.0%, 5/20/2043     4,398,114   4,481,706
  "LZ", Series 2013-180, 3.0%, 11/16/2043     9,520,885   9,978,216
  "WZ", Series 2014-99, 3.0%, 7/16/2044     4,094,128   4,212,568
  "MT", Series 2015-92, 3.0%, 1/20/2045     5,000,000   5,203,962
  "PY", Series 2015-123, 3.0%, 9/20/2045     4,688,000   4,911,961
  "GU", Series 2016-5, 3.0%, 1/20/2046     5,017,000   5,190,254
  "AC", Series 2016-19, 3.0%, 2/20/2046     3,114,000   3,261,034
  "DI", Series 2014-102, Interest Only, 3.5%, 7/16/2029     6,271,738   567,297
  "PI", Series 2012-47, Interest Only, 3.5%, 12/20/2039     9,323,537   496,583
  "JI", Series 2013-10, Interest only, 3.5%, 1/20/2043     10,336,528   1,441,686
  "ID", Series 2013-70, Interest only, 3.5%, 5/20/2043     4,630,038   690,518
  "EP", Series 2013-147, 3.625%, 12/20/2039     5,669,000   6,389,529
  "IP", Series 2015-50, Interest Only, 4.0%, 9/20/2040     21,858,660   1,948,990
  "Z", Series 2014-4, 4.0%, 1/20/2044     6,077,429   6,898,283
  "LZ", Series 2014-44, 4.0%, 3/16/2044     3,628,812   4,263,125
  "PI", Series 2015-40, Interest Only, 4.0%, 4/20/2044     5,825,949   543,496
  "LI", Series 2009-104, Interest Only, 4.5%, 12/16/2018     763,756   28,509
  "NI", Series 2010-44, Interest Only, 4.5%, 10/20/2037     425,974   11,386
  "CI", Series 2011-111, Interest Only, 4.5%, 11/20/2037     303,049   3,208
  "IN", Series 2011-18, Interest Only, 4.5%, 5/20/2039     1,172,394   58,583
  "PI", Series 2014-108, Interest Only, 4.5%, 12/20/2039     4,342,123   494,206
  "Z", Series 2010-169, 4.5%, 12/20/2040     5,733,909   6,232,560
  "ZV", Series 2011-73, 4.5%, 5/20/2041     10,089,615   11,342,172
  "IP", Series 2014-11, Interest Only, 4.5%, 1/20/2043     4,891,125   518,808
  "IP", Series 2014-115, Interest Only, 4.5%, 2/20/2044     3,247,026   380,219
  "ZB", Series 2004-31, 5.0%, 4/20/2034     5,170,864   5,679,460
  "ZA", Series 2006-47, 5.0%, 8/16/2036     8,738,258   9,907,953
  "IJ", Series 2010-41, Interest Only, 5.0%, 9/20/2038     664,841   25,874
  "AI", Series 2008-40, Interest Only, 5.5%, 5/16/2023     414,334   23,155
  "AI", Series 2008-46, Interest Only, 5.5%, 5/16/2023     320,020   15,355
  "MI", Series 2004-38, Interest Only, 5.5%, 11/20/2033     649,100   45,287
  "PI", Series 2005-73, Interest Only, 5.5%, 12/20/2034     459,028   23,540
  "YI", Series 2010-147, Interest Only, 5.5%, 7/16/2039     253,858   18,714
  "IA", Series 2012-64, Interest Only, 5.5%, 5/16/2042     4,912,555   1,005,930
  "SH", Series 2010-14, Interest Only, 5.518% *, 2/16/2040     11,908,520   1,958,149
  "BS", Series 2011-93, Interest Only, 5.618% *, 7/16/2041     11,673,156   2,025,868
  "SA", Series 2012-84, Interest Only, 5.814% *, 12/20/2038     5,993,079   526,683
  "AV", Series 2010-14, Interest Only, 5.818% *, 2/16/2040     3,049,912   541,152
  "AI", Series 2007-38, Interest Only, 5.978% *, 6/16/2037     828,347   127,250
  "BZ", Series 2004-46, 6.0%, 6/20/2034     799,904   900,482
  "CI", Series 2009-42, Interest Only, 6.0%, 8/16/2035     328,110   65,558
  "QA", Series 2007-57, Interest Only, 6.014% *, 10/20/2037     1,080,181   196,545
  "SL", Series 2009-100, Interest Only, 6.018% *, 5/16/2039     1,132,445   103,008
  "SL", Series 2007-26, Interest Only, 6.318% *, 5/16/2037     2,650,582   525,779
  "IP", Series 2009-118, Interest Only, 6.5%, 12/16/2039     570,710   122,356
  "SB", Series 2014-81, 14.534% **, 6/20/2044     318,058   436,274
Total Collateralized Mortgage Obligations (Cost $195,367,031)   203,940,470
  Government & Agency Obligations 11.5%
Sovereign Bonds 0.5%
Province of British Columbia Canada, 2.25%, 6/2/2026     5,250,000   5,420,688
U.S. Government Sponsored Agency 1.1%
Federal Home Loan Mortgage Corp., 6.25%, 7/15/2032     7,200,000   11,032,308
U.S. Treasury Obligations 9.9%
U.S. Treasury Bills:  
  0.345% ***, 8/11/2016 (b)     1,770,000   1,769,929
  0.35% ***, 12/1/2016 (b)     273,000   272,729
  0.44% ***, 12/1/2016 (b)     460,000   459,543
U.S. Treasury Notes:  
  1.0%, 8/31/2016 (c) (d)     15,000,000   15,009,900
  1.125%, 6/30/2021 (d)     10,400,000   10,444,283
  2.625%, 11/15/2020     68,400,000   73,105,167
  101,061,551
Total Government & Agency Obligations (Cost $116,308,106)   117,514,547
  Contract
Amount		   Value ($)
  Put Options Purchased 0.0%
Options on Mortgage-Backed Securities - TBAs  
30 Year-GNSF, 3.5%, Expiration Date 8/11/2016, Strike Price $105.016  (Cost $88,594)   54,000,000   481
  Shares   Value ($)
  Securities Lending Collateral 2.3%
Daily Assets Fund "Capital Shares", 0.50% (e) (f) (Cost $23,670,338)     23,670,338   23,670,338
  Cash Equivalents 4.1%
Deutsche Central Cash Management Government Fund, 0.38% (e) (Cost $41,331,487)     41,331,487   41,331,487
  % of
Net Assets		   Value ($)
Total Investment Portfolio (Cost $1,275,393,377) † 128.4   1,308,898,915
Other Assets and Liabilities, Net (28.4)       (289,626,680)
Net Assets 100.0   1,019,272,235
                         

 

For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.
* These securities are shown at their current rate as of July 31, 2016.
** Floating rate securities’ yields vary with a designated market index or market rate, such as the coupon-equivalent of the U.S. Treasury Bill rate. These securities are shown at their current rate as of July 31, 2016.
*** Annualized yield at time of purchase; not a coupon rate.
† The cost for federal income tax purposes was $1,275,840,503.  At July 31, 2016, net unrealized appreciation for all securities based on tax cost was $33,058,412.  This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $42,510,093 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $9,451,681.
(a) When-issued or delayed delivery security included.
(b) At July 31, 2016, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
(c) At July 31, 2016, this security has been pledged, in whole or in part, to cover initial margin requirements for open centrally cleared swap contracts.
(d) All or a portion of these securities were on loan. In addition, "Other Assets and Liabilities, Net" may include pending sales that are also on loan. The value of securities loaned at July 31, 2016 amounted to $23,182,667, which is 2.3% of net assets.
(e) Affiliated fund managed by Deutsche Investment Management Americas Inc.  The rate shown is the annualized seven-day yield at period end.
(f) Represents collateral held in connection with securities lending.  Income earned by the Fund is net of borrower rebates.
GNSF: Government National Single Family
Interest Only: Interest Only (IO) bonds represent the "interest only" portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages.
Principal Only: Principal Only (PO) bonds represent the “principal only” portion of payments on a pool of underlying mortgages or mortgage-backed securities.
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets.  Effective maturities of these investments may be shorter than stated maturities due to prepayments.  Some separate investments in the Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.

 

At July 31, 2016, open futures contracts purchased were as follows:

 

Futures  Currency  Expiration
Date		  Contracts  Notional
Value ($)		  Unrealized
Appreciation
(Depreciation) ($)
3 Month Euro Euribor Interest Rate   

EUR

   6/19/2017   16    4,487,654    2,209 
3 Month Euro Swiss Franc (Euroswiss) Interest Rate   

CHF

   6/19/2017   17    4,424,087    2,603 
3 Month Euroyen   

JPY

   6/19/2017   19    4,657,127    (3,054)
90 Day Eurodollar Time Deposit   

USD

   6/19/2017   17    4,212,175    9,131 
90 Day Sterling Interest Rate   

GBP

   6/21/2017   24    3,958,835    14,257 
ASX 90 Day Bank Accepted Bills   

AUD

   6/8/2017   24    18,163,559    3,581 
U.S. Treasury Long Bond   

USD

   9/21/2016   161    28,084,438    1,867,504 
Ultra 10 Year U.S. Treasury Note   

USD

   9/21/2016   197    28,802,016    328,944 
Total net unrealized appreciation                     2,225,175 

 

 

At July 31, 2016, open futures contracts sold were as follows:

 

Futures  Currency  Expiration
Date		  Contracts  Notional
Value ($)		  Unrealized
(Depreciation) ($)
10 Year U.S. Treasury Note   

USD

    

9/21/2016

    182    24,214,531    (31,647)
2 Year U.S. Treasury Note   

USD

    

9/30/2016

    597    130,743,000    (94,452)
5 Year U.S. Treasury Note   

USD

    

9/30/2016

    601    73,331,391    (186,080)
Ultra Long U.S. Treasury Bond   

USD

    

9/21/2016

    196    37,344,125    (2,091,329)
Total unrealized depreciation                       (2,403,508)

 

At July 31, 2016, open interest rate swap contracts were as follows:

 

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

11/12/2015
11/12/2045

26,100,000

Fixed — 2.761%

Floating — 3-Month LIBOR

(6,727,155)

(6,737,184)

  

6/15/2016
6/15/2046

29,300,000

Fixed — 2.5%

Floating — 3-Month LIBOR

(5,677,867)

(3,219,401)

  

9/16/2015
9/17/2017

80,000,000

Fixed — 1.0%

Floating — 3-Month LIBOR

(387,184)

(503,289)

  

12/16/2015
12/16/2025

25,640

Fixed — 2.5%

Floating — 3-Month LIBOR

(2,792)

(2,234)

  

9/16/2015
9/16/2045

15,200,000

Fixed — 3.0%

Floating — 3-Month LIBOR

(4,885,979)

(4,534,636)

  

12/16/2015
12/16/2045

6,000,000

Fixed — 2.5%

Floating — 3-Month LIBOR

(1,150,665)

(1,757,474)

  

6/17/2015
6/17/2045

46,000,462

Floating — 3-Month LIBOR

Fixed — 2.5%

8,730,649

8,690,788

  

12/16/2015
12/16/2045

26,881,894

Floating — 3-Month LIBOR

Fixed — 2.569%

5,617,501

5,617,501

  
Total net unrealized depreciation (2,445,929)  
               

 

LIBOR: London Interbank Offered Rate; 3-Month LIBOR rate at July 31, 2016 is 0.76%.
At July 31, 2016, open total return swap contracts were as follows:

 

Bilateral Swaps

Expiration
Date		 Notional
Amount ($)		 Fixed
Cash
Flows
Received

Pay/Receive

Return of the

Reference

Index

 Value ($) Upfront Payments
Paid/
(Received) ($)		 Unrealized Appreciation
 ($)
 


1/12/2041

15,285,2761

4.0%

Markit IOS. INDEX FN30.400.10

26,826

—

26,826

  


1/12/2041

15,285,2762

4.0%

Markit IOS. INDEX FN30.400.10

26,826

—

26,826

  
Total unrealized appreciation 53,652  
                   

 

Counterparties:
1 Credit Suisse
2 Goldman Sachs & Co.

 

Currency Abbreviations
AUD Australian Dollar    
CHF Swiss Franc    
EUR Euro    
GBP British Pound    
JPY Japanese Yen    
USD United States Dollar    

 

 

Fair Value Measurements

 

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

 

The following is a summary of the inputs used as of July 31, 2016 in valuing the Fund's investments

 

Assets   Level 1   Level 2   Level 3   Total
Fixed Income Investments (g)                
  Mortgage-Backed Securities Pass-Throughs $ — $ 913,491,656 $ — $ 913,491,656
  Commercial Mortgage-Backed Securities   —   8,949,936   —   8,949,936
  Collateralized Mortgage Obligations   —   203,940,470   —   203,940,470
  Government & Agency Obligations   —   117,514,547   —   117,514,547
Short-Term Investments (g)   65,001,825   —   —   65,001,825
Derivatives (h)                
  Purchased Options $ — $ — $ 481 $ 481
  Futures Contracts   2,228,229   —   —   2,228,229
  Interest Rate Swap Contracts   —   14,308,289   —   14,308,289
  Total Return Swap Contracts   —   53,652   —   53,652
Total $ 67,230,054 $ 1,258,258,550 $ 481 $ 1,325,489,085
Liabilities   Level 1   Level 2   Level 3   Total
Derivatives (h)                
  Futures Contracts $ (2,406,562) $ — $ — $ (2,406,562)
  Interest Rate Swap Contracts   —   (16,754,218)   —   (16,754,218)
Total $ (2,406,562) $ (16,754,218) $ — $ (19,160,780)

 

There have been no transfers between fair value measurement levels during the period ended July 31, 2016.
(g) See Investment Portfolio for additional detailed categorizations.
(h) Derivatives include value of options purchased, unrealized appreciation (depreciation) on open futures contracts, credit default swap contracts, interest rate swap contracts, forward foreign currency exchange contracts, and written options, at value.

 

 

Derivatives

 

The following table presents, by major type of derivative contract, the unrealized appreciation (depreciation) of the Fund's derivative instruments as of July 31, 2016 categorized by the primary underlying risk exposure. 

 

  

Primary Underlying Risk Disclosure

 Futures Swaps Options
Interest Rate Contracts   $  (178,333)   $  (2,392,277)   $  (88,113)

 

  

 

 

 

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

 

 

 

 

SIGNATURES

 

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

 

Registrant: Deutsche Strategic Government Securities Fund, a series of Deutsche Income Trust
   
By:

/s/Brian E. Binder

Brian E. Binder

President

   
Date: September 22, 2016

 

 

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

 

 

By:

/s/Brian E. Binder

Brian E. Binder

President

   
Date: September 22, 2016
   
   
   
By:

/s/Paul Schubert

Paul Schubert

Chief Financial Officer and Treasurer

   
Date: September 22, 2016