Date of fiscal year end:
|
12/31
|
Date of reporting period:
|
6/30/2014
|
ITEM 1.
|
REPORT TO STOCKHOLDERS
|
3 Letter to Shareholders
4 Performance Summary
6 Portfolio Summary
6 Portfolio Management
7 Investment Portfolio
8 Statement of Assets and Liabilities
8 Statement of Operations
9 Statement of Changes in Net Assets
10 Financial Highlights
12 Notes to Financial Statements
16 Information About Your Fund's Expenses
17 Proxy Voting
18 Advisory Agreement Board Considerations and Fee Evaluation
|
Former Name
|
New name, effective August 11, 2014
|
DWS Investments Distributors, Inc.
|
DeAWM Distributors, Inc.
|
DWS Trust Company
|
DeAWM Trust Company
|
DWS Investments Service Company
|
DeAWM Service Company
|
Growth of an Assumed $10,000 Investment in Deutsche Alternative Asset Allocation VIP from 2/2/09 to 6/30/14
|
|
The Morgan Stanley Capital International (MSCI) World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The index consists of 24 developed market country indices. The index is calculated using closing local market prices and translates into U.S. dollars using the London close foreign exchange rates.
The Barclays U.S. Aggregate Bond Index is an unmanaged index representing domestic taxable investment-grade bonds, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities with an average maturity of one year or more.
The Blended Index is calculated using the performance of two unmanaged indices, representative of stocks (the MSCI World Index (70%)) and bonds (the Barclays U.S. Aggregate Bond Index (30%)). These results are summed to produce the aggregate benchmark.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
|
|
Yearly periods ended June 30
|
Comparative Results
|
|||||||||||||||||||||
Deutsche Alternative Asset Allocation VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
Life of Fund*
|
||||||||||||||||
Class A
|
Growth of $10,000
|
$ | 10,596 | $ | 10,914 | $ | 11,122 | $ | 14,508 | $ | 16,191 | ||||||||||
Average annual total return
|
5.96 | % | 9.14 | % | 3.61 | % | 7.73 | % | 9.31 | % | |||||||||||
MSCI World Index
|
Growth of $10,000
|
$ | 10,618 | $ | 12,405 | $ | 13,977 | $ | 20,103 | $ | 23,432 | ||||||||||
Average annual total return
|
6.18 | % | 24.05 | % | 11.81 | % | 14.99 | % | 17.03 | % | |||||||||||
Barclays U.S. Aggregate Bond Index
|
Growth of $10,000
|
$ | 10,393 | $ | 10,437 | $ | 11,140 | $ | 12,674 | $ | 13,030 | ||||||||||
Average annual total return
|
3.93 | % | 4.37 | % | 3.66 | % | 4.85 | % | 5.01 | % | |||||||||||
Blended Index
|
Growth of $10,000
|
$ | 10,555 | $ | 11,790 | $ | 13,170 | $ | 17,769 | $ | 20,023 | ||||||||||
Average annual total return
|
5.55 | % | 17.90 | % | 9.61 | % | 12.18 | % | 13.68 | % |
Comparative Results
|
|||||||||||||||||||||
Deutsche Alternative Asset Allocation VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
Life of Class**
|
||||||||||||||||
Class B
|
Growth of $10,000
|
$ | 10,584 | $ | 10,885 | $ | 11,044 | $ | 14,330 | $ | 14,699 | ||||||||||
Average annual total return
|
5.84 | % | 8.85 | % | 3.37 | % | 7.46 | % | 7.82 | % | |||||||||||
MSCI World Index
|
Growth of $10,000
|
$ | 10,618 | $ | 12,405 | $ | 13,977 | $ | 20,103 | $ | 20,012 | ||||||||||
Average annual total return
|
6.18 | % | 24.05 | % | 11.81 | % | 14.99 | % | 14.62 | % | |||||||||||
Barclays U.S. Aggregate Bond Index
|
Growth of $10,000
|
$ | 10,393 | $ | 10,437 | $ | 11,140 | $ | 12,674 | $ | 12,746 | ||||||||||
Average annual total return
|
3.93 | % | 4.37 | % | 3.66 | % | 4.85 | % | 4.89 | % | |||||||||||
Blended Index
|
Growth of $10,000
|
$ | 10,555 | $ | 11,790 | $ | 13,170 | $ | 17,769 | $ | 17,751 | ||||||||||
Average annual total return
|
5.55 | % | 17.90 | % | 9.61 | % | 12.18 | % | 11.95 | % |
Asset Allocation* (As a % of Investment Portfolio excluding Cash Equivalents)
|
6/30/14
|
12/31/13
|
Commodities
|
12%
|
13%
|
Deutsche Enhanced Commodity Strategy Fund
|
12%
|
13%
|
Real Return
|
32%
|
29%
|
Deutsche Global Infrastructure Fund
|
19%
|
16%
|
Deutsche Global Inflation Fund
|
7%
|
6%
|
Deutsche Real Estate Securities Fund
|
3%
|
—
|
Deutsche Global Real Estate Securities Fund
|
3%
|
3%
|
Deutsche Real Estate Securities Income Fund
|
0%
|
—
|
SPDR Barclays Short Term High Yield Bond ETF
|
—
|
4%
|
Hedge Strategy
|
12%
|
16%
|
Deutsche Diversified Market Neutral Fund
|
12%
|
16%
|
Currency
|
15%
|
13%
|
Deutsche Enhanced Emerging Markets Fixed Income Fund
|
14%
|
11%
|
WisdomTree Emerging Markets Local Debt Fund
|
1%
|
—
|
PowerShares DB U.S. Dollar Index Bullish ETF
|
—
|
2%
|
Opportunistic
|
29%
|
29%
|
Deutsche Floating Rate Fund
|
16%
|
16%
|
SPDR Barclays Convertible Securities ETF
|
13%
|
13%
|
100%
|
100%
|
Shares
|
Value ($)
|
|||||||
Mutual Funds 84.3%
|
||||||||
Deutsche Diversified Market Neutral Fund "Institutional" (a)
|
1,473,302 | 12,788,261 | ||||||
Deutsche Enhanced Commodity Strategy Fund "Institutional" (a)
|
782,293 | 12,594,916 | ||||||
Deutsche Enhanced Emerging Markets Fixed Income Fund "Institutional" (a)
|
1,351,442 | 14,622,604 | ||||||
Deutsche Floating Rate Fund "Institutional" (a)
|
1,742,804 | 16,469,494 | ||||||
Deutsche Global Inflation Fund "Institutional" (a)
|
726,343 | 7,459,547 | ||||||
Deutsche Global Infrastructure Fund "Institutional" (a)
|
1,337,045 | 20,416,682 | ||||||
Deutsche Global Real Estate Securities Fund "Institutional" (a)
|
357,802 | 3,202,325 | ||||||
Deutsche Real Estate Securities Fund "Institutional" (a)
|
152,168 | 3,467,916 | ||||||
Deutsche Real Estate Securities Income Fund "Institutional" (a)
|
28,717 | 313,011 | ||||||
Total Mutual Funds (Cost $86,005,326)
|
91,334,756 | |||||||
Shares
|
Value ($)
|
|||||||
Exchange-Traded Funds 13.4%
|
||||||||
SPDR Barclays Convertible Securities
|
265,714 | 13,418,557 | ||||||
WisdomTree Emerging Markets Local Debt Fund
|
22,500 | 1,069,650 | ||||||
Total Exchange-Traded Funds (Cost $12,669,866)
|
14,488,207 | |||||||
Cash Equivalents 3.3%
|
||||||||
Central Cash Management Fund, 0.06% (a) (b) (Cost $3,608,351)
|
3,608,351 | 3,608,351 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $102,283,543)†
|
101.0 | 109,431,314 | ||||||
Other Assets and Liabilities, Net
|
(1.0 | ) | (1,098,665 | ) | ||||
Net Assets
|
100.0 | 108,332,649 |
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Mutual Funds
|
$ | 91,334,756 | $ | — | $ | — | $ | 91,334,756 | ||||||||
Exchange-Traded Funds
|
14,488,207 | — | — | 14,488,207 | ||||||||||||
Short-Term Investments
|
3,608,351 | — | — | 3,608,351 | ||||||||||||
Total
|
$ | 109,431,314 | $ | — | $ | — | $ | 109,431,314 |
as of June 30, 2014 (Unaudited)
|
||||
Assets
|
||||
Investments:
Investments in affiliated Underlying Funds, at value (cost $89,613,677)
|
$ | 94,943,107 | ||
Investments in non-affiliated Underlying Funds, at value (cost $12,669,866)
|
14,488,207 | |||
Total investments in securities, at value (cost $102,283,543)
|
109,431,314 | |||
Receivable for Fund shares sold
|
108,013 | |||
Dividends receivable
|
3,073 | |||
Other assets
|
987 | |||
Total assets
|
109,543,387 | |||
Liabilities
|
||||
Payable for investments purchased
|
1,068,806 | |||
Payable for Fund shares redeemed
|
51,028 | |||
Accrued management fee
|
6,013 | |||
Accrued Trustees' fees
|
35 | |||
Other accrued expenses and payables
|
84,856 | |||
Total liabilities
|
1,210,738 | |||
Net assets, at value
|
$ | 108,332,649 | ||
Net Assets Consist of
|
||||
Undistributed net investment income
|
679,038 | |||
Net unrealized appreciation (depreciation) on investments
|
7,147,771 | |||
Accumulated net realized gain (loss)
|
(2,225,512 | ) | ||
Paid-in capital
|
102,731,352 | |||
Net assets, at value
|
$ | 108,332,649 | ||
Class A
Net Asset Value, offering and redemption price per share ($18,005,669 ÷ 1,267,242 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 14.21 | ||
Class B
Net Asset Value, offering and redemption price per share ($90,326,980 ÷ 6,353,933 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 14.22 |
for the six months ended June 30, 2014 (Unaudited)
|
||||
Investment Income
|
||||
Income:
Income distributions from affiliated Underlying Funds
|
$ | 846,777 | ||
Dividends
|
133,612 | |||
Total income
|
980,389 | |||
Expenses:
Management fee
|
169,938 | |||
Administration fee
|
50,364 | |||
Services to shareholders
|
1,252 | |||
Record keeping fees (Class B)
|
17,811 | |||
Distribution service fee (Class B)
|
105,962 | |||
Custodian fee
|
7,608 | |||
Professional fees
|
31,994 | |||
Reports to shareholders
|
23,982 | |||
Trustees' fees and expenses
|
3,223 | |||
Other
|
1,142 | |||
Total expenses before expense reductions
|
413,276 | |||
Expense reductions
|
(146,149 | ) | ||
Total expenses after expense reductions
|
267,127 | |||
Net investment income (loss)
|
713,262 | |||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) from:
Sale of affiliated Underlying Funds
|
(1,153,444 | ) | ||
Sale of non-affiliated Underlying Funds
|
45,145 | |||
Capital gain distributions from affiliated Underlying Funds
|
36,995 | |||
(1,071,304 | ) | |||
Change in net unrealized appreciation (depreciation) on investments
|
6,141,193 | |||
Net gain (loss)
|
5,069,889 | |||
Net increase (decrease) in net assets resulting from operations
|
$ | 5,783,151 |
Increase (Decrease) in Net Assets
|
Six Months Ended June 30, 2014 (Unaudited)
|
Year Ended December 31, 2013
|
||||||
Operations:
Net investment income
|
$ | 713,262 | $ | 1,387,313 | ||||
Operations:
Net investment income
|
$ | 713,262 | $ | 1,387,313 | ||||
Net realized gain (loss)
|
(1,071,304 | ) | 993,026 | |||||
Change in net unrealized appreciation (depreciation)
|
6,141,193 | (1,638,087 | ) | |||||
Net increase (decrease) in net assets resulting from operations
|
5,783,151 | 742,252 | ||||||
Distributions to shareholders from:
Net investment income:
Class A
|
(310,914 | ) | (218,625 | ) | ||||
Class B
|
(1,375,733 | ) | (1,281,892 | ) | ||||
Net realized gains:
Class A
|
(99,727 | ) | — | |||||
Class B
|
(510,421 | ) | — | |||||
Total distributions
|
(2,296,795 | ) | (1,500,517 | ) | ||||
Fund share transactions:
Class A
Proceeds from shares sold
|
2,700,280 | 6,694,957 | ||||||
Reinvestment of distributions
|
410,641 | 218,625 | ||||||
Payments for shares redeemed
|
(376,648 | ) | (2,104,739 | ) | ||||
Net increase (decrease) in net assets from Class A share transactions
|
2,734,273 | 4,808,843 | ||||||
Class B
Proceeds from shares sold
|
6,933,984 | 31,914,829 | ||||||
Reinvestment of distributions
|
1,886,154 | 1,281,892 | ||||||
Payments for shares redeemed
|
(5,469,899 | ) | (10,503,907 | ) | ||||
Net increase (decrease) in net assets from Class B share transactions
|
3,350,239 | 22,692,814 | ||||||
Increase (decrease) in net assets
|
9,570,868 | 26,743,392 | ||||||
Net assets at beginning of period
|
98,761,781 | 72,018,389 | ||||||
Net assets at end of period (including undistributed net investment income of $679,038 and $1,652,423, respectively)
|
$ | 108,332,649 | $ | 98,761,781 | ||||
Other Information
|
||||||||
Class A
Shares outstanding at beginning of period
|
1,072,115 | 720,220 | ||||||
Shares sold
|
192,454 | 490,282 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
29,692 | 15,638 | ||||||
Shares redeemed
|
(27,019 | ) | (154,025 | ) | ||||
Net increase (decrease) in Class A shares
|
195,127 | 351,895 | ||||||
Shares outstanding at end of period
|
1,267,242 | 1,072,115 | ||||||
Class B
Shares outstanding at beginning of period
|
6,114,865 | 4,466,071 | ||||||
Shares sold
|
494,775 | 2,327,269 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
136,283 | 91,629 | ||||||
Shares redeemed
|
(391,990 | ) | (770,104 | ) | ||||
Net increase (decrease) in Class B shares
|
239,068 | 1,648,794 | ||||||
Shares outstanding at end of period
|
6,353,933 | 6,114,865 |
Years Ended December 31,
|
||||||||||||||||||||||||
Class A
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
Period Ended 12/31/09a
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 13.75 | $ | 13.90 | $ | 13.24 | $ | 13.85 | $ | 12.63 | $ | 10.00 | ||||||||||||
Income (loss) from investment operations:
Net investment incomeb
|
.12 | .26 | .33 | .64 | .46 | .57 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.70 | (.13 | ) | .93 | (1.02 | ) | 1.09 | 2.06 | ||||||||||||||||
Total from investment operations
|
.82 | .13 | 1.26 | (.38 | ) | 1.55 | 2.63 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.27 | ) | (.28 | ) | (.49 | ) | (.19 | ) | (.18 | ) | — | |||||||||||||
Net realized gains
|
(.09 | ) | — | (.11 | ) | (.04 | ) | (.15 | ) | — | ||||||||||||||
Total distributions
|
(.36 | ) | (.28 | ) | (.60 | ) | (.23 | ) | (.33 | ) | — | |||||||||||||
Net asset value, end of period
|
$ | 14.21 | $ | 13.75 | $ | 13.90 | $ | 13.24 | $ | 13.85 | $ | 12.63 | ||||||||||||
Total Return (%)c,d
|
5.96 | ** | .93 | 9.72 | (2.87 | ) | 12.46 | 26.30 | ||||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
18 | 15 | 10 | 7 | 5 | 1 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)e
|
.58 | * | .64 | .63 | .61 | .94 | 11.67 | |||||||||||||||||
Ratio of expenses after expense reductions (%)e
|
.32 | * | .27 | .30 | .30 | .21 | .21 | |||||||||||||||||
Ratio of net investment income (%)
|
1.66 | * | 1.86 | 2.46 | 4.72 | 3.51 | 5.39 | |||||||||||||||||
Portfolio turnover rate (%)
|
18 | ** | 40 | 22 | 39 | 6 | 155 | |||||||||||||||||
a For the period from February 2, 2009 (commencement of operations of Class A shares) to December 31, 2009.
b Based on average shares outstanding during the period.
c Total return would have been lower had certain expenses not been reduced.
d Total return would have been lower if the Advisor had not reduced some Underlying Deutsche Funds' expenses.
e The Fund invests in other Funds and indirectly bears its proportionate share of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not include these indirect fees and expenses.
* Annualized ** Not annualized
|
Years Ended December 31,
|
||||||||||||||||||||||||
Class B
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
Period Ended 12/31/09a
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 13.74 | $ | 13.88 | $ | 13.23 | $ | 13.84 | $ | 12.61 | $ | 10.87 | ||||||||||||
Income (loss) from investment operations:
Net investment incomeb
|
.09 | .22 | .30 | .61 | .42 | .35 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.71 | (.11 | ) | .91 | (1.03 | ) | 1.09 | 1.39 | ||||||||||||||||
Total from investment operations
|
.80 | .11 | 1.21 | (.42 | ) | 1.51 | 1.74 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.23 | ) | (.25 | ) | (.45 | ) | (.15 | ) | (.13 | ) | — | |||||||||||||
Net realized gains
|
(.09 | ) | — | (.11 | ) | (.04 | ) | (.15 | ) | — | ||||||||||||||
Total distributions
|
(.32 | ) | (.25 | ) | (.56 | ) | (.19 | ) | (.28 | ) | — | |||||||||||||
Net asset value, end of period
|
$ | 14.22 | $ | 13.74 | $ | 13.88 | $ | 13.23 | $ | 13.84 | $ | 12.61 | ||||||||||||
Total Return (%)c,d
|
5.84 | ** | .75 | 9.36 | (3.12 | ) | 12.15 | 16.01 | ||||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
90 | 84 | 62 | 41 | 23 | 3 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)e
|
.87 | * | .93 | .88 | .86 | 1.19 | 5.37 | |||||||||||||||||
Ratio of expenses after expense reductions (%)e
|
.57 | * | .52 | .55 | .55 | .46 | .61 | |||||||||||||||||
Ratio of net investment income (%)
|
1.37 | * | 1.57 | 2.25 | 4.47 | 3.26 | 4.66 | |||||||||||||||||
Portfolio turnover rate (%)
|
18 | ** | 40 | 22 | 39 | 6 | 155 | |||||||||||||||||
a For the period from May 18, 2009 (commencement of operations of Class B shares) to December 31, 2009.
b Based on average shares outstanding during the period.
c Total return would have been lower had certain expenses not been reduced.
d Total return would have been lower if the Advisor had not reduced some Underlying Deutsche Funds' expenses.
e The Fund invests in other Funds and indirectly bears its proportionate share of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not include these indirect fees and expenses.
* Annualized ** Not annualized
|
On assets invested in other Deutsche Funds
|
.20%
|
On assets invested in all other assets not considered Deutsche Funds
|
1.20%
|
Class A
|
.32%
|
Class B
|
.57%
|
Class A
|
$ | 20,356 | ||
Class B
|
125,793 | |||
$ | 146,149 |
Services to Shareholders
|
Total Aggregated
|
Unpaid at June 30, 2014
|
||||||
Class A
|
$ | 56 | $ | 23 | ||||
Class B
|
56 | 20 | ||||||
$ | 112 | $ | 43 |
Affiliate
|
Value ($) at 12/31/2013
|
Purchases Cost ($)
|
Sales
Cost ($)
|
Realized Gain/
(Loss) ($)
|
Income Distributions ($)
|
Capital Gain Distributions ($)
|
Value ($) at 6/30/2014
|
|||||||||||||||||||||
Deutsche Diversified Market Neutral Fund
|
15,082,780 | 295,000 | 2,438,000 | (297,270 | ) | — | — | 12,788,261 | ||||||||||||||||||||
Deutsche Enhanced Commodity Strategy Fund
|
12,886,360 | 1,919,226 | 2,882,000 | (719,744 | ) | 25,226 | — | 12,594,916 | ||||||||||||||||||||
Deutsche Enhanced Emerging Markets Fixed Income Fund
|
10,792,537 | 3,617,095 | 295,000 | (6,071 | ) | 249,095 | — | 14,622,604 | ||||||||||||||||||||
Deutsche Floating Rate Fund
|
15,542,833 | 2,592,802 | 1,628,000 | (7,242 | ) | 336,801 | — | 16,469,494 | ||||||||||||||||||||
Deutsche Global Inflation Fund
|
6,138,642 | 1,761,087 | 748,000 | (60,991 | ) | 97,087 | — | 7,459,547 | ||||||||||||||||||||
Deutsche Global Infrastructure Fund
|
15,685,285 | 2,627,813 | 288,000 | (341 | ) | 127,757 | 28,056 | 20,416,682 | ||||||||||||||||||||
Deutsche Global Real Estate Securities Fund
|
2,972,636 | 269,000 | 383,000 | 2,126 | — | — | 3,202,325 | |||||||||||||||||||||
Deutsche Real Estate Securities Fund
|
— | 3,446,176 | — | — | 8,572 | 7,604 | 3,467,916 | |||||||||||||||||||||
Deutsche Real Estate Securities Income Fund
|
— | 311,000 | — | — | 1,738 | 1,335 | 313,011 | |||||||||||||||||||||
PowerShares DB US Dollar Index Bullish ETF
|
1,951,369 | 83,446 | 2,021,238 | (63,911 | ) | — | — | — | ||||||||||||||||||||
Central Cash Management Fund
|
978,747 | 18,023,591 | 15,393,987 | — | 501 | — | 3,608,351 | |||||||||||||||||||||
Total
|
82,031,189 | 34,946,236 | 26,077,225 | (1,153,444 | ) | 846,777 | 36,995 | 94,943,107 |
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2014
|
||||||||
Actual Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,059.60 | $ | 1,058.40 | ||||
Expenses Paid per $1,000*
|
$ | 1.63 | $ | 2.91 | ||||
Hypothetical 5% Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,023.21 | $ | 1,021.97 | ||||
Expenses Paid per $1,000*
|
$ | 1.61 | $ | 2.86 |
Annualized Expense Ratios**
|
Class A
|
Class B
|
|||
Deutsche Variable Series II — Deutsche Alternative Asset Allocation VIP
|
.32%
|
.57%
|
3 Letter to Shareholders
4 Performance Summary
5 Portfolio Summary
5 Portfolio Management Team
6 Investment Portfolio
9 Statement of Assets and Liabilities
9 Statement of Operations
10 Statement of Changes in Net Assets
11 Financial Highlights
12 Notes to Financial Statements
17 Information About Your Fund's Expenses
18 Proxy Voting
19 Advisory Agreement Board Considerations and Fee Evaluation
|
Former Name
|
New name, effective August 11, 2014
|
DWS Investments Distributors, Inc.
|
DeAWM Distributors, Inc.
|
DWS Trust Company
|
DeAWM Trust Company
|
DWS Investments Service Company
|
DeAWM Service Company
|
Growth of an Assumed $10,000 Investment in Deutsche Global Equity VIP
|
||
The MSCI All Country World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The index consists of 45 country indices comprising 24 developed and 21 emerging market country indices.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
|
||
Yearly periods ended June 30
|
Comparative Results
|
|||||||||||||||||||||
Deutsche Global Equity VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class A
|
Growth of $10,000
|
$ | 10,421 | $ | 12,136 | $ | 12,226 | $ | 17,409 | $ | 18,321 | ||||||||||
Average annual total return
|
4.21 | % | 21.36 | % | 6.93 | % | 11.73 | % | 6.24 | % | |||||||||||
MSCI All Country World Index
|
Growth of $10,000
|
$ | 10,618 | $ | 12,295 | $ | 13,402 | $ | 19,493 | $ | 20,541 | ||||||||||
Average annual total return
|
6.18 | % | 22.95 | % | 10.25 | % | 14.28 | % | 7.46 | % |
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
Common Stocks
|
97%
|
96%
|
Cash Equivalents
|
2%
|
3%
|
Participatory Notes
|
1%
|
1%
|
100%
|
100%
|
Sector Diversification (As a % of Common Stocks and Participatory Notes)
|
6/30/14
|
12/31/13
|
Industrials
|
19%
|
9%
|
Health Care
|
16%
|
13%
|
Financials
|
14%
|
12%
|
Information Technology
|
12%
|
9%
|
Consumer Staples
|
11%
|
10%
|
Energy
|
10%
|
7%
|
Consumer Discretionary
|
9%
|
9%
|
Materials
|
9%
|
9%
|
Telecommunication Services
|
—
|
13%
|
Utilities
|
—
|
9%
|
100%
|
100%
|
Geographical Diversification
(As a % of Investment Portfolio excluding Cash Equivalents and Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
United States
|
52%
|
46%
|
Continental Europe
|
25%
|
32%
|
United Kingdom
|
11%
|
6%
|
Canada
|
6%
|
6%
|
Asia (excluding Japan)
|
4%
|
5%
|
Latin America
|
1%
|
1%
|
Other
|
1%
|
4%
|
100%
|
100%
|
Shares
|
Value ($)
|
|||||||
Common Stocks 94.9%
|
||||||||
Belgium 2.3%
|
||||||||
Anheuser-Busch InBev NV (Cost $1,166,385)
|
15,000 | 1,723,264 | ||||||
Brazil 0.8%
|
||||||||
CCR SA (Cost $532,266)
|
72,000 | 586,558 | ||||||
Canada 5.7%
|
||||||||
Agnico Eagle Mines Ltd.
|
11,000 | 421,300 | ||||||
Brookfield Asset Management, Inc. "A"
|
35,000 | 1,541,962 | ||||||
Canadian Oil Sands Ltd.
|
35,000 | 793,121 | ||||||
Canadian Pacific Railway Ltd.
|
8,000 | 1,449,304 | ||||||
(Cost $3,290,049)
|
4,205,687 | |||||||
Denmark 0.2%
|
||||||||
DS Norden AS (Cost $154,594)
|
3,910 | 131,199 | ||||||
Finland 0.7%
|
||||||||
Nokia Oyj (a) (Cost $534,657)
|
70,000 | 530,056 | ||||||
France 1.3%
|
||||||||
Pernod Ricard SA (a) (Cost $882,001)
|
8,000 | 960,701 | ||||||
Germany 2.8%
|
||||||||
BASF SE
|
7,000 | 815,021 | ||||||
Fresenius Medical Care AG & Co. KGaA
|
19,000 | 1,277,160 | ||||||
(Cost $1,814,353)
|
2,092,181 | |||||||
Indonesia 0.8%
|
||||||||
PT Indofood CBP Sukses Makmur Tbk (Cost $786,372)
|
700,000 | 590,468 | ||||||
Ireland 2.9%
|
||||||||
Accenture PLC "A" (b)
|
10,000 | 808,400 | ||||||
Alkermes PLC* (c)
|
4,500 | 226,485 | ||||||
Shire PLC
|
14,000 | 1,094,954 | ||||||
(Cost $1,285,819)
|
2,129,839 | |||||||
Italy 2.7%
|
||||||||
Sorin SpA*
|
165,000 | 484,404 | ||||||
Unipol Gruppo Finanziario SpA
|
200,000 | 1,130,494 | ||||||
World Duty Free SpA*
|
28,400 | 346,104 | ||||||
(Cost $1,494,315)
|
1,961,002 | |||||||
Luxembourg 1.3%
|
||||||||
Eurofins Scientific (a) (Cost $712,011)
|
3,000 | 922,635 | ||||||
Malaysia 0.6%
|
||||||||
IHH Healthcare Bhd. (Cost $390,629)
|
300,000 | 409,218 | ||||||
Mexico 0.5%
|
||||||||
Alsea SAB de CV* (Cost $335,642)
|
96,000 | 345,196 | ||||||
Netherlands 1.1%
|
||||||||
Yandex NV "A"* (c) (Cost $690,140)
|
22,000 | 784,080 | ||||||
Norway 2.3%
|
||||||||
DNO ASA*
|
207,000 | 796,095 | ||||||
Norsk Hydro ASA
|
168,000 | 899,181 | ||||||
(Cost $1,168,397)
|
1,695,276 | |||||||
Shares
|
Value ($)
|
|||||||
Philippines 2.4%
|
||||||||
Metropolitan Bank & Trust Co.
|
520,000 | 1,041,191 | ||||||
Puregold Price Club, Inc.
|
730,000 | 725,819 | ||||||
(Cost $1,754,673)
|
1,767,010 | |||||||
Spain 1.1%
|
||||||||
Atresmedia Corp. de Medios de Comunicaion SA (Cost $885,741)
|
56,000 | 802,081 | ||||||
Sweden 4.6%
|
||||||||
Assa Abloy AB "B"
|
7,500 | 381,648 | ||||||
Atlas Copco AB "A"
|
38,000 | 1,098,218 | ||||||
Svenska Cellulosa AB "B"
|
34,000 | 885,932 | ||||||
Swedish Match AB
|
30,000 | 1,041,675 | ||||||
(Cost $3,175,780)
|
3,407,473 | |||||||
Switzerland 2.0%
|
||||||||
Nestle SA (Registered)
|
12,515 | 969,531 | ||||||
Novartis AG (Registered)
|
5,500 | 498,027 | ||||||
(Cost $649,478)
|
1,467,558 | |||||||
Thailand 0.2%
|
||||||||
Siam Cement PCL (NVDR) (Cost $109,174)
|
8,700 | 121,165 | ||||||
United Kingdom 8.8%
|
||||||||
Aberdeen Asset Management PLC
|
100,000 | 776,804 | ||||||
Anglo American PLC
|
50,000 | 1,223,651 | ||||||
Aon PLC (b)
|
7,000 | 630,630 | ||||||
Aveva Group PLC
|
22,000 | 767,323 | ||||||
British American Tobacco PLC
|
14,500 | 863,076 | ||||||
Halma PLC
|
40,000 | 403,548 | ||||||
IMI PLC
|
15,000 | 381,728 | ||||||
Intertek Group PLC
|
17,000 | 799,789 | ||||||
Rolls-Royce Holdings PLC*
|
13,000 | 237,833 | ||||||
Spirax-Sarco Engineering PLC
|
8,000 | 374,181 | ||||||
(Cost $6,389,788)
|
6,458,563 | |||||||
United States 49.8%
|
||||||||
Allergan, Inc.
|
4,500 | 761,490 | ||||||
Alliance Data Systems Corp.* (a)
|
5,500 | 1,546,875 | ||||||
Amgen, Inc.
|
9,000 | 1,065,330 | ||||||
Amphenol Corp. "A"
|
17,000 | 1,637,780 | ||||||
Bristol-Myers Squibb Co.
|
14,000 | 679,140 | ||||||
CBRE Group, Inc. "A"*
|
30,000 | 961,200 | ||||||
Cerner Corp.*
|
17,000 | 876,860 | ||||||
Colfax Corp.*
|
18,000 | 1,341,720 | ||||||
Cynosure, Inc. "A"*
|
17,000 | 361,250 | ||||||
Danaher Corp.
|
13,000 | 1,023,490 | ||||||
DIRECTV*
|
12,200 | 1,037,122 | ||||||
Discovery Communications, Inc. "A"*
|
11,000 | 817,080 | ||||||
Eaton Corp. PLC
|
13,000 | 1,003,340 | ||||||
Ecolab, Inc.
|
9,000 | 1,002,060 | ||||||
Express Scripts Holding Co.*
|
16,000 | 1,109,280 | ||||||
Exxon Mobil Corp.
|
11,000 | 1,107,480 | ||||||
Fastenal Co. (a)
|
16,000 | 791,840 | ||||||
Google, Inc. "C"*
|
1,000 | 575,280 | ||||||
JPMorgan Chase & Co.
|
22,000 | 1,267,640 | ||||||
Kansas City Southern
|
3,500 | 376,285 | ||||||
L Brands, Inc.
|
13,000 | 762,580 | ||||||
Las Vegas Sands Corp.
|
15,000 | 1,143,300 | ||||||
MasTec, Inc.* (a)
|
16,000 | 493,120 | ||||||
Shares
|
Value ($)
|
|||||||
MasterCard, Inc. "A"
|
21,000 | 1,542,870 | ||||||
McDonald's Corp.
|
9,000 | 906,660 | ||||||
Mead Johnson Nutrition Co.
|
9,000 | 838,530 | ||||||
Monster Beverage Corp.*
|
12,000 | 852,360 | ||||||
National Oilwell Varco, Inc.
|
9,000 | 741,150 | ||||||
Noble Energy, Inc.
|
20,000 | 1,549,200 | ||||||
Pall Corp.
|
14,000 | 1,195,460 | ||||||
Praxair, Inc.
|
12,000 | 1,594,080 | ||||||
ResMed, Inc. (a)
|
14,000 | 708,820 | ||||||
Schlumberger Ltd.
|
8,500 | 1,002,575 | ||||||
The Travelers Companies, Inc.
|
12,000 | 1,128,840 | ||||||
United Technologies Corp.
|
9,000 | 1,039,050 | ||||||
W.R. Grace & Co.*
|
4,000 | 378,120 | ||||||
Yelp, Inc.*
|
6,000 | 460,080 | ||||||
Zoetis, Inc.
|
25,000 | 806,750 | ||||||
(Cost $31,903,672)
|
36,486,087 | |||||||
Total Common Stocks (Cost $60,105,936)
|
69,577,297 | |||||||
Shares
|
Value ($)
|
|||||||
Participatory Note 0.6%
|
||||||||
Nigeria
|
||||||||
Zenith Bank PLC (issuer Merrill Lynch International) Expiration Date 8/21/2015 (Cost $405,600)
|
3,000,000 | 461,184 | ||||||
Securities Lending Collateral 7.6%
|
||||||||
Daily Assets Fund Institutional, 0.08% (d) (e) (Cost $5,570,286)
|
5,570,286 | 5,570,286 | ||||||
Cash Equivalents 1.8%
|
||||||||
Central Cash Management Fund, 0.06% (d) (Cost $1,293,263)
|
1,293,263 | 1,293,263 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $$67,375,085)†
|
104.9 | 76,902,030 | ||||||
Other Assets and Liabilities, Net
|
(4.9 | ) | (3,605,994 | ) | ||||
Net Assets
|
100.0 | 73,296,036 |
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Common Stocks (f)
|
||||||||||||||||
Belgium
|
$ | — | $ | 1,723,264 | $ | — | $ | 1,723,264 | ||||||||
Brazil
|
586,558 | — | — | 586,558 | ||||||||||||
Canada
|
4,205,687 | — | — | 4,205,687 | ||||||||||||
Denmark
|
— | 131,199 | — | 131,199 | ||||||||||||
Finland
|
— | 530,056 | — | 530,056 | ||||||||||||
France
|
— | 960,701 | — | 960,701 | ||||||||||||
Germany
|
— | 2,092,181 | — | 2,092,181 | ||||||||||||
Indonesia
|
— | 590,468 | — | 590,468 | ||||||||||||
Ireland
|
1,034,885 | 1,094,954 | — | 2,129,839 | ||||||||||||
Italy
|
— | 1,961,002 | — | 1,961,002 | ||||||||||||
Luxembourg
|
— | 922,635 | — | 922,635 | ||||||||||||
Malaysia
|
— | 409,218 | — | 409,218 | ||||||||||||
Mexico
|
345,196 | — | — | 345,196 | ||||||||||||
Netherlands
|
784,080 | — | — | 784,080 | ||||||||||||
Norway
|
— | 1,695,276 | — | 1,695,276 | ||||||||||||
Philippines
|
— | 1,767,010 | — | 1,767,010 | ||||||||||||
Spain
|
— | 802,081 | — | 802,081 | ||||||||||||
Sweden
|
— | 3,407,473 | — | 3,407,473 | ||||||||||||
Switzerland
|
— | 1,467,558 | — | 1,467,558 | ||||||||||||
Thailand
|
— | 121,165 | — | 121,165 | ||||||||||||
United Kingdom
|
630,630 | 5,827,933 | — | 6,458,563 | ||||||||||||
United States
|
36,486,087 | — | — | 36,486,087 | ||||||||||||
Participatory Notes (f)
|
— | 461,184 | — | 461,184 | ||||||||||||
Short-Term Investments (f)
|
6,863,549 | — | — | 6,863,549 | ||||||||||||
Total
|
$ | 50,936,672 | $ | 25,965,358 | $ | — | $ | 76,902,030 |
as of June 30, 2014 (Unaudited)
|
||||
Assets
|
||||
Investments:
Investments in non-affiliated securities, at value (cost $60,511,536) — including $5,361,623 of securities loaned
|
$ | 70,038,481 | ||
Investment in Daily Assets Fund Institutional (cost $5,570,286)*
|
5,570,286 | |||
Investment in Central Cash Management Fund (cost $1,293,263)
|
1,293,263 | |||
Total investments in securities, at value (cost $67,375,085)
|
76,902,030 | |||
Foreign currency, at value (cost $564,942)
|
569,231 | |||
Receivable for investments sold
|
1,678,411 | |||
Receivable for Fund shares sold
|
524 | |||
Dividends receivable
|
94,173 | |||
Interest receivable
|
7,512 | |||
Foreign taxes recoverable
|
74,399 | |||
Other assets
|
465 | |||
Total assets
|
79,326,745 | |||
Liabilities
|
||||
Payable upon return of securities loaned
|
5,570,286 | |||
Payable for investments purchased
|
292,172 | |||
Payable for Fund shares redeemed
|
27,434 | |||
Accrued management fee
|
46,358 | |||
Accrued Trustees' fees
|
192 | |||
Other accrued expenses and payables
|
94,267 | |||
Total liabilities
|
6,030,709 | |||
Net assets, at value
|
$ | 73,296,036 | ||
Net Assets Consist of
|
||||
Undistributed net investment income
|
349,476 | |||
Net unrealized appreciation (depreciation) on:
Investments
|
9,526,945 | |||
Foreign currency
|
7,421 | |||
Accumulated net realized gain (loss)
|
(45,382,583 | ) | ||
Paid-in capital
|
108,794,777 | |||
Net assets, at value
|
$ | 73,296,036 | ||
Class A
Net Asset Value, offering and redemption price per share ($73,296,036 ÷ 7,722,167 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 9.49 |
for the six months ended June 30, 2014 (Unaudited)
|
||||
Investment Income
|
||||
Income:
Dividends (net of foreign taxes withheld of $66,477)
|
$ | 721,265 | ||
Income distributions — Central Cash Management Fund
|
820 | |||
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates
|
24,364 | |||
Total income
|
746,449 | |||
Expenses:
Management fee
|
232,387 | |||
Administration fee
|
35,752 | |||
Services to shareholders
|
554 | |||
Custodian fee
|
23,254 | |||
Professional fees
|
36,189 | |||
Reports to shareholders
|
14,972 | |||
Trustees' fees and expenses
|
2,277 | |||
Other
|
13,626 | |||
Total expenses before expense reductions
|
359,011 | |||
Expense reductions
|
(1,266 | ) | ||
Total expenses after expense reductions
|
357,745 | |||
Net investment income
|
388,704 | |||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) from:
Investments
|
2,064,510 | |||
Futures
|
91,460 | |||
Foreign currency
|
(15,631 | ) | ||
2,140,339 | ||||
Change in net unrealized appreciation (depreciation) on:
Investments
|
414,784 | |||
Foreign currency
|
7,999 | |||
422,783 | ||||
Net gain (loss)
|
2,563,122 | |||
Net increase (decrease) in net assets resulting from operations
|
$ | 2,951,826 |
Increase (Decrease) in Net Assets
|
Six Months Ended June 30, 2014 (Unaudited)
|
Year Ended December 31, 2013
|
||||||
Operations:
Net investment income
|
$ | 388,704 | $ | 1,174,893 | ||||
Operations:
Net investment income
|
$ | 388,704 | $ | 1,174,893 | ||||
Net realized gain (loss)
|
2,140,339 | 17,352,793 | ||||||
Change in net unrealized appreciation (depreciation)
|
422,783 | (6,262,438 | ) | |||||
Net increase (decrease) in net assets resulting from operations
|
2,951,826 | 12,265,248 | ||||||
Distributions to shareholders from:
Net investment income:
Class A
|
(1,256,998 | ) | (1,676,904 | ) | ||||
Fund share transactions:
Class A
Proceeds from shares sold
|
1,087,663 | 3,395,869 | ||||||
Reinvestment of distributions
|
1,256,998 | 1,676,904 | ||||||
Payments for shares redeemed
|
(3,730,928 | ) | (9,660,444 | ) | ||||
Net increase (decrease) in net assets from Class A share transactions
|
(1,386,267 | ) | (4,587,671 | ) | ||||
Increase (decrease) in net assets
|
308,561 | 6,000,673 | ||||||
Net assets at beginning of period
|
72,987,475 | 66,986,802 | ||||||
Net assets at end of period (including undistributed net investment income of $349,476 and $1,217,770, respectively)
|
$ | 73,296,036 | $ | 72,987,475 | ||||
Other Information
|
||||||||
Class A
Shares outstanding at beginning of period
|
7,869,570 | 8,411,945 | ||||||
Shares sold
|
117,523 | 404,553 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
138,132 | 202,770 | ||||||
Shares redeemed
|
(403,058 | ) | (1,149,698 | ) | ||||
Net increase (decrease) in Class A shares
|
(147,403 | ) | (542,375 | ) | ||||
Shares outstanding at end of period
|
7,722,167 | 7,869,570 |
Years Ended December 31,
|
||||||||||||||||||||||||
Class A
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 9.27 | $ | 7.96 | $ | 6.98 | $ | 8.08 | $ | 7.45 | $ | 6.22 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.05 | .14 | .18 | .19 | .14 | .12 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.33 | 1.37 | 1.01 | (1.14 | ) | .66 | 1.51 | |||||||||||||||||
Total from investment operations
|
.38 | 1.51 | 1.19 | (.95 | ) | .80 | 1.63 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.16 | ) | (.20 | ) | (.21 | ) | (.15 | ) | (.17 | ) | (.40 | ) | ||||||||||||
Net asset value, end of period
|
$ | 9.49 | $ | 9.27 | $ | 7.96 | $ | 6.98 | $ | 8.08 | $ | 7.45 | ||||||||||||
Total Return (%)
|
4.21 | b** | 19.31 | b | 17.34 | (12.07 | ) | 10.93 | 29.36 | |||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
73 | 73 | 67 | 65 | 83 | 86 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)
|
1.00 | * | 1.06 | 1.02 | 1.03 | .99 | .94 | |||||||||||||||||
Ratio of expenses after expense reductions (%)
|
1.00 | * | .99 | 1.02 | 1.03 | .99 | .94 | |||||||||||||||||
Ratio of net investment income (%)
|
1.09 | * | 1.69 | 2.46 | 2.44 | 1.90 | 1.89 | |||||||||||||||||
Portfolio turnover rate (%)
|
39 | ** | 139 | 18 | 26 | 14 | 139 | |||||||||||||||||
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reimbursed.
* Annualized
** Not annualized
|
Realized Gain (Loss)
|
Futures Contracts
|
|||
Equity Contracts (a)
|
$ | 91,460 | ||
The above derivative is located in the following Statement of Operations account:
(a) Net realized gain (loss) from futures
|
First $1.5 billion
|
.650 | % | ||
Next $1.75 billion
|
.635 | % | ||
Next $1.75 billion
|
.620 | % | ||
Over $5 billion
|
.605 | % |
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2014
|
||||
Actual Fund Return
|
Class A
|
|||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | ||
Ending Account Value 6/30/14
|
$ | 1,042.10 | ||
Expenses Paid per $1,000*
|
$ | 5.06 | ||
Hypothetical 5% Fund Return
|
Class A
|
|||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | ||
Ending Account Value 6/30/14
|
$ | 1,019.84 | ||
Expenses Paid per $1,000*
|
$ | 5.01 |
Annualized Expense Ratio
|
Class A
|
|
Deutsche Variable Series II — Deutsche Global Equity VIP
|
1.00%
|
3 Letter to Shareholders
4 Performance Summary
5 Portfolio Summary
5 Portfolio Management Team
6 Investment Portfolio
10 Statement of Assets and Liabilities
10 Statement of Operations
11 Statement of Changes in Net Assets
12 Financial Highlights
14 Notes to Financial Statements
19 Information About Your Fund's Expenses
20 Proxy Voting
21 Advisory Agreement Board Considerations and Fee Evaluation
|
Former Name
|
New name, effective August 11, 2014
|
DWS Investments Distributors, Inc.
|
DeAWM Distributors, Inc.
|
DWS Trust Company
|
DeAWM Trust Company
|
DWS Investments Service Company
|
DeAWM Service Company
|
Growth of an Assumed $10,000 Investment in Deutsche Global Growth VIP
|
||
The Morgan Stanley Capital International (MSCI) World Index is an unmanaged index that tracks the performance of stocks in select developed markets around the world, including the U.S.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
|
||
Yearly periods ended June 30
|
Comparative Results
|
|||||||||||||||||||||
Deutsche Global Growth VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class A
|
Growth of $10,000
|
$ | 10,465 | $ | 12,210 | $ | 12,494 | $ | 18,351 | $ | 21,549 | ||||||||||
Average annual total return
|
4.65 | % | 22.10 | % | 7.71 | % | 12.91 | % | 7.98 | % | |||||||||||
MSCI World Index
|
Growth of $10,000
|
$ | 10,618 | $ | 12,405 | $ | 13,977 | $ | 20,103 | $ | 20,134 | ||||||||||
Average annual total return
|
6.18 | % | 24.05 | % | 11.81 | % | 14.99 | % | 7.25 | % | |||||||||||
Deutsche Global Growth VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class B
|
Growth of $10,000
|
$ | 10,455 | $ | 12,170 | $ | 12,380 | $ | 18,039 | $ | 20,800 | ||||||||||
Average annual total return
|
4.55 | % | 21.70 | % | 7.38 | % | 12.52 | % | 7.60 | % | |||||||||||
MSCI World Index
|
Growth of $10,000
|
$ | 10,618 | $ | 12,405 | $ | 13,977 | $ | 20,103 | $ | 20,134 | ||||||||||
Average annual total return
|
6.18 | % | 24.05 | % | 11.81 | % | 14.99 | % | 7.25 | % |
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
Common Stocks
|
96%
|
96%
|
Cash Equivalents
|
3%
|
3%
|
Participatory Notes
|
1%
|
1%
|
100%
|
100%
|
Sector Diversification
(As a % of Investment Portfolio excluding Cash Equivalents and Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
Industrials
|
18%
|
20%
|
Health Care
|
14%
|
14%
|
Financials
|
14%
|
15%
|
Information Technology
|
13%
|
14%
|
Consumer Discretionary
|
13%
|
14%
|
Consumer Staples
|
12%
|
12%
|
Energy
|
8%
|
7%
|
Materials
|
8%
|
4%
|
100%
|
100%
|
Geographical Diversification
(As a % of Investment Portfolio excluding Cash Equivalents and Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
United States
|
48%
|
45%
|
Europe
|
26%
|
30%
|
United Kingdom
|
11%
|
9%
|
Asia (excluding Japan)
|
6%
|
6%
|
Canada
|
5%
|
6%
|
Japan
|
2%
|
2%
|
Latin America
|
1%
|
1%
|
Africa
|
1%
|
1%
|
100%
|
100%
|
Shares
|
Value ($)
|
|||||||
Common Stocks 96.3%
|
||||||||
Belgium 2.0%
|
||||||||
Anheuser-Busch InBev NV (Cost $877,251)
|
9,200 | 1,056,935 | ||||||
Bermuda 0.3%
|
||||||||
Lazard Ltd. "A" (Cost $59,462)
|
2,531 | 130,498 | ||||||
Brazil 0.8%
|
||||||||
CCR SA (Cost $379,260)
|
49,000 | 399,185 | ||||||
Canada 5.2%
|
||||||||
Brookfield Asset Management, Inc. "A"
|
19,000 | 837,065 | ||||||
Canadian Oil Sands Ltd.
|
20,000 | 453,212 | ||||||
Canadian Pacific Railway Ltd.
|
4,500 | 815,233 | ||||||
Goldcorp, Inc.
|
12,000 | 334,920 | ||||||
Quebecor, Inc. "B"
|
5,040 | 121,956 | ||||||
SunOpta, Inc.*
|
11,711 | 164,891 | ||||||
(Cost $2,333,446)
|
2,727,277 | |||||||
China 0.2%
|
||||||||
Minth Group Ltd. (Cost $115,171)
|
65,770 | 127,969 | ||||||
Cyprus 0.2%
|
||||||||
Prosafe SE (Cost $124,216)
|
12,961 | 106,919 | ||||||
Denmark 0.8%
|
||||||||
Coloplast AS "B"
|
3,200 | 289,389 | ||||||
GN Store Nord AS
|
4,730 | 135,519 | ||||||
(Cost $350,367)
|
424,908 | |||||||
Finland 1.0%
|
||||||||
Cramo Oyj
|
3,851 | 93,704 | ||||||
Nokia Oyj (a)
|
55,000 | 416,473 | ||||||
(Cost $494,770)
|
510,177 | |||||||
France 1.1%
|
||||||||
Pernod Ricard SA (Cost $567,369)
|
4,600 | 552,403 | ||||||
Germany 3.4%
|
||||||||
BASF SE
|
4,100 | 477,370 | ||||||
Bayer AG (Registered)
|
2,000 | 282,487 | ||||||
Fresenius Medical Care AG & Co. KGaA
|
10,000 | 672,190 | ||||||
Patrizia Immobilien AG
|
4,667 | 61,988 | ||||||
United Internet AG (Registered)
|
4,323 | 190,459 | ||||||
Vib Vermoegen AG
|
4,650 | 88,186 | ||||||
(Cost $1,604,983)
|
1,772,680 | |||||||
Hong Kong 1.3%
|
||||||||
Hong Kong Television Network Ltd.*
|
94,719 | 29,820 | ||||||
K Wah International Holdings Ltd.
|
244,564 | 170,713 | ||||||
Playmates Toys Ltd.
|
226,681 | 86,280 | ||||||
REXLot Holdings Ltd. (a)
|
1,447,591 | 169,966 | ||||||
Sun Hung Kai & Co., Ltd.
|
101,067 | 80,458 | ||||||
Techtronic Industries Co.
|
41,213 | 132,141 | ||||||
(Cost $563,715)
|
669,378 | |||||||
Indonesia 1.0%
|
||||||||
PT Arwana Citramulia Tbk
|
1,118,618 | 95,302 | ||||||
PT Indofood CBP Sukses Makmur Tbk
|
380,000 | 320,540 | ||||||
Shares
|
Value ($)
|
|||||||
PT Multipolar Tbk
|
1,697,639 | 96,660 | ||||||
(Cost $647,416)
|
512,502 | |||||||
Ireland 2.7%
|
||||||||
Accenture PLC "A" (b)
|
5,500 | 444,620 | ||||||
C&C Group PLC
|
12,120 | 75,428 | ||||||
Paddy Power PLC
|
1,574 | 103,453 | ||||||
Ryanair Holdings PLC (ADR)* (a)
|
2,796 | 156,017 | ||||||
Shire PLC
|
7,700 | 602,225 | ||||||
(Cost $961,550)
|
1,381,743 | |||||||
Italy 1.9%
|
||||||||
Prysmian SpA
|
4,738 | 107,048 | ||||||
Sorin SpA*
|
100,000 | 293,578 | ||||||
Unipol Gruppo Finanziario SpA
|
108,000 | 610,467 | ||||||
(Cost $782,484)
|
1,011,093 | |||||||
Japan 1.5%
|
||||||||
Ai Holdings Corp.
|
5,242 | 95,365 | ||||||
Avex Group Holdings, Inc.
|
5,967 | 105,139 | ||||||
Kusuri No Aoki Co., Ltd.
|
3,880 | 140,562 | ||||||
MISUMI Group, Inc.
|
2,238 | 61,570 | ||||||
Nippon Seiki Co., Ltd.
|
7,919 | 152,978 | ||||||
United Arrows Ltd.
|
2,032 | 81,938 | ||||||
Universal Entertainment Corp.
|
4,911 | 87,114 | ||||||
UT Holdings Co., Ltd.
|
10,080 | 62,984 | ||||||
(Cost $776,014)
|
787,650 | |||||||
Luxembourg 1.0%
|
||||||||
Eurofins Scientific (a) (Cost $394,249)
|
1,700 | 522,826 | ||||||
Malaysia 0.8%
|
||||||||
Hartalega Holdings Bhd.
|
59,558 | 115,184 | ||||||
IHH Healthcare Bhd.
|
150,000 | 204,609 | ||||||
Tune Ins Holdings Bhd.
|
110,328 | 77,996 | ||||||
(Cost $381,743)
|
397,789 | |||||||
Netherlands 2.7%
|
||||||||
Brunel International NV
|
4,058 | 118,440 | ||||||
Chicago Bridge & Iron Co. NV (b)
|
1,016 | 69,291 | ||||||
Constellium NV "A"* (b)
|
5,856 | 187,743 | ||||||
ING Groep NV (CVA)*
|
36,000 | 505,765 | ||||||
SBM Offshore NV*
|
7,196 | 116,123 | ||||||
Yandex NV "A"* (b)
|
12,000 | 427,680 | ||||||
(Cost $1,242,047)
|
1,425,042 | |||||||
Norway 1.8%
|
||||||||
DNO ASA*
|
105,000 | 403,817 | ||||||
Norsk Hydro ASA
|
95,000 | 508,465 | ||||||
(Cost $621,064)
|
912,282 | |||||||
Panama 0.2%
|
||||||||
Banco Latinoamericano de Comercio Exterior SA "E" (Cost $96,167)
|
4,277 | 126,899 | ||||||
Philippines 1.6%
|
||||||||
Alliance Global Group, Inc.
|
181,474 | 120,982 | ||||||
Century Properties Group, Inc.
|
143,180 | 4,461 | ||||||
House of Investments, Inc.
|
6,983 | 960 | ||||||
Metropolitan Bank & Trust Co.
|
350,000 | 700,802 | ||||||
(Cost $880,612)
|
827,205 | |||||||
Shares
|
Value ($)
|
|||||||
Singapore 0.4%
|
||||||||
Lian Beng Group Ltd.
|
262,007 | 146,038 | ||||||
UE E&C Ltd.
|
66,923 | 63,869 | ||||||
(Cost $160,580)
|
209,907 | |||||||
Spain 0.9%
|
||||||||
Mediaset Espana Communication SA* (Cost $478,060)
|
41,000 | 478,212 | ||||||
Sweden 4.0%
|
||||||||
Assa Abloy AB "B"
|
5,000 | 254,432 | ||||||
Atlas Copco AB "A"
|
20,000 | 578,010 | ||||||
Svenska Cellulosa AB "B"
|
23,000 | 599,307 | ||||||
Swedish Match AB
|
18,500 | 642,366 | ||||||
(Cost $2,021,471)
|
2,074,115 | |||||||
Switzerland 2.7%
|
||||||||
Dufry AG (Registered)*
|
679 | 123,427 | ||||||
Nestle SA (Registered)
|
9,200 | 712,720 | ||||||
Novartis AG (Registered)
|
2,700 | 244,486 | ||||||
Swatch Group AG (Bearer)
|
500 | 301,928 | ||||||
(Cost $1,279,311)
|
1,382,561 | |||||||
Taiwan 0.1%
|
||||||||
Kinpo Electronics, Inc. (Cost $58,427)
|
145,443 | 67,953 | ||||||
Thailand 0.1%
|
||||||||
Malee Sampran PCL (Foreign Registered) (Cost $82,517)
|
47,499 | 65,493 | ||||||
United Kingdom 9.8%
|
||||||||
Aberdeen Asset Management PLC
|
54,000 | 419,474 | ||||||
Anglo American PLC
|
26,500 | 648,535 | ||||||
Arrow Global Group PLC*
|
25,631 | 100,889 | ||||||
Aveva Group PLC
|
13,000 | 453,418 | ||||||
Babcock International Group PLC
|
8,246 | 163,984 | ||||||
British American Tobacco PLC
|
8,500 | 505,941 | ||||||
Clinigen Healthcare Ltd.
|
7,944 | 51,357 | ||||||
Crest Nicholson Holdings PLC
|
19,578 | 115,528 | ||||||
Domino's Pizza Group PLC
|
9,411 | 84,395 | ||||||
Halma PLC
|
22,000 | 221,952 | ||||||
Hargreaves Lansdown PLC
|
5,254 | 111,317 | ||||||
HellermannTyton Group PLC
|
16,957 | 90,369 | ||||||
Howden Joinery Group PLC
|
15,355 | 81,358 | ||||||
IG Group Holdings PLC
|
8,745 | 87,927 | ||||||
IMI PLC
|
14,000 | 356,279 | ||||||
Intertek Group PLC
|
9,000 | 423,418 | ||||||
Jardine Lloyd Thompson Group PLC
|
4,191 | 74,594 | ||||||
John Wood Group PLC
|
7,650 | 105,589 | ||||||
Monitise PLC*
|
59,456 | 52,657 | ||||||
Polypipe Group PLC*
|
21,583 | 92,343 | ||||||
Reckitt Benckiser Group PLC
|
5,000 | 436,407 | ||||||
Rolls-Royce Holdings PLC*
|
12,000 | 219,538 | ||||||
Rotork PLC
|
2,254 | 102,995 | ||||||
Spirax-Sarco Engineering PLC
|
2,518 | 117,773 | ||||||
(Cost $4,946,668)
|
5,118,037 | |||||||
United States 46.8%
|
||||||||
Advance Auto Parts, Inc.
|
945 | 127,499 | ||||||
Affiliated Managers Group, Inc.*
|
573 | 117,694 | ||||||
Agilent Technologies, Inc.
|
5,000 | 287,200 | ||||||
Alliance Data Systems Corp.* (a)
|
3,200 | 900,000 | ||||||
Altra Industrial Motion Corp. (a)
|
2,692 | 97,962 | ||||||
Amgen, Inc.
|
5,000 | 591,850 | ||||||
Shares
|
Value ($)
|
|||||||
Amphenol Corp. "A" (a)
|
9,500 | 915,230 | ||||||
BE Aerospace, Inc.*
|
1,162 | 107,473 | ||||||
Biogen Idec, Inc.*
|
600 | 189,186 | ||||||
BorgWarner, Inc.
|
1,707 | 111,279 | ||||||
Bristol-Myers Squibb Co.
|
10,000 | 485,100 | ||||||
Cardtronics, Inc.* (a)
|
2,673 | 91,096 | ||||||
CBRE Group, Inc. "A"*
|
14,000 | 448,560 | ||||||
Cerner Corp.* (a)
|
10,000 | 515,800 | ||||||
Colfax Corp.* (a)
|
10,700 | 797,578 | ||||||
Danaher Corp.
|
6,700 | 527,491 | ||||||
DIRECTV*
|
7,500 | 637,575 | ||||||
Discovery Communications, Inc. "A"*
|
7,500 | 557,100 | ||||||
Dresser-Rand Group, Inc.*
|
1,442 | 91,899 | ||||||
Dril-Quip, Inc.*
|
900 | 98,316 | ||||||
Eaton Corp. PLC (a)
|
8,500 | 656,030 | ||||||
Ecolab, Inc.
|
5,200 | 578,968 | ||||||
Encore Capital Group, Inc.* (a)
|
2,592 | 117,729 | ||||||
Express Scripts Holding Co.* (a)
|
10,000 | 693,300 | ||||||
Exxon Mobil Corp.
|
6,000 | 604,080 | ||||||
Fox Factory Holding Corp.* (a)
|
5,575 | 98,064 | ||||||
Gentherm, Inc.*
|
1,298 | 57,696 | ||||||
Google, Inc. "A"*
|
400 | 233,868 | ||||||
Google, Inc. "C"*
|
400 | 230,112 | ||||||
Hain Celestial Group, Inc.* (a)
|
929 | 82,439 | ||||||
HeartWare International, Inc.* (a)
|
853 | 75,490 | ||||||
Jack in the Box, Inc.
|
1,368 | 81,861 | ||||||
JPMorgan Chase & Co.
|
13,000 | 749,060 | ||||||
Kansas City Southern
|
3,200 | 344,032 | ||||||
Kindred Healthcare, Inc.
|
4,237 | 97,875 | ||||||
L Brands, Inc.
|
7,500 | 439,950 | ||||||
Las Vegas Sands Corp.
|
9,000 | 685,980 | ||||||
Manitowoc Co., Inc. (a)
|
3,394 | 111,527 | ||||||
MasterCard, Inc. "A"
|
12,500 | 918,375 | ||||||
McDonald's Corp.
|
5,000 | 503,700 | ||||||
Middleby Corp.* (a)
|
1,473 | 121,847 | ||||||
Molina Healthcare, Inc.* (a)
|
2,183 | 97,427 | ||||||
Monster Beverage Corp.*
|
8,000 | 568,240 | ||||||
National Oilwell Varco, Inc. (a)
|
5,700 | 469,395 | ||||||
Noble Energy, Inc. (a)
|
11,500 | 890,790 | ||||||
NOW, Inc.*
|
1,670 | 60,471 | ||||||
Oaktree Capital Group LLC
|
2,438 | 121,876 | ||||||
Oasis Petroleum, Inc.* (a)
|
1,968 | 109,992 | ||||||
Ocwen Financial Corp.* (a)
|
2,829 | 104,956 | ||||||
Oil States International, Inc.*
|
980 | 62,808 | ||||||
Pacira Pharmaceuticals, Inc.* (a)
|
696 | 63,935 | ||||||
Pall Corp.
|
8,100 | 691,659 | ||||||
Polaris Industries, Inc. (a)
|
816 | 106,276 | ||||||
Praxair, Inc. (a)
|
7,000 | 929,880 | ||||||
Primoris Services Corp.
|
1,822 | 52,546 | ||||||
Providence Service Corp.*
|
753 | 27,552 | ||||||
PTC, Inc.*
|
2,057 | 79,812 | ||||||
ResMed, Inc. (a)
|
9,000 | 455,670 | ||||||
Retrophin, Inc.*
|
4,363 | 51,222 | ||||||
Roadrunner Transportation Systems, Inc.* (a)
|
3,718 | 104,476 | ||||||
Schlumberger Ltd. (a)
|
5,500 | 648,725 | ||||||
Sinclair Broadcast Group, Inc. "A" (a)
|
3,152 | 109,532 | ||||||
Synta Pharmaceuticals Corp.*
|
8,416 | 34,421 | ||||||
Tenneco, Inc.*
|
1,972 | 129,560 | ||||||
The Bancorp., Inc.* (a)
|
3,261 | 38,839 | ||||||
The Travelers Companies, Inc. (a)
|
6,800 | 639,676 | ||||||
Thermon Group Holdings, Inc.*
|
3,340 | 87,909 | ||||||
Thoratec Corp.*
|
3,300 | 115,038 | ||||||
Shares
|
Value ($)
|
|||||||
TIBCO Software, Inc.*
|
3,208 | 64,705 | ||||||
TiVo, Inc.*
|
5,065 | 65,389 | ||||||
TriNet Group, Inc.*
|
2,617 | 62,991 | ||||||
Tristate Capital Holdings, Inc.*
|
6,208 | 87,719 | ||||||
United Rentals, Inc.*
|
1,586 | 166,102 | ||||||
United Technologies Corp.
|
5,300 | 611,885 | ||||||
Urban Outfitters, Inc.* (a)
|
3,108 | 105,237 | ||||||
VeriFone Systems, Inc.*
|
3,409 | 125,281 | ||||||
W.R. Grace & Co.*
|
2,500 | 236,325 | ||||||
WABCO Holdings, Inc.*
|
1,270 | 135,661 | ||||||
Waddell & Reed Financial, Inc. "A"
|
2,376 | 148,714 | ||||||
Western Digital Corp.
|
2,503 | 231,027 | ||||||
Yelp, Inc.* (a)
|
2,700 | 207,036 | ||||||
Zoe's Kitchen, Inc.*
|
1,635 | 56,211 | ||||||
(Cost $20,372,209)
|
24,334,837 | |||||||
Total Common Stocks (Cost $43,652,599)
|
50,114,475 | |||||||
Shares
|
Value ($)
|
|||||||
Participatory Note 0.4%
|
||||||||
Nigeria
|
||||||||
Zenith Bank PLC (issuer Merrill Lynch International), Expiration Date 8/21/2015 (Cost $195,000)
|
1,500,000 | 230,592 | ||||||
Securities Lending Collateral 20.3%
|
||||||||
Daily Assets Fund Institutional, 0.08% (c) (d) (Cost $10,578,615)
|
10,578,615 | 10,578,615 | ||||||
Cash Equivalents 3.5%
|
||||||||
Central Cash Management Fund, 0.06% (c) (Cost $1,796,885)
|
1,796,885 | 1,796,885 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $56,223,099)†
|
120.5 | 62,720,567 | ||||||
Other Assets and Liabilities, Net
|
(20.5 | ) | (10,664,254 | ) | ||||
Net Assets
|
100.0 | 52,056,313 |
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Common Stocks
|
||||||||||||||||
Belgium
|
$ | — | $ | 1,056,935 | $ | — | $ | 1,056,935 | ||||||||
Bermuda
|
130,498 | — | — | 130,498 | ||||||||||||
Brazil
|
399,185 | — | — | 399,185 | ||||||||||||
Canada
|
2,727,277 | — | — | 2,727,277 | ||||||||||||
China
|
— | 127,969 | — | 127,969 | ||||||||||||
Cyprus
|
— | 106,919 | — | 106,919 | ||||||||||||
Denmark
|
— | 424,908 | — | 424,908 | ||||||||||||
Finland
|
— | 510,177 | — | 510,177 | ||||||||||||
France
|
— | 552,403 | — | 552,403 | ||||||||||||
Germany
|
— | 1,772,680 | — | 1,772,680 | ||||||||||||
Hong Kong
|
— | 669,378 | — | 669,378 | ||||||||||||
Indonesia
|
— | 512,502 | — | 512,502 | ||||||||||||
Ireland
|
600,637 | 781,106 | — | 1,381,743 | ||||||||||||
Italy
|
— | 1,011,093 | — | 1,011,093 | ||||||||||||
Japan
|
— | 787,650 | — | 787,650 | ||||||||||||
Luxembourg
|
— | 522,826 | — | 522,826 | ||||||||||||
Malaysia
|
— | 397,789 | — | 397,789 | ||||||||||||
Netherlands
|
684,714 | 740,328 | — | 1,425,042 | ||||||||||||
Norway
|
— | 912,282 | — | 912,282 | ||||||||||||
Panama
|
126,899 | — | — | 126,899 | ||||||||||||
Philippines
|
— | 827,205 | — | 827,205 | ||||||||||||
Singapore
|
— | 209,907 | — | 209,907 | ||||||||||||
Spain
|
— | 478,212 | — | 478,212 | ||||||||||||
Sweden
|
— | 2,074,115 | — | 2,074,115 | ||||||||||||
Switzerland
|
— | 1,382,561 | — | 1,382,561 | ||||||||||||
Taiwan
|
— | 67,953 | — | 67,953 | ||||||||||||
Thailand
|
— | 65,493 | — | 65,493 | ||||||||||||
United Kingdom
|
— | 5,118,037 | — | 5,118,037 | ||||||||||||
United States
|
24,334,837 | — | — | 24,334,837 | ||||||||||||
Participatory Notes (e)
|
— | 230,592 | — | 230,592 | ||||||||||||
Short-Term Investments (e)
|
12,375,500 | — | — | 12,375,500 | ||||||||||||
Total
|
$ | 41,379,547 | $ | 21,341,020 | $ | — | $ | 62,720,567 |
as of June 30, 2014 (Unaudited)
|
||||
Assets
|
||||
Investments:
Investments in non-affiliated securities, at value (cost $43,847,599) — including $10,243,981 of securities loaned
|
$ | 50,345,067 | ||
Investment in Daily Assets Fund Institutional (cost $10,578,615)*
|
10,578,615 | |||
Investment in Central Cash Management Fund (cost $1,796,885)
|
1,796,885 | |||
Total investments in securities, at value (cost $56,223,099)
|
62,720,567 | |||
Cash
|
52,217 | |||
Foreign currency, at value (cost $340,311)
|
338,840 | |||
Receivable for investments sold
|
724,431 | |||
Receivable for Fund shares sold
|
8,620 | |||
Dividends receivable
|
51,219 | |||
Interest receivable
|
4,229 | |||
Foreign taxes recoverable
|
36,396 | |||
Other assets
|
766 | |||
Total assets
|
63,937,285 | |||
Liabilities
|
||||
Payable upon return of securities loaned
|
10,578,615 | |||
Payable for investments purchased
|
1,051,815 | |||
Payable for Fund shares redeemed
|
166,810 | |||
Accrued management fees
|
13,390 | |||
Other accrued expenses and payables
|
70,342 | |||
Total liabilities
|
11,880,972 | |||
Net assets, at value
|
52,056,313 | |||
Net Assets Consist of
|
||||
Undistributed net investment income
|
266,782 | |||
Net unrealized appreciation (depreciation) on:
Investments
|
6,497,468 | |||
Foreign currency
|
(716 | ) | ||
Accumulated net realized gain (loss)
|
(42,549,845 | ) | ||
Paid-in capital
|
87,842,624 | |||
Net assets, at value
|
52,056,313 | |||
Class A
Net Asset Value, offering and redemption price per share ($51,942,977 ÷ 4,505,150 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 11.53 | ||
Class B
Net Asset Value, offering and redemption price per share ($113,336 ÷ 9,801 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 11.56 |
for the six months ended June 30, 2014 (Unaudited)
|
||||
Investment Income
|
||||
Income:
Dividends (net of foreign taxes withheld of $46,535)
|
$ | 510,230 | ||
Income distributions — Central Cash Management Fund
|
427 | |||
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates
|
15,077 | |||
Total income
|
525,734 | |||
Expenses:
Management fee
|
239,018 | |||
Administration fee
|
26,122 | |||
Services to shareholders
|
735 | |||
Record keeping fees (Class B)
|
817 | |||
Distribution service fee (Class B)
|
2,110 | |||
Custodian fee
|
35,776 | |||
Professional fees
|
37,702 | |||
Reports to shareholders
|
14,521 | |||
Trustees' fees and expenses
|
2,087 | |||
Other
|
15,896 | |||
Total expenses before expense reductions
|
374,784 | |||
Expense reductions
|
(162,853 | ) | ||
Total expenses after expense reductions
|
211,931 | |||
Net investment income (loss)
|
313,803 | |||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) from:
Investments
|
1,723,280 | |||
Foreign currency
|
(3,636 | ) | ||
1,719,644 | ||||
Change in net unrealized appreciation (depreciation) on:
Investments
|
284,834 | |||
Foreign currency
|
1,945 | |||
286,779 | ||||
Net gain (loss)
|
2,006,423 | |||
Net increase (decrease) in net assets resulting from operations
|
$ | 2,320,226 |
Increase (Decrease) in Net Assets
|
Six Months Ended June 30, 2014 (Unaudited)
|
Years Ended December 31, 2013
|
||||||
Operations:
Net investment income (loss)
|
$ | 313,803 | $ | 518,403 | ||||
Operations:
Net investment income (loss)
|
$ | 313,803 | $ | 518,403 | ||||
Net realized gain (loss)
|
1,719,644 | 9,003,948 | ||||||
Change in net unrealized appreciation (depreciation)
|
286,779 | 1,089,980 | ||||||
Net increase (decrease) in net assets resulting from operations
|
2,320,226 | 10,612,331 | ||||||
Distributions to shareholders from:
Net investment income:
Class A
|
(509,707 | ) | (689,482 | ) | ||||
Class B
|
(15,999 | ) | (27,740 | ) | ||||
Total distributions
|
(525,706 | ) | (717,222 | ) | ||||
Fund share transactions:
Class A
Proceeds from shares sold
|
2,061,203 | 4,242,450 | ||||||
Reinvestment of distributions
|
509,707 | 689,482 | ||||||
Payments for shares redeemed
|
(3,649,897 | ) | (16,663,817 | ) | ||||
Net increase (decrease) in net assets from Class A share transactions
|
(1,078,987 | ) | (11,731,885 | ) | ||||
Class B
Proceeds from shares sold
|
26,121 | 147,425 | ||||||
Reinvestment of distributions
|
15,999 | 27,740 | ||||||
Payments for shares redeemed
|
(2,655,611 | ) | (823,023 | ) | ||||
Net increase (decrease) in net assets from Class B share transactions
|
(2,613,491 | ) | (647,858 | ) | ||||
Increase (decrease) in net assets
|
(1,897,958 | ) | (2,484,634 | ) | ||||
Net assets at beginning of period
|
53,954,271 | 56,438,905 | ||||||
Net assets at end of period (including undistributed net investment income of $266,782 and $478,685, respectively)
|
$ | 52,056,313 | $ | 53,954,271 | ||||
Other Information
|
||||||||
Class A
Shares outstanding at beginning of period
|
4,601,327 | 5,793,732 | ||||||
Shares sold
|
184,507 | 422,826 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
46,464 | 71,746 | ||||||
Shares redeemed
|
(327,148 | ) | (1,686,977 | ) | ||||
Net increase (decrease) in Class A shares
|
(96,177 | ) | (1,192,405 | ) | ||||
Shares outstanding at end of period
|
4,505,150 | 4,601,327 | ||||||
Class B
Shares outstanding at beginning of period
|
246,555 | 311,300 | ||||||
Shares sold
|
2,394 | 14,554 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
1,453 | 2,878 | ||||||
Shares redeemed
|
(240,601 | ) | (82,177 | ) | ||||
Net increase (decrease) in Class B shares
|
(236,754 | ) | (64,745 | ) | ||||
Shares outstanding at end of period
|
9,801 | 246,555 |
Years Ended December 31,
|
||||||||||||||||||||||||
Class A
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 11.13 | $ | 9.24 | $ | 7.90 | $ | 9.28 | $ | 8.24 | $ | 5.84 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.07 | .10 | .12 | .11 | .06 | .08 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.44 | 1.92 | 1.34 | (1.43 | ) | 1.06 | 2.42 | |||||||||||||||||
Total from investment operations
|
.51 | 2.02 | 1.46 | (1.32 | ) | 1.12 | 2.50 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.11 | ) | (.13 | ) | (.12 | ) | (.06 | ) | (.08 | ) | (.10 | ) | ||||||||||||
Total distributions
|
(.11 | ) | (.13 | ) | (.12 | ) | (.06 | ) | (.08 | ) | (.10 | ) | ||||||||||||
Net asset value, end of period
|
$ | 11.53 | $ | 11.13 | $ | 9.24 | $ | 7.90 | $ | 9.28 | $ | 8.24 | ||||||||||||
Total Return (%)b
|
4.65 | ** | 22.08 | 18.60 | (14.39 | ) | 13.65 | 43.82 | ||||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
52 | 51 | 54 | 49 | 68 | 66 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)
|
1.42 | * | 1.45 | 1.42 | 1.37 | 1.41 | 1.38 | |||||||||||||||||
Ratio of expenses after expense reductions (%)
|
.80 | * | .88 | .99 | 1.03 | 1.05 | 1.04 | |||||||||||||||||
Ratio of net investment income (%)
|
1.24 | * | 1.00 | 1.40 | 1.24 | .77 | 1.23 | |||||||||||||||||
Portfolio turnover rate (%)
|
31 | ** | 171 | 107 | 127 | 165 | 190 | |||||||||||||||||
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
* Annualized
** Not annualized
|
Years Ended December 31,
|
||||||||||||||||||||||||
Class B
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 11.14 | $ | 9.25 | $ | 7.91 | $ | 9.29 | $ | 8.25 | $ | 5.85 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.01 | .07 | .09 | .08 | .04 | .06 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.48 | 1.92 | 1.34 | (1.44 | ) | 1.05 | 2.42 | |||||||||||||||||
Total from investment operations
|
.49 | 1.99 | 1.43 | (1.36 | ) | 1.09 | 2.48 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.07 | ) | (.10 | ) | (.09 | ) | (.02 | ) | (.05 | ) | (.08 | ) | ||||||||||||
Total distributions
|
(.07 | ) | (.10 | ) | (.09 | ) | (.02 | ) | (.05 | ) | (.08 | ) | ||||||||||||
Net asset value, end of period
|
$ | 11.56 | $ | 11.14 | $ | 9.25 | $ | 7.91 | $ | 9.29 | $ | 8.25 | ||||||||||||
Total Return (%)b
|
4.55 | ** | 21.62 | 18.16 | (14.67 | ) | 13.24 | 43.23 | ||||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
.1 | 3 | 3 | 3 | 5 | 5 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)
|
1.77 | * | 1.81 | 1.76 | 1.72 | 1.76 | 1.73 | |||||||||||||||||
Ratio of expenses after expense reductions (%)
|
1.15 | * | 1.23 | 1.34 | 1.38 | 1.40 | 1.39 | |||||||||||||||||
Ratio of net investment income (%)
|
.16 | * | .66 | 1.04 | .88 | .42 | .88 | |||||||||||||||||
Portfolio turnover rate (%)
|
31 | ** | 171 | 107 | 127 | 165 | 190 | |||||||||||||||||
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
* Annualized
** Not annualized
|
First $250 million
|
.915 | % | ||
Next $500 million
|
.865 | % | ||
Next $750 million
|
.815 | % | ||
Next $1.5 billion
|
.765 | % | ||
Over $3 billion
|
.715 | % |
Class A
|
.80%
|
Class B
|
1.15%
|
Class A
|
$ | 157,586 | ||
Class B
|
5,267 | |||
$ | 162,853 |
Services to Shareholders
|
Total Aggregated
|
Unpaid at June 30, 2014
|
||||||
Class A
|
$ | 149 | $ | 73 | ||||
Class B
|
43 | 27 | ||||||
$ | 192 | $ | 100 |
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2014
|
||||||||
Actual Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,046.50 | $ | 1,045.50 | ||||
Expenses Paid per $1,000*
|
$ | 4.06 | $ | 5.83 | ||||
Hypothetical 5% Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,020.83 | $ | 1,019.09 | ||||
Expenses Paid per $1,000*
|
$ | 4.01 | $ | 5.76 |
Annualized Expense Ratios
|
Class A
|
Class B
|
||
Deutsche Variable Series II — Deutsche Global Growth VIP
|
.80%
|
1.15%
|
3 Letter to Shareholders
4 Performance Summary
5 Portfolio Summary
5 Portfolio Management Team
6 Investment Portfolio
27 Statement of Assets and Liabilities
28 Statement of Operations
29 Statement of Changes in Net Assets
30 Financial Highlights
31 Notes to Financial Statements
39 Information About Your Fund's Expenses
40 Proxy Voting
41 Advisory Agreement Board Considerations and Fee Evaluation
|
Former Name
|
New name, effective August 11, 2014
|
DWS Investments Distributors, Inc.
|
DeAWM Distributors, Inc.
|
DWS Trust Company
|
DeAWM Trust Company
|
DWS Investments Service Company
|
DeAWM Service Company
|
Growth of an Assumed $10,000 Investment in Deutsche Global Income Builder VIP
|
||
The Russell 1000® Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
The Barclays U.S. Aggregate Bond Index is an unmanaged index representing domestic taxable investment-grade bonds, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities with an average maturity of one year or more.
The S&P® Target Risk Moderate Index is designed to measure the performance of S&P's proprietary moderate target risk allocation model. The S&P® Target Risk Moderate Index seeks to provide significant exposure to fixed income, while also allocating a smaller portion of exposure to equities in order to seek current income, some capital preservation, and an opportunity for moderate to low capital appreciation.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
|
||
Yearly periods ended June 30
|
Comparative Results
|
|||||||||||||||||||||
Deutsche Global Income Builder VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class A
|
Growth of $10,000
|
$ | 10,539 | $ | 11,724 | $ | 13,210 | $ | 17,532 | $ | 17,201 | ||||||||||
Average annual total return
|
5.39 | % | 17.24 | % | 9.73 | % | 11.88 | % | 5.57 | % | |||||||||||
Russell 1000® Index
|
Growth of $10,000
|
$ | 10,727 | $ | 12,535 | $ | 15,863 | $ | 24,117 | $ | 21,967 | ||||||||||
Average annual total return
|
7.27 | % | 25.35 | % | 16.63 | % | 19.25 | % | 8.19 | % | |||||||||||
Barclays U.S. Aggregate Bond Index
|
Growth of $10,000
|
$ | 10,393 | $ | 10,437 | $ | 11,140 | $ | 12,674 | $ | 16,187 | ||||||||||
Average annual total return
|
3.93 | % | 4.37 | % | 3.66 | % | 4.85 | % | 4.93 | % | |||||||||||
S&P® Target Risk Moderate Index
|
Growth of $10,000
|
$ | 10,442 | $ | 11,254 | $ | 12,367 | $ | 15,443 | $ | 17,301 | ||||||||||
Average annual total return
|
4.42 | % | 12.54 | % | 7.34 | % | 9.08 | % | 5.64 | % |
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
Equity
|
55%
|
63%
|
Common Stocks
|
55%
|
63%
|
Fixed Income
|
37%
|
33%
|
Corporate Bonds
|
27%
|
23%
|
Government & Agency Obligations
|
7%
|
5%
|
Collateralized Mortgage Obligations
|
1%
|
2%
|
Asset-Backed
|
1%
|
0%
|
Commercial Mortgage-Backed Securities
|
1%
|
1%
|
Municipal Bonds and Notes
|
0%
|
1%
|
Mortgage-Backed Securities Pass-Throughs
|
0%
|
1%
|
Loan Participations and Assignments
|
—
|
0%
|
Cash Equivalents
|
8%
|
4%
|
100%
|
100%
|
Sector Diversification
(As a % of Equities, Corporate Bonds, Preferred Securities, Convertible Bonds and Other Investments)
|
6/30/14
|
12/31/13
|
Financials
|
21%
|
22%
|
Consumer Discretionary
|
12%
|
13%
|
Energy
|
12%
|
9%
|
Information Technology
|
10%
|
12%
|
Industrials
|
10%
|
11%
|
Telecommunication Services
|
10%
|
9%
|
Consumer Staples
|
7%
|
7%
|
Health Care
|
7%
|
6%
|
Materials
|
6%
|
5%
|
Utilities
|
5%
|
6%
|
100%
|
100%
|
Shares
|
Value ($)
|
|||||||
Common Stocks 54.8%
|
||||||||
Consumer Discretionary 5.4%
|
||||||||
Auto Components 0.4%
|
||||||||
Aisin Seiki Co., Ltd.
|
2,664 | 105,976 | ||||||
Bridgestone Corp.
|
3,605 | 126,151 | ||||||
Cie Generale des Etablissements Michelin
|
243 | 29,035 | ||||||
Delphi Automotive PLC
|
1,254 | 86,200 | ||||||
Denso Corp.
|
79 | 3,770 | ||||||
Johnson Controls, Inc.
|
1,959 | 97,813 | ||||||
Magna International, Inc.
|
1,176 | 126,588 | ||||||
Sumitomo Rubber Industries Ltd.
|
12,693 | 183,181 | ||||||
Toyota Industries Corp.
|
79 | 4,078 | ||||||
TRW Automotive Holdings Corp.*
|
236 | 21,127 | ||||||
Yokohama Rubber Co., Ltd.
|
23,087 | 199,637 | ||||||
983,556 | ||||||||
Automobiles 1.3%
|
||||||||
Bayerische Motoren Werke (BMW) AG
|
1,177 | 149,273 | ||||||
Daimler AG (Registered)
|
1,727 | 161,751 | ||||||
Fiat SpA*
|
11,828 | 116,774 | ||||||
Ford Motor Co.
|
13,868 | 239,084 | ||||||
Fuji Heavy Industries Ltd.
|
4,153 | 114,991 | ||||||
General Motors Co.
|
16,140 | 585,882 | ||||||
Honda Motor Co., Ltd. (a)
|
5,250 | 183,300 | ||||||
Isuzu Motors Ltd.
|
7,052 | 46,640 | ||||||
Mitsubishi Motors Corp.
|
21,938 | 242,107 | ||||||
Nissan Motor Co., Ltd.
|
40,585 | 384,998 | ||||||
Renault SA
|
4,500 | 406,867 | ||||||
Toyota Motor Corp.
|
6,190 | 371,748 | ||||||
Volkswagen AG
|
1,470 | 380,030 | ||||||
3,383,445 | ||||||||
Diversified Consumer Services 0.0%
|
||||||||
H&R Block, Inc.
|
3,134 | 105,052 | ||||||
Hotels, Restaurants & Leisure 0.7%
|
||||||||
Carnival Corp.
|
4,858 | 182,904 | ||||||
Chipotle Mexican Grill, Inc.*
|
79 | 46,808 | ||||||
Compass Group PLC
|
9,203 | 160,178 | ||||||
Crown Resorts Ltd.
|
4,907 | 69,961 | ||||||
Dawn Holdings, Inc.* (b)
|
1 | 1,940 | ||||||
Galaxy Entertainment Group Ltd.
|
10,969 | 87,464 | ||||||
McDonald's Corp.
|
3,056 | 307,861 | ||||||
Royal Caribbean Cruises Ltd.
|
2,899 | 161,184 | ||||||
Sands China Ltd.
|
26,326 | 199,558 | ||||||
SJM Holdings Ltd.
|
26,583 | 66,471 | ||||||
Starbucks Corp.
|
2,821 | 218,289 | ||||||
Tatts Group Ltd.
|
27,230 | 83,962 | ||||||
Trump Entertainment Resorts, Inc.*
|
2 | 0 | ||||||
TUI Travel PLC
|
10,382 | 70,716 | ||||||
Whitbread PLC
|
134 | 10,111 | ||||||
Yum! Brands, Inc.
|
1,959 | 159,071 | ||||||
1,826,478 | ||||||||
Household Durables 0.3%
|
||||||||
Leggett & Platt, Inc. (a)
|
3,448 | 118,197 | ||||||
Mohawk Industries, Inc.*
|
784 | 108,459 | ||||||
Newell Rubbermaid, Inc.
|
2,351 | 72,858 | ||||||
PulteGroup, Inc.
|
2,351 | 47,396 | ||||||
Sekisui Chemical Co., Ltd.
|
5,485 | 63,510 | ||||||
Shares
|
Value ($)
|
|||||||
Sekisui House Ltd.
|
13,454 | 184,469 | ||||||
Whirlpool Corp.
|
1,646 | 229,156 | ||||||
824,045 | ||||||||
Leisure Products 0.1%
|
||||||||
Bandai Namco Holdings, Inc.
|
2,508 | 58,723 | ||||||
Hasbro, Inc. (a)
|
2,821 | 149,654 | ||||||
Mattel, Inc.
|
784 | 30,553 | ||||||
238,930 | ||||||||
Media 1.6%
|
||||||||
British Sky Broadcasting Group PLC
|
10,533 | 162,957 | ||||||
CBS Corp. "B" (a)
|
1,176 | 73,077 | ||||||
Comcast Corp. Special "A"
|
7,914 | 422,054 | ||||||
Comcast Corp. "A"
|
6,974 | 374,364 | ||||||
DIRECTV*
|
4,545 | 386,370 | ||||||
Discovery Communications, Inc. "A"*
|
314 | 23,324 | ||||||
Discovery Communications, Inc. "C"*
|
1,019 | 73,969 | ||||||
Liberty Global PLC "A"*
|
2,978 | 131,687 | ||||||
Liberty Global PLC "C"*
|
3,420 | 144,700 | ||||||
Liberty Media Corp. "A"*
|
1,411 | 192,856 | ||||||
News Corp. "A"*
|
5,485 | 98,401 | ||||||
Omnicom Group, Inc.
|
627 | 44,655 | ||||||
Reed Elsevier PLC
|
4,714 | 75,835 | ||||||
Scripps Networks Interactive, Inc. "A"
|
2,273 | 184,431 | ||||||
SES SA
|
5 | 190 | ||||||
Shaw Communications, Inc. "B"
|
7,444 | 190,870 | ||||||
Thomson Reuters Corp.
|
4,231 | 154,046 | ||||||
Time Warner Cable, Inc.
|
1,254 | 184,714 | ||||||
Time Warner, Inc.
|
6,347 | 445,877 | ||||||
Time, Inc.*
|
793 | 19,206 | ||||||
Twenty-First Century Fox, Inc. "A"
|
3,056 | 107,418 | ||||||
Twenty-First Century Fox, Inc. "B"
|
4,701 | 160,915 | ||||||
Viacom, Inc. "B"
|
1,881 | 163,139 | ||||||
Walt Disney Co.
|
3,683 | 315,780 | ||||||
WPP PLC
|
4,538 | 98,943 | ||||||
4,229,778 | ||||||||
Multiline Retail 0.3%
|
||||||||
Canadian Tire Corp., Ltd. "A"
|
157 | 15,062 | ||||||
Dollar General Corp.*
|
1,959 | 112,368 | ||||||
Kohl's Corp.
|
3,291 | 173,370 | ||||||
Macy's, Inc.
|
2,194 | 127,296 | ||||||
Nordstrom, Inc.
|
1,097 | 74,519 | ||||||
Target Corp. (a)
|
3,683 | 213,430 | ||||||
716,045 | ||||||||
Specialty Retail 0.3%
|
||||||||
AutoZone, Inc.*
|
314 | 168,379 | ||||||
Bed Bath & Beyond, Inc.*
|
941 | 53,995 | ||||||
GameStop Corp. "A" (a)
|
392 | 15,864 | ||||||
Home Depot, Inc.
|
2,038 | 164,997 | ||||||
Lowe's Companies, Inc.
|
1,332 | 63,923 | ||||||
O'Reilly Automotive, Inc.*
|
314 | 47,288 | ||||||
PetSmart, Inc. (a)
|
1,097 | 65,601 | ||||||
Staples, Inc.
|
8,500 | 92,140 | ||||||
The Gap, Inc.
|
862 | 35,833 | ||||||
TJX Companies, Inc.
|
1,567 | 83,286 | ||||||
791,306 | ||||||||
Shares
|
Value ($)
|
|||||||
Textiles, Apparel & Luxury Goods 0.4%
|
||||||||
Christian Dior SA
|
933 | 185,629 | ||||||
Cie Financiere Richemont SA (Registered)
|
1,534 | 160,959 | ||||||
Michael Kors Holdings Ltd.*
|
706 | 62,587 | ||||||
NIKE, Inc. "B"
|
2,664 | 206,593 | ||||||
Swatch Group AG (Bearer)
|
205 | 123,791 | ||||||
Swatch Group AG (Registered)
|
1,724 | 191,491 | ||||||
VF Corp.
|
2,642 | 166,446 | ||||||
Yue Yuen Industrial (Holdings) Ltd.
|
18,804 | 63,688 | ||||||
1,161,184 | ||||||||
Consumer Staples 4.7%
|
||||||||
Beverages 0.6%
|
||||||||
Anheuser-Busch InBev NV
|
450 | 51,698 | ||||||
Carlsberg AS "B"
|
1,729 | 186,242 | ||||||
Coca-Cola Co.
|
6,268 | 265,512 | ||||||
Diageo PLC
|
2,821 | 90,088 | ||||||
Dr. Pepper Snapple Group, Inc.
|
2,586 | 151,488 | ||||||
Heineken Holding NV
|
1,747 | 114,860 | ||||||
Heineken NV
|
355 | 25,486 | ||||||
Molson Coors Brewing Co. "B"
|
2,899 | 214,990 | ||||||
PepsiCo, Inc.
|
3,567 | 318,676 | ||||||
SABMiller PLC
|
1,353 | 78,450 | ||||||
1,497,490 | ||||||||
Food & Staples Retailing 1.7%
|
||||||||
Aeon Co., Ltd.
|
12,615 | 155,158 | ||||||
Alimentation Couche-Tard, Inc. "B"
|
7,052 | 193,177 | ||||||
Casino Guichard-Perrachon SA
|
524 | 69,477 | ||||||
Costco Wholesale Corp.
|
1,332 | 153,393 | ||||||
CVS Caremark Corp.
|
5,642 | 425,238 | ||||||
Empire Co., Ltd. "A"
|
3,134 | 213,114 | ||||||
George Weston Ltd.
|
3,448 | 254,339 | ||||||
J Sainsbury PLC
|
65,372 | 352,974 | ||||||
Jeronimo Martins, SGPS, SA
|
3,507 | 57,698 | ||||||
Koninklijke Ahold NV
|
4,417 | 82,921 | ||||||
Kroger Co.
|
5,877 | 290,500 | ||||||
Lawson, Inc.
|
862 | 64,668 | ||||||
Loblaw Companies Ltd.
|
1,756 | 78,366 | ||||||
Metro, Inc.
|
1,332 | 82,350 | ||||||
Safeway, Inc.
|
2,899 | 99,552 | ||||||
Seven & I Holdings Co., Ltd.
|
1,567 | 66,018 | ||||||
Sysco Corp. (a)
|
3,761 | 140,849 | ||||||
Tesco PLC
|
70,901 | 344,848 | ||||||
Wal-Mart Stores, Inc.
|
6,112 | 458,828 | ||||||
Walgreen Co.
|
4,545 | 336,921 | ||||||
Wesfarmers Ltd.
|
5,098 | 201,131 | ||||||
WM Morrison Supermarkets PLC
|
77,061 | 241,872 | ||||||
Woolworths Ltd.
|
4,247 | 141,046 | ||||||
4,504,438 | ||||||||
Food Products 1.2%
|
||||||||
Archer-Daniels-Midland Co.
|
5,328 | 235,018 | ||||||
Aryzta AG*
|
1,318 | 124,845 | ||||||
Bunge Ltd.
|
3,996 | 302,258 | ||||||
ConAgra Foods, Inc.
|
4,466 | 132,551 | ||||||
General Mills, Inc.
|
4,780 | 251,141 | ||||||
Hormel Foods Corp.
|
2,038 | 100,575 | ||||||
Kellogg Co.
|
2,899 | 190,464 | ||||||
Kerry Group PLC "A"
|
2,837 | 213,076 | ||||||
Kraft Foods Group, Inc.
|
2,116 | 126,854 | ||||||
Lindt & Spruengli AG
|
23 | 117,075 | ||||||
McCormick & Co., Inc.
|
941 | 67,366 | ||||||
Mondelez International, Inc. "A"
|
7,679 | 288,807 | ||||||
Shares
|
Value ($)
|
|||||||
Nestle SA (Registered)
|
4,850 | 375,728 | ||||||
Tate & Lyle PLC
|
6,434 | 75,371 | ||||||
The Hershey Co.
|
706 | 68,743 | ||||||
The JM Smucker Co.
|
1,567 | 166,995 | ||||||
Tyson Foods, Inc. "A"
|
7,052 | 264,732 | ||||||
Wilmar International Ltd.
|
61,112 | 156,346 | ||||||
3,257,945 | ||||||||
Household Products 0.5%
|
||||||||
Church & Dwight Co., Inc.
|
1,803 | 126,120 | ||||||
Clorox Co.
|
784 | 71,658 | ||||||
Colgate-Palmolive Co.
|
2,429 | 165,609 | ||||||
Energizer Holdings, Inc.
|
1,411 | 172,184 | ||||||
Kimberly-Clark Corp.
|
2,038 | 226,666 | ||||||
Procter & Gamble Co.
|
4,566 | 358,842 | ||||||
Reckitt Benckiser Group PLC
|
1,733 | 151,259 | ||||||
1,272,338 | ||||||||
Tobacco 0.7%
|
||||||||
Altria Group, Inc.
|
8,110 | 340,133 | ||||||
British American Tobacco PLC
|
4,589 | 273,149 | ||||||
Imperial Tobacco Group PLC
|
7,662 | 344,865 | ||||||
Japan Tobacco, Inc.
|
5,877 | 214,242 | ||||||
Lorillard, Inc.
|
3,134 | 191,080 | ||||||
Philip Morris International, Inc.
|
3,918 | 330,326 | ||||||
Reynolds American, Inc.
|
4,623 | 278,998 | ||||||
1,972,793 | ||||||||
Energy 5.0%
|
||||||||
Energy Equipment & Services 0.5%
|
||||||||
Baker Hughes, Inc.
|
1,254 | 93,360 | ||||||
Ensco PLC "A"
|
8,070 | 448,450 | ||||||
Halliburton Co.
|
1,254 | 89,047 | ||||||
National Oilwell Varco, Inc.
|
1,254 | 103,267 | ||||||
Noble Corp. PLC
|
10,969 | 368,120 | ||||||
Schlumberger Ltd.
|
2,273 | 268,100 | ||||||
1,370,344 | ||||||||
Oil, Gas & Consumable Fuels 4.5%
|
||||||||
Apache Corp.
|
1,567 | 157,672 | ||||||
BG Group PLC
|
6,894 | 145,710 | ||||||
BP PLC
|
76,166 | 671,175 | ||||||
Cabot Oil & Gas Corp.
|
3,996 | 136,423 | ||||||
Canadian Natural Resources Ltd.
|
1,646 | 75,632 | ||||||
Chesapeake Energy Corp. (a)
|
11,155 | 346,697 | ||||||
Chevron Corp.
|
4,780 | 624,029 | ||||||
ConocoPhillips
|
6,336 | 543,185 | ||||||
Devon Energy Corp.
|
2,038 | 161,817 | ||||||
Enbridge, Inc.
|
392 | 18,600 | ||||||
Eni SpA
|
9,313 | 254,791 | ||||||
EQT Corp.
|
1,332 | 142,391 | ||||||
Exxon Mobil Corp.
|
4,701 | 473,297 | ||||||
Hess Corp.
|
3,134 | 309,921 | ||||||
HollyFrontier Corp. (a)
|
5,789 | 252,921 | ||||||
Husky Energy, Inc.
|
6,056 | 195,576 | ||||||
Idemitsu Kosan Co., Ltd.
|
12,627 | 274,340 | ||||||
Imperial Oil Ltd.
|
6,974 | 367,507 | ||||||
JX Holdings, Inc.
|
90,885 | 486,251 | ||||||
Kinder Morgan, Inc.
|
7,835 | 284,097 | ||||||
Marathon Oil Corp.
|
6,503 | 259,600 | ||||||
Marathon Petroleum Corp.
|
3,621 | 282,692 | ||||||
Murphy Oil Corp.
|
2,806 | 186,543 | ||||||
Neste Oil Oyj (a)
|
9,505 | 185,467 | ||||||
Occidental Petroleum Corp.
|
3,369 | 345,761 | ||||||
OMV AG
|
9,145 | 413,234 | ||||||
Origin Energy Ltd.
|
152 | 2,095 | ||||||
Shares
|
Value ($)
|
|||||||
Pacific Rubiales Energy Corp.
|
4,623 | 93,929 | ||||||
Phillips 66
|
4,075 | 327,752 | ||||||
Repsol SA
|
5,901 | 155,625 | ||||||
Royal Dutch Shell PLC "A"
|
18,660 | 772,341 | ||||||
Royal Dutch Shell PLC "B"
|
14,953 | 650,640 | ||||||
Showa Shell Sekiyu KK
|
28,239 | 320,844 | ||||||
Spectra Energy Corp. (a)
|
3,448 | 146,471 | ||||||
Statoil ASA
|
6,006 | 184,473 | ||||||
Suncor Energy, Inc.
|
4,780 | 203,824 | ||||||
Tesoro Corp.
|
5,015 | 294,230 | ||||||
TonenGeneral Sekiyu KK (a)
|
16,463 | 156,334 | ||||||
Total SA
|
7,515 | 543,122 | ||||||
TransCanada Corp.
|
2,273 | 108,490 | ||||||
Valero Energy Corp.
|
6,863 | 343,836 | ||||||
Woodside Petroleum Ltd.
|
2,606 | 100,922 | ||||||
12,000,257 | ||||||||
Financials 13.6%
|
||||||||
Banks 6.3%
|
||||||||
Aozora Bank Ltd.
|
141,174 | 464,053 | ||||||
Australia & New Zealand Banking Group Ltd.
|
8,236 | 258,923 | ||||||
Banco Bilbao Vizcaya Argentaria SA
|
9,682 | 123,415 | ||||||
Bank Hapoalim BM
|
63,913 | 369,528 | ||||||
Bank Leumi Le-Israel BM*
|
98,723 | 385,225 | ||||||
Bank of America Corp.
|
31,653 | 486,507 | ||||||
Bank of East Asia Ltd.
|
21,938 | 91,003 | ||||||
Bank of Montreal (a)
|
5,328 | 392,366 | ||||||
Bank of Nova Scotia (a)
|
5,646 | 376,418 | ||||||
Barclays PLC
|
83,709 | 304,856 | ||||||
BB&T Corp.
|
6,190 | 244,072 | ||||||
Bendigo & Adelaide Bank Ltd.
|
5,567 | 64,043 | ||||||
BNP Paribas SA
|
4,637 | 314,583 | ||||||
BOC Hong Kong (Holdings) Ltd.
|
93,627 | 271,202 | ||||||
Canadian Imperial Bank of Commerce (a)
|
4,075 | 370,819 | ||||||
CIT Group, Inc.
|
6,582 | 301,192 | ||||||
Citigroup, Inc.
|
11,048 | 520,361 | ||||||
Comerica, Inc.
|
1,097 | 55,025 | ||||||
Commonwealth Bank of Australia
|
2,037 | 155,353 | ||||||
Credit Agricole SA
|
14,547 | 205,168 | ||||||
Danske Bank AS
|
11,160 | 315,440 | ||||||
DBS Group Holdings Ltd.
|
20,371 | 273,650 | ||||||
Fifth Third Bancorp.
|
14,103 | 301,099 | ||||||
First Republic Bank
|
1,332 | 73,247 | ||||||
Fukuoka Financial Group, Inc.
|
21,710 | 104,794 | ||||||
Hang Seng Bank Ltd.
|
16,924 | 277,103 | ||||||
HSBC Holdings PLC
|
66,333 | 673,074 | ||||||
JPMorgan Chase & Co.
|
9,167 | 528,202 | ||||||
KeyCorp
|
12,301 | 176,273 | ||||||
Lloyds Banking Group PLC*
|
166,742 | 211,881 | ||||||
M&T Bank Corp. (a)
|
1,959 | 243,014 | ||||||
Mitsubishi UFJ Financial Group, Inc.
|
36,354 | 222,850 | ||||||
Mizrahi Tefahot Bank Ltd.
|
15,580 | 201,498 | ||||||
Mizuho Financial Group, Inc.
|
162,573 | 333,796 | ||||||
National Australia Bank Ltd.
|
6,869 | 212,320 | ||||||
National Bank of Canada (a)
|
8,305 | 352,265 | ||||||
Natixis
|
31,878 | 204,372 | ||||||
Nordea Bank AB
|
21,868 | 308,634 | ||||||
Oversea-Chinese Banking Corp., Ltd.
|
25,855 | 198,023 | ||||||
PNC Financial Services Group, Inc.
|
4,780 | 425,659 | ||||||
Raiffeisen Bank International AG
|
2,759 | 88,082 | ||||||
Regions Financial Corp.
|
31,810 | 337,822 | ||||||
Shares
|
Value ($)
|
|||||||
Resona Holdings, Inc.
|
47,156 | 274,636 | ||||||
Royal Bank of Canada
|
4,858 | 347,283 | ||||||
Royal Bank of Scotland Group PLC*
|
10,278 | 57,765 | ||||||
Skandinaviska Enskilda Banken AB "A"
|
23,014 | 307,586 | ||||||
Societe Generale
|
6,354 | 332,839 | ||||||
Standard Chartered PLC
|
11,679 | 238,650 | ||||||
Sumitomo Mitsui Financial Group, Inc.
|
5,407 | 226,517 | ||||||
SunTrust Banks, Inc.
|
5,877 | 235,433 | ||||||
Svenska Handelsbanken AB "A"
|
1,488 | 72,846 | ||||||
Swedbank AB "A"
|
13,741 | 364,422 | ||||||
The Bank of Yokohama Ltd.
|
27,744 | 159,664 | ||||||
The Chiba Bank Ltd.
|
10,186 | 71,892 | ||||||
The Chugoku Bank Ltd.
|
7,600 | 116,883 | ||||||
The Gunma Bank Ltd.
|
14,167 | 83,767 | ||||||
The Hachijuni Bank Ltd.
|
18,804 | 116,382 | ||||||
The Iyo Bank Ltd.
|
6,738 | 68,108 | ||||||
The Toronto-Dominion Bank (a)
|
8,229 | 423,616 | ||||||
U.S. Bancorp.
|
8,070 | 349,592 | ||||||
United Overseas Bank Ltd.
|
9,402 | 169,808 | ||||||
Wells Fargo & Co.
|
10,969 | 576,531 | ||||||
Westpac Banking Corp.
|
6,452 | 206,123 | ||||||
Yamaguchi Financial Group, Inc.
|
18,021 | 189,985 | ||||||
16,807,538 | ||||||||
Capital Markets 0.5%
|
||||||||
3i Group PLC
|
33,208 | 228,409 | ||||||
Ameriprise Financial, Inc.
|
627 | 75,240 | ||||||
Bank of New York Mellon Corp.
|
3,369 | 126,270 | ||||||
BlackRock, Inc.
|
314 | 100,354 | ||||||
Credit Suisse Group AG (Registered)*
|
6,854 | 196,005 | ||||||
Morgan Stanley
|
8,070 | 260,903 | ||||||
State Street Corp.
|
1,724 | 115,956 | ||||||
The Goldman Sachs Group, Inc.
|
1,097 | 183,682 | ||||||
UBS AG (Registered)*
|
913 | 16,751 | ||||||
1,303,570 | ||||||||
Consumer Finance 0.2%
|
||||||||
American Express Co.
|
549 | 52,084 | ||||||
Capital One Financial Corp.
|
3,526 | 291,247 | ||||||
Discover Financial Services
|
1,959 | 121,419 | ||||||
464,750 | ||||||||
Diversified Financial Services 0.5%
|
||||||||
Berkshire Hathaway, Inc. "B"*
|
3,134 | 396,639 | ||||||
CME Group, Inc.
|
2,038 | 144,596 | ||||||
EXOR SpA
|
1,762 | 72,357 | ||||||
ING Groep NV (CVA)*
|
3,416 | 47,992 | ||||||
Intercontinental Exchange, Inc.
|
314 | 59,315 | ||||||
Investor AB "B"
|
6,167 | 231,393 | ||||||
Leucadia National Corp.
|
627 | 16,440 | ||||||
The NASDAQ OMX Group, Inc.
|
1,176 | 45,417 | ||||||
Voya Financial, Inc.
|
4,800 | 174,432 | ||||||
1,188,581 | ||||||||
Insurance 5.0%
|
||||||||
ACE Ltd.
|
3,526 | 365,646 | ||||||
Aegon NV
|
25,449 | 222,117 | ||||||
Aflac, Inc.
|
4,578 | 284,980 | ||||||
Alleghany Corp.*
|
471 | 206,355 | ||||||
Allianz SE (Registered)
|
1,307 | 217,803 | ||||||
Allstate Corp.
|
6,582 | 386,495 | ||||||
American International Group, Inc.
|
7,444 | 406,294 | ||||||
Aon PLC
|
471 | 42,432 | ||||||
Shares
|
Value ($)
|
|||||||
Arch Capital Group Ltd.*
|
2,586 | 148,540 | ||||||
Assurant, Inc.
|
3,134 | 205,434 | ||||||
AXA SA
|
10,958 | 261,909 | ||||||
Axis Capital Holdings Ltd.
|
7,914 | 350,432 | ||||||
Baloise Holding AG (Registered)
|
3,543 | 417,505 | ||||||
Chubb Corp.
|
3,213 | 296,142 | ||||||
CNP Assurances
|
6,858 | 142,362 | ||||||
Delta Lloyd NV
|
4,442 | 112,768 | ||||||
Direct Line Insurance Group PLC
|
87,683 | 404,864 | ||||||
Everest Re Group Ltd.
|
3,369 | 540,691 | ||||||
Friends Life Group Ltd.
|
61,783 | 333,384 | ||||||
Great-West Lifeco, Inc.
|
4,466 | 126,314 | ||||||
Hannover Rueck SE
|
3,802 | 342,612 | ||||||
Hartford Financial Services Group, Inc.
|
6,626 | 237,277 | ||||||
Insurance Australia Group Ltd.
|
2,518 | 13,866 | ||||||
Intact Financial Corp.
|
3,134 | 216,110 | ||||||
Legal & General Group PLC
|
1,991 | 7,680 | ||||||
Lincoln National Corp.
|
4,351 | 223,815 | ||||||
Loews Corp.
|
5,877 | 258,647 | ||||||
Manulife Financial Corp.
|
4,100 | 81,497 | ||||||
Mapfre SA
|
24,168 | 96,334 | ||||||
Marsh & McLennan Companies, Inc.
|
1,097 | 56,847 | ||||||
MetLife, Inc.
|
6,836 | 379,808 | ||||||
Muenchener Rueckversicherungs-
Gesellschaft AG (Registered)
|
1,302 | 288,640 | ||||||
Old Mutual PLC
|
66,684 | 225,621 | ||||||
PartnerRe Ltd.
|
3,706 | 404,732 | ||||||
Power Corp. of Canada
|
2,429 | 67,494 | ||||||
Power Financial Corp.
|
4,075 | 126,827 | ||||||
Principal Financial Group, Inc.
|
1,097 | 55,377 | ||||||
Progressive Corp.
|
4,936 | 125,177 | ||||||
Prudential Financial, Inc.
|
2,351 | 208,698 | ||||||
RenaissanceRe Holdings Ltd. (a)
|
3,526 | 377,282 | ||||||
Sampo Oyj "A"
|
3,489 | 176,528 | ||||||
SCOR SE
|
8,888 | 305,719 | ||||||
Suncorp Group Ltd.
|
22,938 | 292,862 | ||||||
Swiss Life Holding AG (Registered)*
|
2,090 | 495,633 | ||||||
Swiss Re AG.*
|
7,110 | 632,588 | ||||||
The Travelers Companies, Inc.
|
3,918 | 368,566 | ||||||
Torchmark Corp.
|
1,881 | 154,092 | ||||||
Unum Group
|
7,757 | 269,633 | ||||||
W.R. Berkley Corp.
|
5,015 | 232,245 | ||||||
XL Group PLC
|
11,204 | 366,707 | ||||||
Zurich Insurance Group AG*
|
2,086 | 628,764 | ||||||
13,190,145 | ||||||||
Real Estate Investment Trusts 0.4%
|
||||||||
CFS Retail Property Trust (REIT)
|
49,808 | 95,812 | ||||||
Crown Castle International Corp. (REIT)
|
1,091 | 81,018 | ||||||
Dexus Property Group (REIT)
|
77,801 | 81,432 | ||||||
Federation Centres Ltd. (REIT)
|
44,060 | 103,450 | ||||||
GPT Group (REIT)
|
19,958 | 72,266 | ||||||
H&R Real Estate Investment Trust (REIT) (Units)
|
14,386 | 312,244 | ||||||
RioCan Real Estate Investment Trust (REIT)
|
4,858 | 124,335 | ||||||
Scentre Group (REIT)*
|
47,536 | 143,437 | ||||||
Stockland (REIT)
|
26,778 | 97,971 | ||||||
Westfield Corp. (REIT)
|
3,020 | 20,361 | ||||||
1,132,326 | ||||||||
Shares
|
Value ($)
|
|||||||
Real Estate Management & Development 0.5%
|
||||||||
Cheung Kong (Holdings) Ltd.
|
15,670 | 277,800 | ||||||
First Capital Realty, Inc.
|
6,425 | 112,116 | ||||||
Henderson Land Development Co., Ltd.
|
14,774 | 86,543 | ||||||
New World Development Co., Ltd.
|
47,793 | 54,389 | ||||||
Sun Hung Kai Properties Ltd.
|
12,536 | 172,098 | ||||||
Swire Pacific Ltd. "A"
|
13,320 | 163,870 | ||||||
Swiss Prime Site AG (Registered)*
|
3,231 | 267,793 | ||||||
Wharf Holdings Ltd.
|
7,835 | 56,611 | ||||||
Wheelock & Co., Ltd.
|
14,103 | 59,320 | ||||||
1,250,540 | ||||||||
Thrifts & Mortgage Finance 0.2%
|
||||||||
New York Community Bancorp., Inc. (a)
|
10,499 | 167,774 | ||||||
Ocwen Financial Corp.*
|
5,935 | 220,189 | ||||||
People's United Financial, Inc.
|
14,025 | 212,759 | ||||||
600,722 | ||||||||
Health Care 4.2%
|
||||||||
Biotechnology 1.0%
|
||||||||
Actelion Ltd. (Registered)*
|
2,771 | 350,593 | ||||||
Alexion Pharmaceuticals, Inc.*
|
941 | 147,031 | ||||||
Amgen, Inc.
|
3,683 | 435,957 | ||||||
Biogen Idec, Inc.*
|
627 | 197,699 | ||||||
Celgene Corp.*
|
5,642 | 484,535 | ||||||
CSL Ltd.
|
4,391 | 275,550 | ||||||
Gilead Sciences, Inc.*
|
7,914 | 656,150 | ||||||
2,547,515 | ||||||||
Health Care Equipment & Supplies 0.4%
|
||||||||
Abbott Laboratories
|
5,642 | 230,758 | ||||||
Baxter International, Inc.
|
2,664 | 192,607 | ||||||
Becton, Dickinson & Co.
|
862 | 101,975 | ||||||
CareFusion Corp.*
|
2,116 | 93,845 | ||||||
Covidien PLC
|
2,273 | 204,979 | ||||||
Medtronic, Inc.
|
3,683 | 234,828 | ||||||
Stryker Corp.
|
1,190 | 100,341 | ||||||
Zimmer Holdings, Inc.
|
549 | 57,019 | ||||||
1,216,352 | ||||||||
Health Care Providers & Services 1.1%
|
||||||||
Aetna, Inc.
|
3,918 | 317,672 | ||||||
AmerisourceBergen Corp.
|
1,411 | 102,523 | ||||||
Cardinal Health, Inc.
|
1,959 | 134,309 | ||||||
CIGNA Corp.
|
2,508 | 230,661 | ||||||
Express Scripts Holding Co.*
|
3,134 | 217,280 | ||||||
HCA Holdings, Inc.*
|
3,213 | 181,149 | ||||||
Humana, Inc.
|
2,194 | 280,218 | ||||||
Laboratory Corp. of America Holdings*
|
862 | 88,269 | ||||||
McKesson Corp.
|
1,019 | 189,748 | ||||||
Omnicare, Inc. (a)
|
941 | 62,642 | ||||||
Quest Diagnostics, Inc. (a)
|
4,231 | 248,317 | ||||||
UnitedHealth Group, Inc.
|
4,701 | 384,307 | ||||||
WellPoint, Inc.
|
4,153 | 446,904 | ||||||
2,883,999 | ||||||||
Life Sciences Tools & Services 0.1%
|
||||||||
Thermo Fisher Scientific, Inc.
|
2,038 | 240,484 | ||||||
Pharmaceuticals 1.6%
|
||||||||
AbbVie, Inc.
|
2,741 | 154,702 | ||||||
Actavis PLC* (a)
|
1,019 | 227,288 | ||||||
AstraZeneca PLC
|
1,718 | 127,619 | ||||||
Bristol-Myers Squibb Co.
|
3,369 | 163,430 | ||||||
Eli Lilly & Co.
|
3,213 | 199,752 | ||||||
Shares
|
Value ($)
|
|||||||
GlaxoSmithKline PLC
|
11,399 | 305,109 | ||||||
Johnson & Johnson
|
3,605 | 377,155 | ||||||
Merck & Co., Inc.
|
5,563 | 321,819 | ||||||
Mylan, Inc.*
|
1,176 | 60,635 | ||||||
Novartis AG (Registered)
|
5,595 | 506,629 | ||||||
Novo Nordisk AS ''B"
|
3,854 | 177,381 | ||||||
Otsuka Holdings Co., Ltd.
|
6,895 | 213,714 | ||||||
Perrigo Co. PLC
|
392 | 57,138 | ||||||
Pfizer, Inc.
|
13,555 | 402,312 | ||||||
Roche Holding AG (Genusschein)
|
1,112 | 331,669 | ||||||
Sanofi
|
1,531 | 162,639 | ||||||
Teva Pharmaceutical Industries Ltd.
|
7,856 | 415,293 | ||||||
4,204,284 | ||||||||
Industrials 5.9%
|
||||||||
Aerospace & Defense 1.1%
|
||||||||
Airbus Group NV
|
2,936 | 196,752 | ||||||
BAE Systems PLC
|
42,925 | 318,016 | ||||||
Boeing Co.
|
1,489 | 189,445 | ||||||
General Dynamics Corp.
|
1,567 | 182,634 | ||||||
Honeywell International, Inc.
|
2,821 | 262,212 | ||||||
L-3 Communications Holdings, Inc.
|
1,881 | 227,131 | ||||||
Lockheed Martin Corp.
|
1,567 | 251,864 | ||||||
Meggitt PLC
|
8,369 | 72,473 | ||||||
Northrop Grumman Corp.
|
2,038 | 243,806 | ||||||
Precision Castparts Corp.
|
627 | 158,255 | ||||||
Raytheon Co.
|
2,664 | 245,754 | ||||||
Rockwell Collins, Inc.
|
941 | 73,530 | ||||||
Rolls-Royce Holdings PLC*
|
7,501 | 137,230 | ||||||
Safran SA
|
1,352 | 88,519 | ||||||
Thales SA
|
506 | 30,607 | ||||||
United Technologies Corp.
|
2,586 | 298,554 | ||||||
2,976,782 | ||||||||
Air Freight & Logistics 0.2%
|
||||||||
FedEx Corp.
|
784 | 118,682 | ||||||
Royal Mail PLC*
|
23,937 | 204,419 | ||||||
United Parcel Service, Inc. "B"
|
1,176 | 120,728 | ||||||
443,829 | ||||||||
Airlines 1.1%
|
||||||||
American Airlines Group, Inc.*
|
2,600 | 111,696 | ||||||
Cathay Pacific Airways Ltd.
|
123,791 | 231,277 | ||||||
Delta Air Lines, Inc.
|
12,144 | 470,216 | ||||||
Deutsche Lufthansa AG (Registered)
|
22,684 | 487,040 | ||||||
easyJet PLC
|
9,936 | 232,111 | ||||||
Japan Airlines Co., Ltd.
|
7,365 | 407,127 | ||||||
Singapore Airlines Ltd.
|
34,474 | 286,431 | ||||||
Southwest Airlines Co.
|
14,253 | 382,835 | ||||||
United Continental Holdings, Inc.*
|
5,109 | 209,827 | ||||||
2,818,560 | ||||||||
Building Products 0.0%
|
||||||||
Congoleum Corp.*
|
3,800 | 0 | ||||||
Commercial Services & Supplies 0.2%
|
||||||||
Babcock International Group PLC
|
5,273 | 104,861 | ||||||
Cintas Corp.
|
1,567 | 99,567 | ||||||
G4S PLC
|
30 | 131 | ||||||
Republic Services, Inc.
|
5,171 | 196,343 | ||||||
Societe BIC SA
|
577 | 78,945 | ||||||
Tyco International Ltd.
|
2,351 | 107,206 | ||||||
Waste Management, Inc.
|
2,194 | 98,138 | ||||||
685,191 | ||||||||
Shares
|
Value ($)
|
|||||||
Construction & Engineering 0.0%
|
||||||||
Jacobs Engineering Group, Inc.*
|
549 | 29,251 | ||||||
Electrical Equipment 0.3%
|
||||||||
ABB Ltd. (Registered)*
|
8,638 | 198,904 | ||||||
AMETEK, Inc.
|
1,332 | 69,637 | ||||||
Eaton Corp. PLC
|
2,821 | 217,725 | ||||||
Emerson Electric Co.
|
2,273 | 150,836 | ||||||
Sumitomo Electric Industries Ltd.
|
3,605 | 50,710 | ||||||
687,812 | ||||||||
Industrial Conglomerates 0.6%
|
||||||||
3M Co. (a)
|
1,724 | 246,946 | ||||||
Danaher Corp.
|
2,664 | 209,737 | ||||||
General Electric Co.
|
14,338 | 376,803 | ||||||
Hutchison Whampoa Ltd.
|
18,021 | 246,235 | ||||||
Koninklijke Philips NV
|
2,934 | 93,106 | ||||||
Roper Industries, Inc.
|
862 | 125,861 | ||||||
Sembcorp Industries Ltd.
|
21,938 | 94,480 | ||||||
Siemens AG (Registered)
|
1,248 | 164,822 | ||||||
Smiths Group PLC
|
250 | 5,549 | ||||||
Toshiba Corp.
|
10,031 | 46,835 | ||||||
1,610,374 | ||||||||
Machinery 0.4%
|
||||||||
AGCO Corp.
|
3,761 | 211,443 | ||||||
Caterpillar, Inc.
|
862 | 93,673 | ||||||
Deere & Co.
|
3,996 | 361,838 | ||||||
Illinois Tool Works, Inc.
|
549 | 48,070 | ||||||
PACCAR, Inc.
|
1,254 | 78,789 | ||||||
Parker Hannifin Corp.
|
627 | 78,833 | ||||||
Schindler Holding AG (Registered)
|
503 | 75,836 | ||||||
SKF AB "B"
|
29 | 740 | ||||||
Stanley Black & Decker, Inc.
|
1,332 | 116,976 | ||||||
Yangzijiang Shipbuilding Holdings Ltd.
|
141,107 | 122,220 | ||||||
1,188,418 | ||||||||
Marine 0.3%
|
||||||||
A P Moller-Maersk AS "A"
|
149 | 350,550 | ||||||
A P Moller-Maersk AS "B"
|
118 | 293,220 | ||||||
Nippon Yusen Kabushiki Kaisha
|
83,050 | 239,382 | ||||||
883,152 | ||||||||
Professional Services 0.2%
|
||||||||
Adecco SA (Registered)*
|
393 | 32,351 | ||||||
Equifax, Inc.
|
1,411 | 102,354 | ||||||
Nielsen NV
|
4,545 | 220,023 | ||||||
SGS SA (Registered)
|
46 | 110,228 | ||||||
464,956 | ||||||||
Road & Rail 0.4%
|
||||||||
Canadian National Railway Co.
|
236 | 15,349 | ||||||
Central Japan Railway Co.
|
1,411 | 201,263 | ||||||
CSX Corp.
|
3,840 | 118,310 | ||||||
East Japan Railway Co.
|
1,097 | 86,402 | ||||||
MTR Corp., Ltd.
|
27,814 | 107,303 | ||||||
Norfolk Southern Corp.
|
862 | 88,812 | ||||||
Union Pacific Corp.
|
2,194 | 218,852 | ||||||
West Japan Railway Co.
|
3,761 | 165,580 | ||||||
1,001,871 | ||||||||
Trading Companies & Distributors 1.1%
|
||||||||
ITOCHU Corp.
|
41,839 | 537,314 | ||||||
Marubeni Corp.
|
78,349 | 573,087 | ||||||
Mitsubishi Corp.
|
28,128 | 585,023 | ||||||
Mitsui & Co., Ltd.
|
29,851 | 478,535 | ||||||
Sumitomo Corp.
|
39,566 | 534,290 | ||||||
Shares
|
Value ($)
|
|||||||
W.W. Grainger, Inc. (a)
|
627 | 159,427 | ||||||
2,867,676 | ||||||||
Information Technology 6.9%
|
||||||||
Communications Equipment 1.0%
|
||||||||
Cisco Systems, Inc.
|
25,699 | 638,620 | ||||||
Harris Corp.
|
3,369 | 255,202 | ||||||
Juniper Networks, Inc.*
|
7,764 | 190,529 | ||||||
Motorola Solutions, Inc.
|
6,190 | 412,068 | ||||||
QUALCOMM, Inc.
|
8,070 | 639,144 | ||||||
Telefonaktiebolaget LM Ericsson "B"
|
29,658 | 358,432 | ||||||
2,493,995 | ||||||||
Electronic Equipment, Instruments & Components 0.7%
|
||||||||
Amphenol Corp. "A"
|
784 | 75,531 | ||||||
Arrow Electronics, Inc.*
|
5,328 | 321,864 | ||||||
Avnet, Inc.
|
6,660 | 295,105 | ||||||
Corning, Inc.
|
16,140 | 354,273 | ||||||
Flextronics International Ltd.*
|
30,008 | 332,188 | ||||||
FUJIFILM Holdings Corp.
|
2,821 | 78,667 | ||||||
Hitachi Ltd.
|
5,485 | 40,174 | ||||||
Kyocera Corp.
|
2,429 | 115,282 | ||||||
Murata Manufacturing Co., Ltd.
|
706 | 66,074 | ||||||
TE Connectivity Ltd.
|
4,388 | 271,354 | ||||||
1,950,512 | ||||||||
Internet Software & Services 0.6%
|
||||||||
Dena Co., Ltd.
|
7,900 | 106,836 | ||||||
eBay, Inc.*
|
5,642 | 282,438 | ||||||
Facebook, Inc. "A"*
|
3,369 | 226,700 | ||||||
Google, Inc. "A"*
|
392 | 229,191 | ||||||
Google, Inc. "C"*
|
784 | 451,019 | ||||||
LinkedIn Corp. "A"*
|
127 | 21,777 | ||||||
VeriSign, Inc.* (a)
|
2,821 | 137,693 | ||||||
Yahoo!, Inc.*
|
6,347 | 222,970 | ||||||
1,678,624 | ||||||||
IT Services 1.7%
|
||||||||
Accenture PLC "A"
|
4,075 | 329,423 | ||||||
Alliance Data Systems Corp.*
|
549 | 154,406 | ||||||
AtoS
|
1,677 | 139,708 | ||||||
Automatic Data Processing, Inc.
|
3,232 | 256,233 | ||||||
CGI Group, Inc. "A"*
|
4,701 | 166,620 | ||||||
Cognizant Technology Solutions Corp. "A"*
|
3,291 | 160,963 | ||||||
Computer Sciences Corp.
|
3,840 | 242,688 | ||||||
Fidelity National Information Services, Inc.
|
5,798 | 317,382 | ||||||
Fiserv, Inc.*
|
3,761 | 226,863 | ||||||
FleetCor Technologies, Inc.*
|
784 | 103,331 | ||||||
International Business Machines Corp.
|
3,056 | 553,961 | ||||||
Itochu Techno-Solutions Corp.
|
627 | 27,264 | ||||||
MasterCard, Inc. "A"
|
3,134 | 230,255 | ||||||
Nomura Research Institute Ltd.
|
1,803 | 56,775 | ||||||
Paychex, Inc.
|
3,056 | 127,007 | ||||||
Total System Services, Inc.
|
5,250 | 164,902 | ||||||
Vantiv, Inc. "A"*
|
3,369 | 113,266 | ||||||
Visa, Inc. "A"
|
1,646 | 346,829 | ||||||
Western Union Co. (a)
|
12,458 | 216,022 | ||||||
Xerox Corp.
|
34,004 | 423,010 | ||||||
4,356,908 | ||||||||
Semiconductors & Semiconductor Equipment 0.8%
|
||||||||
Analog Devices, Inc.
|
2,586 | 139,825 | ||||||
ASML Holding NV
|
15 | 1,397 | ||||||
Shares
|
Value ($)
|
|||||||
Avago Technologies Ltd.
|
1,646 | 118,627 | ||||||
Broadcom Corp. "A"
|
7,209 | 267,598 | ||||||
Intel Corp.
|
21,473 | 663,516 | ||||||
KLA-Tencor Corp.
|
3,056 | 221,988 | ||||||
Lam Research Corp.
|
2,664 | 180,033 | ||||||
Marvell Technology Group Ltd.
|
4,623 | 66,248 | ||||||
Maxim Integrated Products, Inc.
|
4,388 | 148,358 | ||||||
Microchip Technology, Inc. (a)
|
3,291 | 160,634 | ||||||
Micron Technology, Inc.*
|
5,093 | 167,814 | ||||||
Texas Instruments, Inc.
|
1,646 | 78,662 | ||||||
2,214,700 | ||||||||
Software 1.2%
|
||||||||
Activision Blizzard, Inc.
|
15,827 | 352,942 | ||||||
ANSYS, Inc.*
|
784 | 59,443 | ||||||
CA, Inc.
|
12,536 | 360,285 | ||||||
GungHo Online Entertainment, Inc. (a)
|
10,734 | 69,296 | ||||||
Intuit, Inc.
|
3,134 | 252,381 | ||||||
Microsoft Corp.
|
14,249 | 594,183 | ||||||
Nexon Co., Ltd.
|
17,394 | 166,033 | ||||||
NICE Systems Ltd.
|
2,086 | 85,227 | ||||||
Oracle Corp.
|
10,813 | 438,251 | ||||||
SAP AG
|
2,389 | 184,499 | ||||||
Symantec Corp.
|
13,241 | 303,219 | ||||||
Synopsys, Inc.*
|
5,407 | 209,900 | ||||||
The Sage Group PLC
|
1,325 | 8,710 | ||||||
VMware, Inc. "A"*
|
784 | 75,899 | ||||||
3,160,268 | ||||||||
Technology Hardware, Storage & Peripherals 0.9%
|
||||||||
Apple, Inc.
|
8,778 | 815,739 | ||||||
Canon, Inc. (a)
|
6,974 | 226,902 | ||||||
EMC Corp.
|
12,458 | 328,144 | ||||||
Hewlett-Packard Co.
|
13,006 | 438,042 | ||||||
NetApp, Inc.
|
2,586 | 94,441 | ||||||
Ricoh Co., Ltd.
|
12,047 | 143,534 | ||||||
Seagate Technology PLC
|
3,683 | 209,268 | ||||||
Western Digital Corp.
|
1,959 | 180,816 | ||||||
2,436,886 | ||||||||
Materials 2.0%
|
||||||||
Chemicals 0.5%
|
||||||||
Agrium, Inc.
|
1,176 | 107,731 | ||||||
Asahi Kasei Corp.
|
19,219 | 147,028 | ||||||
Ashland, Inc.
|
862 | 93,734 | ||||||
BASF SE
|
8 | 931 | ||||||
CF Industries Holdings, Inc.
|
236 | 56,765 | ||||||
Dow Chemical Co.
|
784 | 40,345 | ||||||
E.I. du Pont de Nemours & Co.
|
1,489 | 97,440 | ||||||
Ecolab, Inc.
|
392 | 43,645 | ||||||
LyondellBasell Industries NV "A"
|
2,273 | 221,958 | ||||||
Mitsubishi Chemical Holdings Corp.
|
38,235 | 169,464 | ||||||
Monsanto Co.
|
1,019 | 127,110 | ||||||
Praxair, Inc.
|
549 | 72,929 | ||||||
Syngenta AG (Registered)
|
306 | 113,974 | ||||||
1,293,054 | ||||||||
Construction Materials 0.1%
|
||||||||
Fletcher Building Ltd.
|
8,805 | 67,918 | ||||||
Holcim Ltd. (Registered)*
|
3,225 | 283,479 | ||||||
351,397 | ||||||||
Containers & Packaging 0.1%
|
||||||||
Rock-Tenn Co. "A"
|
2,978 | 314,447 | ||||||
Shares
|
Value ($)
|
|||||||
Metals & Mining 1.2%
|
||||||||
Anglo American PLC
|
6,850 | 167,640 | ||||||
Barrick Gold Corp.
|
15,984 | 292,702 | ||||||
BHP Billiton Ltd.
|
1,942 | 65,740 | ||||||
BHP Billiton PLC
|
3,311 | 107,068 | ||||||
Boliden AB
|
21,615 | 313,636 | ||||||
Fortescue Metals Group Ltd.
|
54,098 | 221,901 | ||||||
Freeport-McMoRan Copper & Gold, Inc.
|
7,600 | 277,400 | ||||||
Glencore PLC
|
26,125 | 145,555 | ||||||
Goldcorp, Inc.
|
5,485 | 153,079 | ||||||
JFE Holdings, Inc.
|
3,600 | 74,306 | ||||||
Mitsubishi Materials Corp.
|
18,804 | 65,894 | ||||||
Newmont Mining Corp.
|
7,383 | 187,824 | ||||||
Nucor Corp.
|
4,075 | 200,694 | ||||||
Rio Tinto PLC
|
5,732 | 304,936 | ||||||
Silver Wheaton Corp.
|
9,011 | 237,129 | ||||||
Yamana Gold, Inc.
|
37,843 | 311,383 | ||||||
3,126,887 | ||||||||
Paper & Forest Products 0.1%
|
||||||||
International Paper Co.
|
6,974 | 351,978 | ||||||
Telecommunication Services 3.4%
|
||||||||
Diversified Telecommunication Services 2.9%
|
||||||||
AT&T, Inc.
|
18,726 | 662,151 | ||||||
BCE, Inc.
|
7,365 | 334,067 | ||||||
Bell Aliant, Inc.
|
4,153 | 108,549 | ||||||
BT Group PLC
|
57,981 | 381,931 | ||||||
CenturyLink, Inc.
|
10,891 | 394,254 | ||||||
Deutsche Telekom AG (Registered)
|
10,731 | 188,083 | ||||||
Elisa Oyj
|
5,325 | 162,893 | ||||||
Frontier Communications Corp. (a)
|
19,300 | 112,712 | ||||||
HKT Trust & HKT Ltd.
|
147,000 | 172,408 | ||||||
Iliad SA
|
47 | 14,207 | ||||||
Nippon Telegraph & Telephone Corp.
|
11,283 | 703,677 | ||||||
Orange SA
|
19,399 | 306,139 | ||||||
PCCW Ltd.
|
254,633 | 151,786 | ||||||
Singapore Telecommunications Ltd.
|
76,045 | 234,801 | ||||||
Swisscom AG (Registered)
|
606 | 352,270 | ||||||
TDC AS
|
29,141 | 301,587 | ||||||
Telecom Corp. of New Zealand Ltd.
|
113,327 | 265,919 | ||||||
Telecom Italia SpA (RSP)
|
204,986 | 202,516 | ||||||
Telefonica SA
|
14,181 | 243,114 | ||||||
Telenor ASA
|
8,848 | 201,516 | ||||||
TeliaSonera AB
|
52,444 | 383,113 | ||||||
Telstra Corp., Ltd.
|
66,244 | 325,441 | ||||||
TELUS Corp.
|
7,287 | 271,594 | ||||||
Verizon Communications, Inc. (c)
|
13,851 | 677,729 | ||||||
Verizon Communications, Inc. (c)
|
2,351 | 115,199 | ||||||
Vivendi SA*
|
4,103 | 100,398 | ||||||
Ziggo NV
|
3,186 | 147,325 | ||||||
7,515,379 | ||||||||
Wireless Telecommunication Services 0.5%
|
||||||||
KDDI Corp.
|
4,780 | 291,552 | ||||||
NTT DoCoMo, Inc.
|
26,169 | 447,408 | ||||||
Rogers Communications, Inc. "B"
|
6,503 | 261,692 | ||||||
Softbank Corp.
|
471 | 35,070 | ||||||
Vodafone Group PLC
|
112,387 | 375,061 | ||||||
1,410,783 | ||||||||
Shares
|
Value ($)
|
|||||||
Utilities 3.7%
|
||||||||
Electric Utilities 2.1%
|
||||||||
American Electric Power Co., Inc.
|
4,388 | 244,719 | ||||||
Cheung Kong Infrastructure Holdings Ltd.
|
30,556 | 211,515 | ||||||
CLP Holdings Ltd.
|
10,969 | 89,729 | ||||||
Duke Energy Corp.
|
5,407 | 401,145 | ||||||
E.ON SE
|
13,270 | 274,013 | ||||||
Edison International
|
3,056 | 177,584 | ||||||
EDP — Energias de Portugal SA
|
90,266 | 452,875 | ||||||
Electricite de France SA (a)
|
4,493 | 141,502 | ||||||
Enel SpA
|
13,335 | 77,676 | ||||||
Entergy Corp.
|
5,171 | 424,487 | ||||||
Exelon Corp.
|
6,503 | 237,229 | ||||||
FirstEnergy Corp.
|
4,936 | 171,378 | ||||||
Fortum Oyj
|
9,387 | 252,060 | ||||||
Iberdrola SA
|
33,374 | 255,138 | ||||||
NextEra Energy, Inc.
|
2,743 | 281,103 | ||||||
Northeast Utilities
|
3,369 | 159,253 | ||||||
OGE Energy Corp.
|
6,660 | 260,273 | ||||||
Pinnacle West Capital Corp.
|
5,955 | 344,437 | ||||||
Power Assets Holdings Ltd.
|
26,247 | 229,946 | ||||||
PPL Corp.
|
6,112 | 217,159 | ||||||
Southern Co.
|
6,245 | 283,398 | ||||||
SSE PLC
|
7,389 | 198,155 | ||||||
Tokyo Electric Power Co., Inc.*
|
17,300 | 72,066 | ||||||
Xcel Energy, Inc.
|
6,738 | 217,166 | ||||||
5,674,006 | ||||||||
Gas Utilities 0.0%
|
||||||||
Enagas SA (a)
|
22 | 708 | ||||||
Independent Power & Renewable Eletricity Producers 0.2%
|
||||||||
AES Corp.
|
7,914 | 123,063 | ||||||
Electric Power Development Co., Ltd.
|
9,402 | 305,341 | ||||||
428,404 | ||||||||
Multi-Utilities 1.3%
|
||||||||
AGL Energy Ltd.
|
3,971 | 57,964 | ||||||
Alliant Energy Corp.
|
2,508 | 152,637 | ||||||
Ameren Corp.
|
5,955 | 243,440 | ||||||
Centrica PLC
|
42,247 | 226,015 | ||||||
CMS Energy Corp.
|
2,664 | 82,984 | ||||||
Consolidated Edison, Inc.
|
4,310 | 248,859 | ||||||
Dominion Resources, Inc.
|
3,291 | 235,372 | ||||||
DTE Energy Co.
|
2,194 | 170,847 | ||||||
GDF Suez
|
5,853 | 161,132 | ||||||
Integrys Energy Group, Inc. (a)
|
4,545 | 323,286 | ||||||
National Grid PLC
|
19,631 | 282,210 | ||||||
NiSource, Inc.
|
5,250 | 206,535 | ||||||
PG&E Corp.
|
6,738 | 323,559 | ||||||
Public Service Enterprise Group, Inc.
|
5,720 | 233,319 | ||||||
SCANA Corp.
|
3,605 | 193,985 | ||||||
Sempra Energy
|
1,567 | 164,081 | ||||||
Wisconsin Energy Corp.
|
1,332 | 62,497 | ||||||
3,368,722 | ||||||||
Water Utilities 0.1%
|
||||||||
American Water Works Co., Inc.
|
6,503 | 321,573 | ||||||
Total Common Stocks (Cost $128,838,971)
|
145,273,333 | |||||||
Shares
|
Value ($)
|
|||||||
Preferred Stocks 0.4%
|
||||||||
Consumer Discretionary 0.4%
|
||||||||
Bayerische Motoren Werke (BMW) AG
|
2,391 | 229,213 | ||||||
Porsche Automobil Holding SE
|
3,859 | 402,069 | ||||||
Volkswagen AG
|
1,322 | 347,199 | ||||||
978,481 | ||||||||
Financials 0.0%
|
||||||||
Ally Financial, Inc. Series G, 144A, 7.0%
|
75 | 75,565 | ||||||
Total Preferred Stocks (Cost $921,217)
|
1,054,046 | |||||||
Rights 0.0%
|
||||||||
Telecommunication Services
|
||||||||
HKT Trust & HKT Ltd., Expiration Date 7/15/2014* (Cost $0)
|
26,460 | 7,818 | ||||||
Warrants 0.0%
|
||||||||
Materials
|
||||||||
GEO Specialty Chemicals, Inc., Expiration Date 3/31/2015*
|
19,324 | 14,792 | ||||||
Hercules Trust II, Expiration Date 3/31/2029*
|
170 | 1,094 | ||||||
Total Warrants (Cost $30,283)
|
15,886 |
Principal Amount ($)(d)
|
Value ($)
|
||||||||
Corporate Bonds 26.6%
|
|||||||||
Consumer Discretionary 3.8%
|
|||||||||
AmeriGas Finance LLC:
|
|||||||||
6.75%, 5/20/2020
|
110,000 | 119,350 | |||||||
7.0%, 5/20/2022
|
195,000 | 215,962 | |||||||
APX Group, Inc.:
|
|||||||||
6.375%, 12/1/2019 (e)
|
50,000 | 51,875 | |||||||
144A, 8.75%, 12/1/2020
|
50,000 | 50,750 | |||||||
Asbury Automotive Group, Inc., 8.375%, 11/15/2020
|
15,000 | 16,650 | |||||||
Ashtead Capital, Inc., 144A, 6.5%, 7/15/2022
|
80,000 | 87,400 | |||||||
Ashton Woods U.S.A. LLC, 144A, 6.875%, 2/15/2021
|
80,000 | 80,000 | |||||||
Avis Budget Car Rental LLC, 5.5%, 4/1/2023
|
50,000 | 51,125 | |||||||
BC Mountain LLC, 144A, 7.0%, 2/1/2021
|
50,000 | 48,375 | |||||||
Block Communications, Inc., 144A, 7.25%, 2/1/2020
|
20,000 | 21,300 | |||||||
Boyd Gaming Corp., 9.0%, 7/1/2020 (a)
|
40,000 | 44,100 | |||||||
CCO Holdings LLC:
|
|||||||||
6.5%, 4/30/2021
|
420,000 | 447,300 | |||||||
6.625%, 1/31/2022
|
705,000 | 757,875 | |||||||
7.375%, 6/1/2020
|
10,000 | 10,900 | |||||||
Cequel Communications Holdings I LLC:
|
|||||||||
144A, 5.125%, 12/15/2021
|
385,000 | 383,556 | |||||||
144A, 6.375%, 9/15/2020
|
285,000 | 302,812 | |||||||
Clear Channel Communications, Inc.:
|
|||||||||
9.0%, 12/15/2019
|
250,000 | 266,562 | |||||||
11.25%, 3/1/2021
|
70,000 | 79,363 | |||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
Clear Channel Worldwide Holdings, Inc.:
|
|||||||||
Series A, 6.5%, 11/15/2022
|
65,000 | 69,388 | |||||||
Series B, 6.5%, 11/15/2022
|
370,000 | 398,675 | |||||||
Series A, 7.625%, 3/15/2020
|
10,000 | 10,700 | |||||||
Series B, 7.625%, 3/15/2020
|
255,000 | 275,081 | |||||||
Cogeco Cable, Inc., 144A, 4.875%, 5/1/2020
|
5,000 | 5,063 | |||||||
Columbus International, Inc., 144A, 7.375%, 3/30/2021
|
500,000 | 538,750 | |||||||
Cumulus Media Holdings, Inc., 7.75%, 5/1/2019 (a)
|
50,000 | 52,688 | |||||||
Delphi Corp., 5.0%, 2/15/2023
|
70,000 | 75,250 | |||||||
DISH DBS Corp.:
|
|||||||||
4.25%, 4/1/2018
|
70,000 | 72,800 | |||||||
5.0%, 3/15/2023
|
715,000 | 728,406 | |||||||
7.875%, 9/1/2019
|
270,000 | 320,625 | |||||||
Getty Images, Inc., 144A, 7.0%, 10/15/2020 (a)
|
60,000 | 54,975 | |||||||
Harron Communications LP, 144A, 9.125%, 4/1/2020
|
45,000 | 50,175 | |||||||
Hot Topic, Inc., 144A, 9.25%, 6/15/2021
|
40,000 | 44,400 | |||||||
Isle of Capri Casinos, Inc., 5.875%, 3/15/2021
|
35,000 | 35,394 | |||||||
Jo-Ann Stores Holdings, Inc., 144A, 9.75%, 10/15/2019 (PIK)
|
40,000 | 40,900 | |||||||
Johnson Controls, Inc., 4.95%, 7/2/2064
|
100,000 | 101,301 | |||||||
Live Nation Entertainment, Inc., 144A, 7.0%, 9/1/2020
|
90,000 | 98,550 | |||||||
MDC Partners, Inc., 144A, 6.75%, 4/1/2020
|
40,000 | 42,200 | |||||||
Mediacom Broadband LLC, 6.375%, 4/1/2023
|
35,000 | 36,925 | |||||||
MGM Resorts International:
|
|||||||||
6.625%, 12/15/2021 (a)
|
250,000 | 278,125 | |||||||
6.75%, 10/1/2020
|
130,000 | 145,112 | |||||||
8.625%, 2/1/2019
|
240,000 | 285,900 | |||||||
Numericable Group SA:
|
|||||||||
144A, 6.0%, 5/15/2022
|
200,000 | 208,000 | |||||||
144A, 6.25%, 5/15/2024
|
350,000 | 365,312 | |||||||
Pinnacle Entertainment, Inc., 6.375%, 8/1/2021
|
70,000 | 73,850 | |||||||
Quebecor Media, Inc., 5.75%, 1/15/2023
|
50,000 | 51,375 | |||||||
RCI Banque SA, 144A, 3.5%, 4/3/2018
|
100,000 | 104,253 | |||||||
Schaeffler Finance BV, 144A, 7.75%, 2/15/2017
|
845,000 | 952,737 | |||||||
Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021
|
35,000 | 35,088 | |||||||
Serta Simmons Holdings LLC, 144A, 8.125%, 10/1/2020
|
55,000 | 59,675 | |||||||
Sirius XM Radio, Inc., 144A, 5.875%, 10/1/2020
|
60,000 | 63,450 | |||||||
Springs Industries, Inc., 6.25%, 6/1/2021
|
85,000 | 86,700 | |||||||
Starz LLC, 5.0%, 9/15/2019
|
40,000 | 41,650 | |||||||
Taylor Morrison Communities, Inc., 144A, 5.25%, 4/15/2021
|
65,000 | 65,975 | |||||||
The Men's Wearhouse, Inc., 144A, 7.0%, 7/1/2022 (a)
|
50,000 | 51,750 | |||||||
Time Warner Cable, Inc., 7.3%, 7/1/2038
|
45,000 | 60,535 | |||||||
Travelport LLC, 144A, 6.352%**, 3/1/2016
|
11,826 | 11,915 | |||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
Unitymedia Hessen GmbH
& Co., KG:
|
|||||||||
144A, 5.5%, 1/15/2023
|
200,000 | 207,000 | |||||||
144A, 7.5%, 3/15/2019
|
EUR
|
400,000 | 586,061 | ||||||
Unitymedia KabelBW GmbH, 144A, 9.625%, 12/1/2019
|
EUR
|
110,000 | 161,584 | ||||||
Viking Cruises Ltd., 144A, 8.5%, 10/15/2022
|
50,000 | 55,250 | |||||||
Weyerhaeuser Real Estate Co.:
|
|||||||||
144A, 4.375%, 6/15/2019
|
50,000 | 50,125 | |||||||
144A, 5.875%, 6/15/2024
|
20,000 | 20,575 | |||||||
10,109,498 | |||||||||
Consumer Staples 1.5%
|
|||||||||
Ajecorp BV, 144A, 6.5%, 5/14/2022
|
500,000 | 460,000 | |||||||
Big Heart Pet Brands, 7.625%, 2/15/2019
|
66,000 | 68,779 | |||||||
BRF SA, 144A, 5.875%, 6/6/2022
|
200,000 | 216,500 | |||||||
Chiquita Brands International, Inc., 7.875%, 2/1/2021
|
44,000 | 47,905 | |||||||
Controladora Mabe SA de CV, 144A, 7.875%, 10/28/2019
|
100,000 | 114,500 | |||||||
Cott Beverages, Inc., 144A, 5.375%, 7/1/2022
|
85,000 | 85,213 | |||||||
JBS Investments GmbH, 144A, 7.75%, 10/28/2020
|
250,000 | 267,500 | |||||||
JBS U.S.A. LLC:
|
|||||||||
144A, 7.25%, 6/1/2021
|
145,000 | 155,512 | |||||||
144A, 8.25%, 2/1/2020
|
370,000 | 401,450 | |||||||
Marfrig Overseas Ltd., 144A, 9.5%, 5/4/2020
|
100,000 | 107,500 | |||||||
Minerva Luxembourg SA, 144A, 12.25%, 2/10/2022
|
250,000 | 282,500 | |||||||
Pilgrim's Pride Corp., 7.875%, 12/15/2018
|
430,000 | 455,284 | |||||||
Post Holdings, Inc., 144A, 6.0%, 12/15/2022
|
50,000 | 51,000 | |||||||
Reynolds Group Issuer, Inc., 5.75%, 10/15/2020
|
1,145,000 | 1,207,975 | |||||||
Smithfield Foods, Inc., 6.625%, 8/15/2022
|
90,000 | 98,550 | |||||||
4,020,168 | |||||||||
Energy 4.5%
|
|||||||||
Access Midstream Partners LP, 6.125%, 7/15/2022
|
15,000 | 16,575 | |||||||
Afren PLC, 144A, 10.25%, 4/8/2019
|
340,000 | 385,475 | |||||||
Baytex Energy Corp.:
|
|||||||||
144A, 5.125%, 6/1/2021
|
35,000 | 35,219 | |||||||
144A, 5.625%, 6/1/2024
|
35,000 | 35,131 | |||||||
Berry Petroleum Co., LLC:
|
|||||||||
6.375%, 9/15/2022
|
50,000 | 53,250 | |||||||
6.75%, 11/1/2020
|
50,000 | 52,625 | |||||||
BreitBurn Energy Partners LP, 7.875%, 4/15/2022
|
350,000 | 378,875 | |||||||
Chaparral Energy, Inc., 7.625%, 11/15/2022
|
85,000 | 91,800 | |||||||
DCP Midstream LLC, 144A, 9.75%, 3/15/2019
|
200,000 | 257,873 | |||||||
Delek & Avner Tamar Bond Ltd., 144A, 3.839%, 12/30/2018
|
500,000 | 501,782 | |||||||
Ecopetrol SA, 5.875%, 5/28/2045
|
500,000 | 517,140 | |||||||
Endeavor Energy Resources LP, 144A, 7.0%, 8/15/2021
|
85,000 | 90,738 | |||||||
EP Energy LLC:
|
|||||||||
6.875%, 5/1/2019
|
15,000 | 15,956 | |||||||
7.75%, 9/1/2022
|
290,000 | 326,975 | |||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
EV Energy Partners LP, 8.0%, 4/15/2019
|
335,000 | 351,750 | |||||||
Halcon Resources Corp.:
|
|||||||||
8.875%, 5/15/2021
|
635,000 | 682,625 | |||||||
9.75%, 7/15/2020
|
65,000 | 70,931 | |||||||
Hilcorp Energy I LP, 144A, 5.0%, 12/1/2024 (e)
|
65,000 | 65,000 | |||||||
Holly Energy Partners LP, 6.5%, 3/1/2020
|
10,000 | 10,775 | |||||||
Kodiak Oil & Gas Corp., 5.5%, 1/15/2021
|
100,000 | 104,250 | |||||||
Linn Energy LLC, 6.25%, 11/1/2019
|
515,000 | 539,462 | |||||||
MEG Energy Corp., 144A, 7.0%, 3/31/2024
|
375,000 | 413,437 | |||||||
Memorial Resource Development Corp., 144A, 5.875%, 7/1/2022 (e)
|
65,000 | 65,488 | |||||||
Midstates Petroleum Co., Inc.:
|
|||||||||
9.25%, 6/1/2021 (a)
|
300,000 | 329,250 | |||||||
10.75%, 10/1/2020
|
150,000 | 170,250 | |||||||
Murphy Oil U.S.A., Inc., 6.0%, 8/15/2023
|
85,000 | 89,463 | |||||||
Northern Oil & Gas, Inc., 8.0%, 6/1/2020
|
140,000 | 149,450 | |||||||
Nostrum Oil & Gas Finance BV, 144A, 6.375%, 2/14/2019
|
200,000 | 209,000 | |||||||
Oasis Petroleum, Inc.:
|
|||||||||
6.5%, 11/1/2021
|
375,000 | 403,125 | |||||||
144A, 6.875%, 3/15/2022
|
115,000 | 125,350 | |||||||
6.875%, 1/15/2023
|
35,000 | 38,150 | |||||||
7.25%, 2/1/2019
|
60,000 | 63,600 | |||||||
Offshore Drilling Holding SA, 144A, 8.375%, 9/20/2020 (a)
|
200,000 | 221,500 | |||||||
Offshore Group Investment Ltd.:
|
|||||||||
7.125%, 4/1/2023
|
300,000 | 304,500 | |||||||
7.5%, 11/1/2019
|
140,000 | 148,050 | |||||||
Pacific Rubiales Energy Corp., 144A, 7.25%, 12/12/2021
|
500,000 | 555,000 | |||||||
Petrobras Global Finance BV, 6.25%, 3/17/2024
|
500,000 | 532,200 | |||||||
Petroleos de Venezuela SA, 144A, 9.0%, 11/17/2021
|
250,000 | 212,475 | |||||||
PT Pertamina Persero:
|
|||||||||
144A, 5.625%, 5/20/2043
|
200,000 | 179,500 | |||||||
144A, 6.45%, 5/30/2044
|
500,000 | 496,250 | |||||||
Reliance Holding U.S.A., Inc., 144A, 5.4%, 2/14/2022
|
250,000 | 269,940 | |||||||
Rowan Companies, Inc., 4.75%, 1/15/2024
|
100,000 | 105,803 | |||||||
Sabine Pass Liquefaction LLC:
|
|||||||||
5.625%, 2/1/2021
|
175,000 | 185,062 | |||||||
144A, 5.75%, 5/15/2024
|
200,000 | 208,500 | |||||||
SandRidge Energy, Inc, 8.125%, 10/15/2022
|
420,000 | 462,525 | |||||||
SandRidge Energy, Inc., 7.5%, 3/15/2021
|
240,000 | 260,100 | |||||||
SESI LLC, 7.125%, 12/15/2021
|
380,000 | 428,450 | |||||||
Seventy Seven Energy, Inc., 144A, 6.5%, 7/15/2022
|
15,000 | 15,375 | |||||||
Talisman Energy, Inc., 3.75%, 2/1/2021
|
120,000 | 124,058 | |||||||
Talos Production LLC, 144A, 9.75%, 2/15/2018
|
95,000 | 100,700 | |||||||
Transocean, Inc., 3.8%, 10/15/2022
|
370,000 | 366,198 | |||||||
Whiting Petroleum Corp., 5.0%, 3/15/2019
|
75,000 | 78,938 | |||||||
11,895,894 | |||||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
Financials 3.8%
|
|||||||||
AerCap Ireland Capital Ltd., 144A, 3.75%, 5/15/2019
|
80,000 | 80,600 | |||||||
Assured Guaranty U.S. Holdings, Inc., 5.0%, 7/1/2024
|
135,000 | 134,196 | |||||||
Banco de Bogota SA, 144A, 5.375%, 2/19/2023
|
500,000 | 517,500 | |||||||
Banco de Credito del Peru, 144A, 6.875%, 9/16/2026
|
100,000 | 111,750 | |||||||
Banco do Brasil SA, 144A, 9.0%, 12/31/2049
|
500,000 | 495,604 | |||||||
Banco Nacional de Costa Rica, 144A, 4.875%, 11/1/2018
|
500,000 | 512,500 | |||||||
Banco Santander Brasil SA, 144A, 8.0%, 3/18/2016
|
BRL
|
300,000 | 129,667 | ||||||
Barclays Bank PLC, 7.625%, 11/21/2022
|
250,000 | 285,375 | |||||||
BBVA Bancomer SA, 144A, 6.5%, 3/10/2021
|
500,000 | 563,750 | |||||||
CIT Group, Inc.:
|
|||||||||
5.0%, 5/15/2017
|
935,000 | 996,359 | |||||||
5.25%, 3/15/2018
|
10,000 | 10,738 | |||||||
Citigroup, Inc., 4.05%, 7/30/2022
|
145,000 | 148,552 | |||||||
Country Garden Holdings Co., Ltd., 144A, 7.25%, 4/4/2021
|
200,000 | 195,000 | |||||||
Development Bank of Kazakhstan JSC, Series 3, 6.5%, 6/3/2020
|
500,000 | 535,600 | |||||||
E*TRADE Financial Corp.:
|
|||||||||
6.375%, 11/15/2019
|
140,000 | 151,550 | |||||||
6.75%, 6/1/2016
|
745,000 | 808,325 | |||||||
Everest Reinsurance Holdings, Inc., 4.868%, 6/1/2044
|
305,000 | 305,866 | |||||||
Hospitality Properties Trust, (REIT), 5.0%, 8/15/2022
|
230,000 | 243,322 | |||||||
International Lease
Finance Corp.:
|
|||||||||
3.875%, 4/15/2018
|
100,000 | 102,500 | |||||||
6.25%, 5/15/2019
|
410,000 | 459,200 | |||||||
8.75%, 3/15/2017
|
40,000 | 46,500 | |||||||
Intesa Sanpaolo SpA:
|
|||||||||
3.875%, 1/16/2018
|
200,000 | 210,787 | |||||||
144A, 5.017%, 6/26/2024
|
235,000 | 237,777 | |||||||
Jefferies Group LLC, 5.125%, 1/20/2023
|
60,000 | 64,324 | |||||||
Macquarie Group Ltd., 144A, 6.0%, 1/14/2020
|
235,000 | 266,217 | |||||||
Morgan Stanley:
|
|||||||||
3.75%, 2/25/2023
|
125,000 | 127,160 | |||||||
4.1%, 5/22/2023
|
85,000 | 86,225 | |||||||
MPT Operating Partnership LP, (REIT), 6.375%, 2/15/2022
|
40,000 | 42,900 | |||||||
Navient Corp., 5.5%, 1/25/2023
|
125,000 | 123,906 | |||||||
Neuberger Berman Group LLC, 144A, 5.625%, 3/15/2020
|
10,000 | 10,575 | |||||||
Omega Healthcare Investors, Inc., (REIT), 144A, 4.95%, 4/1/2024
|
130,000 | 132,777 | |||||||
Popular, Inc., 7.0%, 7/1/2019 (e)
|
50,000 | 50,750 | |||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
Royal Bank of Scotland Group PLC, 6.1%, 6/10/2023
|
100,000 | 109,459 | |||||||
Schahin II Finance Co. SPV Ltd., 144A, 5.875%, 9/25/2022 (a)
|
185,733 | 182,947 | |||||||
Trust F/1401, (REIT), 144A, 5.25%, 12/15/2024
|
500,000 | 525,000 | |||||||
Turkiye Is Bankasi:
|
|||||||||
144A, 3.875%, 11/7/2017
|
250,000 | 250,725 | |||||||
144A, 6.0%, 10/24/2022
|
250,000 | 250,125 | |||||||
UniCredit SpA, 8.0%, 4/3/2049
|
200,000 | 213,000 | |||||||
Wells Fargo & Co., 5.375%, 11/2/2043
|
70,000 | 77,003 | |||||||
Woori Bank Co., Ltd., 144A, 4.75%, 4/30/2024
|
200,000 | 201,901 | |||||||
Yapi ve Kredi Bankasi AS, 144A, 5.25%, 12/3/2018
|
200,000 | 204,600 | |||||||
10,202,612 | |||||||||
Health Care 1.7%
|
|||||||||
Aviv Healthcare Properties LP, 7.75%, 2/15/2019
|
10,000 | 10,650 | |||||||
Biomet, Inc.:
|
|||||||||
6.5%, 8/1/2020
|
85,000 | 91,587 | |||||||
6.5%, 10/1/2020
|
25,000 | 26,688 | |||||||
Community Health Systems, Inc.:
|
|||||||||
5.125%, 8/15/2018
|
290,000 | 304,137 | |||||||
144A, 6.875%, 2/1/2022
|
620,000 | 657,200 | |||||||
7.125%, 7/15/2020
|
170,000 | 184,025 | |||||||
Endo Finance LLC, 144A, 5.375%, 1/15/2023
|
80,000 | 79,900 | |||||||
Fresenius Medical Care U.S. Finance II, Inc., 144A, 5.625%, 7/31/2019
|
10,000 | 10,900 | |||||||
Fresenius Medical Care U.S. Finance, Inc., 144A, 6.5%, 9/15/2018
|
10,000 | 11,300 | |||||||
HCA, Inc.:
|
|||||||||
6.5%, 2/15/2020
|
880,000 | 990,000 | |||||||
7.5%, 2/15/2022
|
725,000 | 836,469 | |||||||
Hologic, Inc., 6.25%, 8/1/2020
|
40,000 | 42,200 | |||||||
IMS Health, Inc., 144A, 6.0%, 11/1/2020
|
60,000 | 63,000 | |||||||
Mallinckrodt International Finance SA, 4.75%, 4/15/2023
|
110,000 | 106,975 | |||||||
Par Pharmaceutical Companies, Inc., 7.375%, 10/15/2020
|
90,000 | 96,750 | |||||||
Physio-Control International, Inc., 144A, 9.875%, 1/15/2019
|
14,000 | 15,470 | |||||||
Tenet Healthcare Corp., 6.25%, 11/1/2018
|
230,000 | 255,300 | |||||||
Valeant Pharmaceuticals International, Inc., 144A: 6.375%, 10/15/2020
|
90,000 | 95,625 | |||||||
7.5%, 7/15/2021
|
450,000 | 498,375 | |||||||
4,376,551 | |||||||||
Industrials 2.2%
|
|||||||||
ADT Corp.:
|
|||||||||
3.5%, 7/15/2022
|
50,000 | 45,500 | |||||||
6.25%, 10/15/2021 (a)
|
45,000 | 47,700 | |||||||
Alphabet Holding Co., Inc., 7.75%, 11/1/2017 (PIK)
|
50,000 | 51,625 | |||||||
Artesyn Escrow, Inc., 144A, 9.75%, 10/15/2020
|
70,000 | 68,775 | |||||||
BE Aerospace, Inc., 6.875%, 10/1/2020
|
185,000 | 200,956 | |||||||
Belden, Inc., 144A, 5.5%, 9/1/2022
|
85,000 | 87,975 | |||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
Bombardier, Inc., 144A, 5.75%, 3/15/2022
|
328,000 | 336,200 | |||||||
Cemex Finance LLC, 144A, 9.375%, 10/12/2022
|
200,000 | 235,250 | |||||||
DigitalGlobe, Inc., 5.25%, 2/1/2021
|
35,000 | 34,650 | |||||||
FTI Consulting, Inc., 6.0%, 11/15/2022
|
50,000 | 51,438 | |||||||
Gates Global LLC, 144A, 6.0%, 7/15/2022
|
65,000 | 65,000 | |||||||
GenCorp, Inc., 7.125%, 3/15/2021
|
120,000 | 131,100 | |||||||
Grupo KUO SAB de CV, 144A, 6.25%, 12/4/2022
|
400,000 | 419,000 | |||||||
Huntington Ingalls Industries, Inc., 6.875%, 3/15/2018
|
560,000 | 592,200 | |||||||
KazAgro National Management Holding JSC, 144A, 4.625%, 5/24/2023
|
500,000 | 483,700 | |||||||
Kenan Advantage Group, Inc., 144A, 8.375%, 12/15/2018
|
100,000 | 107,000 | |||||||
Meritor, Inc., 6.75%, 6/15/2021
|
55,000 | 59,158 | |||||||
Navios Maritime Holdings, Inc., 144A, 7.375%, 1/15/2022
|
450,000 | 463,500 | |||||||
Nortek, Inc., 8.5%, 4/15/2021
|
155,000 | 171,275 | |||||||
Odebrecht Offshore Drilling Finance Ltd., 144A, 6.75%, 10/1/2022
|
192,840 | 206,435 | |||||||
Titan International, Inc., 6.875%, 10/1/2020
|
170,000 | 172,550 | |||||||
TransDigm, Inc.:
|
|||||||||
144A, 6.0%, 7/15/2022
|
210,000 | 215,775 | |||||||
7.5%, 7/15/2021
|
150,000 | 166,125 | |||||||
United Rentals North America, Inc.:
|
|||||||||
6.125%, 6/15/2023
|
10,000 | 10,725 | |||||||
7.375%, 5/15/2020
|
25,000 | 27,625 | |||||||
7.625%, 4/15/2022
|
620,000 | 695,950 | |||||||
Votorantim Cimentos SA, 144A, 7.25%, 4/5/2041
|
500,000 | 528,125 | |||||||
Watco Companies LLC, 144A, 6.375%, 4/1/2023
|
40,000 | 40,800 | |||||||
5,716,112 | |||||||||
Information Technology 1.2%
|
|||||||||
ACI Worldwide, Inc., 144A, 6.375%, 8/15/2020
|
30,000 | 31,575 | |||||||
Activision Blizzard, Inc., 144A, 5.625%, 9/15/2021
|
330,000 | 355,575 | |||||||
Alliance Data Systems Corp., 144A, 5.25%, 12/1/2017
|
60,000 | 62,700 | |||||||
Audatex North America, Inc., 144A, 6.0%, 6/15/2021
|
15,000 | 16,013 | |||||||
BMC Software Finance, Inc., 144A, 8.125%, 7/15/2021
|
100,000 | 102,875 | |||||||
CDW LLC, 8.5%, 4/1/2019
|
610,000 | 660,325 | |||||||
CyrusOne LP, 6.375%, 11/15/2022
|
25,000 | 26,938 | |||||||
EarthLink Holdings Corp., 7.375%, 6/1/2020
|
70,000 | 74,637 | |||||||
Equinix, Inc., 5.375%, 4/1/2023
|
175,000 | 178,937 | |||||||
First Data Corp.:
|
|||||||||
144A, 6.75%, 11/1/2020
|
237,000 | 256,552 | |||||||
144A, 7.375%, 6/15/2019
|
725,000 | 778,469 | |||||||
Hughes Satellite Systems Corp.:
|
|||||||||
6.5%, 6/15/2019
|
60,000 | 66,900 | |||||||
7.625%, 6/15/2021
|
190,000 | 217,550 | |||||||
NXP BV, 144A, 3.75%, 6/1/2018
|
90,000 | 90,225 | |||||||
Tencent Holdings Ltd., 144A, 3.375%, 5/2/2019
|
200,000 | 204,474 | |||||||
3,123,745 | |||||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
Materials 2.6%
|
|||||||||
ALROSA Finance SA, 144A, 7.75%, 11/3/2020
|
700,000 | 777,411 | |||||||
Anglo American Capital PLC:
|
|||||||||
144A, 4.125%, 4/15/2021
|
200,000 | 204,718 | |||||||
144A, 4.125%, 9/27/2022 (a)
|
250,000 | 251,881 | |||||||
Berry Plastics Corp., 5.5%, 5/15/2022
|
320,000 | 321,800 | |||||||
BOE Intermediate Holding Corp., 144A, 9.0%, 11/1/2017 (PIK)
|
87,717 | 91,993 | |||||||
BOE Merger Corp., 144A, 9.5%, 11/1/2017 (PIK)
|
100,000 | 105,375 | |||||||
Braskem Finance Ltd., 6.45%, 2/3/2024
|
200,000 | 213,750 | |||||||
Cascades, Inc., 144A, 5.5%, 7/15/2022
|
50,000 | 49,875 | |||||||
Cliffs Natural Resources, Inc., 3.95%, 1/15/2018 (a)
|
235,000 | 238,132 | |||||||
First Quantum Minerals Ltd.:
|
|||||||||
144A, 6.75%, 2/15/2020
|
259,000 | 266,770 | |||||||
144A, 7.0%, 2/15/2021
|
129,000 | 132,709 | |||||||
FMG Resources (August 2006) Pty Ltd., 144A, 6.0%, 4/1/2017 (a)
|
195,000 | 201,338 | |||||||
Fresnillo PLC, 144A, 5.5%, 11/13/2023
|
500,000 | 522,500 | |||||||
Glencore Funding LLC, 144A, 4.125%, 5/30/2023
|
50,000 | 50,217 | |||||||
GTL Trade Finance, Inc., 144A, 5.893%, 4/29/2024 (a)
|
600,000 | 629,400 | |||||||
Hexion U.S. Finance Corp.:
|
|||||||||
6.625%, 4/15/2020
|
385,000 | 408,100 | |||||||
8.875%, 2/1/2018 (a)
|
90,000 | 93,600 | |||||||
IAMGOLD Corp., 144A, 6.75%, 10/1/2020
|
75,000 | 69,375 | |||||||
Kaiser Aluminum Corp., 8.25%, 6/1/2020
|
40,000 | 45,000 | |||||||
Metalloinvest Finance Ltd., 144A, 5.625%, 4/17/2020
|
200,000 | 194,000 | |||||||
Novelis, Inc., 8.75%, 12/15/2020
|
955,000 | 1,060,050 | |||||||
Plastipak Holdings, Inc., 144A, 6.5%, 10/1/2021
|
70,000 | 73,850 | |||||||
Polymer Group, Inc., 7.75%, 2/1/2019
|
229,000 | 243,312 | |||||||
Samarco Mineracao SA, 144A, 5.75%, 10/24/2023
|
200,000 | 209,940 | |||||||
Sealed Air Corp.:
|
|||||||||
144A, 8.125%, 9/15/2019
|
10,000 | 11,013 | |||||||
144A, 8.375%, 9/15/2021
|
10,000 | 11,450 | |||||||
Tronox Finance LLC, 6.375%, 8/15/2020
|
55,000 | 56,788 | |||||||
Turkiye Sise ve Cam Fabrikalari AS, 144A, 4.25%, 5/9/2020
|
200,000 | 193,000 | |||||||
Yamana Gold, Inc., 144A, 4.95%, 7/15/2024
|
250,000 | 251,644 | |||||||
6,978,991 | |||||||||
Telecommunication Services 4.5%
|
|||||||||
Bharti Airtel International Netherlands BV, 144A, 5.35%, 5/20/2024
|
500,000 | 518,775 | |||||||
CC Holdings GS V LLC, 3.849%, 4/15/2023
|
120,000 | 120,466 | |||||||
CenturyLink, Inc., Series V, 5.625%, 4/1/2020
|
25,000 | 26,375 | |||||||
Cincinnati Bell, Inc.:
|
|||||||||
8.375%, 10/15/2020
|
775,000 | 849,594 | |||||||
8.75%, 3/15/2018
|
430,000 | 450,962 | |||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
Colombia Telecomunicaciones SA ESP, 144A, 5.375%, 9/27/2022
|
200,000 | 199,700 | |||||||
Digicel Group Ltd.:
|
|||||||||
144A, 7.125%, 4/1/2022
|
250,000 | 260,625 | |||||||
144A, 8.25%, 9/30/2020
|
200,000 | 218,000 | |||||||
Digicel Ltd., 144A, 8.25%, 9/1/2017
|
750,000 | 771,600 | |||||||
Frontier Communications Corp.:
|
|||||||||
7.125%, 1/15/2023
|
390,000 | 413,400 | |||||||
8.5%, 4/15/2020
|
290,000 | 342,200 | |||||||
Intelsat Jackson Holdings SA:
|
|||||||||
5.5%, 8/1/2023
|
265,000 | 263,675 | |||||||
7.25%, 10/15/2020
|
690,000 | 743,475 | |||||||
7.5%, 4/1/2021
|
340,000 | 372,300 | |||||||
Intelsat Luxembourg SA:
|
|||||||||
7.75%, 6/1/2021
|
165,000 | 174,694 | |||||||
8.125%, 6/1/2023
|
25,000 | 27,031 | |||||||
Level 3 Communications, Inc., 8.875%, 6/1/2019
|
205,000 | 224,219 | |||||||
Level 3 Financing, Inc.:
|
|||||||||
144A, 6.125%, 1/15/2021
|
100,000 | 107,125 | |||||||
7.0%, 6/1/2020
|
185,000 | 202,112 | |||||||
8.625%, 7/15/2020
|
450,000 | 504,000 | |||||||
MetroPCS Wireless, Inc., 6.625%, 11/15/2020
|
655,000 | 699,212 | |||||||
Millicom International Cellular SA, 144A, 4.75%, 5/22/2020
|
200,000 | 200,000 | |||||||
Oi SA, 144A, 5.75%, 2/10/2022
|
200,000 | 199,600 | |||||||
SBA Communications Corp., 5.625%, 10/1/2019
|
50,000 | 52,938 | |||||||
Sprint Communications, Inc.:
|
|||||||||
6.0%, 11/15/2022
|
85,000 | 86,700 | |||||||
144A, 7.0%, 3/1/2020
|
85,000 | 97,750 | |||||||
144A, 9.0%, 11/15/2018
|
420,000 | 509,250 | |||||||
9.125%, 3/1/2017
|
15,000 | 17,569 | |||||||
Sprint Corp., 144A, 7.125%, 6/15/2024
|
175,000 | 185,500 | |||||||
T-Mobile U.S.A., Inc., 6.625%, 4/1/2023 (a)
|
70,000 | 75,950 | |||||||
tw telecom holdings, Inc.:
|
|||||||||
5.375%, 10/1/2022
|
90,000 | 98,437 | |||||||
6.375%, 9/1/2023
|
70,000 | 79,625 | |||||||
UPCB Finance III Ltd., 144A, 6.625%, 7/1/2020
|
370,000 | 394,050 | |||||||
UPCB Finance V Ltd., 144A, 7.25%, 11/15/2021
|
280,000 | 308,000 | |||||||
Verizon Communications, Inc., 6.55%, 9/15/2043
|
225,000 | 283,149 | |||||||
VimpelCom Holdings BV, 144A, 7.504%, 3/1/2022
|
200,000 | 215,750 | |||||||
Wind Acquisition Finance SA, 144A, 6.5%, 4/30/2020
|
50,000 | 54,188 | |||||||
Windstream Corp.:
|
|||||||||
6.375%, 8/1/2023
|
60,000 | 60,825 | |||||||
7.5%, 4/1/2023
|
20,000 | 21,650 | |||||||
7.75%, 10/15/2020
|
1,075,000 | 1,165,031 | |||||||
7.75%, 10/1/2021
|
185,000 | 202,113 | |||||||
7.875%, 11/1/2017
|
130,000 | 149,663 | |||||||
11,947,278 | |||||||||
Utilities 0.8%
|
|||||||||
AES Corp.:
|
|||||||||
8.0%, 10/15/2017
|
6,000 | 6,990 | |||||||
8.0%, 6/1/2020
|
30,000 | 36,075 | |||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
Calpine Corp.:
|
|||||||||
144A, 7.5%, 2/15/2021
|
676,000 | 733,460 | |||||||
144A, 7.875%, 7/31/2020
|
36,000 | 39,060 | |||||||
Electricite de France SA, 144A, 5.25%, 1/29/2049
|
100,000 | 102,013 | |||||||
Empresa de Energia de Bogota SA ESP, 144A, 6.125%, 11/10/2021
|
500,000 | 546,250 | |||||||
FirstEnergy Transmission LLC, 144A, 4.35%, 1/15/2025
|
140,000 | 141,445 | |||||||
NGL Energy Partners LP, 144A, 5.125%, 7/15/2019 (e)
|
65,000 | 65,162 | |||||||
NRG Energy, Inc., 144A, 6.25%, 5/1/2024
|
360,000 | 376,200 | |||||||
2,046,655 | |||||||||
Total Corporate Bonds (Cost $68,241,756)
|
70,417,504 | ||||||||
Asset-Backed 0.7%
|
|||||||||
Automobile Receivables 0.2%
|
|||||||||
AmeriCredit Automobile Receivables Trust, "E", Series 2011-2, 144A, 5.48%, 9/10/2018
|
528,181 | 549,501 | |||||||
Miscellaneous 0.5%
|
|||||||||
ARES CLO Ltd., "D", Series 2012-3A, 144A, 4.876%**, 1/17/2024
|
250,000 | 250,544 | |||||||
Hilton Grand Vacations Trust, "B", Series 2014-AA, 144A, 2.07%, 11/25/2026
|
500,000 | 499,972 | |||||||
VOLT XXIV LLC, "A1", Series 2014-NPL3, 144A, 3.25%, 11/25/2053
|
486,786 | 487,965 | |||||||
1,238,481 | |||||||||
Total Asset-Backed (Cost $1,784,644)
|
1,787,982 | ||||||||
Mortgage-Backed Securities Pass-Throughs 0.0%
|
|||||||||
Federal Home Loan Mortgage Corp., 6.0%, 3/1/2038
|
9,489 | 10,655 | |||||||
Federal National Mortgage Association:
|
|||||||||
4.5%, 9/1/2035
|
26,078 | 28,405 | |||||||
6.0%, 1/1/2024
|
31,609 | 35,692 | |||||||
6.5%, with various maturities from 5/1/2017 until 1/1/2038
|
6,338 | 6,781 | |||||||
Total Mortgage-Backed Securities Pass-Throughs (Cost $73,321)
|
81,533 | ||||||||
Commercial Mortgage-Backed Securities 0.5%
|
|||||||||
Del Coronado Trust, "M", Series 2013-HDMZ, 144A, 5.152%**, 3/15/2018
|
120,000 | 120,756 | |||||||
JPMorgan Chase Commercial
Mortgage Securities Corp.:
|
|||||||||
"C", Series 2012-HSBC, 144A, 4.021%, 7/5/2032
|
380,000 | 395,419 | |||||||
"A4", Series 2007-C1, 5.716%, 2/15/2051
|
225,000 | 247,762 | |||||||
LB-UBS Commercial Mortgage Trust, "A4", Series 2007-C6, 5.858%, 7/15/2040
|
245,347 | 262,888 | |||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
Prudential Commercial Mortgage Trust, "F", Series 2003-PWR1, 144A, 5.233%**, 2/11/2036
|
400,000 | 400,625 | |||||||
Total Commercial Mortgage-Backed Securities (Cost $1,409,937)
|
1,427,450 | ||||||||
Collateralized Mortgage Obligations 1.3%
|
|||||||||
Federal Home Loan Mortgage Corp.:
|
|||||||||
"HI", Series 3979, Interest Only, 3.0%, 12/15/2026
|
661,874 | 72,410 | |||||||
"IK", Series 4048, Interest Only, 3.0%, 5/15/2027
|
748,877 | 96,737 | |||||||
"ZB", Series 4183, 3.0%, 3/15/2043
|
1,036,155 | 879,664 | |||||||
"ZG", Series 4213, 3.5%, 6/15/2043
|
108,429 | 108,521 | |||||||
"LI", Series 3720, Interest Only, 4.5%, 9/15/2025
|
1,289,697 | 188,851 | |||||||
"PI", Series 3843, Interest Only, 4.5%, 5/15/2038
|
680,938 | 86,773 | |||||||
"H", Series 2278, 6.5%, 1/15/2031
|
141 | 157 | |||||||
Federal National Mortgage Association:
|
|||||||||
"WO", Series 2013-27, Principal Only, Zero Coupon, 12/25/2042
|
220,000 | 98,314 | |||||||
"I", Series 2003-84, Interest Only, 6.0%, 9/25/2033
|
232,817 | 45,518 | |||||||
"PI", Series 2006-20, Interest Only, 6.528%***, 11/25/2030
|
419,504 | 72,558 | |||||||
Government National Mortgage
Association:
|
|||||||||
"ZJ", Series 2013-106, 3.5%, 7/20/2043
|
141,571 | 137,858 | |||||||
"QI", Series 2011-112, Interest Only, 4.0%, 5/16/2026
|
769,490 | 79,721 | |||||||
"NI", Series 2011-80, Interest Only, 4.5%, 5/16/2038
|
1,067,046 | 86,681 | |||||||
"BI", Series 2010-30, Interest Only, 4.5%, 7/20/2039
|
130,268 | 19,364 | |||||||
"ND", Series 2010-130, 4.5%, 8/16/2039
|
600,000 | 648,150 | |||||||
"MI", Series 2009-76, Interest Only, 5.0%, 3/20/2035
|
18,207 | 22 | |||||||
"IQ", Series 2011-18, Interest Only, 5.5%, 1/16/2039
|
327,800 | 37,930 | |||||||
"IV", Series 2009-69, Interest Only, 5.5%, 8/20/2039
|
571,474 | 100,549 | |||||||
"IN", Series 2009-69, Interest Only, 5.5%, 8/20/2039
|
575,580 | 96,899 | |||||||
"IJ", Series 2009-75, Interest Only, 6.0%, 8/16/2039
|
422,168 | 77,582 | |||||||
"AI", Series 2007-38, Interest Only, 6.308%***, 6/16/2037
|
98,515 | 15,023 | |||||||
Residential Funding Mortgage Securities I, Inc., "M1", Series 2003-S17, 5.5%, 9/25/2033
|
474,675 | 404,870 | |||||||
Total Collateralized Mortgage Obligations (Cost $3,184,283)
|
3,354,152 | ||||||||
Government & Agency Obligations 6.8%
|
|||||||||
Other Government Related (f) 1.2%
|
|||||||||
Banco de Costa Rica, 144A, 5.25%, 8/12/2018
|
200,000 | 205,000 | |||||||
Bank of Moscow, 144A, 6.699%, 3/11/2015
|
250,000 | 257,027 | |||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
MMC Norilsk Nickel OJSC, 144A, 5.55%, 10/28/2020
|
200,000 | 201,000 | |||||||
Queensland Treasury Corp., Series 33, 6.5%, 3/14/2033
|
AUD
|
1,225,000 | 1,447,504 | ||||||
Sberbank of Russia, 144A, 5.25%, 5/23/2023
|
500,000 | 468,750 | |||||||
TMK OAO, 144A, 6.75%, 4/3/2020
|
450,000 | 438,750 | |||||||
VTB Bank OJSC, 144A, 6.0%, 4/12/2017 (a)
|
250,000 | 263,500 | |||||||
3,281,531 | |||||||||
Sovereign Bonds 2.4%
|
|||||||||
Government of France, 0.7%, 7/25/2030
|
EUR
|
1,119,099 | 1,554,143 | ||||||
Kingdom of Morocco, 144A, 4.25%, 12/11/2022
|
250,000 | 250,312 | |||||||
Perusahaan Penerbit SBSN, 144A, 6.125%, 3/15/2019
|
500,000 | 555,625 | |||||||
Province of New Brunswick Canada, 3.55%, 6/3/2043
|
CAD
|
900,000 | 806,926 | ||||||
Republic of Belarus, REG S, 8.75%, 8/3/2015
|
100,000 | 102,880 | |||||||
Republic of Croatia, 144A, 6.75%, 11/5/2019
|
500,000 | 560,625 | |||||||
Republic of El Salvador, 144A, 7.65%, 6/15/2035
|
200,000 | 216,300 | |||||||
Republic of Ghana, 144A, 8.5%, 10/4/2017
|
200,000 | 210,000 | |||||||
Republic of Hungary, 4.125%, 2/19/2018
|
50,000 | 52,125 | |||||||
Republic of Romania, 4.875%, 11/7/2019
|
EUR
|
100,000 | 155,203 | ||||||
Republic of Singapore, 3.375%, 9/1/2033
|
SGD
|
1,575,000 | 1,333,425 | ||||||
Republic of South Africa:
|
|||||||||
5.875%, 9/16/2025
|
250,000 | 277,875 | |||||||
Series R204, 8.0%, 12/21/2018
|
ZAR
|
800,000 | 76,440 | ||||||
Republic of Sri Lanka, 144A, 5.125%, 4/11/2019
|
200,000 | 203,250 | |||||||
6,355,129 | |||||||||
U.S. Government Sponsored Agency 0.4%
|
|||||||||
Federal National Mortgage Association, 3.0%, 11/15/2027
|
1,000,000 | 928,596 | |||||||
U.S. Treasury Obligations 2.8%
|
|||||||||
U.S. Treasury Bills:
|
|||||||||
0.015%****, 8/14/2014 (g)
|
658,000 | 657,982 | |||||||
0.03%****, 12/11/2014 (g)
|
85,000 | 84,981 | |||||||
0.055%****, 12/11/2014 (g)
|
156,000 | 155,965 | |||||||
0.065%****, 8/14/2014 (g)
|
355,000 | 354,990 | |||||||
0.07%****, 8/14/2014 (g)
|
314,000 | 313,992 | |||||||
U.S. Treasury Bond, 5.375%, 2/15/2031
|
1,071,000 | 1,406,190 | |||||||
U.S. Treasury Notes:
|
|||||||||
1.0%, 8/31/2016 (h)
|
3,000,000 | 3,030,936 | |||||||
1.0%, 9/30/2016
|
1,200,000 | 1,211,626 | |||||||
1.5%, 5/31/2019
|
102,000 | 101,490 | |||||||
2.5%, 5/15/2024
|
233,000 | 232,672 | |||||||
7,550,824 | |||||||||
Total Government & Agency Obligations (Cost $17,838,512)
|
18,116,080 | ||||||||
Principal Amount ($)(d)
|
Value ($)
|
||||||||
Municipal Bonds and Notes 0.1%
|
|||||||||
Kentucky, Asset/Liability Commission, General Fund Revenue, 3.165%, 4/1/2018 (Cost $323,760)
|
323,761 | 336,242 | |||||||
Convertible Bond 0.2%
|
|||||||||
Materials
|
|||||||||
GEO Specialty Chemicals, Inc., 7.5%, 3/31/2015 (PIK) (Cost $207,614)
|
209,283 | 421,391 | |||||||
Preferred Security 0.0%
|
|||||||||
Materials
|
|||||||||
Hercules, Inc., 6.5%, 6/30/2029 (Cost $20,415)
|
40,000 | 36,200 |
Shares
|
Value ($)
|
|||||||
Securities Lending Collateral 3.0%
|
||||||||
Daily Assets Fund Institutional, 0.08% (i) (j) (Cost $7,981,988)
|
7,981,988 | 7,981,988 | ||||||
Cash Equivalents 8.2%
|
||||||||
Central Cash Management Fund, 0.06% (i) (Cost $21,611,026)
|
21,611,026 | 21,611,026 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $252,467,727)†
|
102.6 | 271,922,631 | ||||||
Other Assets and Liabilities, Net
|
(2.6 | ) | (6,846,113 | ) | ||||
Net Assets
|
100.0 | 265,076,518 |
Schedule of Restricted Securities
|
Acquisition Date
|
Cost ($)
|
Value ($)
|
Value as % of Net Assets
|
|||||||||
Dawn Holdings, Inc.*
|
August 2013
|
2,342 | 1,940 | 0.00 |
Futures
|
Currency
|
Expiration Date
|
Contracts
|
Notional Value ($)
|
Unrealized Appreciation ($)
|
|||||||||
10 Year U.S. Treasury Note
|
USD
|
9/19/2014
|
183 | 22,906,453 | 78,200 | |||||||||
5 Year U.S. Treasury Note
|
USD
|
9/30/2014
|
66 | 7,884,422 | 46,161 | |||||||||
U.S. Treasury Long Bond
|
USD
|
9/19/2014
|
14 | 1,920,625 | 9,993 | |||||||||
Total unrealized appreciation
|
134,354 |
Futures
|
Currency
|
Expiration Date
|
Contracts
|
Notional Value ($)
|
Unrealized Depreciation ($)
|
|||||||||
10 Year Canadian Government Bond
|
CAD
|
9/19/2014
|
27 | 3,440,757 | (36,564 | ) | ||||||||
Euro-BTP Italian Government Bond
|
EUR
|
9/8/2014
|
13 | 2,246,118 | (40,254 | ) | ||||||||
Euro-OAT French Government Bond
|
EUR
|
9/8/2014
|
24 | 4,618,266 | (67,697 | ) | ||||||||
U.S. Treasury Long Bond
|
USD
|
9/19/2014
|
8 | 1,097,500 | (1,263 | ) | ||||||||
Ultra Long U.S. Treasury Bond
|
USD
|
9/19/2014
|
13 | 1,949,188 | (24,942 | ) | ||||||||
Total unrealized depreciation
|
(170,720 | ) |
Options on Interest Rate Swap Contracts
|
Swap Effective/
Expiration Date
|
Contract
Amount
|
Option Expiration Date
|
Premiums Received ($)
|
Value ($) (k)
|
|||||||||
Call Options
Receive Fixed — 4.48% – Pay Floating — LIBOR
|
5/11/2016
5/11/2026
|
2,100,000 | 1 |
5/5/2016
|
23,572 | (18,120 | ) | |||||||
Receive Fixed — 5.132% – Pay Floating — LIBOR
|
3/17/2016
3/17/2026
|
2,100,000 | 1 |
3/15/2016
|
15,173 | (5,543 | ) | |||||||
Receive Fixed — 5.132% – Pay Floating — LIBOR
|
3/17/2016
3/17/2026
|
2,100,000 | 2 |
3/15/2016
|
24,780 | (5,543 | ) | |||||||
Total Call Options
|
63,525 | (29,206 | ) | |||||||||||
Put Options
Pay Fixed — 1.132% – Receive Floating — LIBOR
|
3/17/2016
3/17/2026
|
2,100,000 | 1 |
3/15/2016
|
15,172 | (591 | ) | |||||||
Pay Fixed — 1.132% – Receive Floating — LIBOR
|
3/17/2016
3/17/2026
|
2,100,000 | 2 |
3/15/2016
|
5,355 | (591 | ) | |||||||
Pay Fixed — 2.48% – Receive Floating — LIBOR
|
5/11/2016
5/11/2026
|
2,100,000 | 1 |
5/5/2016
|
23,573 | (22,027 | ) | |||||||
Pay Fixed — 2.796% – Receive Floating — LIBOR
|
6/5/2015
6/5/2045
|
1,900,000 | 2 |
6/3/2015
|
20,330 | (16,260 | ) | |||||||
Pay Fixed — 3.005% – Receive Floating — LIBOR
|
3/6/2015
3/6/2045
|
1,900,000 | 1 |
3/4/2015
|
19,950 | (21,925 | ) | |||||||
Pay Fixed — 3.033% – Receive Floating — LIBOR
|
10/24/2014
10/24/2044
|
4,900,000 | 3 |
10/22/2014
|
62,230 | (27,586 | ) | |||||||
Pay Fixed — 3.035% – Receive Floating — LIBOR
|
2/15/2015
2/3/2045
|
1,900,000 | 2 |
1/30/2015
|
23,465 | (21,675 | ) | |||||||
Pay Fixed — 3.088% – Receive Floating — LIBOR
|
1/28/2015
1/28/2045
|
2,100,000 | 4 |
1/26/2015
|
21,184 | (27,677 | ) | |||||||
Pay Fixed — 3.093% – Receive Floating — LIBOR
|
10/21/2014
10/21/2044
|
4,900,000 | 2 |
10/17/2014
|
67,620 | (36,419 | ) | |||||||
Total Put Options
|
258,879 | (174,751 | ) | |||||||||||
Total
|
322,404 | (203,957 | ) |
Bilateral Swaps
|
|||||||||||||||||||||
Effective/
Expiration Dates
|
Notional Amount ($) (l)
|
Fixed Cash Flows Received
|
Underlying Debt Obligation/
Quality Rating (m)
|
Value ($)
|
Upfront Payments Paid/
(Received) ($)
|
Unrealized Appreciation ($)
|
|||||||||||||||
9/20/2012
12/20/2017
|
125,000 | 5 | 5.0 | % |
General Motors Corp.,
3.3%, 12/20/2017, BB+
|
17,876 | 6,453 | 11,423 |
Centrally Cleared Swaps
|
||||||||||||||
Effective/
Expiration Dates
|
Notional Amount ($)
|
Cash Flows Paid
by the Fund
|
Cash Flows Received
by the Fund
|
Value ($)
|
Unrealized Appreciation/
(Depreciation) ($)
|
|||||||||
12/30/2014
12/30/2019
|
100,000 |
Floating — LIBOR
|
Fixed — 2.522%
|
2,536 | 2,622 | |||||||||
12/30/2014
12/30/2016
|
2,100,000 |
Floating — LIBOR
|
Fixed — 1.173%
|
10,784 | 11,063 | |||||||||
12/30/2014
12/30/2024
|
3,800,000 |
Fixed — 3.524%
|
Floating —- LIBOR
|
(243,556 | ) | (243,182 | ) | |||||||
12/30/2014
12/30/2044
|
300,000 |
Floating —- LIBOR
|
Fixed — 4.081%
|
39,959 | 40,331 | |||||||||
5/11/2015
5/11/2045
|
2,100,000 |
Fixed — 3.56%
|
Floating —- LIBOR
|
(44,167 | ) | (42,977 | ) | |||||||
6/3/2013
6/3/2025
|
2,100,000 |
Fixed — 3.0%
|
Floating —- LIBOR
|
(63,185 | ) | (60,121 | ) | |||||||
Total net unrealized depreciation
|
(292,264 | ) |
Bilateral Swap
|
||||||||||||||||||
Effective/
Expiration Dates
|
Notional Amount ($)
|
Cash Flows Paid
by the Fund
|
Cash Flows Received
by the Fund
|
Value ($)
|
Upfront Payment Paid/(Received) ($)
|
Unrealized Depreciation ($)
|
||||||||||||
6/3/2013
6/3/2025
|
2,100,000 | 1 |
Floating — LIBOR
|
Fixed — 3.0%
|
(12,686 | ) | — | (12,686 | ) |
Contracts to Deliver
|
In Exchange For
|
Settlement Date
|
Unrealized Appreciation ($)
|
Counterparty
|
|||||||||||
USD
|
3,541,624 |
EUR
|
2,600,000 |
7/21/2014
|
18,812 |
Australia & New Zealand Banking Group Ltd.
|
|||||||||
USD
|
1,004,953 |
CAD
|
1,096,000 |
7/23/2014
|
21,655 |
Canadian Imperial Bank of Commerce
|
|||||||||
USD
|
3,452,838 |
JPY
|
350,000,000 |
8/4/2014
|
2,925 |
Macquarie Bank Ltd.
|
|||||||||
USD
|
403,942 |
MXN
|
5,300,000 |
8/18/2014
|
3,265 |
Commonwealth Bank of Australia
|
|||||||||
USD
|
864,732 |
ZAR
|
9,400,000 |
8/18/2014
|
12,300 |
Commonwealth Bank of Australia
|
|||||||||
ZAR
|
9,400,000 |
USD
|
877,527 |
8/18/2014
|
495 |
Commonwealth Bank of Australia
|
|||||||||
ZAR
|
810,000 |
USD
|
75,969 |
8/18/2014
|
395 |
Nomura International PLC
|
|||||||||
RUB
|
19,550,000 |
USD
|
567,746 |
9/30/2014
|
4,100 |
Societe Generale
|
|||||||||
Total unrealized appreciation
|
63,947 |
Contracts to Deliver
|
In Exchange For
|
Settlement Date
|
Unrealized Depreciation ($)
|
Counterparty
|
|||||||||||
USD
|
2,929,527 |
NOK
|
17,700,000 |
7/21/2014
|
(45,918 | ) |
Societe Generale
|
||||||||
USD
|
1,158,691 |
NOK
|
7,000,000 |
7/21/2014
|
(18,280 | ) |
Citigroup. Inc.
|
||||||||
USD
|
4,024,310 |
NZD
|
4,600,000 |
7/21/2014
|
(3,727 | ) |
Citigroup. Inc.
|
||||||||
NZD
|
3,300,000 |
USD
|
2,862,011 |
7/21/2014
|
(22,320 | ) |
Australia & New Zealand Banking Group Ltd.
|
||||||||
NOK
|
12,300,000 |
USD
|
2,002,002 |
7/21/2014
|
(1,863 | ) |
Barclays Bank PLC
|
||||||||
NOK
|
12,300,000 |
USD
|
2,002,173 |
7/21/2014
|
(1,692 | ) |
Societe Generale
|
||||||||
NZD
|
1,300,000 |
USD
|
1,128,615 |
7/21/2014
|
(7,637 | ) |
Citigroup. Inc.
|
||||||||
SGD
|
2,334,490 |
USD
|
1,868,096 |
7/23/2014
|
(4,149 | ) |
Commonwealth Bank of Australia
|
||||||||
AUD
|
1,411,800 |
USD
|
1,312,673 |
7/23/2014
|
(16,584 | ) |
Nomura International PLC
|
||||||||
CAD
|
852,544 |
USD
|
773,795 |
7/23/2014
|
(24,771 | ) |
Barclays Bank PLC
|
||||||||
EUR
|
1,121,400 |
USD
|
1,521,999 |
7/23/2014
|
(13,656 | ) |
Australia & New Zealand Banking Group Ltd.
|
||||||||
EUR
|
548,000 |
USD
|
743,611 |
7/25/2014
|
(6,831 | ) |
JPMorgan Chase Securities, Inc.
|
||||||||
Total unrealized depreciation
|
(167,428 | ) |
Currency Abbreviations
|
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
EUR Euro
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
RUB Russian Ruble
SGD Singapore Dollar
USD United States Dollar
ZAR South African Rand
|
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Common Stocks
|
||||||||||||||||
Consumer Discretionary
|
$ | 8,928,966 | $ | 5,328,913 | $ | 1,940 | $ | 14,259,819 | ||||||||
Consumer Staples
|
8,134,413 | 4,370,591 | — | 12,505,004 | ||||||||||||
Energy
|
8,053,237 | 5,317,364 | — | 13,370,601 | ||||||||||||
Financials
|
18,081,811 | 17,856,361 | — | 35,938,172 | ||||||||||||
Health Care
|
8,226,438 | 2,866,196 | — | 11,092,634 | ||||||||||||
Industrials
|
7,387,968 | 8,269,904 | 0 | 15,657,872 | ||||||||||||
Information Technology
|
16,417,083 | 1,874,810 | — | 18,291,893 | ||||||||||||
Materials
|
3,188,293 | 2,249,470 | — | 5,437,763 | ||||||||||||
Telecommunication Services
|
2,822,748 | 6,103,414 | — | 8,926,162 | ||||||||||||
Utilities
|
6,505,368 | 3,288,045 | — | 9,793,413 | ||||||||||||
Preferred Stocks (n)
|
— | 1,054,046 | — | 1,054,046 | ||||||||||||
Rights (n)
|
7,818 | — | — | 7,818 | ||||||||||||
Warrants (n)
|
— | — | 15,886 | 15,886 | ||||||||||||
Fixed Income Investments (n)
|
||||||||||||||||
Corporate Bonds
|
— | 70,417,504 | — | 70,417,504 | ||||||||||||
Asset-Backed
|
— | 1,787,982 | — | 1,787,982 | ||||||||||||
Mortgage-Backed Securities Pass-Throughs
|
— | 81,533 | — | 81,533 | ||||||||||||
Commercial Mortgage-Backed Securities
|
— | 1,427,450 | — | 1,427,450 | ||||||||||||
Collateralized Mortgage Obligations
|
— | 3,354,152 | — | 3,354,152 | ||||||||||||
Government & Agency Obligations
|
— | 18,116,080 | — | 18,116,080 | ||||||||||||
Municipal Bonds and Notes
|
— | 336,242 | — | 336,242 | ||||||||||||
Convertible Bond
|
— | — | 421,391 | 421,391 | ||||||||||||
Preferred Security
|
— | 36,200 | — | 36,200 | ||||||||||||
Short-Term Investments (n)
|
29,593,014 | — | — | 29,593,014 | ||||||||||||
Derivatives (o)
|
||||||||||||||||
Futures Contracts
|
134,354 | — | — | 134,354 | ||||||||||||
Credit Default Swap Contracts
|
— | 11,423 | — | 11,423 | ||||||||||||
Interest Rate Swap Contracts
|
— | 54,016 | — | 54,016 | ||||||||||||
Forward Foreign Currency Exchange Contracts
|
— | 63,947 | — | 63,947 | ||||||||||||
Total
|
$ | 117,481,511 | $ | 154,265,643 | $ | 439,217 | $ | 272,186,371 | ||||||||
Liabilities
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Derivatives (o)
|
||||||||||||||||
Futures Contracts
|
$ | (170,720 | ) | $ | — | $ | — | $ | (170,720 | ) | ||||||
Written Options
|
— | (203,957 | ) | — | (203,957 | ) | ||||||||||
Interest Rate Swap Contracts
|
— | (358,966 | ) | — | (358,966 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts
|
— | (167,428 | ) | — | (167,428 | ) | ||||||||||
Total
|
$ | (170,720 | ) | $ | (730,351 | ) | $ | — | $ | (901,071 | ) |
as of June 30, 2014 (Unaudited)
|
||||
Assets
|
||||
Investments:
Investments in non-affiliated securities, at value (cost $222,874,713) — including $7,727,752 of securities loaned
|
$ | 242,329,617 | ||
Investment in Daily Assets Fund Institutional (cost $7,981,988)*
|
7,981,988 | |||
Investment in Central Cash Management Fund (cost $21,611,026)
|
21,611,026 | |||
Total investments in securities, at value (cost $252,467,727)
|
271,922,631 | |||
Foreign currency, at value (cost $501,880)
|
503,550 | |||
Receivable for investments sold
|
1,103,677 | |||
Receivable for investments sold — when-issued/delayed delivery securities
|
84,313 | |||
Receivable for Fund shares sold
|
375,894 | |||
Dividends receivable
|
293,894 | |||
Interest receivable
|
1,211,027 | |||
Receivable for variation margin on futures contracts
|
79,159 | |||
Unrealized appreciation on bilateral swap contracts
|
11,423 | |||
Unrealized appreciation on forward foreign currency exchange contracts
|
63,947 | |||
Upfront payments paid on bilateral swap contracts
|
6,453 | |||
Foreign taxes recoverable
|
125,910 | |||
Other assets
|
1,722 | |||
Total assets
|
275,783,600 | |||
Liabilities
|
||||
Cash overdraft
|
758,170 | |||
Payable upon return of securities loaned
|
7,981,988 | |||
Payable for investments purchased
|
889,653 | |||
Payable for investments purchased — when-issued/delayed delivery securities
|
391,247 | |||
Payable for Fund shares redeemed
|
61,978 | |||
Options written, at value (premium received $322,404)
|
203,957 | |||
Unrealized depreciation on bilateral swap contracts
|
12,686 | |||
Unrealized depreciation on forward foreign currency exchange contracts
|
167,428 | |||
Payable for variation margin on centrally cleared swaps
|
20,111 | |||
Accrued management fee
|
80,377 | |||
Accrued Trustees' fees
|
22 | |||
Other accrued expenses and payables
|
139,465 | |||
Total liabilities
|
10,707,082 | |||
Net assets, at value
|
$ | 265,076,518 | ||
Net Assets Consist of
|
||||
Undistributed net investment income
|
3,924,017 | |||
Net unrealized appreciation (depreciation) on:
Investments
|
19,454,904 | |||
Swap contracts
|
(293,527 | ) | ||
Futures
|
(36,366 | ) | ||
Foreign currency
|
(94,346 | ) | ||
Written options
|
118,447 | |||
Accumulated net realized gain (loss)
|
4,194,458 | |||
Paid-in capital
|
237,808,931 | |||
Net assets, at value
|
$ | 265,076,518 | ||
Class A
Net Asset Value, offering and redemption price per share ($265,076,518 ÷ 10,607,493 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 24.99 |
for the six months ended June 30, 2014 (Unaudited)
|
||||
Investment Income
|
||||
Income:
Dividends (net of foreign taxes withheld of $168,242)
|
$ | 2,946,645 | ||
Interest
|
2,128,103 | |||
Income distributions — Central Cash Management Fund
|
3,947 | |||
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates
|
45,913 | |||
Total income
|
5,124,608 | |||
Expenses:
Management fee
|
484,030 | |||
Administration fee
|
131,319 | |||
Services to shareholders
|
767 | |||
Custodian fee
|
58,149 | |||
Professional fees
|
47,394 | |||
Reports to shareholders
|
34,201 | |||
Trustees' fees and expenses
|
6,331 | |||
Other
|
34,443 | |||
Total expenses
|
796,634 | |||
Net investment income
|
4,327,974 | |||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) from:
Investments
|
4,225,697 | |||
Swap contracts
|
(225,496 | ) | ||
Futures
|
891,504 | |||
Written options
|
89,880 | |||
Foreign currency
|
413,621 | |||
5,395,206 | ||||
Change in net unrealized appreciation (depreciation) on:
Investments
|
5,715,502 | |||
Swap contracts
|
(217,751 | ) | ||
Futures
|
(1,029,258 | ) | ||
Written options
|
2,060 | |||
Foreign currency
|
(320,812 | ) | ||
4,149,741 | ||||
Net gain (loss)
|
9,544,947 | |||
Net increase (decrease) in net assets resulting from operations
|
$ | 13,872,921 |
Increase (Decrease) in Net Assets
|
Six Months Ended June 30, 2014 (Unaudited)
|
Year Ended December 31, 2013
|
||||||
Operations:
Net investment income
|
$ | 4,327,974 | $ | 8,106,989 | ||||
Operations:
Net investment income
|
$ | 4,327,974 | $ | 8,106,989 | ||||
Net realized gain (loss)
|
5,395,206 | 30,650,529 | ||||||
Change in net unrealized appreciation (depreciation)
|
4,149,741 | 1,922,701 | ||||||
Net increase (decrease) in net assets resulting from operations
|
13,872,921 | 40,680,219 | ||||||
Distributions to shareholders from:
Net investment income: Class A
|
(8,047,271 | ) | (5,498,634 | ) | ||||
Net realized gains: Class A
|
(26,528,998 | ) | — | |||||
Total distributions
|
(34,576,269 | ) | (5,498,634 | ) | ||||
Fund share transactions:
Class A
Proceeds from shares sold
|
2,949,911 | 7,161,669 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
34,576,269 | 5,498,634 | ||||||
Payments for shares redeemed
|
(20,829,088 | ) | (39,157,373 | ) | ||||
Net increase (decrease) in net assets from Class A share transactions
|
16,697,092 | (26,497,070 | ) | |||||
Increase (decrease) in net assets
|
(4,006,256 | ) | 8,684,515 | |||||
Net assets at beginning of period
|
269,082,774 | 260,398,259 | ||||||
Net assets at end of period (including undistributed net investment income of $3,924,017 and $7,643,314, respectively)
|
$ | 265,076,518 | $ | 269,082,774 | ||||
Other Information
|
||||||||
Class A
Shares outstanding at beginning of period
|
9,857,478 | 10,896,924 | ||||||
Shares sold
|
111,533 | 284,532 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
1,433,510 | 220,917 | ||||||
Shares redeemed
|
(795,028 | ) | (1,544,895 | ) | ||||
Net increase (decrease) in Class A shares
|
750,015 | (1,039,446 | ) | |||||
Shares outstanding at end of period
|
10,607,493 | 9,857,478 |
Years Ended December 31,
|
||||||||||||||||||||||||
Class A
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 27.30 | $ | 23.90 | $ | 21.49 | $ | 22.13 | $ | 20.52 | $ | 17.35 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.43 | .78 | .57 | .46 | .39 | .44 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.91 | 3.14 | 2.20 | (.75 | ) | 1.88 | 3.43 | |||||||||||||||||
Total from investment operations
|
1.34 | 3.92 | 2.77 | (.29 | ) | 2.27 | 3.87 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.85 | ) | (.52 | ) | (.36 | ) | (.35 | ) | (.66 | ) | (.70 | ) | ||||||||||||
Net realized gains
|
(2.80 | ) | — | — | — | — | — | |||||||||||||||||
Total distributions
|
(3.65 | ) | (.52 | ) | (.36 | ) | (.35 | ) | (.66 | ) | (.70 | ) | ||||||||||||
Net asset value, end of period
|
$ | 24.99 | $ | 27.30 | $ | 23.90 | $ | 21.49 | $ | 22.13 | $ | 20.52 | ||||||||||||
Total Return (%)
|
5.39 | ** | 16.63 | 12.98 | (1.42 | ) | 11.22 | 23.43 | ||||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
265 | 269 | 260 | 264 | 308 | 319 | ||||||||||||||||||
Ratio of expenses (%)
|
.61 | * | .60 | .59 | .58 | .65 | .60 | |||||||||||||||||
Ratio of net investment income (%)
|
3.30 | * | 3.07 | 2.48 | 2.09 | 1.89 | 2.40 | |||||||||||||||||
Portfolio turnover rate (%)
|
53 | ** | 182 | 188 | 109 | 203 | 207 | |||||||||||||||||
a Based on average shares outstanding during the period.
* Annualized
** Not annualized
|
Asset Derivatives
|
Forward Contracts
|
Swap Contracts
|
Futures Contracts
|
Total
|
||||||||||||
Interest Rate Contracts (a)
|
$ | — | $ | 54,016 | $ | 134,354 | $ | 188,370 | ||||||||
Credit Contracts (b)
|
— | 11,423 | — | 11,423 | ||||||||||||
Foreign Exchange Contracts (b)
|
63,947 | — | — | 63,947 | ||||||||||||
$ | 63,947 | $ | 65,439 | $ | 134,354 | $ | 263,740 | |||||||||
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
(a) Includes cumulative appreciation of futures and centrally cleared swap contracts as disclosed in the Investment Portfolio. Unsettled variation margin is disclosed separately within the Statement of Assets and Liabilities.
(b) Unrealized appreciation on swap contracts and forward foreign currency exchange contracts
|
Liability Derivatives
|
Written Options
|
Forward Contracts
|
Swap Contracts
|
Futures Contracts
|
Total
|
|||||||||||||||
Interest Rate Contracts (a) (b)
|
$ | (203,957 | ) | $ | — | $ | (358,966 | ) | $ | (170,720 | ) | $ | (733,643 | ) | ||||||
Foreign Exchange Contracts (c)
|
— | (167,428 | ) | — | — | (167,428 | ) | |||||||||||||
$ | (203,957 | ) | $ | (167,428 | ) | $ | (358,966 | ) | $ | (170,720 | ) | $ | (901,071 | ) | ||||||
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
(a) Includes cumulative depreciation of futures and centrally cleared swap contracts as disclosed in the Investment Portfolio. Unsettled variation margin is disclosed separately within the Statement of Assets and Liabilities.
(b) Options written, at value and unrealized depreciation on bilateral swap contracts, respectively
(c) Unrealized depreciation on forward foreign currency exchange contracts
|
Realized Gain (Loss)
|
Written Options
|
Forward Contracts
|
Swap Contracts
|
Futures Contracts
|
Total
|
|||||||||||||||
Interest Rate Contracts (a)
|
$ | 89,880 | $ | — | $ | (225,496 | ) | $ | 891,504 | $ | 755,888 | |||||||||
Foreign Exchange Contracts (b)
|
— | 471,015 | — | — | 471,015 | |||||||||||||||
$ | 89,880 | $ | 471,015 | $ | (225,496 | ) | $ | 891,504 | $ | 1,226,903 | ||||||||||
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Net realized gain (loss) from written options, swap contracts and futures, respectively
(b) Net realized gain (loss) from foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
|
Change in Net Unrealized Appreciation (Depreciation)
|
Written Options
|
Forward Contracts
|
Swap Contracts
|
Futures Contracts
|
Total
|
|||||||||||||||
Interest Rate Contracts (a)
|
$ | 2,060 | $ | — | $ | (218,167 | ) | $ | (1,029,258 | ) | $ | (1,245,365 | ) | |||||||
Credit Contracts (a)
|
— | — | 416 | — | 416 | |||||||||||||||
Foreign Exchange Contracts (b)
|
— | (327,074 | ) | — | — | (327,074 | ) | |||||||||||||
$ | 2,060 | $ | (327,074 | ) | $ | (217,751 | ) | $ | (1,029,258 | ) | $ | (1,572,023 | ) | |||||||
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Change in net unrealized appreciation (depreciation) on written options, swap contracts and futures, respectively
(b) Change in net unrealized appreciation (depreciation) on foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
|
Counterparty
|
Gross Amounts of Assets Presented in the Statement of Assets and Liabilities
|
Financial Instruments and Derivatives Available for Offset
|
Cash
Collateral Received
|
Non-Cash Collateral Received
|
Net Amount of Derivative Assets
|
|||||||||||||||
Australia & New Zealand Banking Group Ltd
|
$ | 18,812 | $ | (18,812 | ) | $ | — | $ | — | $ | — | |||||||||
Canadian Imperial Bank of Commerce
|
21,655 | — | — | — | 21,655 | |||||||||||||||
Commonwealth Bank of Australia
|
16,060 | (4,149 | ) | — | — | 11,911 | ||||||||||||||
Macquarie Bank Ltd.
|
2,925 | — | — | — | 2,925 | |||||||||||||||
Nomura International PLC
|
395 | (395 | ) | — | — | — | ||||||||||||||
Societe Generale
|
4,100 | (4,100 | ) | — | — | — | ||||||||||||||
UBS AG
|
11,423 | — | — | — | 11,423 | |||||||||||||||
$ | 75,370 | $ | (27,456 | ) | $ | — | $ | — | $ | 47,914 | ||||||||||
Counterparty
|
Gross Amounts of Liabilities Presented in the Statement of Assets and Liabilities
|
Financial Instruments and Derivatives Available for Offset
|
Cash
Collateral Pledged
|
Non-Cash Collateral Pledged (a)
|
Net Amount of Derivative Liabilities
|
|||||||||||||||
Australia & New Zealand Banking Group Ltd
|
$ | 35,976 | $ | (18,812 | ) | $ | — | $ | — | $ | 17,164 | |||||||||
Barclays Bank PLC
|
54,311 | — | — | — | 54,311 | |||||||||||||||
BNP Paribas
|
80,489 | — | — | — | 80,489 | |||||||||||||||
Citigroup. Inc.
|
57,230 | — | — | — | 57,230 | |||||||||||||||
Commonwealth Bank of Australia
|
4,149 | (4,149 | ) | — | — | — | ||||||||||||||
JPMorgan Chase Securities, Inc.
|
6,831 | — | — | — | 6,831 | |||||||||||||||
Nomura International PLC
|
97,475 | (395 | ) | — | (97,080 | ) | — | |||||||||||||
Societe Generale
|
47,610 | (4,100 | ) | — | — | 43,510 | ||||||||||||||
$ | 384,071 | $ | (27,456 | ) | $ | — | $ | (97,080 | ) | $ | 259,535 |
Contract Amount
|
Premium
|
|||||||
Outstanding, beginning of period
|
26,600,000 | $ | 280,210 | |||||
Options written
|
12,000,000 | 132,074 | ||||||
Options closed
|
(6,300,000 | ) | (74,392 | ) | ||||
Options expired
|
(2,100,000 | ) | (15,488 | ) | ||||
Outstanding, end of period
|
30,200,000 | $ | 322,404 |
First $250 million
|
.370 | % | ||
Next $750 million
|
.345 | % | ||
Over $1 billion
|
.310 | % |
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2014
|
||||
Actual Fund Return
|
Class A
|
|||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | ||
Ending Account Value 6/30/14
|
$ | 1,053.90 | ||
Expenses Paid per $1,000*
|
$ | 3.11 | ||
Hypothetical 5% Fund Return
|
Class A
|
|||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | ||
Ending Account Value 6/30/14
|
$ | 1,021.77 | ||
Expenses Paid per $1,000*
|
$ | 3.06 |
Annualized Expense Ratio
|
Class A
|
|
Deutsche Variable Series II — Deutsche Global Income Builder VIP
|
.61%
|
3 Letter to Shareholders
4 Performance Summary
5 Portfolio Summary
5 Portfolio Management Team
6 Investment Portfolio
11 Statement of Assets and Liabilities
12 Statement of Operations
13 Statement of Changes in Net Assets
14 Financial Highlights
16 Notes to Financial Statements
23 Information About Your Fund's Expenses
24 Proxy Voting
25 Advisory Agreement Board Considerations and Fee Evaluation
|
Former Name
|
New name, effective August 11, 2014
|
DWS Investments Distributors, Inc.
|
DeAWM Distributors, Inc.
|
DWS Trust Company
|
DeAWM Trust Company
|
DWS Investments Service Company
|
DeAWM Service Company
|
Growth of an Assumed $10,000 Investment in Deutsche Government & Agency Securities VIP
|
||
The Barclays GNMA Index is an unmanaged, market-value-weighted measure of all fixed-rate securities backed by mortgage pools of the Government National Mortgage Association.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
|
||
Yearly periods ended June 30
|
Comparative Results
|
|||||||||||||||||||||
Deutsche Government & Agency Securities VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class A
|
Growth of $10,000
|
$ | 10,396 | $ | 10,377 | $ | 10,709 | $ | 12,319 | $ | 15,775 | ||||||||||
Average annual total return
|
3.96 | % | 3.77 | % | 2.31 | % | 4.26 | % | 4.66 | % | |||||||||||
Barclays GNMA Index
|
Growth of $10,000
|
$ | 10,414 | $ | 10,474 | $ | 10,881 | $ | 12,360 | $ | 16,352 | ||||||||||
Average annual total return
|
4.14 | % | 4.74 | % | 2.86 | % | 4.33 | % | 5.04 | % | |||||||||||
Deutsche Government & Agency Securities VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class B
|
Growth of $10,000
|
$ | 10,371 | $ | 10,335 | $ | 10,598 | $ | 12,104 | $ | 15,208 | ||||||||||
Average annual total return
|
3.71 | % | 3.35 | % | 1.95 | % | 3.89 | % | 4.28 | % | |||||||||||
Barclays GNMA Index
|
Growth of $10,000
|
$ | 10,414 | $ | 10,474 | $ | 10,881 | $ | 12,360 | $ | 16,352 | ||||||||||
Average annual total return
|
4.14 | % | 4.74 | % | 2.86 | % | 4.33 | % | 5.04 | % |
Asset Allocation (As a % of Net Assets)
|
6/30/14
|
12/31/13
|
Mortgage-Backed Securities Pass-Throughs
|
89%
|
89%
|
Collateralized Mortgage Obligations
|
20%
|
15%
|
Government & Agency Obligations
|
17%
|
21%
|
Cash Equivalents and Other Assets and Liabilities, net
|
–26%
|
–25%
|
100%
|
100%
|
Coupons*
|
6/30/14
|
12/31/13
|
Less than 4.5%
|
33%
|
32%
|
4.5%–5.49%
|
45%
|
43%
|
5.5%–6.49%
|
19%
|
21%
|
6.5%–7.49%
|
2%
|
3%
|
7.5% and Greater
|
1%
|
1%
|
100%
|
100%
|
Interest Rate Sensitivity
|
6/30/14
|
12/31/13
|
Effective Maturity
|
6.6 years
|
10.0 years
|
Effective Duration
|
6.4 years
|
6.3 years
|
Principal Amount ($)
|
Value ($)
|
|||||||
Mortgage-Backed Securities Pass-Throughs 89.0%
|
||||||||
Federal Home Loan Mortgage Corp.,
|
||||||||
4.0%, 8/1/2041 (a)
|
9,000,000 | 9,534,726 | ||||||
Federal National Mortgage Association, 4.5%, 1/1/2040 (a)
|
8,000,000 | 8,665,000 | ||||||
Government National Mortgage Association:
|
||||||||
3.5%, with various maturities from 2/15/2043 until 3/20/2043
|
4,563,172 | 4,758,914 | ||||||
4.0%, with various maturities from 9/20/2040 until 6/20/2043 (a)
|
13,251,002 | 14,193,652 | ||||||
4.5%, with various maturities from 6/20/2033 until 2/20/2043 (a)
|
11,420,181 | 12,482,195 | ||||||
4.55%, 1/15/2041
|
386,519 | 423,839 | ||||||
4.625%, 5/15/2041
|
194,030 | 213,796 | ||||||
5.0%, with various maturities from 11/20/2032 until 4/15/2042
|
14,184,328 | 15,735,637 | ||||||
5.5%, with various maturities from 10/15/2032 until 7/20/2040
|
7,644,729 | 8,594,265 | ||||||
6.0%, with various maturities from 2/15/2034 until 5/15/2040
|
7,697,683 | 8,703,536 | ||||||
6.5%, with various maturities from 9/15/2036 until 2/15/2039
|
945,659 | 1,069,613 | ||||||
7.0%, with various maturities from 2/20/2027 until 11/15/2038
|
222,687 | 258,708 | ||||||
7.5%, 10/20/2031
|
7,524 | 9,040 | ||||||
Total Mortgage-Backed Securities Pass-Throughs (Cost $82,974,335)
|
84,642,921 | |||||||
Collateralized Mortgage Obligations 19.6%
|
||||||||
Federal Home Loan Mortgage Corp.:
|
||||||||
"OA", Series 3179, Principal Only, Zero Coupon, 7/15/2036
|
192,964 | 180,262 | ||||||
"KO", Series 4180, Principal Only, Zero Coupon, 1/15/2043
|
1,367,587 | 813,590 | ||||||
"KB", Series 4144, 2.5%, 12/15/2042
|
214,837 | 181,527 | ||||||
"YI", Series 3936, Interest Only, 3.0%, 6/15/2025
|
109,073 | 8,278 | ||||||
"AI", Series 4016, Interest Only, 3.0%, 9/15/2025
|
1,204,739 | 115,723 | ||||||
"WI", Series 3939, Interest Only, 3.0%, 10/15/2025
|
435,107 | 34,744 | ||||||
"EI", Series 3953, Interest Only, 3.0%, 11/15/2025
|
620,642 | 58,116 | ||||||
"IO", Series 3974, Interest Only, 3.0%, 12/15/2025
|
194,322 | 17,741 | ||||||
"DI", Series 4010, Interest Only, 3.0%, 2/15/2027
|
157,342 | 15,684 | ||||||
"IK", Series 4048, Interest Only, 3.0%, 5/15/2027
|
1,497,754 | 193,474 | ||||||
"PZ", Series 4094, 3.0%, 8/15/2042
|
408,574 | 358,956 | ||||||
"IK", Series 3754, Interest Only, 3.5%, 6/15/2025
|
919,360 | 94,064 | ||||||
Principal Amount ($)
|
Value ($)
|
|||||||
"DZ", Series 4199, 3.5%, 5/15/2043
|
242,880 | 225,647 | ||||||
"ZG", Series 4213, 3.5%, 6/15/2043
|
361,429 | 361,736 | ||||||
"KZ", Series 4328, 4.0%, 4/15/2044
|
336,007 | 347,449 | ||||||
"UA", Series 4298, 4.0%, 2/15/2054
|
483,677 | 495,558 | ||||||
"22", Series 243, Interest Only, 4.482%*, 6/15/2021
|
474,322 | 26,662 | ||||||
"NI", Series 3657, Interest Only, 4.5%, 8/15/2027
|
260,262 | 5,657 | ||||||
"PI", Series 2535, Interest Only, 6.0%, 9/15/2032
|
82,020 | 1,745 | ||||||
"MI", Series 3871, Interest Only, 6.0%, 4/15/2040
|
143,404 | 20,559 | ||||||
"A", Series 172, Interest Only, 6.5%, 1/1/2024
|
20,172 | 3,722 | ||||||
"DS", Series 3199, Interest Only, 6.998%*, 8/15/2036
|
2,037,385 | 416,711 | ||||||
"S", Series 2416, Interest Only, 7.948%*, 2/15/2032
|
273,416 | 60,994 | ||||||
"ST", Series 2411, Interest Only, 8.598%*, 6/15/2021
|
698,057 | 70,183 | ||||||
"KS", Series 2064, Interest Only, 9.998%*, 5/15/2022
|
276,598 | 64,985 | ||||||
Federal National Mortgage Association:
|
||||||||
"DI", Series 2011-136, Interest Only, 3.0%, 1/25/2026
|
182,705 | 17,581 | ||||||
"LZ", Series 2013-45, 3.0%, 5/25/2043
|
1,035,574 | 879,652 | ||||||
"DZ", Series 2013-136, 3.0%, 1/25/2044
|
812,075 | 667,377 | ||||||
"HI", Series 2010-123, Interest Only, 3.5%, 3/25/2024
|
326,241 | 23,688 | ||||||
"KI", Series 2011-72, Interest Only, 3.5%, 3/25/2025
|
994,175 | 69,401 | ||||||
''IO", Series 2012-146, Interest Only, 3.5%, 1/25/2043
|
2,057,103 | 476,296 | ||||||
"ZB", Series 2010-136, 4.0%, 12/25/2040
|
375,182 | 391,203 | ||||||
"AZ", Series 2012-29, 4.0%, 4/25/2042
|
1,452,740 | 1,455,430 | ||||||
"HZ", Series 2013-20, 4.0%, 3/25/2043
|
1,522,709 | 1,504,726 | ||||||
"25", Series 351, Interest Only, 4.5%, 5/1/2019
|
146,271 | 11,158 | ||||||
"HI", Series 2009-77, Interest Only, 4.5%, 9/25/2027
|
36,889 | 132 | ||||||
"IN", Series 2003-49, Interest Only, 4.75%, 3/25/2018
|
696,299 | 22,209 | ||||||
"21", Series 334, Interest Only, 5.0%, 3/1/2018
|
62,734 | 4,157 | ||||||
"20", Series 334, Interest Only, 5.0%, 3/1/2018
|
99,208 | 6,725 | ||||||
''23", Series 339, Interest Only, 5.0%, 6/25/2018
|
141,233 | 9,572 | ||||||
"26", Series 381, Interest Only, 5.0%, 12/25/2020
|
47,051 | 4,451 | ||||||
"ZA", Series 2008-24, 5.0%, 4/25/2038
|
717,131 | 776,597 | ||||||
"30", Series 381, Interest Only, 5.5%, 11/25/2019
|
273,138 | 27,516 | ||||||
"PI", Series 2009-14, Interest Only, 5.5%, 3/25/2024
|
464,976 | 63,981 | ||||||
"PJ", Series 2004-46, Interest Only, 5.848%*, 3/25/2034
|
341,369 | 45,217 | ||||||
Principal Amount ($)
|
Value ($)
|
|||||||
"WI", Series 2011-59, Interest Only, 6.0%, 5/25/2040
|
295,990 | 31,946 | ||||||
"101", Series 383, Interest Only, 6.5%, 9/25/2022
|
936,928 | 144,892 | ||||||
"SJ", Series 2007-36, Interest Only, 6.618%*, 4/25/2037
|
191,610 | 30,665 | ||||||
"KI", Series 2005-65, Interest Only, 6.848%*, 8/25/2035
|
93,199 | 17,957 | ||||||
"SA", Series G92-57, IOette, 83.384%*, 10/25/2022
|
34,789 | 69,627 | ||||||
Government National Mortgage Association:
|
||||||||
"BI", Series 2014-22, Interest Only, 4.0%, 2/20/2029
|
1,161,602 | 160,057 | ||||||
"JY", Series 2010-20, 4.0%, 12/20/2033
|
2,054,453 | 2,178,783 | ||||||
"LI", Series 2009-104, Interest Only, 4.5%, 12/16/2018
|
190,053 | 12,875 | ||||||
"NI", Series 2010-44, Interest Only, 4.5%, 10/20/2037
|
522,423 | 45,497 | ||||||
"CI", Series 2010-87, Interest Only, 4.5%, 11/20/2038
|
1,251,588 | 323,859 | ||||||
"MI", Series 2010-169, Interest Only, 4.5%, 8/20/2040
|
725,049 | 107,639 | ||||||
"GZ", Series 2005-24, 5.0%, 3/20/2035
|
531,482 | 599,552 | ||||||
"MI", Series 2009-76, Interest Only, 5.0%, 3/20/2035
|
45,517 | 56 | ||||||
"ZA", Series 2005-75, 5.0%, 10/16/2035
|
597,909 | 673,452 | ||||||
"MZ", Series 2009-98, 5.0%, 10/16/2039
|
1,072,862 | 1,272,690 | ||||||
"Z", Series 2009-112, 5.0%, 11/20/2039
|
1,256,953 | 1,391,542 | ||||||
"AI", Series 2008-46, Interest Only, 5.5%, 5/16/2023
|
195,880 | 16,661 | ||||||
"GI", Series 2003-19, Interest Only, 5.5%, 3/16/2033
|
749,773 | 151,183 | ||||||
"IB", Series 2010-130, Interest Only, 5.5%, 2/20/2038
|
226,173 | 40,855 | ||||||
"BS", Series 2011-93, Interest Only, 5.948%*, 7/16/2041
|
1,147,962 | 171,363 | ||||||
"MS", Series 2012-118, Interest Only, 5.997%, 9/20/2042*
|
597,978 | 80,797 | ||||||
"DI", Series 2009-10, Interest Only, 6.0%, 4/16/2038
|
293,729 | 50,904 | ||||||
"SA", Series 2012-84, Interest Only, 6.147%*, 12/20/2038
|
1,347,793 | 203,045 | ||||||
"QA", Series 2007-57, Interest Only, 6.347%*, 10/20/2037
|
287,137 | 41,828 | ||||||
"IP", Series 2009-118, Interest Only, 6.5%, 12/16/2039
|
83,079 | 15,733 | ||||||
"IC", Series 1997-4, Interest Only, 7.5%, 3/16/2027
|
543,621 | 139,137 | ||||||
"SK", Series 2003-11, Interest Only, 7.548%*, 2/16/2033
|
457,050 | 79,420 | ||||||
Total Collateralized Mortgage Obligations (Cost $17,272,133)
|
18,682,851 | |||||||
Principal Amount ($)
|
Value ($)
|
|||||||
Government & Agency Obligations 17.4%
|
||||||||
U.S. Government Sponsored Agency 10.5%
|
||||||||
Federal Home Loan Bank, 0.875%, 5/24/2017
|
10,000,000 | 10,003,989 | ||||||
U.S. Treasury Obligations 6.9%
|
||||||||
U.S. Treasury Bill, 0.065%**, 8/14/2014 (b)
|
1,045,000 | 1,044,972 | ||||||
U.S. Treasury Notes:
|
||||||||
1.0%, 8/31/2016 (c)
|
3,450,000 | 3,485,576 | ||||||
1.0%, 9/30/2016
|
2,000,000 | 2,019,376 | ||||||
6,549,924 | ||||||||
Total Government & Agency Obligations (Cost $16,529,962)
|
16,553,913 |
Contract Amount
|
Value ($)
|
|||||||
Call Options Purchased 0.2%
|
||||||||
Options on Interest Rate Swap Contracts
|
||||||||
Pay Fixed Rate — 3.72% – Receive Floating — LIBOR, Swap Expiration Date 4/22/2026, Option Expiration Date 4/20/20161
|
2,600,000 | 56,132 | ||||||
Pay Fixed Rate — 4.32% – Receive Floating — LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/20172
|
6,000,000 | 120,378 | ||||||
Total Call Options Purchased (Cost $390,446)
|
176,510 | |||||||
Put Options Purchased 0.1%
|
||||||||
Options on Interest Rate Swap Contracts
|
||||||||
Receive Fixed Rate — 2.32% – Pay Floating — LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/20172 (Cost $203,884)
|
6,000,000 | 57,642 |
Shares
|
Value ($)
|
|||||||
Securities Lending Collateral 8.5%
|
||||||||
Daily Assets Fund Institutional, 0.08% (d) (e) (Cost $8,080,000)
|
8,080,000 | 8,080,000 | ||||||
Cash Equivalents 0.4%
|
||||||||
Central Cash Management Fund, 0.06% (d) (Cost $412,815)
|
412,815 | 412,815 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $125,863,575)†
|
135.2 | 128,606,652 | ||||||
Other Assets and Liabilities, Net (f)
|
(35.2 | ) | (33,492,429 | ) | ||||
Net Assets
|
100.0 | 95,114,223 |
Futures
|
Currency
|
Expiration Date
|
Contracts
|
Notional Value ($)
|
Unrealized Appreciation ($)
|
|||||||||
10 Year Interest Rate Swap
|
USD
|
9/15/2014
|
35 | 3,675,547 | 35,124 | |||||||||
10 Year U.S. Treasury Note
|
USD
|
9/19/2014
|
5 | 625,859 | 1,406 | |||||||||
5 Year U.S. Treasury Note
|
USD
|
9/30/2014
|
36 | 4,300,594 | 12,026 | |||||||||
Total unrealized appreciation
|
48,556 |
Futures
|
Currency
|
Expiration Date
|
Contracts
|
Notional Value ($)
|
Unrealized Depreciation ($)
|
|||||||||
U.S. Treasury Long Bond
|
USD
|
9/19/2014
|
65 | 8,917,188 | (97,868 | ) |
Currency Abbreviation
|
USD United States Dollar
|
Options on Interest Rate Swap Contracts
|
Swap Effective/
Expiration Dates
|
Contract Amount
|
Option Expiration Date
|
Premiums Received ($)
|
Value ($) (g)
|
|||||||||
Call Options
Receive Fixed — 4.48% – Pay Floating — LIBOR
|
5/11/2016
5/11/2026
|
2,400,000 | 1 |
5/5/2016
|
26,940 | (20,708 | ) | |||||||
Receive Fixed — 3.32% – Pay Floating — LIBOR
|
2/3/2017
2/3/2027
|
3,000,000 | 2 |
2/1/2017
|
216,990 | (152,311 | ) | |||||||
Receive Fixed — 4.22% – Pay Floating — LIBOR
|
4/22/2016
4/22/2026
|
2,600,000 | 1 |
4/20/2016
|
92,690 | (29,790 | ) | |||||||
Receive Fixed — 5.132% – Pay Floating — LIBOR
|
3/17/2016
3/17/2026
|
2,400,000 | 1 |
3/15/2016
|
17,340 | (6,335 | ) | |||||||
Receive Fixed — 5.132% – Pay Floating — LIBOR
|
3/17/2016
3/17/2026
|
2,400,000 | 2 |
3/15/2016
|
28,320 | (6,335 | ) | |||||||
Total Call Options
|
382,280 | (215,479 | ) | |||||||||||
Put Options
Pay Fixed — 1.132% – Receive Floating — LIBOR
|
3/17/2016
3/17/2026
|
2,400,000 | 1 |
3/15/2016
|
17,341 | (676 | ) | |||||||
Pay Fixed — 1.132% – Receive Floating — LIBOR
|
3/17/2016
3/17/2026
|
2,400,000 | 2 |
3/15/2016
|
6,120 | (676 | ) | |||||||
Pay Fixed — 2.480% – Receive Floating — LIBOR
|
5/11/2016
5/11/2026
|
2,400,000 | 1 |
5/5/2016
|
26,940 | (25,173 | ) | |||||||
Pay Fixed — 2.796% – Receive Floating — LIBOR
|
6/5/2015
6/5/2045
|
2,200,000 | 2 |
6/3/2015
|
23,540 | (18,827 | ) | |||||||
Pay Fixed — 3.005% – Receive Floating — LIBOR
|
3/6/2015
3/6/2045
|
2,200,000 | 1 |
3/4/2015
|
23,100 | (25,386 | ) | |||||||
Pay Fixed — 3.033% – Receive Floating — LIBOR
|
10/24/2014
10/24/2044
|
1,900,000 | 3 |
10/22/2014
|
24,130 | (10,697 | ) | |||||||
Pay Fixed — 3.035% – Receive Floating — LIBOR
|
2/15/2015
2/3/2045
|
2,200,000 | 2 |
1/30/2015
|
27,170 | (25,098 | ) | |||||||
Pay Fixed — 3.088% – Receive Floating — LIBOR
|
1/28/2015
1/28/2045
|
2,400,000 | 4 |
1/26/2015
|
24,210 | (31,631 | ) | |||||||
Pay Fixed — 3.093% – Receive Floating — LIBOR
|
10/21/2014
10/21/2044
|
1,900,000 | 2 |
10/17/2014
|
26,220 | (14,122 | ) | |||||||
Pay Fixed — 3.32% – Receive Floating — LIBOR
|
2/3/2017
2/3/2027
|
3,000,000 | 2 |
2/1/2017
|
216,990 | (110,081 | ) | |||||||
Total Put Options
|
415,761 | (262,367 | ) | |||||||||||
Total
|
798,041 | (477,846 | ) |
Centrally Cleared Swaps
|
||||||||||||||
Effective/
Expiration Dates
|
Notional Amount ($)
|
Cash Flows Paid by the Fund
|
Cash Flows Received by the Fund
|
Value ($)
|
Unrealized Depreciation ($)
|
|||||||||
6/3/2014
6/3/2025
|
2,300,000 |
Fixed — 3.0%
|
Floating —- LIBOR
|
(69,202 | ) | (65,846 | ) | |||||||
12/30/2014
12/30/2016
|
23,200,000 |
Fixed — 1.173%
|
Floating — LIBOR
|
(119,146 | ) | (121,564 | ) | |||||||
12/30/2014
12/30/2019
|
400,000 |
Fixed — 2.522%
|
Floating —- LIBOR
|
(10,146 | ) | (10,489 | ) | |||||||
12/30/2014
12/30/2034
|
1,600,000 |
Fixed — 4.01%
|
Floating —- LIBOR
|
(171,149 | ) | (171,624 | ) | |||||||
12/30/2014
12/30/2044
|
1,400,000 |
Fixed — 4.081%
|
Floating — LIBOR
|
(186,471 | ) | (211,067 | ) | |||||||
5/11/2015
5/11/2045
|
2,400,000 |
Fixed — 3.56%
|
Floating —- LIBOR
|
(50,476 | ) | (49,116 | ) | |||||||
Total unrealized depreciation
|
(629,706 | ) |
Bilateral Swaps
|
||||||||||||||||||
Effective/
Expiration Dates
|
Notional Amount ($)
|
Cash Flows Paid by the Fund
|
Cash Flows Received by the Fund
|
Value ($)
|
Upfront Payments Paid/
(Received) ($)
|
Unrealized Depreciation ($)
|
||||||||||||
6/3/2013
6/3/2025
|
2,300,000 | 1 |
Floating — LIBOR
|
Fixed — 3.0%
|
(13,895 | ) | — | (13,895 | ) |
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Fixed-Income Investments (h)
|
||||||||||||||||
Mortgage-Backed Securities Pass-Throughs
|
$ | — | $ | 84,642,921 | $ | — | $ | 84,642,921 | ||||||||
Collateralized Mortgage Obligations
|
— | 18,682,851 | — | 18,682,851 | ||||||||||||
Government & Agency Obligations
|
— | 16,553,913 | — | 16,553,913 | ||||||||||||
Short-Term Investments
|
8,492,815 | — | — | 8,492,815 | ||||||||||||
Derivatives (i)
|
||||||||||||||||
Purchased Options
|
— | 234,152 | — | 234,152 | ||||||||||||
Futures Contracts
|
48,556 | — | — | 48,556 | ||||||||||||
Total
|
$ | 8,541,371 | $ | 120,113,837 | $ | — | $ | 128,655,208 | ||||||||
Liabilities
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Derivatives (i)
|
||||||||||||||||
Futures Contracts
|
$ | (97,868 | ) | $ | — | $ | — | $ | (97,868 | ) | ||||||
Written Options
|
— | (477,846 | ) | — | (477,846 | ) | ||||||||||
Interest Rate Swap Contracts
|
— | (643,601 | ) | — | (643,601 | ) | ||||||||||
Total
|
$ | (97,868 | ) | $ | (1,121,447 | ) | $ | — | $ | (1,219,315 | ) |
as of June 30, 2014 (Unaudited)
|
||||
Assets
|
||||
Investments
Investments in non-affiliated securities, at value (cost $117,370,760) — including $7,939,230 of securities loaned
|
$ | 120,113,837 | ||
Investment in Daily Assets Fund Institutional (cost $8,080,000)*
|
8,080,000 | |||
Investment in Central Cash Management Fund (cost $412,815)
|
412,815 | |||
Total investments in securities, at value (cost $125,863,575)
|
128,606,652 | |||
Receivable for investments sold
|
14,209,193 | |||
Receivable for investments sold — when-issued/delayed delivery securities
|
28,556,219 | |||
Receivable for Fund shares sold
|
2,049 | |||
Interest receivable
|
420,173 | |||
Other assets
|
1,394 | |||
Total assets
|
171,795,680 | |||
Liabilities
|
||||
Payable upon return of securities loaned
|
8,080,000 | |||
Payable for investments purchased
|
9,993,625 | |||
Payable for investments purchased — when-issued/delayed delivery securities
|
57,886,045 | |||
Payable for Fund shares redeemed
|
75,231 | |||
Payable for variation margin on centrally cleared swaps
|
36,842 | |||
Payable for variation margin on futures contracts
|
8,251 | |||
Options written, at value (premium received $798,041)
|
477,846 | |||
Unrealized depreciation on bilateral swap contracts
|
13,895 | |||
Accrued management fee
|
35,304 | |||
Accrued Trustees' fees
|
751 | |||
Other accrued expenses and payables
|
73,667 | |||
Total liabilities
|
76,681,457 | |||
Net assets, at value
|
$ | 95,114,223 | ||
Net Assets Consist of
|
||||
Undistributed net investment income
|
1,142,061 | |||
Unrealized appreciation (depreciation) on:
Investments
|
2,743,077 | |||
Swap contracts
|
(643,601 | ) | ||
Futures
|
(49,312 | ) | ||
Written options
|
320,195 | |||
Accumulated net realized gain (loss)
|
500,459 | |||
Paid-in capital
|
91,101,344 | |||
Net assets, at value
|
$ | 95,114,223 | ||
Class A
Net Asset Value, offering and redemption price per share ($91,796,470 ÷ 7,878,280 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 11.65 | ||
Class B
Net Asset Value, offering and redemption price per share ($3,317,753 ÷ 284,654 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 11.66 |
for the six months ended June 30, 2014 (Unaudited)
|
||||
Investment Income
|
||||
Income:
Interest
|
$ | 1,530,649 | ||
Income distributions — Central Cash Management Fund
|
2,428 | |||
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates
|
3,112 | |||
Total income
|
1,536,189 | |||
Expenses:
Management fee
|
219,931 | |||
Administration fee
|
48,874 | |||
Services to shareholders
|
695 | |||
Distribution service fees (Class B)
|
4,273 | |||
Record keeping fees (Class B)
|
1,575 | |||
Custodian fee
|
18,464 | |||
Professional fees
|
40,444 | |||
Reports to shareholders
|
16,626 | |||
Trustees' fees and expenses
|
3,107 | |||
Other
|
5,464 | |||
Total expenses before expense reductions
|
359,453 | |||
Expense reductions
|
(18,239 | ) | ||
Total expenses after expense reductions
|
341,214 | |||
Net investment income
|
1,194,975 | |||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) from:
Investments
|
1,279,998 | |||
Swap contracts
|
(292,770 | ) | ||
Futures
|
(479,573 | ) | ||
Written options
|
102,720 | |||
610,375 | ||||
Change in net unrealized appreciation (depreciation) on:
Investments
|
2,115,269 | |||
Swap contracts
|
(522,151 | ) | ||
Futures
|
214,266 | |||
Written options
|
226,931 | |||
2,034,315 | ||||
Net gain (loss)
|
2,644,690 | |||
Net increase (decrease) in net assets resulting from operations
|
$ | 3,839,665 |
Increase (Decrease) in Net Assets
|
Six Months Ended June 30, 2014 (Unaudited)
|
Year Ended December 31, 2013
|
||||||
Operations:
Net investment income
|
$ | 1,194,975 | $ | 2,293,792 | ||||
Operations:
Net investment income
|
$ | 1,194,975 | $ | 2,293,792 | ||||
Net realized gain (loss)
|
610,375 | (119,888 | ) | |||||
Change in net unrealized appreciation (depreciation)
|
2,034,315 | (5,696,113 | ) | |||||
Net increase (decrease) in net assets resulting from operations
|
3,839,665 | (3,522,209 | ) | |||||
Distributions to shareholders from:
Net investment income:
Class A
|
(2,179,180 | ) | (3,325,537 | ) | ||||
Class B
|
(66,035 | ) | (119,146 | ) | ||||
Net realized gain:
Class A
|
— | (4,523,083 | ) | |||||
Class B
|
— | (185,024 | ) | |||||
Total distributions
|
(2,245,215 | ) | (8,152,790 | ) | ||||
Fund share transactions:
Class A
Proceeds from shares sold
|
5,901,523 | 9,306,924 | ||||||
Reinvestment of distributions
|
2,179,180 | 7,848,620 | ||||||
Payments for shares redeemed
|
(13,352,904 | ) | (31,059,765 | ) | ||||
Net increase (decrease) in net assets from Class A share transactions
|
(5,272,201 | ) | (13,904,221 | ) | ||||
Class B
Proceeds from shares sold
|
169,269 | 311,619 | ||||||
Reinvestment of distributions
|
66,035 | 304,170 | ||||||
Payments for shares redeemed
|
(614,425 | ) | (1,961,191 | ) | ||||
Net increase (decrease) in net assets from Class B share transactions
|
(379,121 | ) | (1,345,402 | ) | ||||
Increase (decrease) in net assets
|
(4,056,872 | ) | (26,924,622 | ) | ||||
Net assets at beginning of period
|
99,171,095 | 126,095,717 | ||||||
Net assets at end of period (including undistributed net investment income of $1,142,061 and $2,192,301, respectively)
|
$ | 95,114,223 | $ | 99,171,095 | ||||
Other Information
|
||||||||
Class A
Shares outstanding at beginning of period
|
8,328,640 | 9,511,241 | ||||||
Shares sold
|
505,374 | 782,217 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
189,659 | 660,658 | ||||||
Shares redeemed
|
(1,145,393 | ) | (2,625,476 | ) | ||||
Net increase (decrease) in Class A shares
|
(450,360 | ) | (1,182,601 | ) | ||||
Shares outstanding at end of period
|
7,878,280 | 8,328,640 | ||||||
Class B
Shares outstanding at beginning of period
|
317,145 | 428,962 | ||||||
Shares sold
|
14,600 | 26,355 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
5,742 | 25,582 | ||||||
Shares redeemed
|
(52,833 | ) | (163,754 | ) | ||||
Net increase (decrease) in Class B shares
|
(32,491 | ) | (111,817 | ) | ||||
Shares outstanding at end of period
|
284,654 | 317,145 |
Years Ended December 31,
|
||||||||||||||||||||||||
Class A
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 11.47 | $ | 12.69 | $ | 13.12 | $ | 12.98 | $ | 12.78 | $ | 12.40 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.14 | .24 | .34 | .48 | .50 | .52 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.31 | (.59 | ) | .03 | .45 | .32 | .45 | |||||||||||||||||
Total from investment operations
|
.45 | (.35 | ) | .37 | .93 | .82 | .97 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.27 | ) | (.37 | ) | (.52 | ) | (.57 | ) | (.62 | ) | (.59 | ) | ||||||||||||
Net realized gains
|
— | (.50 | ) | (.28 | ) | (.22 | ) | — | — | |||||||||||||||
Total distributions
|
(.27 | ) | (.87 | ) | (.80 | ) | (.79 | ) | (.62 | ) | (.59 | ) | ||||||||||||
Net asset value, end of period
|
$ | 11.65 | $ | 11.47 | $ | 12.69 | $ | 13.12 | $ | 12.98 | $ | 12.78 | ||||||||||||
Total Return (%)
|
3.96 | b** | (3.04 | )b | 2.93 | b | 7.46 | 6.61 | 8.08 | |||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
92 | 96 | 121 | 146 | 157 | 169 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)
|
.72 | * | .71 | .68 | .67 | .64 | .58 | |||||||||||||||||
Ratio of expenses after expense reductions (%)
|
.69 | * | .67 | .66 | .67 | .64 | .58 | |||||||||||||||||
Ratio of net investment income (%)
|
2.46 | * | 2.05 | 2.65 | 3.68 | 3.86 | 4.16 | |||||||||||||||||
Portfolio turnover rate (%)
|
301 | ** | 794 | 796 | 673 | 423 | 390 | |||||||||||||||||
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
* Annualized
** Not annualized
|
Years Ended December 31,
|
||||||||||||||||||||||||
Class B
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 11.46 | $ | 12.67 | $ | 13.10 | $ | 12.95 | $ | 12.75 | $ | 12.37 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.12 | .20 | .29 | .43 | .46 | .48 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.31 | (.59 | ) | .03 | .46 | .31 | .45 | |||||||||||||||||
Total from investment operations
|
.43 | (.39 | ) | .32 | .89 | .77 | .93 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.23 | ) | (.32 | ) | (.47 | ) | (.52 | ) | (.57 | ) | (.55 | ) | ||||||||||||
Net realized gains
|
— | (.50 | ) | (.28 | ) | (.22 | ) | — | — | |||||||||||||||
Total distributions
|
(.23 | ) | (.82 | ) | (.75 | ) | (.74 | ) | (.57 | ) | (.55 | ) | ||||||||||||
Net asset value, end of period
|
$ | 11.66 | $ | 11.46 | $ | 12.67 | $ | 13.10 | $ | 12.95 | $ | 12.75 | ||||||||||||
Total Return (%)
|
3.71 | b** | (3.25 | )b | 2.48 | b | 7.15 | 6.24 | 7.70 | |||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
3 | 4 | 5 | 7 | 6 | 7 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)
|
1.07 | * | 1.06 | 1.03 | 1.01 | .99 | .92 | |||||||||||||||||
Ratio of expenses after expense reductions (%)
|
1.01 | * | .99 | 1.01 | 1.01 | .99 | .92 | |||||||||||||||||
Ratio of net investment income (%)
|
2.13 | * | 1.71 | 2.29 | 3.34 | 3.51 | 3.81 | |||||||||||||||||
Portfolio turnover rate (%)
|
301 | ** | 794 | 796 | 673 | 423 | 390 | |||||||||||||||||
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
* Annualized
** Not annualized
|
Asset Derivatives
|
Purchased Options
|
Futures Contracts
|
Total
|
|||||||||
Interest Rate Contracts (a) (b)
|
$ | 234,152 | $ | 48,556 | $ | 282,708 | ||||||
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
(a) Investments in securities, at value (includes purchased options)
(b) Includes cumulative appreciation of futures contracts as disclosed in the Investment Portfolio. Unsettled variation margin is disclosed separately within the Statement of Assets and Liabilities.
|
Liability Derivatives
|
Written
Options
|
Swap
Contracts
|
Futures Contracts
|
Total
|
||||||||||||
Interest Rate Contracts (a) (b)
|
$ | (477,846 | ) | $ | (643,601 | ) | $ | (97,868 | ) | $ | (1,219,315 | ) | ||||
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
(a) Options written, at value and unrealized depreciation on swap contracts. Unsettled variation margin for centrally cleared swaps is disclosed separately within the Statement of Assets and Liabilities.
(b) Includes cumulative depreciation of futures contracts as disclosed in the Investment Portfolio. Unsettled variation margin is disclosed separately within the Statement of Assets and Liabilities.
|
Realized Gain (Loss)
|
Written
Options
|
Swap
Contracts
|
Futures Contracts
|
Total
|
||||||||||||
Interest Rate Contracts (a)
|
$ | 102,720 | $ | (292,770 | ) | $ | (479,573 | ) | $ | (669,623 | ) | |||||
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Net realized gain (loss) from written options, swap contracts and futures, respectively
|
Change in Net Unrealized Appreciation (Depreciation)
|
Purchased Options
|
Written
Options
|
Swap
Contracts
|
Futures Contracts
|
Total
|
|||||||||||||||
Interest Rate Contracts (a)
|
$ | (317,287 | ) | $ | 226,931 | $ | (522,151 | ) | $ | 214,266 | $ | (398,241 | ) | |||||||
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Change in net unrealized appreciation (depreciation) from investments (includes purchased options), written options, swap contracts and futures, respectively
|
Counterparty
|
Gross Amounts of Assets Presented in the Statement of Assets and Liabilities
|
Financial Instruments and Derivatives Available for Offset
|
Cash
Collateral Received
|
Non-Cash Collateral Received
|
Net Amount of Derivative Assets
|
|||||||||||||||
BNP Paribas
|
$ | 178,020 | $ | (178,020 | ) | $ | — | $ | — | $ | — | |||||||||
Nomura International PLC
|
56,132 | (56,132 | ) | — | — | — | ||||||||||||||
$ | 234,152 | $ | (234,152 | ) | $ | — | $ | — | $ | — | ||||||||||
Counterparty
|
Gross Amounts of Liabilities Presented in the Statement of Assets and Liabilities
|
Financial Instruments and Derivatives Available for Offset
|
Cash
Collateral Pledged
|
Non-Cash Collateral Pledged (a)
|
Net Amount of Derivative Liabilities
|
|||||||||||||||
Barclays Bank PLC
|
$ | 31,631 | $ | — | $ | — | $ | — | $ | 31,631 | ||||||||||
BNP Paribas
|
327,450 | (178,020 | ) | — | — | 149,430 | ||||||||||||||
Citigroup, Inc.
|
10,697 | — | — | — | 10,697 | |||||||||||||||
Nomura International PLC
|
121,963 | (56,132 | ) | — | (60,619 | ) | 5,212 | |||||||||||||
$ | 491,741 | $ | (234,152 | ) | $ | — | $ | (60,619 | ) | $ | 196,970 |
Contract Amount
|
Premiums
|
|||||||
Outstanding, beginning of period
|
31,600,000 | $ | 748,861 | |||||
Options written
|
13,800,000 | 151,900 | ||||||
Options closed
|
(7,200,000 | ) | (85,020 | ) | ||||
Options expired
|
(2,400,000 | ) | (17,700 | ) | ||||
Outstanding, end of period
|
35,800,000 | $ | 798,041 |
First $250 million
|
.450 | % | ||
Next $750 million
|
.430 | % | ||
Next $1.5 billion
|
.410 | % | ||
Next $2.5 billion
|
.400 | % | ||
Next $2.5 billion
|
.380 | % | ||
Next $2.5 billion
|
.360 | % | ||
Next $2.5 billion
|
.340 | % | ||
Over $12.5 billion
|
.320 | % |
Class A
|
.67%
|
Class B
|
.99%
|
Class A
|
.75%
|
Class B
|
1.10%
|
Class A
|
$ | 17,280 | ||
Class B
|
959 | |||
$ | 18,239 |
Total Aggregated
|
Unpaid at June 30, 2014
|
|||||||
Class A
|
$ | 148 | $ | 72 | ||||
Class B
|
34 | 17 | ||||||
$ | 182 | $ | 89 |
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2014
|
||||||||
Actual Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,039.60 | $ | 1,037.10 | ||||
Expenses Paid per $1,000*
|
$ | 3.49 | $ | 5.10 | ||||
Hypothetical 5% Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,021.37 | $ | 1,019.79 | ||||
Expenses Paid per $1,000*
|
$ | 3.46 | $ | 5.06 |
Annualized Expense Ratios
|
Class A
|
Class B
|
||
Deutsche Variable Series II — Deutsche Government & Agency Securities VIP
|
.69%
|
1.01%
|
3 Letter to Shareholders
4 Performance Summary
5 Portfolio Summary
5 Portfolio Manager
6 Investment Portfolio
18 Statement of Assets and Liabilities
19 Statement of Operations
20 Statement of Changes in Net Assets
21 Financial Highlights
23 Notes to Financial Statements
30 Information About Your Fund's Expenses
31 Proxy Voting
32 Advisory Agreement Board Considerations and Fee Evaluation
|
Former Name
|
New name, effective August 11, 2014
|
DWS Investments Distributors, Inc.
|
DeAWM Distributors, Inc.
|
DWS Trust Company
|
DeAWM Trust Company
|
DWS Investments Service Company
|
DeAWM Service Company
|
Growth of an Assumed $10,000 Investment in Deutsche High Income VIP
|
||
The Credit Suisse High Yield Index tracks the performance of the global high-yield debt market.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
|
||
Yearly periods ended June 30
|
Comparative Results
|
|||||||||||||||||||||
Deutsche High Income VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class A
|
Growth of $10,000
|
$ | 10,501 | $ | 11,124 | $ | 13,002 | $ | 18,126 | $ | 21,028 | ||||||||||
Average annual total return
|
5.01 | % | 11.24 | % | 9.14 | % | 12.63 | % | 7.72 | % | |||||||||||
Credit Suisse High Yield Index
|
Growth of $10,000
|
$ | 10,555 | $ | 11,181 | $ | 13,098 | $ | 19,048 | $ | 22,961 | ||||||||||
Average annual total return
|
5.55 | % | 11.81 | % | 9.41 | % | 13.76 | % | 8.67 | % | |||||||||||
Deutsche High Income VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class B
|
Growth of $10,000
|
$ | 10,504 | $ | 11,091 | $ | 12,905 | $ | 17,900 | $ | 20,384 | ||||||||||
Average annual total return
|
5.04 | % | 10.91 | % | 8.87 | % | 12.35 | % | 7.38 | % | |||||||||||
Credit Suisse High Yield Index
|
Growth of $10,000
|
$ | 10,555 | $ | 11,181 | $ | 13,098 | $ | 19,048 | $ | 22,961 | ||||||||||
Average annual total return
|
5.55 | % | 11.81 | % | 9.41 | % | 13.76 | % | 8.67 | % |
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
Corporate Bonds
|
89%
|
82%
|
Cash Equivalents
|
6%
|
10%
|
Convertible Bonds
|
1%
|
2%
|
Loan Participations and Assignments
|
1%
|
—
|
Preferred Stocks
|
1%
|
1%
|
Government & Agency Obligations
|
1%
|
4%
|
Preferred Securities
|
1%
|
1%
|
100%
|
100%
|
Sector Diversification (As a % of Investment Portfolio excluding Government & Agency Obligations, Cash Equivalents and Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
Telecommunication Services
|
20%
|
20%
|
Consumer Discretionary
|
17%
|
19%
|
Energy
|
15%
|
15%
|
Industrials
|
11%
|
10%
|
Materials
|
9%
|
10%
|
Financials
|
7%
|
6%
|
Information Technology
|
7%
|
6%
|
Health Care
|
6%
|
5%
|
Consumer Staples
|
5%
|
7%
|
Utilities
|
3%
|
2%
|
100%
|
100%
|
Quality (As a % of Investment Portfolio excluding Cash Equivalents and Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
AAA
|
1%
|
4%
|
BBB
|
1%
|
2%
|
BB
|
40%
|
36%
|
B
|
44%
|
44%
|
CCC
|
12%
|
12%
|
Not Rated
|
2%
|
2%
|
100%
|
100%
|
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Corporate Bonds 88.0%
|
|||||||||
Consumer Discretionary 16.2%
|
|||||||||
AMC Entertainment, Inc., 5.875%, 2/15/2022
|
220,000 | 228,800 | |||||||
AMC Networks, Inc., 7.75%, 7/15/2021
|
80,000 | 89,500 | |||||||
AmeriGas Finance LLC:
|
|||||||||
6.75%, 5/20/2020
|
460,000 | 499,100 | |||||||
7.0%, 5/20/2022
|
350,000 | 387,625 | |||||||
APX Group, Inc.:
|
|||||||||
6.375%, 12/1/2019
|
205,000 | 212,688 | |||||||
144A, 8.75%, 12/1/2020 (c)
|
145,000 | 147,175 | |||||||
8.75%, 12/1/2020
|
25,000 | 25,375 | |||||||
Asbury Automotive Group, Inc., 8.375%, 11/15/2020
|
505,000 | 560,550 | |||||||
Ashtead Capital, Inc., 144A, 6.5%, 7/15/2022
|
330,000 | 360,525 | |||||||
Ashton Woods U.S.A. LLC, 144A, 6.875%, 2/15/2021
|
350,000 | 350,000 | |||||||
Avis Budget Car Rental LLC, 5.5%, 4/1/2023
|
205,000 | 209,613 | |||||||
BC Mountain LLC, 144A, 7.0%, 2/1/2021 (b)
|
210,000 | 203,175 | |||||||
Block Communications, Inc., 144A, 7.25%, 2/1/2020
|
375,000 | 399,375 | |||||||
Boyd Gaming Corp., 9.0%, 7/1/2020 (b)
|
155,000 | 170,888 | |||||||
Cablevision Systems Corp.:
|
|||||||||
5.875%, 9/15/2022
|
110,000 | 112,063 | |||||||
8.0%, 4/15/2020 (b)
|
65,000 | 73,816 | |||||||
Carlson Wagonlit BV, 144A, 6.875%, 6/15/2019
|
215,000 | 231,125 | |||||||
CCO Holdings LLC:
|
|||||||||
6.5%, 4/30/2021
|
655,000 | 697,575 | |||||||
6.625%, 1/31/2022
|
650,000 | 698,750 | |||||||
7.0%, 1/15/2019 (b)
|
120,000 | 126,600 | |||||||
7.375%, 6/1/2020
|
50,000 | 54,500 | |||||||
8.125%, 4/30/2020
|
150,000 | 162,375 | |||||||
Cequel Communications Holdings LLC:
|
|||||||||
144A, 5.125%, 12/15/2021
|
602,000 | 599,742 | |||||||
144A, 6.375%, 9/15/2020
|
1,215,000 | 1,290,937 | |||||||
Clear Channel Communications, Inc.:
|
|||||||||
9.0%, 12/15/2019
|
530,000 | 565,112 | |||||||
11.25%, 3/1/2021
|
280,000 | 317,450 | |||||||
Clear Channel Worldwide Holdings, Inc.:
|
|||||||||
Series A, 6.5%, 11/15/2022
|
250,000 | 266,875 | |||||||
Series B, 6.5%, 11/15/2022
|
365,000 | 393,287 | |||||||
Series A, 7.625%, 3/15/2020
|
110,000 | 117,700 | |||||||
Series B, 7.625%, 3/15/2020
|
1,115,000 | 1,202,806 | |||||||
Cogeco Cable, Inc., 144A, 4.875%, 5/1/2020
|
20,000 | 20,250 | |||||||
CSC Holdings LLC, 144A, 5.25%, 6/1/2024
|
510,000 | 501,712 | |||||||
Cumulus Media Holdings, Inc., 7.75%, 5/1/2019 (b)
|
375,000 | 395,156 | |||||||
DISH DBS Corp.:
|
|||||||||
4.25%, 4/1/2018
|
270,000 | 280,800 | |||||||
5.0%, 3/15/2023
|
1,225,000 | 1,247,969 | |||||||
6.75%, 6/1/2021
|
50,000 | 57,000 | |||||||
7.875%, 9/1/2019
|
270,000 | 320,625 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Getty Images, Inc., 144A, 7.0%, 10/15/2020 (b)
|
305,000 | 279,456 | |||||||
Group 1 Automotive, Inc., 144A, 5.0%, 6/1/2022
|
205,000 | 205,000 | |||||||
Harron Communications LP, 144A, 9.125%, 4/1/2020
|
395,000 | 440,425 | |||||||
Hertz Corp., 6.75%, 4/15/2019
|
305,000 | 323,300 | |||||||
Hot Topic, Inc., 144A, 9.25%, 6/15/2021
|
140,000 | 155,400 | |||||||
Isle of Capri Casinos, Inc., 5.875%, 3/15/2021
|
100,000 | 101,125 | |||||||
Jo-Ann Stores Holdings, Inc., 144A, 9.75%, 10/15/2019 (PIK)
|
160,000 | 163,600 | |||||||
Live Nation Entertainment, Inc.:
|
|||||||||
144A, 5.375%, 6/15/2022
|
50,000 | 50,625 | |||||||
144A, 7.0%, 9/1/2020
|
345,000 | 377,775 | |||||||
MDC Partners, Inc., 144A, 6.75%, 4/1/2020
|
370,000 | 390,350 | |||||||
Mediacom Broadband LLC:
|
|||||||||
144A, 5.5%, 4/15/2021
|
50,000 | 50,625 | |||||||
6.375%, 4/1/2023
|
425,000 | 448,375 | |||||||
Mediacom LLC, 7.25%, 2/15/2022
|
110,000 | 119,900 | |||||||
MGM Resorts International:
|
|||||||||
6.75%, 10/1/2020
|
526,000 | 587,147 | |||||||
8.625%, 2/1/2019
|
510,000 | 607,537 | |||||||
Numericable Group SA:
|
|||||||||
144A, 4.875%, 5/15/2019
|
520,000 | 533,650 | |||||||
144A, 6.0%, 5/15/2022
|
775,000 | 806,000 | |||||||
144A, 6.25%, 5/15/2024
|
225,000 | 234,844 | |||||||
Petco Animal Supplies, Inc., 144A, 9.25%, 12/1/2018
|
315,000 | 338,231 | |||||||
Pinnacle Entertainment, Inc., 6.375%, 8/1/2021
|
245,000 | 258,475 | |||||||
Quebecor Media, Inc., 5.75%, 1/15/2023
|
205,000 | 210,638 | |||||||
Schaeffler Finance BV, 144A, 7.75%, 2/15/2017
|
420,000 | 473,550 | |||||||
Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021
|
125,000 | 125,313 | |||||||
Seminole Tribe of Florida, Inc., 144A, 7.804%, 10/1/2020
|
345,000 | 388,125 | |||||||
Serta Simmons Holdings LLC, 144A, 8.125%, 10/1/2020 (b)
|
230,000 | 249,550 | |||||||
Sirius XM Radio, Inc., 144A, 5.875%, 10/1/2020 (b)
|
195,000 | 206,213 | |||||||
Springs Industries, Inc., 6.25%, 6/1/2021 (b)
|
295,000 | 300,900 | |||||||
Starz LLC, 5.0%, 9/15/2019
|
175,000 | 182,219 | |||||||
Taylor Morrison Communities, Inc., 144A, 5.25%, 4/15/2021
|
250,000 | 253,750 | |||||||
The Men's Wearhouse, Inc., 144A, 7.0%, 7/1/2022 (b)
|
145,000 | 150,075 | |||||||
Travelport LLC:
|
|||||||||
144A, 6.352%**, 3/1/2016
|
230,641 | 232,371 | |||||||
144A, 13.875%, 3/1/2016 (PIK)
|
51,848 | 53,403 | |||||||
UCI International, Inc., 8.625%, 2/15/2019
|
310,000 | 294,500 | |||||||
Unitymedia Hessen GmbH & Co., KG:
|
|||||||||
144A, 5.5%, 1/15/2023
|
945,000 | 978,075 | |||||||
144A, 7.5%, 3/15/2019
|
435,000 | 464,362 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Unitymedia KabelBW GmbH, 144A, 9.625%, 12/1/2019
|
EUR
|
550,000 | 807,918 | ||||||
Univision Communications, Inc., 144A, 7.875%, 11/1/2020
|
140,000 | 154,000 | |||||||
Viking Cruises Ltd., 144A, 8.5%, 10/15/2022
|
205,000 | 226,525 | |||||||
Visant Corp., 10.0%, 10/1/2017 (b)
|
460,000 | 428,950 | |||||||
Weyerhaeuser Real Estate Co.:
|
|||||||||
144A, 4.375%, 6/15/2019
|
145,000 | 145,363 | |||||||
144A, 5.875%, 6/15/2024
|
45,000 | 46,294 | |||||||
26,422,548 | |||||||||
Consumer Staples 4.6%
|
|||||||||
Big Heart Pet Brands, 7.625%, 2/15/2019
|
284,000 | 295,956 | |||||||
Chiquita Brands International, Inc., 7.875%, 2/1/2021
|
195,000 | 212,306 | |||||||
Cott Beverages, Inc., 144A, 5.375%, 7/1/2022
|
240,000 | 240,600 | |||||||
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020 (b)
|
810,000 | 866,700 | |||||||
JBS Investments GmbH:
|
|||||||||
144A, 7.25%, 4/3/2024
|
525,000 | 543,375 | |||||||
144A, 7.75%, 10/28/2020
|
405,000 | 433,350 | |||||||
JBS U.S.A. LLC:
|
|||||||||
144A, 7.25%, 6/1/2021
|
485,000 | 520,163 | |||||||
144A, 8.25%, 2/1/2020
|
160,000 | 173,600 | |||||||
Pilgrim's Pride Corp., 7.875%, 12/15/2018
|
290,000 | 307,052 | |||||||
Post Holdings, Inc.:
|
|||||||||
144A, 6.0%, 12/15/2022
|
200,000 | 204,000 | |||||||
144A, 6.75%, 12/1/2021
|
450,000 | 478,125 | |||||||
Reynolds Group Issuer, Inc.:
|
|||||||||
5.75%, 10/15/2020
|
1,390,000 | 1,466,450 | |||||||
6.875%, 2/15/2021
|
540,000 | 582,727 | |||||||
8.25%, 2/15/2021 (b)
|
225,000 | 244,688 | |||||||
Roundy's Supermarkets, Inc., 144A, 10.25%, 12/15/2020
|
220,000 | 232,375 | |||||||
Smithfield Foods, Inc., 6.625%, 8/15/2022
|
190,000 | 208,050 | |||||||
U.S. Foods, Inc., 8.5%, 6/30/2019
|
400,000 | 428,200 | |||||||
7,437,717 | |||||||||
Energy 13.7%
|
|||||||||
Access Midstream Partners LP, 6.125%, 7/15/2022
|
325,000 | 359,125 | |||||||
Antero Resources Finance Corp., 5.375%, 11/1/2021
|
110,000 | 114,125 | |||||||
Baytex Energy Corp.:
|
|||||||||
144A, 5.125%, 6/1/2021
|
95,000 | 95,594 | |||||||
144A, 5.625%, 6/1/2024
|
95,000 | 95,356 | |||||||
Berry Petroleum Co., LLC:
|
|||||||||
6.375%, 9/15/2022
|
205,000 | 218,325 | |||||||
6.75%, 11/1/2020
|
680,000 | 715,700 | |||||||
BreitBurn Energy Partners LP:
|
|||||||||
7.875%, 4/15/2022
|
700,000 | 757,750 | |||||||
8.625%, 10/15/2020
|
225,000 | 247,500 | |||||||
Chaparral Energy, Inc.:
|
|||||||||
7.625%, 11/15/2022
|
465,000 | 502,200 | |||||||
8.25%, 9/1/2021
|
300,000 | 329,250 | |||||||
Chesapeake Energy Corp., 3.479%,** 4/15/2019
|
300,000 | 303,375 | |||||||
Chesapeake Oilfield Operating LLC, 6.625%, 11/15/2019
|
150,000 | 161,250 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
CONSOL Energy, Inc., 144A, 5.875%, 4/15/2022
|
105,000 | 109,988 | |||||||
Crestwood Midstream Partners LP:
|
|||||||||
144A, 6.125%, 3/1/2022
|
165,000 | 173,663 | |||||||
7.75%, 4/1/2019
|
325,000 | 348,562 | |||||||
Dresser-Rand Group, Inc., 6.5%, 5/1/2021
|
420,000 | 449,400 | |||||||
Endeavor Energy Resources LP, 144A, 7.0%, 8/15/2021
|
545,000 | 581,787 | |||||||
EP Energy LLC:
|
|||||||||
6.875%, 5/1/2019
|
330,000 | 351,037 | |||||||
7.75%, 9/1/2022
|
285,000 | 321,338 | |||||||
9.375%, 5/1/2020
|
150,000 | 171,750 | |||||||
EV Energy Partners LP, 8.0%, 4/15/2019
|
835,000 | 876,750 | |||||||
EXCO Resources, Inc., 8.5%, 4/15/2022
|
155,000 | 167,400 | |||||||
Halcon Resources Corp.:
|
|||||||||
8.875%, 5/15/2021 (b)
|
1,513,500 | 1,627,012 | |||||||
9.75%, 7/15/2020
|
500,000 | 545,625 | |||||||
Hilcorp Energy I LP, 144A, 5.0%, 12/1/2024 (c)
|
195,000 | 195,000 | |||||||
Holly Energy Partners LP, 6.5%, 3/1/2020
|
105,000 | 113,138 | |||||||
Kodiak Oil & Gas Corp., 5.5%, 1/15/2021 (b)
|
400,000 | 417,000 | |||||||
Linn Energy LLC, 6.25%, 11/1/2019
|
490,000 | 513,275 | |||||||
MEG Energy Corp.:
|
|||||||||
144A, 6.5%, 3/15/2021
|
235,000 | 249,100 | |||||||
144A, 7.0%, 3/31/2024
|
470,000 | 518,175 | |||||||
Memorial Resource Development Corp., 144A, 5.875%, 7/1/2022 (c)
|
195,000 | 196,463 | |||||||
Midstates Petroleum Co., Inc.:
|
|||||||||
9.25%, 6/1/2021 (b)
|
590,000 | 647,525 | |||||||
10.75%, 10/1/2020
|
585,000 | 663,975 | |||||||
Murphy Oil U.S.A., Inc., 6.0%, 8/15/2023
|
290,000 | 305,225 | |||||||
Northern Oil & Gas, Inc., 8.0%, 6/1/2020
|
595,000 | 635,162 | |||||||
Oasis Petroleum, Inc.:
|
|||||||||
6.5%, 11/1/2021
|
175,000 | 188,125 | |||||||
144A, 6.875%, 3/15/2022
|
385,000 | 419,650 | |||||||
6.875%, 1/15/2023
|
130,000 | 141,700 | |||||||
7.25%, 2/1/2019
|
665,000 | 704,900 | |||||||
Offshore Group Investment Ltd.:
|
|||||||||
7.125%, 4/1/2023
|
410,000 | 416,150 | |||||||
7.5%, 11/1/2019
|
745,000 | 787,837 | |||||||
Regency Energy Partners LP, 5.875%, 3/1/2022
|
25,000 | 27,156 | |||||||
Sabine Pass Liquefaction LLC:
|
|||||||||
5.625%, 2/1/2021
|
690,000 | 729,675 | |||||||
5.625%, 4/15/2023
|
155,000 | 161,588 | |||||||
144A, 5.75%, 5/15/2024
|
175,000 | 182,438 | |||||||
Samson Investment Co., 144A, 10.75%, 2/15/2020
|
155,000 | 163,331 | |||||||
SandRidge Energy, Inc., 7.5%, 3/15/2021
|
1,935,000 | 2,097,056 | |||||||
SESI LLC, 6.375%, 5/1/2019
|
235,000 | 250,863 | |||||||
Seventy Seven Energy, Inc., 144A, 6.5%, 7/15/2022
|
50,000 | 51,250 | |||||||
Swift Energy Co., 7.875%, 3/1/2022 (b)
|
290,000 | 303,050 | |||||||
Talos Production LLC, 144A, 9.75%, 2/15/2018
|
410,000 | 434,600 | |||||||
Welltec AS, 144A, 8.0%, 2/1/2019
|
400,000 | 426,000 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Whiting Petroleum Corp., 5.0%, 3/15/2019
|
240,000 | 252,600 | |||||||
WPX Energy, Inc., 5.25%, 1/15/2017
|
510,000 | 543,150 | |||||||
22,359,019 | |||||||||
Financials 6.0%
|
|||||||||
AerCap Aviation Solutions BV, 6.375%, 5/30/2017
|
470,000 | 518,175 | |||||||
CIT Group, Inc.:
|
|||||||||
3.875%, 2/19/2019
|
2,810,000 | 2,853,836 | |||||||
5.25%, 3/15/2018
|
540,000 | 579,825 | |||||||
Credit Agricole SA, 144A, 7.875%, 1/29/2049 (b)
|
330,000 | 360,525 | |||||||
Credit Suisse Group AG, 144A, 6.25%, 12/29/2049 (b)
|
230,000 | 231,495 | |||||||
E*TRADE Financial Corp.:
|
|||||||||
6.375%, 11/15/2019
|
585,000 | 633,262 | |||||||
6.75%, 6/1/2016
|
710,000 | 770,350 | |||||||
Hellas Telecommunications Finance, 144A, 8.328%**, 7/15/2015 (PIK)*
|
EUR
|
322,107 | 0 | ||||||
International Lease Finance Corp.:
|
|||||||||
3.875%, 4/15/2018
|
385,000 | 394,625 | |||||||
6.25%, 5/15/2019
|
320,000 | 358,400 | |||||||
8.75%, 3/15/2017
|
245,000 | 284,813 | |||||||
Morgan Stanley, Series H, 5.45%, 7/29/2049
|
155,000 | 157,827 | |||||||
MPT Operating Partnership LP:
|
|||||||||
(REIT), 6.375%, 2/15/2022
|
290,000 | 311,025 | |||||||
(REIT), 6.875%, 5/1/2021
|
295,000 | 321,550 | |||||||
Neuberger Berman Group LLC, 144A, 5.625%, 3/15/2020
|
160,000 | 169,200 | |||||||
Popular, Inc., 7.0%, 7/1/2019 (c)
|
145,000 | 147,175 | |||||||
Societe Generale SA, 144A, 7.875%, 12/29/2049 (b)
|
825,000 | 879,656 | |||||||
The Goldman Sachs Group, Inc., Series L, 5.7%, 12/29/2049
|
260,000 | 268,613 | |||||||
UniCredit SpA, 8.0%, 4/3/2049
|
500,000 | 532,500 | |||||||
9,772,852 | |||||||||
Health Care 5.7%
|
|||||||||
Aviv Healthcare Properties LP:
|
|||||||||
6.0%, 10/15/2021
|
100,000 | 106,000 | |||||||
7.75%, 2/15/2019
|
500,000 | 532,500 | |||||||
Biomet, Inc.:
|
|||||||||
6.5%, 8/1/2020
|
355,000 | 382,512 | |||||||
6.5%, 10/1/2020
|
100,000 | 106,750 | |||||||
Community Health Systems, Inc.:
|
|||||||||
5.125%, 8/15/2018
|
1,155,000 | 1,211,306 | |||||||
144A, 5.125%, 8/1/2021
|
55,000 | 56,375 | |||||||
144A, 6.875%, 2/1/2022
|
220,000 | 233,200 | |||||||
7.125%, 7/15/2020 (b)
|
635,000 | 687,387 | |||||||
Crimson Merger Sub, Inc., 144A, 6.625%, 5/15/2022
|
525,000 | 521,062 | |||||||
Endo Finance LLC:
|
|||||||||
144A, 5.375%, 1/15/2023
|
215,000 | 214,731 | |||||||
144A, 5.75%, 1/15/2022
|
220,000 | 224,400 | |||||||
Fresenius Medical Care U.S. Finance II, Inc., 144A, 5.625%, 7/31/2019
|
220,000 | 239,800 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Fresenius U.S. Finance II, Inc., 144A, 9.0%, 7/15/2015
|
420,000 | 452,550 | |||||||
HCA, Inc.:
|
|||||||||
6.5%, 2/15/2020
|
890,000 | 1,001,250 | |||||||
7.5%, 2/15/2022
|
305,000 | 351,894 | |||||||
Hologic, Inc., 6.25%, 8/1/2020
|
200,000 | 211,000 | |||||||
IMS Health, Inc., 144A, 6.0%, 11/1/2020
|
250,000 | 262,500 | |||||||
LifePoint Hospitals, Inc., 144A, 5.5%, 12/1/2021
|
275,000 | 288,063 | |||||||
Par Pharmaceutical Companies, Inc., 7.375%, 10/15/2020
|
345,000 | 370,875 | |||||||
Physio-Control International, Inc., 144A, 9.875%, 1/15/2019
|
299,000 | 330,395 | |||||||
Salix Pharmaceuticals Ltd., 144A, 6.0%, 1/15/2021
|
165,000 | 176,963 | |||||||
Valeant Pharmaceuticals International, Inc. 144A:
6.375%, 10/15/2020
|
245,000 | 260,313 | |||||||
7.5%, 7/15/2021
|
1,050,000 | 1,162,875 | |||||||
9,384,701 | |||||||||
Industrials 9.5%
|
|||||||||
ADT Corp.:
|
|||||||||
3.5%, 7/15/2022
|
150,000 | 136,500 | |||||||
4.125%, 4/15/2019
|
45,000 | 45,281 | |||||||
6.25%, 10/15/2021 (b)
|
145,000 | 153,700 | |||||||
Aguila 3 SA, 144A, 7.875%, 1/31/2018
|
480,000 | 506,400 | |||||||
Alphabet Holding Co., Inc., 7.75%, 11/1/2017 (PIK)
|
480,000 | 495,600 | |||||||
Armored Autogroup, Inc., 9.25%, 11/1/2018 (b)
|
610,000 | 642,025 | |||||||
Artesyn Escrow, Inc., 144A, 9.75%, 10/15/2020
|
245,000 | 240,713 | |||||||
AWAS Aviation Capital Ltd., 144A, 7.0%, 10/17/2016
|
341,960 | 352,219 | |||||||
BakerCorp International, Inc., 8.25%, 6/1/2019
|
335,000 | 345,887 | |||||||
BE Aerospace, Inc., 6.875%, 10/1/2020
|
180,000 | 195,525 | |||||||
Belden, Inc., 144A, 5.5%, 9/1/2022
|
355,000 | 367,425 | |||||||
Bombardier, Inc.:
|
|||||||||
144A, 4.75%, 4/15/2019
|
160,000 | 162,800 | |||||||
144A, 5.75%, 3/15/2022 (b)
|
225,000 | 230,625 | |||||||
144A, 6.0%, 10/15/2022
|
265,000 | 271,625 | |||||||
Casella Waste Systems, Inc., 7.75%, 2/15/2019
|
275,000 | 287,375 | |||||||
Covanta Holding Corp., 5.875%, 3/1/2024
|
220,000 | 227,425 | |||||||
CTP Transportation Products LLC, 144A, 8.25%, 12/15/2019
|
275,000 | 296,313 | |||||||
Darling Ingredients, Inc., 144A, 5.375%, 1/15/2022
|
220,000 | 228,250 | |||||||
DigitalGlobe, Inc., 5.25%, 2/1/2021
|
160,000 | 158,400 | |||||||
Ducommun, Inc., 9.75%, 7/15/2018
|
305,000 | 339,407 | |||||||
Florida East Coast Holdings Corp., 144A, 6.75%, 5/1/2019
|
470,000 | 496,437 | |||||||
FTI Consulting, Inc., 6.0%, 11/15/2022
|
205,000 | 210,894 | |||||||
Garda World Security Corp., 144A, 7.25%, 11/15/2021
|
290,000 | 304,863 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Gates Global LLC, 144A, 6.0%, 7/15/2022
|
190,000 | 190,000 | |||||||
GenCorp, Inc., 7.125%, 3/15/2021
|
535,000 | 584,487 | |||||||
Huntington Ingalls Industries, Inc.:
|
|||||||||
6.875%, 3/15/2018
|
280,000 | 296,100 | |||||||
7.125%, 3/15/2021
|
60,000 | 65,550 | |||||||
Interactive Data Corp., 144A, 5.875%, 4/15/2019
|
260,000 | 263,900 | |||||||
Kenan Advantage Group, Inc., 144A, 8.375%, 12/15/2018
|
575,000 | 615,250 | |||||||
Meritor, Inc.:
|
|||||||||
6.25%, 2/15/2024
|
215,000 | 225,213 | |||||||
6.75%, 6/15/2021
|
300,000 | 322,680 | |||||||
Navios Maritime Holdings, Inc.:
|
|||||||||
144A, 7.375%, 1/15/2022
|
830,000 | 854,900 | |||||||
8.125%, 2/15/2019
|
410,000 | 431,012 | |||||||
Nortek, Inc., 8.5%, 4/15/2021
|
440,000 | 486,200 | |||||||
Oshkosh Corp., 5.375%, 3/1/2022
|
165,000 | 169,950 | |||||||
Ply Gem Industries, Inc., 144A, 6.5%, 2/1/2022 (b)
|
275,000 | 266,063 | |||||||
Spirit AeroSystems, Inc.:
|
|||||||||
144A, 5.25%, 3/15/2022
|
285,000 | 289,275 | |||||||
6.75%, 12/15/2020
|
205,000 | 220,375 | |||||||
Titan International, Inc., 6.875%, 10/1/2020
|
590,000 | 598,850 | |||||||
TransDigm, Inc.:
|
|||||||||
144A, 6.0%, 7/15/2022
|
260,000 | 267,150 | |||||||
144A, 6.5%, 7/15/2024
|
155,000 | 161,394 | |||||||
7.5%, 7/15/2021
|
470,000 | 520,525 | |||||||
Triumph Group, Inc., 144A, 5.25%, 6/1/2022
|
130,000 | 130,325 | |||||||
United Rentals North America, Inc.:
|
|||||||||
5.75%, 7/15/2018
|
365,000 | 385,987 | |||||||
6.125%, 6/15/2023
|
25,000 | 26,813 | |||||||
7.375%, 5/15/2020
|
595,000 | 657,475 | |||||||
7.625%, 4/15/2022
|
595,000 | 667,887 | |||||||
Watco Companies LLC, 144A, 6.375%, 4/1/2023
|
155,000 | 158,100 | |||||||
15,551,150 | |||||||||
Information Technology 5.8%
|
|||||||||
ACI Worldwide, Inc., 144A, 6.375%, 8/15/2020
|
105,000 | 110,513 | |||||||
Activision Blizzard, Inc., 144A, 5.625%, 9/15/2021
|
805,000 | 867,387 | |||||||
Alliance Data Systems Corp., 144A, 5.25%, 12/1/2017
|
255,000 | 266,475 | |||||||
Audatex North America, Inc., 144A, 6.0%, 6/15/2021
|
200,000 | 213,500 | |||||||
BMC Software Finance, Inc., 144A, 8.125%, 7/15/2021
|
450,000 | 462,938 | |||||||
Boxer Parent Co., Inc., 144A, 9.0%, 10/15/2019 (PIK)
|
320,000 | 312,000 | |||||||
CDW LLC, 8.5%, 4/1/2019
|
1,180,000 | 1,277,350 | |||||||
CyrusOne LP, 6.375%, 11/15/2022
|
105,000 | 113,138 | |||||||
eAccess Ltd., 144A, 8.25%, 4/1/2018
|
335,000 | 361,800 | |||||||
EarthLink Holdings Corp., 7.375%, 6/1/2020
|
245,000 | 261,231 | |||||||
Entegris, Inc., 144A, 6.0%, 4/1/2022
|
160,000 | 164,800 | |||||||
Equinix, Inc.:
|
|||||||||
5.375%, 4/1/2023
|
725,000 | 741,312 | |||||||
7.0%, 7/15/2021
|
215,000 | 237,575 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
First Data Corp.:
|
|||||||||
144A, 6.75%, 11/1/2020
|
611,000 | 661,407 | |||||||
144A, 7.375%, 6/15/2019
|
250,000 | 268,438 | |||||||
144A, 8.75%, 1/15/2022 (PIK)
|
910,000 | 1,004,412 | |||||||
144A, 8.875%, 8/15/2020
|
495,000 | 547,594 | |||||||
Freescale Semiconductor, Inc., 144A, 6.0%, 1/15/2022
|
275,000 | 292,875 | |||||||
Hughes Satellite Systems Corp.:
|
|||||||||
6.5%, 6/15/2019
|
445,000 | 496,175 | |||||||
7.625%, 6/15/2021
|
230,000 | 263,350 | |||||||
Micron Technology, Inc., 144A, 5.875%, 2/15/2022
|
110,000 | 117,975 | |||||||
NCR Corp.:
|
|||||||||
144A, 5.875%, 12/15/2021
|
55,000 | 58,025 | |||||||
144A, 6.375%, 12/15/2023
|
135,000 | 146,475 | |||||||
NXP BV, 144A, 3.75%, 6/1/2018
|
250,000 | 250,625 | |||||||
Sanmina Corp., 144A, 4.375%, 6/1/2019
|
25,000 | 24,969 | |||||||
9,522,339 | |||||||||
Materials 5.7%
|
|||||||||
Ardagh Packaging Finance PLC, 144A, 3.211%, 12/15/2019 (c)
|
310,000 | 309,225 | |||||||
AuRico Gold, Inc., 144A, 7.75%, 4/1/2020
|
155,000 | 153,450 | |||||||
Berry Plastics Corp.:
|
|||||||||
5.5%, 5/15/2022
|
435,000 | 437,447 | |||||||
9.75%, 1/15/2021
|
460,000 | 524,400 | |||||||
BOE Intermediate Holding Corp., 144A, 9.0%, 11/1/2017 (PIK)
|
317,975 | 333,476 | |||||||
BOE Merger Corp., 144A, 9.5%, 11/1/2017 (PIK)
|
410,000 | 432,037 | |||||||
Cascades, Inc., 144A, 5.5%, 7/15/2022
|
145,000 | 144,638 | |||||||
Clearwater Paper Corp., 7.125%, 11/1/2018
|
390,000 | 409,500 | |||||||
Crown Americas LLC, 6.25%, 2/1/2021
|
50,000 | 53,500 | |||||||
Exopack Holding Corp., 144A, 10.0%, 6/1/2018
|
230,000 | 247,250 | |||||||
Exopack Holdings SA, 144A, 7.875%, 11/1/2019
|
275,000 | 294,250 | |||||||
First Quantum Minerals Ltd.:
|
|||||||||
144A, 6.75%, 2/15/2020
|
551,000 | 567,530 | |||||||
144A, 7.0%, 2/15/2021
|
551,000 | 566,841 | |||||||
FMG Resources (August 2006) Pty Ltd.:
|
|||||||||
144A, 6.0%, 4/1/2017 (b)
|
315,000 | 325,237 | |||||||
144A, 8.25%, 11/1/2019 (b)
|
270,000 | 293,963 | |||||||
Hexion U.S. Finance Corp.:
|
|||||||||
6.625%, 4/15/2020
|
505,000 | 535,300 | |||||||
8.875%, 2/1/2018
|
270,000 | 280,800 | |||||||
IAMGOLD Corp., 144A, 6.75%, 10/1/2020
|
310,000 | 286,750 | |||||||
Kaiser Aluminum Corp., 8.25%, 6/1/2020
|
260,000 | 292,500 | |||||||
Packaging Dynamics Corp., 144A, 8.75%, 2/1/2016
|
535,000 | 549,445 | |||||||
Perstorp Holding AB, 144A, 8.75%, 5/15/2017 (b)
|
455,000 | 487,987 | |||||||
Plastipak Holdings, Inc., 144A, 6.5%, 10/1/2021
|
250,000 | 263,750 | |||||||
Polymer Group, Inc., 7.75%, 2/1/2019
|
270,000 | 286,875 | |||||||
Rain CII Carbon LLC:
|
|||||||||
144A, 8.0%, 12/1/2018
|
270,000 | 283,500 | |||||||
144A, 8.25%, 1/15/2021 (b)
|
200,000 | 210,000 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Sealed Air Corp.:
|
|||||||||
144A, 8.125%, 9/15/2019
|
150,000 | 165,188 | |||||||
144A, 8.375%, 9/15/2021
|
150,000 | 171,750 | |||||||
Signode Industrial Group Lux SA, 144A, 6.375%, 5/1/2022
|
210,000 | 212,625 | |||||||
Tronox Finance LLC, 6.375%, 8/15/2020 (b)
|
200,000 | 206,500 | |||||||
9,325,714 | |||||||||
Telecommunication Services 18.5%
|
|||||||||
Altice Financing SA:
|
|||||||||
144A, 7.875%, 12/15/2019
|
235,000 | 257,208 | |||||||
144A, 6.5%, 1/15/2022
|
200,000 | 213,000 | |||||||
Altice Finco SA, 144A, 9.875%, 12/15/2020
|
235,000 | 270,838 | |||||||
Altice SA, 144A, 7.75%, 5/15/2022
|
245,000 | 261,538 | |||||||
B Communications Ltd., 144A, 7.375%, 2/15/2021
|
270,000 | 290,250 | |||||||
CenturyLink, Inc.:
|
|||||||||
Series V, 5.625%, 4/1/2020
|
105,000 | 110,775 | |||||||
Series W, 6.75%, 12/1/2023
|
280,000 | 305,900 | |||||||
Cincinnati Bell, Inc.:
|
|||||||||
8.375%, 10/15/2020
|
1,505,000 | 1,649,856 | |||||||
8.75%, 3/15/2018
|
640,000 | 671,200 | |||||||
CommScope, Inc., 144A, 5.0%, 6/15/2021
|
260,000 | 265,200 | |||||||
CPI International, Inc., 8.75%, 2/15/2018
|
260,000 | 272,350 | |||||||
Digicel Group Ltd.:
|
|||||||||
144A, 7.125%, 4/1/2022
|
265,000 | 276,263 | |||||||
144A, 8.25%, 9/30/2020
|
1,560,000 | 1,700,400 | |||||||
Digicel Ltd.:
|
|||||||||
144A, 7.0%, 2/15/2020
|
200,000 | 211,000 | |||||||
144A, 8.25%, 9/1/2017
|
1,090,000 | 1,121,392 | |||||||
Frontier Communications Corp.:
|
|||||||||
7.125%, 1/15/2023
|
1,370,000 | 1,452,200 | |||||||
8.25%, 4/15/2017
|
348,000 | 404,115 | |||||||
8.5%, 4/15/2020
|
100,000 | 118,000 | |||||||
Intelsat Jackson Holdings SA:
|
|||||||||
5.5%, 8/1/2023
|
465,000 | 462,675 | |||||||
7.25%, 10/15/2020
|
1,230,000 | 1,325,325 | |||||||
7.5%, 4/1/2021
|
1,270,000 | 1,390,650 | |||||||
8.5%, 11/1/2019
|
580,000 | 616,250 | |||||||
Intelsat Luxembourg SA:
|
|||||||||
7.75%, 6/1/2021
|
670,000 | 709,362 | |||||||
8.125%, 6/1/2023
|
105,000 | 113,531 | |||||||
Level 3 Communications, Inc., 8.875%, 6/1/2019
|
55,000 | 60,156 | |||||||
Level 3 Financing, Inc.:
|
|||||||||
144A, 6.125%, 1/15/2021
|
165,000 | 176,756 | |||||||
7.0%, 6/1/2020
|
1,260,000 | 1,376,550 | |||||||
8.125%, 7/1/2019
|
670,000 | 731,137 | |||||||
8.625%, 7/15/2020
|
510,000 | 571,200 | |||||||
MetroPCS Wireless, Inc.:
|
|||||||||
6.625%, 11/15/2020
|
705,000 | 752,587 | |||||||
7.875%, 9/1/2018
|
420,000 | 441,126 | |||||||
Millicom International Cellular SA, 144A, 4.75%, 5/22/2020
|
720,000 | 720,000 | |||||||
Pacnet Ltd., 144A, 9.0%, 12/12/2018
|
200,000 | 216,500 | |||||||
SBA Communications Corp., 5.625%, 10/1/2019
|
200,000 | 211,750 | |||||||
Sprint Communications, Inc.:
|
|||||||||
144A, 7.0%, 3/1/2020
|
245,000 | 281,750 | |||||||
144A, 9.0%, 11/15/2018
|
845,000 | 1,024,562 | |||||||
9.125%, 3/1/2017
|
310,000 | 363,087 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Sprint Corp., 144A, 7.125%, 6/15/2024
|
770,000 | 816,200 | |||||||
T-Mobile U.S.A., Inc.:
|
|||||||||
6.125%, 1/15/2022
|
110,000 | 116,738 | |||||||
6.5%, 1/15/2024
|
110,000 | 117,563 | |||||||
6.625%, 4/1/2023 (b)
|
245,000 | 265,825 | |||||||
tw telecom holdings, Inc.:
|
|||||||||
5.375%, 10/1/2022
|
320,000 | 360,938 | |||||||
6.375%, 9/1/2023
|
245,000 | 278,688 | |||||||
UPCB Finance III Ltd., 144A, 6.625%, 7/1/2020
|
185,000 | 197,025 | |||||||
UPCB Finance V Ltd., 144A, 7.25%, 11/15/2021
|
1,480,000 | 1,628,000 | |||||||
UPCB Finance VI Ltd., 144A, 6.875%, 1/15/2022
|
300,000 | 327,750 | |||||||
Wind Acquisition Finance SA:
|
|||||||||
144A, 6.5%, 4/30/2020
|
195,000 | 211,331 | |||||||
144A, 7.25%, 2/15/2018
|
410,000 | 433,165 | |||||||
Windstream Corp.:
|
|||||||||
6.375%, 8/1/2023
|
265,000 | 268,644 | |||||||
7.5%, 4/1/2023
|
420,000 | 454,650 | |||||||
7.75%, 10/15/2020
|
1,880,000 | 2,037,450 | |||||||
7.75%, 10/1/2021
|
675,000 | 737,437 | |||||||
7.875%, 11/1/2017
|
495,000 | 569,869 | |||||||
30,217,712 | |||||||||
Utilities 2.3%
|
|||||||||
AES Corp.:
|
|||||||||
3.229%,** 6/1/2019
|
175,000 | 176,313 | |||||||
8.0%, 10/15/2017
|
51,000 | 59,415 | |||||||
8.0%, 6/1/2020
|
525,000 | 631,312 | |||||||
Calpine Corp.:
|
|||||||||
144A, 7.5%, 2/15/2021
|
387,000 | 419,895 | |||||||
144A, 7.875%, 7/31/2020
|
428,000 | 464,380 | |||||||
Enel SpA, 144A, 8.75%**, 9/24/2073
|
360,000 | 423,900 | |||||||
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024*
|
550,000 | 415,250 | |||||||
NGL Energy Partners LP, 144A, 5.125%, 7/15/2019 (c)
|
190,000 | 190,475 | |||||||
NRG Energy, Inc.:
|
|||||||||
144A, 6.25%, 5/1/2024
|
770,000 | 804,650 | |||||||
7.875%, 5/15/2021
|
215,000 | 238,379 | |||||||
3,823,969 | |||||||||
Total Corporate Bonds (Cost $137,003,693)
|
143,817,721 | ||||||||
Government & Agency Obligation 0.6%
|
|||||||||
U.S. Treasury Obligation
|
|||||||||
U.S. Treasury Note, 1.0%, 8/31/2016 (d) (Cost $1,060,442)
|
1,050,000 | 1,060,828 | |||||||
Loan Participations and Assignments 1.3%
|
|||||||||
Senior Loans**
|
|||||||||
Alliance Mortgage Cycle Loan, Term Loan A, 9.5%, 6/15/2010*
|
700,000 | 0 | |||||||
Ardagh Holdings U.S.A., Inc., Term Loan B, 4.25%, 12/17/2019
|
438,897 | 441,092 | |||||||
Asurion LLC, Second Lien Term Loan, 8.5%, 3/3/2021
|
310,000 | 322,206 | |||||||
DaVita HealthCare Partners, Inc., Term Loan B, Zero Coupon, 6/24/2021
|
470,000 | 472,698 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Freescale Semiconductor, Inc., Term Loan B4, 4.25%, 2/28/2020
|
309,223 | 309,674 | |||||||
Ply Gem Industries, Inc., Term Loan, 4.0%, 2/1/2021
|
309,225 | 307,756 | |||||||
Spansion LLC, Term Loan, Zero Coupon, 12/19/2019
|
190,000 | 190,791 | |||||||
Travelport LLC, Second Lien Term Loan, 9.5%, 1/29/2016
|
36,284 | 37,463 | |||||||
Total Loan Participations and Assignments (Cost $2,767,723)
|
2,081,680 | ||||||||
Convertible Bonds 1.7%
|
|||||||||
Consumer Discretionary 0.1%
|
|||||||||
Live Nation Entertainment, Inc., 144A, 2.5%, 5/15/2019
|
145,000 | 150,981 | |||||||
Materials 1.6%
|
|||||||||
GEO Specialty Chemicals, Inc., 144A, 7.5%, 3/31/2015 (PIK)
|
1,297,793 | 2,613,106 | |||||||
Total Convertible Bonds (Cost $1,433,710)
|
2,764,087 | ||||||||
Preferred Security 0.6%
|
|||||||||
Materials
|
|||||||||
Hercules, Inc., 6.5%, 6/30/2029 (Cost $767,119)
|
1,135,000 | 1,027,175 |
Shares
|
Value ($)
|
|||||||
Common Stocks 0.0%
|
||||||||
Consumer Discretionary 0.0%
|
||||||||
Dawn Holdings, Inc.* (e)
|
15 | 44,160 | ||||||
Trump Entertainment Resorts, Inc.*
|
45 | 0 | ||||||
44,160 | ||||||||
Industrials 0.0%
|
||||||||
Congoleum Corp.*
|
24,000 | 0 | ||||||
Shares
|
Value ($)
|
|||||||
Materials 0.0%
|
||||||||
GEO Specialty Chemicals, Inc.*
|
24,225 | 18,726 | ||||||
GEO Specialty Chemicals, Inc. 144A*
|
2,206 | 1,705 | ||||||
20,431 | ||||||||
Total Common Stocks (Cost $345,217)
|
64,591 | |||||||
Preferred Stock 0.7%
|
||||||||
Financials
|
||||||||
Ally Financial, Inc. Series G, 144A, 7.0% (Cost $1,058,296)
|
1,134 | 1,142,541 | ||||||
Warrants 0.1%
|
||||||||
Materials
|
||||||||
GEO Specialty Chemicals, Inc., Expiration Date 3/31/2015*
|
119,802 | 91,708 | ||||||
Hercules Trust II, Expiration Date 3/31/2029*
|
1,100 | 7,077 | ||||||
Total Warrants (Cost $244,286)
|
98,785 | |||||||
Securities Lending Collateral 5.6%
|
||||||||
Daily Assets Fund Institutional, 0.08% (f) (g) (Cost $9,098,382)
|
9,098,382 | 9,098,382 | ||||||
Cash Equivalents 5.8%
|
||||||||
Central Cash Management Fund, 0.06% (f) (Cost $9,427,233)
|
9,427,233 | 9,427,233 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $163,206,101)†
|
104.4 | 170,583,023 | ||||||
Other Assets and Liabilities, Net
|
(4.4 | ) | (7,241,952 | ) | ||||
Net Assets
|
100.0 | 163,341,071 |
Security
|
Coupon
|
Maturity Date
|
Principal
Amount
|
Cost ($)
|
Value ($)
|
|||||||||||||
Alliance Mortgage Cycle Loan*
|
9.5% | % |
6/15/2010
|
USD
|
700,000 | 700,000 | 0 | |||||||||||
Energy Future Holdings Corp.*
|
6.5 | % |
11/15/2024
|
USD
|
550,000 | 322,434 | 415,250 | |||||||||||
Hellas Telecommunications Finance*
|
8.328 | % |
7/15/2015
|
EUR
|
322,107 | 92,199 | 0 | |||||||||||
1,114,633 | 415,250 |
Schedule of Restricted Securities
|
Acquisition Date
|
Cost ($)
|
Value ($)
|
Value as % of Net Assets
|
|||||||||
Dawn Holdings, Inc.
|
August 2013
|
53,353 | 44,160 | 0.03 |
Centrally Cleared Swaps
|
|||||||||||||||||
Effective/
Expiration Dates
|
Notional Amount ($) (h)
|
Fixed Cash Flows Received
|
Underlying Debt Obligation/Quality Rating (i)
|
Value ($)
|
Unrealized Appreciation ($)
|
||||||||||||
10/19/2013
12/20/2018
|
11,880,000 | 5.0 | % |
Markit Dow Jones CDX North America High Yield Index
|
1,106,046 | 378,802 |
Bilateral Swaps
|
|||||||||||||||||||||
Effective/
Expiration Dates
|
Notional Amount ($) (h)
|
Fixed Cash Flows Received
|
Underlying Debt Obligation/
Quality Rating (i)
|
Value ($)
|
Upfront Payments Paid/
(Received) ($)
|
Unrealized Appreciation/
(Depreciation) ($)
|
|||||||||||||||
12/20/2011
3/20/2017
|
370,000 | 1 | 5.0 | % |
CIT Group, Inc.,
5.5%, 2/15/2019, BB–
|
41,093 | 8,486 | 32,607 | |||||||||||||
9/30/2013
12/20/2018
|
300,000 | 2 | 5.0 | % |
CSC Holdings LLC,
7.625%, 7/15/2018, BB
|
38,566 | 25,265 | 13,301 | |||||||||||||
9/30/2013
12/20/2018
|
1,125,000 | 3 | 5.0 | % |
CSC Holdings LLC,
7.625%, 7/15/2018, BB
|
144,624 | 100,063 | 44,561 | |||||||||||||
6/20/2013
9/20/2018
|
245,000 | 1 | 5.0 | % |
DISH DBS Corp.,
6.75%, 6/1/2021, BB–
|
37,264 | 18,485 | 18,779 | |||||||||||||
6/21/2010
9/20/2015
|
215,000 | 1 | 5.0 | % |
Ford Motor Co.,
6.5%, 8/1/2018, BBB–
|
13,159 | (19,350 | ) | 32,509 | ||||||||||||
6/21/2010
9/20/2015
|
105,000 | 1 | 5.0 | % |
Ford Motor Co.,
6.5%, 8/1/2018, BBB–
|
6,426 | (8,400 | ) | 14,826 | ||||||||||||
6/21/2010
9/20/2015
|
560,000 | 4 | 5.0 | % |
Ford Motor Co.,
6.5%, 8/1/2018, BBB–
|
34,276 | (9,983 | ) | 44,259 | ||||||||||||
6/21/2010
9/20/2015
|
175,000 | 3 | 5.0 | % |
Ford Motor Co.,
6.5%, 8/1/2018, BBB–
|
10,711 | (16,625 | ) | 27,336 | ||||||||||||
6/21/2010
9/20/2015
|
100,000 | 5 | 5.0 | % |
Ford Motor Co.,
6.5%, 8/1/2018, BBB–
|
6,121 | (6,896 | ) | 13,017 | ||||||||||||
6/20/2011
9/20/2016
|
575,000 | 4 | 5.0 | % |
Ford Motor Co.,
6.5%, 8/1/2018, BBB–
|
61,378 | 23,641 | 37,737 | |||||||||||||
3/21/2011
6/20/2016
|
1,085,000 | 2 | 5.0 | % |
Ford Motor Credit Co., LLC,
5.0%, 5/15/2018, BBB–
|
103,702 | 51,299 | 52,403 | |||||||||||||
6/20/2011
9/20/2016
|
440,000 | 2 | 5.0 | % |
Forest Oil Corp.,
7.25%, 6/15/2019, CCC+
|
5,393 | 7,292 | (1,899 | ) | ||||||||||||
9/20/2012
12/20/2017
|
485,000 | 6 | 5.0 | % |
General Motors Corp.,
3.3%, 12/20/2017, BB+
|
69,361 | 25,038 | 44,323 | |||||||||||||
6/20/2011
9/20/2015
|
1,145,000 | 5 | 5.0 | % |
HCA, Inc.,
6.375%, 1/15/2015, B–
|
65,704 | 17,820 | 47,884 | |||||||||||||
3/21/2011
6/20/2016
|
610,000 | 3 | 5.0 | % |
HCA, Inc.,
6.375%, 1/15/2015, B–
|
52,704 | 9,005 | 43,699 | |||||||||||||
6/20/2013
9/20/2018
|
470,000 | 5 | 5.0 | % |
HCA, Inc.,
8.0%, 10/1/2018, B–
|
64,730 | 31,728 | 33,002 | |||||||||||||
6/20/2013
9/20/2018
|
730,000 | 4 | 5.0 | % |
Sprint Communications, Inc.,
6.0%, 12/1/2016, BB–
|
89,956 | 36,625 | 53,331 | |||||||||||||
12/20/2013
3/20/2019
|
3,000,000 | 5 | 5.0 | % |
Sprint Communications, Inc.,
6.0%, 12/1/2016, BB–
|
363,340 | 293,847 | 69,493 | |||||||||||||
Total net unrealized appreciation
|
621,168 |
Contracts to Deliver
|
In Exchange For
|
Settlement Date
|
Unrealized Depreciation ($)
|
Counterparty
|
|||||||||||
EUR
|
593,00 |
USD
|
804,674 |
7/25/2014
|
(7,405 | ) |
JPMorgan Chase Securities, Inc.
|
Currency Abbreviations
|
EUR Euro
USD United States Dollar
|
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Fixed Income Investments (j)
|
||||||||||||||||
Corporate Bonds
|
$ | — | $ | 143,817,721 | $ | 0 | $ | 143,817,721 | ||||||||
Government & Agency Obligation
|
— | 1,060,828 | — | 1,060,828 | ||||||||||||
Loan Participations and Assignments
|
— | 2,081,680 | 0 | 2,081,680 | ||||||||||||
Convertible Bonds
|
— | 150,981 | 2,613,106 | 2,764,087 | ||||||||||||
Preferred Security
|
— | 1,027,175 | — | 1,027,175 | ||||||||||||
Common Stocks (j)
|
— | — | 64,591 | 64,591 | ||||||||||||
Preferred Stocks
|
— | 1,142,541 | — | 1,142,541 | ||||||||||||
Warrants (j)
|
— | — | 98,785 | 98,785 | ||||||||||||
Short-Term Investments (j)
|
18,525,615 | — | — | 18,525,615 | ||||||||||||
Derivatives (k)
|
||||||||||||||||
Credit Default Swap Contracts
|
— | 1,001,869 | — | 1,001,869 | ||||||||||||
Total
|
$ | 18,525,615 | $ | 150,282,795 | $ | 2,776,482 | $ | 171,584,892 | ||||||||
Liabilities
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Derivatives (k)
|
||||||||||||||||
Credit Default Swap Contracts
|
$ | — | $ | (1,899 | ) | $ | — | $ | (1,899 | ) | ||||||
Forward Foreign Currency Exchange Contracts
|
— | (7,405 | ) | — | (7,405 | ) | ||||||||||
Total
|
$ | — | $ | (9,304 | ) | $ | — | $ | (9,304 | ) |
Corporate Bonds
|
Loan Participations and Assignments
|
Convertible Bonds
|
Common Stocks
|
Warrants
|
Total
|
|||||||||||||||||||
Balance as of December 31, 2013
|
$ | 0 | $ | 0 | $ | 2,514,085 | $ | 289,546 | $ | 99,821 | $ | 2,903,452 | ||||||||||||
Realized gains (loss)
|
(965,174 | ) | — | — | 44,875 | — | (920,299 | ) | ||||||||||||||||
Change in unrealized appreciation (depreciation)
|
965,174 | — | 93,214 | (42,629 | ) | (1,036 | ) | 1,014,723 | ||||||||||||||||
Amortization of premium/accretion of discount
|
— | — | 5,807 | — | — | 5,807 | ||||||||||||||||||
Purchases
|
— | — | — | — | — | — | ||||||||||||||||||
(Sales)
|
— | — | — | (227,201 | ) | — | (227,201 | ) | ||||||||||||||||
Transfer into Level 3
|
— | — | — | — | — | — | ||||||||||||||||||
Balance as of June 30, 2014
|
$ | 0 | $ | 0 | $ | 2,613,106 | $ | 64,591 | $ | 98,785 | $ | 2,776,482 | ||||||||||||
Net change in unrealized appreciation (depreciation) from investments still held as of June 30, 2014
|
$ | 0 | $ | 0 | $ | 93,214 | $ | 2,246 | $ | (1,036 | ) | $ | 94,424 |
Quantitative Disclosure About Significant Unobservable Inputs
|
||||||||||
Asset Class
|
Fair Value at 6/30/14
|
Valuation Technique(s)
|
Unobservable Input
|
Range (Weighted Average)
|
||||||
Common Stocks
|
||||||||||
Consumer Discretionary
|
$ | 44,160 |
Asset Valuation
|
Book Value of Equity
|
$3,753 per share
|
|||||
Discount for lack of marketability
|
20 | % | ||||||||
$ | 0 |
Asset Valuation
|
Book Value of Equity
|
0 | % | |||||
Industrials
|
$ | 0 |
Asset Valuation
|
Book Value of Equity
|
0 | % | ||||
Materials
|
$ | 20,431 |
Market Approach
|
EV/EBITDA Multiple
|
6.37 | |||||
Discount to public comparables
|
20 | % | ||||||||
Discount for lack of marketability
|
25 | % | ||||||||
Warrants
|
||||||||||
Materials
|
$ | 7,077 |
Black Scholes Option Pricing Model
|
Implied Volatility
|
25.6 | % | ||||
Discount for lack of marketability
|
20 | % | ||||||||
$ | 91,708 |
Market Approach
|
EV/EBITDA Multiple
|
6.37 | ||||||
Discount to public comparables
|
20 | % | ||||||||
Discount for lack of marketability
|
25 | % | ||||||||
Loan Participations & Assignments
|
||||||||||
Senior Loans
|
$ | 0 |
Market Approach
|
Evaluated Price
|
0 | |||||
Corporate Bonds
|
||||||||||
Finance
|
$ | 0 |
Asset Valuation
|
Book Value
|
0 | |||||
Convertible Bonds
|
||||||||||
Consumer Discretionary
|
$ | 2,613,106 |
Convertible Bond Methodology
|
EV/EBITDA Multiple
|
6.37 | |||||
Discount to public comparable
|
20 | % | ||||||||
Discount for lack of marketability
|
25 | % |
as of June 30, 2014 (Unaudited)
|
||||
Assets
|
||||
Investments:
Investments in non-affiliated securities, at value (cost $144,680,486) — including $8,762,305 of securities loaned
|
$ | 152,057,408 | ||
Investment in Daily Assets Fund Institutional (cost $9,098,382)*
|
9,098,382 | |||
Investment in Central Cash Management Fund (cost $9,427,233)
|
9,427,233 | |||
Total investments in securities, at value (cost $163,206,101)
|
170,583,023 | |||
Cash
|
21,804 | |||
Foreign currency, at value (cost $637)
|
642 | |||
Receivable for investments sold
|
755,066 | |||
Receivable for investments sold — when-issued/delayed delivery security
|
268,138 | |||
Receivable for Fund shares sold
|
7,923 | |||
Interest receivable
|
2,389,685 | |||
Unrealized appreciation on bilateral swap contracts
|
623,067 | |||
Upfront payments paid on bilateral swap contracts
|
648,594 | |||
Other assets
|
1,017 | |||
Total assets
|
175,298,959 | |||
Liabilities
|
||||
Payable upon return of securities loaned
|
9,098,382 | |||
Payable for investments purchased
|
877,476 | |||
Payable for investments purchased — when-issued/delayed delivery security
|
1,453,881 | |||
Payable for Fund shares redeemed
|
276,898 | |||
Unrealized depreciation on bilateral swap contracts
|
1,899 | |||
Unrealized depreciation on forward foreign currency exchange contracts
|
7,405 | |||
Upfront payments received on swap contracts
|
61,253 | |||
Accrued management fee
|
67,242 | |||
Payable for variation margin on centrally cleared swaps
|
12,788 | |||
Accrued Trustees' fees
|
9 | |||
Other accrued expenses and payables
|
100,655 | |||
Total liabilities
|
11,957,888 | |||
Net assets, at value
|
$ | 163,341,071 | ||
Net Assets Consist of
|
||||
Undistributed net investment income
|
3,054,494 | |||
Net unrealized appreciation (depreciation) on:
Investments
|
7,376,922 | |||
Swap contracts
|
999,970 | |||
Foreign currency
|
(7,360 | ) | ||
Accumulated net realized gain (loss)
|
(40,241,113 | ) | ||
Paid-in capital
|
192,158,158 | |||
Net assets, at value
|
$ | 163,341,071 | ||
Class A
Net Asset Value, offering and redemption price per share ($160,221,247 ÷ 23,447,650 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 6.83 | ||
Class B
Net Asset Value, offering and redemption price per share ($3,119,824 ÷ 453,335 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 6.88 |
for the six months ended June 30, 2014 (Unaudited)
|
||||
Investment Income
|
||||
Interest
|
$ | 4,716,740 | ||
Dividends
|
35,730 | |||
Income distributions — Central Cash Management Fund
|
3,743 | |||
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates
|
18,254 | |||
Total income
|
4,774,467 | |||
Expenses:
Management fee
|
407,316 | |||
Administration fee
|
81,463 | |||
Distribution service fee (Class B)
|
1,741 | |||
Recordkeeping fees (Class B)
|
954 | |||
Services to shareholders
|
892 | |||
Custodian fee
|
15,585 | |||
Professional fees
|
44,391 | |||
Reports to shareholders
|
20,732 | |||
Trustees' fees and expenses
|
4,305 | |||
Other
|
21,526 | |||
Total expenses before expense reductions
|
598,905 | |||
Expense reductions
|
(10,629 | ) | ||
Total expenses after expense reductions
|
588,276 | |||
Net investment income (loss)
|
4,186,191 | |||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) from:
Investments
|
421,661 | |||
Swap contracts
|
487,614 | |||
Foreign currency
|
6,059 | |||
915,334 | ||||
Change in net unrealized appreciation (depreciation) on:
Investments
|
3,133,624 | |||
Swap contracts
|
(15,161 | ) | ||
Foreign currency
|
(4,568 | ) | ||
3,113,895 | ||||
Net gain (loss)
|
4,029,229 | |||
Net increase (decrease) in net assets resulting from operations
|
$ | 8,215,420 |
Increase (Decrease) in Net Assets
|
Six Months Ended June 30, 2014 (Unaudited)
|
Year Ended December 31, 2013
|
||||||
Operations:
Net investment income
|
$ | 4,186,191 | $ | 9,500,105 | ||||
Operations:
Net investment income
|
$ | 4,186,191 | $ | 9,500,105 | ||||
Net realized gain (loss)
|
915,334 | 3,917,069 | ||||||
Change in net unrealized appreciation (depreciation)
|
3,113,895 | (804,655 | ) | |||||
Net increase (decrease) in net assets resulting from operations
|
8,215,420 | 12,612,519 | ||||||
Distributions to shareholders from:
Net investment income:
Class A
|
(10,554,088 | ) | (12,380,542 | ) | ||||
Class B
|
(119,183 | ) | (6,491 | ) | ||||
Total distributions
|
(10,673,271 | ) | (12,387,033 | ) | ||||
Fund share transactions:
Class A
Proceeds from shares sold
|
4,131,186 | 37,136,318 | ||||||
Reinvestment of distributions
|
10,554,088 | 12,380,542 | ||||||
Payments for shares redeemed
|
(17,083,757 | ) | (63,021,014 | ) | ||||
Net increase (decrease) in net assets from Class A share transactions
|
(2,398,483 | ) | (13,504,154 | ) | ||||
Class B
Proceeds from shares sold
|
3,059,469 | 674,207 | ||||||
Reinvestment of distributions
|
119,183 | 6,491 | ||||||
Payments for shares redeemed
|
(333,255 | ) | (452,620 | ) | ||||
Net increase (decrease) in net assets from Class B share transactions
|
2,845,397 | 228,078 | ||||||
Increase (decrease) in net assets
|
(2,010,937 | ) | (13,050,590 | ) | ||||
Net assets at beginning of period
|
165,352,008 | 178,402,598 | ||||||
Net assets at end of period (including undistributed net investment income of $3,054,494 and $9,541,574, respectively)
|
$ | 163,341,071 | $ | 165,352,008 | ||||
Other Information
|
||||||||
Class A
Shares outstanding at beginning of period
|
23,727,813 | 25,717,511 | ||||||
Shares sold
|
590,798 | 5,481,259 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
1,575,237 | 1,834,154 | ||||||
Shares redeemed
|
(2,446,198 | ) | (9,305,111 | ) | ||||
Net increase (decrease) in Class A shares
|
(280,163 | ) | (1,989,698 | ) | ||||
Shares outstanding at end of period
|
23,447,650 | 23,727,813 | ||||||
Class B
Shares outstanding at beginning of period
|
46,339 | 13,214 | ||||||
Shares sold
|
436,688 | 98,852 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
17,657 | 955 | ||||||
Shares redeemed
|
(47,349 | ) | (66,682 | ) | ||||
Net increase (decrease) in Class B shares
|
406,996 | 33,125 | ||||||
Shares outstanding at end of period
|
453,335 | 46,339 |
Years Ended December 31,
|
||||||||||||||||||||||||
Class A
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 6.96 | $ | 6.93 | $ | 6.56 | $ | 6.90 | $ | 6.55 | $ | 5.30 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.18 | .39 | .45 | .51 | .52 | .51 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.16 | .14 | .48 | (.24 | ) | .36 | 1.40 | |||||||||||||||||
Total from investment operations
|
.34 | .53 | .93 | .27 | .88 | 1.91 | ||||||||||||||||||
Less distributions from:
Net investment income
|
(.47 | ) | (.50 | ) | (.56 | ) | (.61 | ) | (.53 | ) | (.66 | ) | ||||||||||||
Net asset value, end of period
|
$ | 6.83 | $ | 6.96 | $ | 6.93 | $ | 6.56 | $ | 6.90 | $ | 6.55 | ||||||||||||
Total Return (%)
|
5.01 | b** | 7.91 | b | 14.91 | 3.84 | 14.00 | 39.99 | ||||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
160 | 165 | 178 | 169 | 195 | 197 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)
|
.73 | * | .73 | .72 | .72 | .72 | .67 | |||||||||||||||||
Ratio of expenses after expense reductions (%)
|
.72 | * | .72 | .72 | .72 | .72 | .67 | |||||||||||||||||
Ratio of net investment income (%)
|
5.14 | * | 5.69 | 6.68 | 7.59 | 7.90 | 8.81 | |||||||||||||||||
Portfolio turnover rate (%)
|
45 | ** | 58 | 58 | 59 | 93 | 66 | |||||||||||||||||
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
* Annualized
** Not annualized
|
Years Ended December 31,
|
||||||||||||||||||||||||
Class B
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 6.99 | $ | 6.97 | $ | 6.59 | $ | 6.93 | $ | 6.58 | $ | 5.31 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.17 | .36 | .43 | .49 | .50 | .49 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.17 | .15 | .49 | (.24 | ) | .36 | 1.42 | |||||||||||||||||
Total from investment operations
|
.34 | .51 | .92 | .25 | .86 | 1.91 | ||||||||||||||||||
Less distributions from:
Net investment income
|
(.45 | ) | (.49 | ) | (.54 | ) | (.59 | ) | (.51 | ) | (.64 | ) | ||||||||||||
Net asset value, end of period
|
$ | 6.88 | $ | 6.99 | $ | 6.97 | $ | 6.59 | $ | 6.93 | $ | 6.58 | ||||||||||||
Total Return (%)
|
5.04 | b** | 7.44 | b | 14.70 | b | 3.57 | 13.64 | 39.64 | |||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
3 | .3 | .1 | .1 | .1 | .2 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)
|
1.12 | * | 1.10 | .99 | .99 | .99 | .94 | |||||||||||||||||
Ratio of expenses after expense reductions (%)
|
.97 | * | .97 | .99 | .99 | .99 | .94 | |||||||||||||||||
Ratio of net investment income (%)
|
4.97 | * | 5.29 | 6.42 | 7.33 | 7.63 | 8.54 | |||||||||||||||||
Portfolio turnover rate (%)
|
45 | ** | 58 | 58 | 59 | 93 | 66 | |||||||||||||||||
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
* Annualized
** Not annualized
|
Asset Derivative
|
Swap
Contracts
|
|||
Credit Contract (a)
|
$ | 1,001,869 | ||
The above derivative is located in the following Statement of Assets and Liabilities account:
(a) Unrealized appreciation on swap contracts. Unsettled variation margin for centrally cleared swaps is disclosed separately within the Statement of Assets and Liabilities.
|
Liability Derivative
|
Forward Contracts
|
Swap
Contracts
|
Total
|
|||||||||
Credit Contracts (a)
|
$ | — | $ | (1,899 | ) | $ | (1,899 | ) | ||||
Foreign Exchange Contracts (b)
|
(7,405 | ) | — | (7,405 | ) | |||||||
$ | (7,405 | ) | $ | (1,899 | ) | $ | (9,304 | ) | ||||
Each of the above derivatives is located in the following Statement of Assets and Liabilities account:
(a) Unrealized depreciation on swap contracts
(b) Unrealized appreciation on forward foreign currency exchange contracts
|
Realized Gain (Loss)
|
Forward Contracts
|
Swap
Contracts
|
Total
|
|||||||||
Credit Contracts (a)
|
$ | — | $ | 487,614 | $ | 487,614 | ||||||
Foreign Exchange Contracts (b)
|
14,619 | — | 14,619 | |||||||||
$ | 14,619 | $ | 487,614 | $ | 502,233 | |||||||
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Net realized gain (loss) from swap contracts
(b) Net realized gain (loss) from foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
|
Change in Net Unrealized Appreciation (Depreciation)
|
Forward Contracts
|
Swap
Contracts
|
Total
|
|||||||||
Credit Contracts (a)
|
$ | — | $ | (15,161 | ) | $ | (15,161 | ) | ||||
Foreign Exchange Contracts (b)
|
(4,552 | ) | — | (4,552 | ) | |||||||
$ | (4,552 | ) | $ | (15,161 | ) | $ | (19,713 | ) | ||||
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Change in net unrealized appreciation (depreciation) on swap contracts
(b) Change in net unrealized appreciation (depreciation) on foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
|
Counterparty
|
Gross Amounts of Assets Presented in the Statement of Assets and Liabilities
|
Financial Instruments and Derivatives Available for Offset
|
Collateral Received
|
Net Amount of Derivative Assets
|
||||||||||||
Bank of America
|
$ | 135,327 | $ | — | $ | — | $ | 135,327 | ||||||||
Barclays Bank PLC
|
65,704 | (1,899 | ) | — | 63,805 | |||||||||||
Credit Suisse
|
98,721 | — | — | 98,721 | ||||||||||||
Goldman Sachs & Co.
|
163,396 | — | — | 163,396 | ||||||||||||
JPMorgan Chase Securities, Inc.
|
115,596 | (7,405 | ) | — | 108,191 | |||||||||||
UBS AG
|
44,323 | — | — | 44,323 | ||||||||||||
$ | 623,067 | $ | (9,304 | ) | $ | — | $ | 613,763 | ||||||||
Counterparty
|
Gross Amounts of Liabilities Presented in the Statement of Assets and Liabilities
|
Financial Instruments and Derivatives Available for Offset
|
Collateral Pledged
|
Net Amount of Derivative Liabilities
|
||||||||||||
Barclays Bank PLC
|
$ | 1,899 | $ | (1,899 | ) | $ | — | $ | — | |||||||
JPMorgan Chase Securities, Inc.
|
7,405 | (7,405 | ) | — | — | |||||||||||
$ | 9,304 | $ | (9,304 | ) | $ | — | $ | — |
First $250 million
|
.500 | % | ||
Next $750 million
|
.470 | % | ||
Next $1.5 billion
|
.450 | % | ||
Next $2.5 billion
|
.430 | % | ||
Next $2.5 billion
|
.400 | % | ||
Next $2.5 billion
|
.380 | % | ||
Next $2.5 billion
|
.360 | % | ||
Over $12.5 billion
|
.340 | % |
Class A
|
.72%
|
Class B
|
.97%
|
Class A
|
$ | 9,583 | ||
Class B
|
1,046 | |||
$ | 10,629 |
Services to Shareholders
|
Total Aggregated
|
Unpaid at June 30, 2014
|
||||||
Class A
|
$ | 147 | $ | 72 | ||||
Class B
|
20 | 5 | ||||||
$ | 167 | $ | 77 |
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2014
|
||||||||
Actual Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,050.10 | $ | 1,050.40 | ||||
Expenses Paid per $1,000*
|
$ | 3.66 | $ | 4.93 | ||||
Hypothetical 5% Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,021.22 | $ | 1.019.98 | ||||
Expenses Paid per $1,000*
|
$ | 3.61 | $ | 4.86 |
Annualized Expense Ratios
|
Class A
|
Class B
|
||
Deutsche Variable Series II — Deutsche High Income VIP
|
.72%
|
.97%
|
3 Letter to Shareholders
4 Performance Summary
5 Portfolio Summary
5 Portfolio Management Team
6 Investment Portfolio
9 Statement of Assets and Liabilities
9 Statement of Operations
10 Statement of Changes in Net Assets
11 Financial Highlights
13 Notes to Financial Statements
17 Information About Your Fund's Expenses
18 Proxy Voting
19 Advisory Agreement Board Considerations and Fee Evaluation
|
Former Name
|
New name, effective August 11, 2014
|
DWS Investments Distributors, Inc.
|
DeAWM Distributors, Inc.
|
DWS Trust Company
|
DeAWM Trust Company
|
DWS Investments Service Company
|
DeAWM Service Company
|
Growth of an Assumed $10,000 Investment in Deutsche Large Cap Value VIP
|
||
The Russell 1000® Value Index is an unmanaged index that consists of those stocks in the Russell 1000® Index with less-than-average growth orientation. The Russell 1000® Index is an unmanaged price-only index of the 1,000 largest capitalized companies that are domiciled in the U.S. and whose common stocks are traded.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
|
||
Yearly periods ended June 30
|
Comparative Results
|
|||||||||||||||||||||
Deutsche Large Cap Value VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class A
|
Growth of $10,000
|
$ | 10,753 | $ | 12,293 | $ | 14,499 | $ | 20,017 | $ | 19,495 | ||||||||||
Average annual total return
|
7.53 | % | 22.93 | % | 13.18 | % | 14.89 | % | 6.90 | % | |||||||||||
Russell 1000® Value Index
|
Growth of $10,000
|
$ | 10,828 | $ | 12,381 | $ | 15,982 | $ | 24,095 | $ | 21,641 | ||||||||||
Average annual total return
|
8.28 | % | 23.81 | % | 16.92 | % | 19.23 | % | 8.03 | % | |||||||||||
Deutsche Large Cap Value VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class B
|
Growth of $10,000
|
$ | 10,731 | $ | 12,257 | $ | 14,362 | $ | 19,716 | $ | 18,842 | ||||||||||
Average annual total return
|
7.31 | % | 22.57 | % | 12.83 | % | 14.54 | % | 6.54 | % | |||||||||||
Russell 1000® Value Index
|
Growth of $10,000
|
$ | 10,828 | $ | 12,381 | $ | 15,982 | $ | 24,095 | $ | 21,641 | ||||||||||
Average annual total return
|
8.28 | % | 23.81 | % | 16.92 | % | 19.23 | % | 8.03 | % |
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
Common Stocks
|
96%
|
99%
|
Cash Equivalents
|
4%
|
1%
|
100%
|
100%
|
Sector Diversification (As a % of Common Stocks)
|
6/30/14
|
12/31/13
|
Financials
|
22%
|
24%
|
Health Care
|
18%
|
14%
|
Energy
|
16%
|
14%
|
Information Technology
|
13%
|
11%
|
Consumer Staples
|
8%
|
11%
|
Consumer Discretionary
|
6%
|
8%
|
Industrials
|
6%
|
7%
|
Utilities
|
6%
|
5%
|
Telecommunication Services
|
3%
|
2%
|
Materials
|
2%
|
4%
|
100%
|
100%
|
Shares
|
Value ($)
|
|||||||
Common Stocks 96.4%
|
||||||||
Consumer Discretionary 6.3%
|
||||||||
Automobiles 0.8%
|
||||||||
Ford Motor Co.
|
200,000 | 3,448,000 | ||||||
Hotels, Restaurants & Leisure 0.9%
|
||||||||
McDonald's Corp.
|
40,000 | 4,029,600 | ||||||
Household Durables 0.9%
|
||||||||
Jarden Corp.*
|
30,000 | 1,780,500 | ||||||
MDC Holdings, Inc. (a)
|
75,000 | 2,271,750 | ||||||
4,052,250 | ||||||||
Media 3.4%
|
||||||||
Comcast Corp. "A"
|
170,000 | 9,125,600 | ||||||
News Corp. "A"*
|
100,000 | 1,794,000 | ||||||
Time Warner, Inc.
|
30,000 | 2,107,500 | ||||||
Walt Disney Co.
|
27,500 | 2,357,850 | ||||||
15,384,950 | ||||||||
Textiles, Apparel & Luxury Goods 0.3%
|
||||||||
Columbia Sportswear Co.
|
13,615 | 1,125,280 | ||||||
Consumer Staples 7.6%
|
||||||||
Beverages 1.3%
|
||||||||
PepsiCo, Inc.
|
67,500 | 6,030,450 | ||||||
Food & Staples Retailing 2.0%
|
||||||||
CVS Caremark Corp.
|
55,000 | 4,145,350 | ||||||
Sysco Corp. (a)
|
50,000 | 1,872,500 | ||||||
Walgreen Co.
|
37,500 | 2,779,875 | ||||||
8,797,725 | ||||||||
Food Products 1.0%
|
||||||||
Kellogg Co.
|
40,000 | 2,628,000 | ||||||
Tyson Foods, Inc. "A"
|
45,000 | 1,689,300 | ||||||
4,317,300 | ||||||||
Household Products 2.5%
|
||||||||
Energizer Holdings, Inc.
|
20,000 | 2,440,600 | ||||||
Procter & Gamble Co.
|
112,500 | 8,841,375 | ||||||
11,281,975 | ||||||||
Tobacco 0.8%
|
||||||||
Altria Group, Inc.
|
90,000 | 3,774,600 | ||||||
Energy 15.4%
|
||||||||
Energy Equipment & Services 1.1%
|
||||||||
Diamond Offshore Drilling, Inc. (a)
|
50,000 | 2,481,500 | ||||||
National Oilwell Varco, Inc.
|
32,500 | 2,676,375 | ||||||
5,157,875 | ||||||||
Oil, Gas & Consumable Fuels 14.3%
|
||||||||
Apache Corp.
|
55,000 | 5,534,100 | ||||||
ARC Resources Ltd. (a)
|
49,896 | 1,519,255 | ||||||
Canadian Oil Sands Ltd.
|
180,000 | 4,078,909 | ||||||
Chevron Corp.
|
82,500 | 10,770,375 | ||||||
ConocoPhillips
|
42,500 | 3,643,525 | ||||||
Devon Energy Corp.
|
40,000 | 3,176,000 | ||||||
Exxon Mobil Corp.
|
165,000 | 16,612,200 | ||||||
Hess Corp. (a)
|
25,000 | 2,472,250 | ||||||
Occidental Petroleum Corp.
|
87,500 | 8,980,125 | ||||||
Parkland Fuel Corp. (a)
|
57,100 | 1,100,207 | ||||||
Phillips 66
|
35,000 | 2,815,050 | ||||||
Suncor Energy, Inc.
|
75,000 | 3,197,250 | ||||||
63,899,246 | ||||||||
Shares
|
Value ($)
|
|||||||
Financials 20.9%
|
||||||||
Banks 10.8%
|
||||||||
Bank of America Corp.
|
350,000 | 5,379,500 | ||||||
Canadian Imperial Bank of Commerce (a)
|
40,000 | 3,639,942 | ||||||
Citigroup, Inc.
|
200,000 | 9,420,000 | ||||||
JPMorgan Chase & Co.
|
200,000 | 11,524,000 | ||||||
PNC Financial Services Group, Inc.
|
90,000 | 8,014,500 | ||||||
U.S. Bancorp.
|
75,000 | 3,249,000 | ||||||
Wells Fargo & Co.
|
135,000 | 7,095,600 | ||||||
48,322,542 | ||||||||
Capital Markets 2.4%
|
||||||||
Bank of New York Mellon Corp.
|
70,000 | 2,623,600 | ||||||
BlackRock, Inc.
|
7,000 | 2,237,200 | ||||||
Franklin Resources, Inc.
|
62,500 | 3,615,000 | ||||||
Legg Mason, Inc. (a)
|
47,500 | 2,437,225 | ||||||
10,913,025 | ||||||||
Consumer Finance 1.3%
|
||||||||
Capital One Financial Corp.
|
70,000 | 5,782,000 | ||||||
Insurance 6.0%
|
||||||||
ACE Ltd.
|
20,000 | 2,074,000 | ||||||
Allstate Corp.
|
47,500 | 2,789,200 | ||||||
American International Group, Inc.
|
52,500 | 2,865,450 | ||||||
Fidelity National Financial, Inc. "A"
|
65,000 | 2,129,400 | ||||||
First American Financial Corp.
|
77,500 | 2,153,725 | ||||||
PartnerRe Ltd.
|
27,500 | 3,003,275 | ||||||
Prudential Financial, Inc.
|
75,000 | 6,657,750 | ||||||
The Travelers Companies, Inc.
|
42,500 | 3,997,975 | ||||||
Unum Group
|
29,260 | 1,017,078 | ||||||
26,687,853 | ||||||||
Real Estate Management & Development 0.4%
|
||||||||
Brookfield Asset Management, Inc. "A" (a)
|
40,000 | 1,760,800 | ||||||
Health Care 17.4%
|
||||||||
Biotechnology 1.1%
|
||||||||
Amgen, Inc.
|
40,000 | 4,734,800 | ||||||
Health Care Equipment & Supplies 2.9%
|
||||||||
Abbott Laboratories
|
50,000 | 2,045,000 | ||||||
C.R. Bard, Inc.
|
35,000 | 5,005,350 | ||||||
Medtronic, Inc.
|
95,000 | 6,057,200 | ||||||
13,107,550 | ||||||||
Health Care Providers & Services 3.7%
|
||||||||
Aetna, Inc.
|
27,500 | 2,229,700 | ||||||
Cardinal Health, Inc.
|
57,500 | 3,942,200 | ||||||
UnitedHealth Group, Inc.
|
35,000 | 2,861,250 | ||||||
WellPoint, Inc.
|
70,000 | 7,532,700 | ||||||
16,565,850 | ||||||||
Life Sciences Tools & Services 0.6%
|
||||||||
Agilent Technologies, Inc.
|
45,000 | 2,584,800 | ||||||
Pharmaceuticals 9.1%
|
||||||||
Eli Lilly & Co.
|
80,000 | 4,973,600 | ||||||
Johnson & Johnson
|
82,500 | 8,631,150 | ||||||
Merck & Co., Inc.
|
155,000 | 8,966,750 | ||||||
Pfizer, Inc.
|
517,500 | 15,359,400 | ||||||
Questcor Pharmaceuticals, Inc. (a)
|
32,500 | 3,005,925 | ||||||
40,936,825 | ||||||||
Shares
|
Value ($)
|
|||||||
Industrials 6.2%
|
||||||||
Aerospace & Defense 0.8%
|
||||||||
Raytheon Co.
|
37,500 | 3,459,375 | ||||||
Airlines 0.5%
|
||||||||
Southwest Airlines Co. (a)
|
80,000 | 2,148,800 | ||||||
Commercial Services & Supplies 0.8%
|
||||||||
ABM Industries, Inc.
|
42,877 | 1,156,821 | ||||||
Republic Services, Inc.
|
65,000 | 2,468,050 | ||||||
3,624,871 | ||||||||
Industrial Conglomerates 3.2%
|
||||||||
Danaher Corp.
|
35,000 | 2,755,550 | ||||||
General Electric Co.
|
450,000 | 11,826,000 | ||||||
14,581,550 | ||||||||
Machinery 0.9%
|
||||||||
AGCO Corp.
|
70,000 | 3,935,400 | ||||||
Information Technology 12.1%
|
||||||||
Communications Equipment 2.2%
|
||||||||
Brocade Communications Systems, Inc.
|
137,500 | 1,265,000 | ||||||
Cisco Systems, Inc.
|
350,000 | 8,697,500 | ||||||
9,962,500 | ||||||||
Electronic Equipment, Instruments & Components 0.8%
|
||||||||
Tech Data Corp.*
|
56,514 | 3,533,255 | ||||||
IT Services 0.4%
|
||||||||
Xerox Corp.
|
125,000 | 1,555,000 | ||||||
Semiconductors & Semiconductor Equipment 2.3%
|
||||||||
Analog Devices, Inc.
|
60,000 | 3,244,200 | ||||||
Intel Corp.
|
150,000 | 4,635,000 | ||||||
Texas Instruments, Inc.
|
55,000 | 2,628,450 | ||||||
10,507,650 | ||||||||
Software 3.5%
|
||||||||
Activision Blizzard, Inc.
|
125,000 | 2,787,500 | ||||||
Microsoft Corp.
|
160,000 | 6,672,000 | ||||||
Oracle Corp.
|
150,000 | 6,079,500 | ||||||
15,539,000 | ||||||||
Technology Hardware, Storage & Peripherals 2.9%
|
||||||||
Apple, Inc.
|
49,000 | 4,553,570 | ||||||
EMC Corp.
|
82,500 | 2,173,050 | ||||||
Hewlett-Packard Co.
|
107,500 | 3,620,600 | ||||||
Western Digital Corp.
|
30,000 | 2,769,000 | ||||||
13,116,220 | ||||||||
Materials 1.8%
|
||||||||
Chemicals 1.5%
|
||||||||
Celanese Corp. "A"
|
35,000 | 2,249,800 | ||||||
CF Industries Holdings, Inc.
|
7,500 | 1,803,975 | ||||||
LyondellBasell Industries NV "A"
|
25,000 | 2,441,250 | ||||||
6,495,025 | ||||||||
Shares
|
Value ($)
|
|||||||
Paper & Forest Products 0.3%
|
||||||||
Western Forest Products, Inc.
|
675,000 | 1,410,665 | ||||||
Telecommunication Services 3.2%
|
||||||||
Diversified Telecommunication Services
|
||||||||
AT&T, Inc.
|
140,000 | 4,950,400 | ||||||
BCE, Inc.
|
60,460 | 2,742,466 | ||||||
Verizon Communications, Inc.
|
140,000 | 6,850,200 | ||||||
14,543,066 | ||||||||
Utilities 5.5%
|
||||||||
Electric Utilities 3.0%
|
||||||||
American Electric Power Co., Inc.
|
42,500 | 2,370,225 | ||||||
Duke Energy Corp.
|
27,500 | 2,040,225 | ||||||
Entergy Corp.
|
25,000 | 2,052,250 | ||||||
Pinnacle West Capital Corp.
|
30,000 | 1,735,200 | ||||||
PPL Corp.
|
62,500 | 2,220,625 | ||||||
Southern Co. (a)
|
65,000 | 2,949,700 | ||||||
13,368,225 | ||||||||
Gas Utilities 0.8%
|
||||||||
UGI Corp.
|
70,000 | 3,535,000 | ||||||
Independent Power & Renewable Electricity Producers 0.5%
|
||||||||
AES Corp.
|
150,000 | 2,332,500 | ||||||
Multi-Utilities 1.2%
|
||||||||
Public Service Enterprise Group, Inc.
|
80,000 | 3,263,200 | ||||||
Wisconsin Energy Corp.
|
50,000 | 2,346,000 | ||||||
5,609,200 | ||||||||
Total Common Stocks (Cost $328,855,658)
|
431,952,598 | |||||||
Securities Lending Collateral 4.6%
|
||||||||
Daily Assets Fund Institutional, 0.08% (b) (c) (Cost $20,493,704)
|
20,493,704 | 20,493,704 | ||||||
Cash Equivalents 4.3%
|
||||||||
Central Cash Management Fund, 0.06% (b) (Cost $19,448,993)
|
19,448,993 | 19,448,993 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $368,798,355)†
|
105.3 | 471,895,295 | ||||||
Other Assets and Liabilities, Net
|
(5.3 | ) | (23,749,392 | ) | ||||
Net Assets
|
100.0 | 448,145,903 |
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Common Stocks (d)
|
$ | 431,952,598 | $ | — | $ | — | $ | 431,952,598 | ||||||||
Short-Term Investments
|
39,942,697 | — | — | 39,942,697 | ||||||||||||
Total
|
$ | 471,895,295 | $ | — | $ | — | $ | 471,895,295 |
as of June 30, 2014 (Unaudited)
|
||||
Assets
|
||||
Investments:
Investments in non-affiliated securities, at value (cost $328,855,658) — including $19,964,910 of securities loaned
|
$ | 431,952,598 | ||
Investment in Daily Assets Fund Institutional (cost $20,493,704)*
|
20,493,704 | |||
Investment in Central Cash Management Fund (cost $19,448,993)
|
19,448,993 | |||
Total investments in securities, at value (cost $368,798,355)
|
471,895,295 | |||
Cash
|
47,441 | |||
Foreign currency, at value (cost $50,531)
|
52,013 | |||
Receivable for investments sold
|
32,664,997 | |||
Receivable for Fund shares sold
|
47,594 | |||
Dividends receivable
|
553,196 | |||
Interest receivable
|
23,110 | |||
Foreign taxes recoverable
|
3,840 | |||
Other assets
|
2,527 | |||
Total assets
|
505,290,013 | |||
Liabilities
|
||||
Payable upon return of securities loaned
|
20,493,704 | |||
Payable for investments purchased
|
35,766,063 | |||
Payable for Fund shares redeemed
|
567,426 | |||
Accrued management fee
|
218,519 | |||
Accrued Trustees' fees
|
994 | |||
Other accrued expenses and payables
|
97,404 | |||
Total liabilities
|
57,144,110 | |||
Net assets, at value
|
$ | 448,145,903 | ||
Net Assets Consist of
|
||||
Undistributed net investment income
|
3,485,826 | |||
Net unrealized appreciation (depreciation) on:
Investments
|
103,096,940 | |||
Foreign currency
|
2,641 | |||
Accumulated net realized gain (loss)
|
(57,506,818 | ) | ||
Paid-in capital
|
399,067,314 | |||
Net assets, at value
|
$ | 448,145,903 | ||
Class A
Net Asset Value, offering and redemption price per share ($442,899,036 ÷ 26,242,841 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 16.88 | ||
Class B
Net Asset Value, offering and redemption price per share ($5,246,867 ÷ 310,056 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 16.92 |
for the year ended June 30, 2014 (Unaudited)
|
||||
Investment Income
|
||||
Income:
Dividends (net of foreign taxes withheld of $48,860)
|
$ | 5,095,765 | ||
Income distributions — Central Cash Management Fund
|
3,858 | |||
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates
|
81,697 | |||
Total income
|
5,181,320 | |||
Expenses:
Management fee
|
1,379,701 | |||
Administration fee
|
215,793 | |||
Services to shareholders
|
2,903 | |||
Record keeping fees (Class B)
|
1,345 | |||
Distribution and service fee (Class B)
|
5,900 | |||
Custodian fee
|
7,364 | |||
Professional fees
|
35,241 | |||
Reports to shareholders
|
19,346 | |||
Trustees' fees and expenses
|
9,039 | |||
Other
|
8,345 | |||
Total expenses before expense reductions
|
1,684,977 | |||
Expense reductions
|
(102,370 | ) | ||
Total expenses after expense reductions
|
1,582,607 | |||
Net investment income
|
$ | 3,598,713 | ||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) from:
Investments
|
40,359,549 | |||
Foreign currency
|
23,672 | |||
40,383,221 | ||||
Change in net unrealized appreciation (depreciation) on:
Investments
|
(12,384,413 | ) | ||
Foreign currency
|
1,924 | |||
(12,382,489 | ) | |||
Net gain (loss)
|
28,000,732 | |||
Net increase (decrease) in net assets resulting from operations
|
31,599,445 |
Increase (Decrease) in Net Assets
|
Six Months Ended June 30, 2014 (Unaudited)
|
Year Ended December 31, 2013
|
||||||
Operations:
Net investment income
|
$ | 3,598,713 | $ | 7,492,381 | ||||
Operations:
Net investment income
|
$ | 3,598,713 | $ | 7,492,381 | ||||
Net realized gain (loss)
|
40,383,221 | 43,142,013 | ||||||
Change in net unrealized appreciation (depreciation)
|
(12,382,489 | ) | 59,914,889 | |||||
Net increase (decrease) in net assets resulting from operations
|
31,599,445 | 110,549,283 | ||||||
Distributions to shareholders from:
Net investment income:
Class A
|
(7,350,279 | ) | (8,048,782 | ) | ||||
Class B
|
(66,263 | ) | (66,664 | ) | ||||
Total distributions
|
(7,416,542 | ) | (8,115,446 | ) | ||||
Fund share transactions:
Class A
Proceeds from shares sold
|
5,906,580 | 7,515,770 | ||||||
Reinvestment of distributions
|
7,350,279 | 8,048,782 | ||||||
Payments for shares redeemed
|
(26,691,245 | ) | (61,510,110 | ) | ||||
Net increase (decrease) in net assets from Class A share transactions
|
(13,434,386 | ) | (45,945,558 | ) | ||||
Class B
Proceeds from shares sold
|
625,828 | 822,748 | ||||||
Reinvestment of distributions
|
66,263 | 66,664 | ||||||
Payments for shares redeemed
|
(357,644 | ) | (844,581 | ) | ||||
Net increase (decrease) in net assets from Class B share transactions
|
334,447 | 44,831 | ||||||
Increase (decrease) in net assets
|
11,082,964 | 56,533,110 | ||||||
Net assets at beginning of period
|
437,062,939 | 380,529,829 | ||||||
Net assets at end of period (including undistributed net investment income of $3,485,826 and $7,303,655, respectively)
|
$ | 448,145,903 | $ | 437,062,939 | ||||
Other Information
|
||||||||
Class A
Shares outstanding at beginning of period
|
27,072,074 | 30,284,545 | ||||||
Shares sold
|
367,175 | 520,949 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
455,690 | 590,520 | ||||||
Shares redeemed
|
(1,652,098 | ) | (4,323,940 | ) | ||||
Net increase (decrease) in Class A shares
|
(829,233 | ) | (3,212,471 | ) | ||||
Shares outstanding at end of period
|
26,242,841 | 27,072,074 | ||||||
Class B
Shares outstanding at beginning of period
|
289,672 | 286,965 | ||||||
Shares sold
|
38,271 | 55,598 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
4,095 | 4,877 | ||||||
Shares redeemed
|
(21,982 | ) | (57,768 | ) | ||||
Net increase (decrease) in Class B shares
|
20,384 | 2,707 | ||||||
Shares outstanding at end of period
|
310,056 | 289,672 |
Years Ended December 31,
|
||||||||||||||||||||||||
Class A
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 15.97 | $ | 12.45 | $ | 11.56 | $ | 11.80 | $ | 10.86 | $ | 8.92 | ||||||||||||
Income (loss) from investment operations:
Net investment income (loss)a
|
.13 | .26 | .25 | .25 | .23 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
1.06 | 3.54 | .87 | (.24 | ) | .93 | 1.97 | |||||||||||||||||
Total from investment operations
|
1.19 | 3.80 | 1.12 | .01 | 1.16 | 2.18 | ||||||||||||||||||
Less distributions from:
Net investment income
|
(.28 | ) | (.28 | ) | (.23 | ) | (.25 | ) | (.22 | ) | (.24 | ) | ||||||||||||
Total distributions
|
(.28 | ) | (.28 | ) | (.23 | ) | (.25 | ) | (.22 | ) | (.24 | ) | ||||||||||||
Net asset value, end of period
|
$ | 16.88 | $ | 15.97 | $ | 12.45 | $ | 11.56 | $ | 11.80 | $ | 10.86 | ||||||||||||
Total Return (%)
|
7.53 | b** | 30.89 | b | 9.79 | b | (.07 | ) | 10.77 | 25.37 | ||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
443 | 432 | 377 | 396 | 206 | 214 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)
|
.78 | * | .78 | .78 | .79 | .82 | .76 | |||||||||||||||||
Ratio of expenses after expense reductions (%)
|
.73 | * | .74 | .77 | .79 | .82 | .76 | |||||||||||||||||
Ratio of net investment income (loss) (%)
|
1.67 | * | 1.82 | 2.04 | 2.15 | 2.13 | 2.22 | |||||||||||||||||
Portfolio turnover rate (%)
|
34 | ** | 54 | 63 | 28 | 32 | 76 | |||||||||||||||||
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
* Annualized
** Not annualized
|
Years Ended December 31,
|
||||||||||||||||||||||||
Class B
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 15.99 | $ | 12.46 | $ | 11.57 | $ | 11.81 | $ | 10.86 | $ | 8.92 | ||||||||||||
Income (loss) from investment operations:
Net investment income (loss)a
|
.11 | .22 | .21 | .22 | .20 | .19 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
1.05 | 3.55 | .88 | (.25 | ) | .93 | 1.96 | |||||||||||||||||
Total from investment operations
|
1.16 | 3.77 | 1.09 | (.03 | ) | 1.13 | 2.15 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.23 | ) | (.24 | ) | (.20 | ) | (.21 | ) | (.18 | ) | (.21 | ) | ||||||||||||
Total distributions
|
(.23 | ) | (.24 | ) | (.20 | ) | (.21 | ) | (.18 | ) | (.21 | ) | ||||||||||||
Net asset value, end of period
|
$ | 16.92 | $ | 15.99 | $ | 12.46 | $ | 11.57 | $ | 11.81 | $ | 10.86 | ||||||||||||
Total Return (%)
|
7.31 | b** | 30.54 | b | 9.44 | b | (.36 | ) | 10.53 | 24.86 | ||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
5 | 5 | 4 | 3 | 1 | 1 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)
|
1.09 | * | 1.09 | 1.09 | 1.10 | 1.11 | 1.06 | |||||||||||||||||
Ratio of expenses after expense reductions (%)
|
1.04 | * | 1.05 | 1.08 | 1.10 | 1.11 | 1.06 | |||||||||||||||||
Ratio of net investment income (loss) (%)
|
1.36 | * | 1.52 | 1.73 | 1.84 | 1.84 | 1.92 | |||||||||||||||||
Portfolio turnover rate (%)
|
34 | ** | 54 | 63 | 28 | 32 | 76 | |||||||||||||||||
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
* Annualized
** Not annualized
|
First $250 million
|
.650 | % | ||
Next $750 million
|
.625 | % | ||
Next $1.5 billion
|
.600 | % | ||
Next $2.5 billion
|
.575 | % | ||
Next $2.5 billion
|
.550 | % | ||
Next $2.5 billion
|
.525 | % | ||
Next $2.5 billion
|
.500 | % | ||
Over $12.5 billion
|
.475 | % |
Class A
|
.73%
|
Class B
|
1.04%
|
Class A
|
$ | 101,196 | ||
Class B
|
1,174 | |||
$ | 102,370 |
Services to Shareholders
|
Total Aggregated
|
Unpaid at June 30, 2014
|
||||||
Class A
|
$ | 187 | $ | 92 | ||||
Class B
|
117 | 63 | ||||||
$ | 304 | $ | 155 |
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2014
|
||||||||
Actual Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,075.30 | $ | 1,073.10 | ||||
Expenses Paid per $1,000*
|
$ | 3.76 | $ | 5.35 | ||||
Hypothetical 5% Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,021.17 | $ | 1,019.64 | ||||
Expenses Paid per $1,000*
|
$ | 3.66 | $ | 5.21 |
Annualized Expense Ratios
|
Class A
|
Class B
|
||
Deutsche Variable Series II — Deutsche Large Cap Value VIP
|
.73%
|
1.04%
|
3 Letter to Shareholders
4 Performance Summary
5 Portfolio Summary
6 Investment Portfolio
10 Statement of Assets and Liabilities
10 Statement of Operations
11 Statement of Changes in Net Assets
12 Financial Highlights
13 Notes to Financial Statements
16 Information About Your Fund's Expenses
17 Other Information
18 Advisory Agreement Board Considerations and Fee Evaluation
|
Former Name
|
New name, effective August 11, 2014
|
DWS Investments Distributors, Inc.
|
DeAWM Distributors, Inc.
|
DWS Trust Company
|
DeAWM Trust Company
|
DWS Investments Service Company
|
DeAWM Service Company
|
7-Day Current Yield
|
|
June 30, 2014
|
0.01%*
|
December 31, 2013
|
0.01%*
|
Asset Allocation (As a % of Investment Portfolio)
|
6/30/14
|
12/31/13
|
Commercial Paper
|
54%
|
50%
|
Repurchase Agreements
|
17%
|
7%
|
Short-Term Notes
|
9%
|
16%
|
Certificates of Deposit and Bank Notes
|
9%
|
15%
|
Time Deposit
|
6%
|
4%
|
Government & Agency Obligations
|
5%
|
8%
|
100%
|
100%
|
Weighted Average Maturity*
|
6/30/14
|
12/31/13
|
Deutsche Variable Series II — Deutsche Money Market VIP
|
40 days
|
43 days
|
First Tier Retail Money Fund Average
|
44 days
|
43 days
|
Principal Amount ($)
|
Value ($)
|
|||||||
Certificates of Deposit and Bank Notes 8.8%
|
||||||||
Banco del Estado de Chile, 0.24%, 11/4/2014
|
1,200,000 | 1,200,000 | ||||||
Bank of America NA, 0.17%, 7/31/2014
|
1,500,000 | 1,500,000 | ||||||
Bank of Montreal, 0.17%, 9/10/2014
|
1,000,000 | 1,000,000 | ||||||
China Construction Bank Corp., 0.37%, 7/14/2014
|
1,500,000 | 1,500,000 | ||||||
DNB Bank ASA, 0.23%, 10/9/2014
|
1,000,000 | 1,000,000 | ||||||
DZ Bank AG:
|
||||||||
0.25%, 9/10/2014
|
1,000,000 | 1,000,000 | ||||||
0.26%, 8/25/2014
|
1,000,000 | 1,000,000 | ||||||
0.27%, 11/7/2014
|
750,000 | 750,000 | ||||||
Fortis Bank SA, 0.22%, 7/1/2014
|
2,000,000 | 2,000,000 | ||||||
Industrial & Commercial Bank of China Ltd., 0.37%, 7/29/2014
|
750,000 | 750,000 | ||||||
Natixis, 0.223%, 7/14/2014
|
850,000 | 850,000 | ||||||
Nordea Bank Finland PLC, 0.21%, 7/7/2014
|
1,500,000 | 1,500,000 | ||||||
Wal-Mart Stores, Inc., 5.319%, 6/1/2015
|
500,000 | 523,525 | ||||||
Total Certificates of Deposit and Bank Notes (Cost $14,573,525)
|
14,573,525 | |||||||
Commercial Paper 53.8%
|
||||||||
Issued at Discount** 41.5%
|
||||||||
Albion Capital Corp. SA, 0.13%, 7/7/2014
|
4,000,000 | 3,999,913 | ||||||
Alpine Securitzation, 144A, 0.02%, 7/1/2014
|
7,000,000 | 7,000,000 | ||||||
Apple, Inc., 0.07%, 7/7/2014
|
500,000 | 499,994 | ||||||
Bank Nederlandse Gemeenten, 0.255%, 10/20/2014
|
1,500,000 | 1,498,821 | ||||||
Bedford Row Funding Corp.:
|
||||||||
144A, 0.3%, 4/14/2015
|
1,000,000 | 997,608 | ||||||
144A, 0.31%, 10/27/2014
|
750,000 | 749,238 | ||||||
144A, 0.32%, 12/17/2014
|
1,000,000 | 998,498 | ||||||
BNZ International Funding Ltd., 144A, 0.155%, 7/23/2014
|
800,000 | 799,924 | ||||||
Chevron Corp., 144A, 0.12%, 9/16/2014
|
750,000 | 749,807 | ||||||
CNPC Finance HK Ltd.:
|
||||||||
144A, 0.38%, 8/21/2014
|
500,000 | 499,731 | ||||||
144A, 0.4%, 7/2/2014
|
440,000 | 439,995 | ||||||
Coca-Cola Co., 0.1%, 8/1/2014
|
722,000 | 721,938 | ||||||
Collateralized Commercial Paper Co., LLC, 0.21%, 9/25/2014
|
1,500,000 | 1,499,247 | ||||||
Collateralized Commercial Paper II Co., LLC, 144A, 0.2%, 8/25/2014
|
2,000,000 | 1,999,389 | ||||||
CPPIB Capital, Inc., 0.3%, 2/11/2015
|
750,000 | 748,594 | ||||||
DBS Bank Ltd., 144A, 0.235%, 9/10/2014
|
1,000,000 | 999,537 | ||||||
Dexia Credit Local:
|
||||||||
0.27%, 9/4/2014
|
1,000,000 | 999,512 | ||||||
0.33%, 8/18/2014
|
1,000,000 | 999,560 | ||||||
DNB Bank ASA, 0.24%, 10/6/2014
|
1,750,000 | 1,748,868 | ||||||
Erste Abwicklungsanstalt:
|
||||||||
144A, 0.12%, 7/7/2014
|
3,000,000 | 2,999,940 | ||||||
144A, 0.16%, 9/8/2014
|
1,500,000 | 1,499,540 | ||||||
144A, 0.16%, 9/18/2014
|
1,000,000 | 999,649 | ||||||
Principal Amount ($)
|
Value ($)
|
|||||||
Gotham Funding Corp., 144A, 0.15%, 7/11/2014
|
3,000,000 | 2,999,875 | ||||||
Hannover Funding Co., LLC:
|
||||||||
0.18%, 8/4/2014
|
3,000,000 | 2,999,490 | ||||||
0.18%, 8/11/2014
|
500,000 | 499,897 | ||||||
MetLife Short Term Funding LLC, 144A, 0.2%, 8/6/2014
|
600,000 | 599,880 | ||||||
Nordea Bank AB:
|
||||||||
0.165%, 7/28/2014
|
1,000,000 | 999,876 | ||||||
0.22%, 11/12/2014
|
500,000 | 499,591 | ||||||
Old Line Funding LLC, 144A, 0.22%, 9/10/2014
|
1,500,000 | 1,499,349 | ||||||
Oversea-Chinese Banking Corp., Ltd., 0.245%, 9/16/2014
|
2,000,000 | 1,998,952 | ||||||
Philip Morris International, Inc.:
|
||||||||
144A, 0.1%, 7/8/2014
|
2,000,000 | 1,999,961 | ||||||
144A, 0.12%, 7/21/2014
|
500,000 | 499,967 | ||||||
Regency Markets No. 1 LLC, 144A, 0.12%, 7/3/2014
|
4,500,000 | 4,499,970 | ||||||
Siemens Capital Co., LLC, 144A, 0.13%, 9/19/2014
|
1,000,000 | 999,711 | ||||||
Sinopec Century Bright Capital Investment Ltd., 0.37%, 7/17/2014
|
1,000,000 | 999,836 | ||||||
Skandinaviska Enskilda Banken AB, 0.235%, 9/2/2014
|
1,500,000 | 1,499,383 | ||||||
Standard Chartered Bank:
|
||||||||
0.28%, 11/3/2014
|
1,500,000 | 1,498,542 | ||||||
0.28%, 11/19/2014
|
1,500,000 | 1,498,355 | ||||||
Swedbank AB:
|
||||||||
0.175%, 8/19/2014
|
1,000,000 | 999,762 | ||||||
0.255%, 10/16/2014
|
1,300,000 | 1,299,015 | ||||||
Sydney Capital Corp., 144A, 0.19%, 7/24/2014
|
3,000,000 | 2,999,636 | ||||||
United Overseas Bank Ltd., 0.26%, 1/5/2015
|
1,000,000 | 998,642 | ||||||
Victory Receivables Corp., 144A, 0.17%, 8/5/2014
|
1,000,000 | 999,835 | ||||||
Wal-Mart Stores, Inc., 0.1%, 7/28/2014
|
1,600,000 | 1,599,880 | ||||||
Walt Disney Co., 0.1%, 7/31/2014
|
1,000,000 | 999,917 | ||||||
68,938,625 | ||||||||
Issued at Par 12.3%
|
||||||||
ANZ New Zealand International Ltd., 144A, 0.213%*, 1/12/2015
|
1,300,000 | 1,300,000 | ||||||
ASB Finance Ltd.:
|
||||||||
144A, 0.243%*, 5/22/2015
|
1,250,000 | 1,250,000 | ||||||
144A, 0.264%*, 10/9/2014
|
1,250,000 | 1,249,976 | ||||||
Atlantic Asset Securitization LLC, 144A, 0.181%*, 8/7/2014
|
500,000 | 500,000 | ||||||
Bank of Montreal:
|
||||||||
0.181%*, 8/14/2014
|
1,000,000 | 999,994 | ||||||
0.22%*, 9/5/2014
|
1,000,000 | 1,000,050 | ||||||
Bank of Nova Scotia, 0.28%*, 1/13/2015
|
800,000 | 800,000 | ||||||
BNZ International Funding Ltd.:
|
||||||||
144A, 0.243%*, 2/2/2015
|
1,000,000 | 1,000,000 | ||||||
144A, 0.247%*, 1/20/2015
|
1,250,000 | 1,250,000 | ||||||
Caisse Centrale Desjardins, 144A, 0.227%*, 1/26/2015
|
800,000 | 799,954 | ||||||
Canadian Imperial Bank of Commerce, 0.223%*, 5/8/2015
|
500,000 | 500,000 | ||||||
Principal Amount ($)
|
Value ($)
|
|||||||
Kells Funding LLC:
|
||||||||
144A, 0.223%*, 10/28/2014
|
1,200,000 | 1,200,000 | ||||||
144A, 0.23%*, 1/27/2015
|
1,250,000 | 1,249,963 | ||||||
144A, 0.233%*, 2/13/2015
|
2,000,000 | 2,000,111 | ||||||
Nederlandse Waterschapsbank NV, 144A, 0.265%*, 8/15/2014
|
800,000 | 800,000 | ||||||
Old Line Funding LLC, 144A, 0.183%*, 10/10/2014
|
1,200,000 | 1,200,000 | ||||||
PNC Bank NA, 0.27%, 9/5/2014
|
1,000,000 | 1,000,000 | ||||||
Royal Bank of Canada, 0.27%*, 12/11/2014
|
1,000,000 | 1,000,000 | ||||||
Westpac Banking Corp., 144A, 0.225%*, 2/19/2015
|
1,250,000 | 1,250,004 | ||||||
20,350,052 | ||||||||
Total Commercial Paper (Cost $89,288,677)
|
89,288,677 | |||||||
Short-Term Notes* 9.1%
|
||||||||
Australia & New Zealand Banking Group Ltd., 144A, 0.327%, 5/18/2015
|
800,000 | 800,000 | ||||||
Bank of Nova Scotia:
|
||||||||
0.28%, 9/3/2014
|
1,000,000 | 1,000,000 | ||||||
0.294%, 6/24/2015
|
1,000,000 | 1,000,000 | ||||||
Canadian Imperial Bank of Commerce, 0.34%, 7/17/2015
|
1,800,000 | 1,800,000 | ||||||
Commonwealth Bank of Australia, 144A, 0.241%, 7/10/2015
|
1,200,000 | 1,200,000 | ||||||
JPMorgan Chase Bank NA, 0.347%, 6/22/2015
|
1,000,000 | 1,000,000 | ||||||
Rabobank Nederland NV:
|
||||||||
0.265%, 7/23/2014
|
1,000,000 | 1,000,000 | ||||||
0.277%, 12/1/2014
|
1,500,000 | 1,500,000 | ||||||
0.307%, 7/6/2015
|
1,500,000 | 1,500,000 | ||||||
Svenska Handelsbanken AB, 144A, 0.308%, 10/3/2014
|
1,500,000 | 1,500,000 | ||||||
Wells Fargo Bank NA:
|
||||||||
0.25%, 6/16/2015
|
1,000,000 | 1,000,000 | ||||||
0.27%, 12/10/2014
|
1,000,000 | 1,000,000 | ||||||
Westpac Banking Corp., 0.231%, 5/11/2015
|
800,000 | 800,000 | ||||||
Total Short-Term Notes (Cost $15,100,000)
|
15,100,000 | |||||||
Time Deposits 6.2%
|
||||||||
Citibank NA, 0.08%, 7/2/2014
|
4,000,000 | 4,000,000 | ||||||
Credit Agricole Corporate & Investment Bank, 0.07%, 7/1/2014
|
6,344,418 | 6,344,418 | ||||||
Total Time Deposits (Cost $10,344,418)
|
10,344,418 | |||||||
Principal Amount ($)
|
Value ($)
|
|||||||
Government & Agency Obligations 5.6%
|
||||||||
U.S. Government Sponsored Agencies 4.4%
|
||||||||
Federal Farm Credit Bank:
|
||||||||
0.113%*, 10/29/2014
|
500,000 | 500,025 | ||||||
0.133%*, 10/20/2014
|
1,000,000 | 1,000,017 | ||||||
Federal Home Loan Mortgage Corp.:
|
||||||||
0.068%**, 8/7/2014
|
2,500,000 | 2,499,820 | ||||||
0.08%**, 11/26/2014
|
1,200,000 | 1,199,606 | ||||||
0.094%**, 10/2/2014
|
500,000 | 499,877 | ||||||
0.099%**, 10/24/2014
|
1,500,000 | 1,499,521 | ||||||
7,198,866 | ||||||||
U.S. Treasury Obligation 1.2%
|
||||||||
U.S. Treasury Note, 0.5%, 8/15/2014
|
2,000,000 | 2,000,864 | ||||||
Total Government & Agency Obligations (Cost $9,199,730)
|
9,199,730 | |||||||
Repurchase Agreements 16.5%
|
||||||||
Barclays Capital, 0.07%, dated 6/30/2014, to be repurchased at $7,000,014 on 7/1/2014 (a)
|
7,000,000 | 7,000,000 | ||||||
BNP Paribas, 0.08%, dated 6/30/2014, to be repurchased at $8,000,622 on 8/4/2014 (b)
|
8,000,000 | 8,000,000 | ||||||
BNP Paribas, 0.23%***, dated 12/23/2013, to be repurchased at $1,502,147 on 8/4/2014 (c)
|
1,500,000 | 1,500,000 | ||||||
JPMorgan Securities, Inc., 0.36%***, dated 3/18/2014, to be repurchased at $2,503,725 on 8/14/2014 (d)
|
2,500,000 | 2,500,000 | ||||||
JPMorgan Securities, Inc., 0.39%***, dated 2/13/2014, to be repurchased at $1,253,087 on 9/29/2014 (e)
|
1,250,000 | 1,250,000 | ||||||
Nomura Securities International, 0.11%, dated 6/30/2014, to be repurchased at $5,000,015 on 7/1/2014 (f)
|
5,000,000 | 5,000,000 | ||||||
The Toronto-Dominion Bank, 0.11%, dated 6/30/2014, to be repurchased at $1,000,003 on 7/1/2014 (g)
|
1,000,000 | 1,000,000 | ||||||
Wells Fargo Bank, 0.38%, dated 5/8/2014, to be repurchased at $1,201,140 on 8/6/2014 (h)
|
1,200,000 | 1,200,000 | ||||||
Total Repurchase Agreements (Cost $27,450,000)
|
27,450,000 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $165,956,350)†
|
100.0 | 165,956,350 | ||||||
Other Assets and Liabilities, Net
|
0.0 | 67,338 | ||||||
Net Assets
|
100.0 | 166,023,688 |
Principal Amount ($)
|
Security
|
Rate (%)
|
Maturity Date
|
Collateral Value ($)
|
||||||||
1,092,900 |
Federal Home Loan Mortgage Corp.
|
4.0–6.0 |
10/1/2031–8/1/2038
|
1,224,897 | ||||||||
4,306,281 |
Federal National Mortgage Association
|
4.0–7.0 |
4/1/2015–6/1/2041
|
4,737,894 | ||||||||
2,000,334 |
Government National Mortgage Association
|
2.5–5.5 |
5/15/2037–12/15/2042
|
2,197,209 | ||||||||
Total Collateral Value
|
8,160,000 |
Principal Amount ($)
|
Security
|
Rate (%)
|
Maturity Date
|
Collateral Value ($)
|
||||||||
1,372,004 |
Bank of America Corp.
|
6.0 |
9/1/2017
|
1,578,564 | ||||||||
254 |
Petroleos Mexicanos
|
6.5 |
6/2/2041
|
296 | ||||||||
Total Collateral Value
|
1,578,860 |
Principal Amount ($)
|
Security
|
Rate (%)
|
Maturity Date
|
Collateral Value ($)
|
||||||||
1,000 |
Federal National Mortgage Association
|
4.0 |
7/1/2044
|
1,065 | ||||||||
4,735,519 |
Government National Mortgage Association
|
2.49–6.0 |
10/15/2033–6/20/2044
|
5,098,937 | ||||||||
Total Collateral Value
|
5,100,002 |
Principal Amount ($)
|
Security
|
Rate (%)
|
Maturity Date
|
Collateral Value ($)
|
||||||||
604,659 |
Apple, Inc.
|
2.85 |
5/6/2021
|
613,297 | ||||||||
702 |
Bank of Nova Scotia
|
1.75 |
3/22/2017
|
719 | ||||||||
1,683 |
Citigroup, Inc.
|
3.75 |
6/16/2024
|
1,689 | ||||||||
416,250 |
MasterCard, Inc.
|
3.375 |
4/1/2024
|
421,170 | ||||||||
679 |
Westpac Banking Corp.
|
2.0 |
5/21/2019
|
680 | ||||||||
Total Collateral Value
|
1,037,555 |
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments in Securities (i)
|
$ | $ | 138,506,350 | $ | — | $ | 138,506,350 | |||||||||
Repurchase Agreements
|
— | 27,450,000 | — | 27,450,000 | ||||||||||||
Total
|
$ | — | $ | 165,956,350 | $ | — | $ | 165,956,350 |
as of June 30, 2014 (Unaudited)
|
||||
Assets
|
||||
Investments in non-affiliated securities, valued at amortized cost
|
$ | 138,506,350 | ||
Repurchase agreements, valued at amortized cost
|
27,450,000 | |||
Total investments, valued at amortized cost
|
165,956,350 | |||
Cash
|
35 | |||
Receivable for Fund shares sold
|
314,058 | |||
Interest receivable
|
26,763 | |||
Due from Advisor
|
8 | |||
Other assets
|
1,329 | |||
Total assets
|
166,298,543 | |||
Liabilities
|
||||
Payable for Fund shares redeemed
|
185,182 | |||
Distributions payable
|
636 | |||
Accrued Trustees' fees
|
27 | |||
Other accrued expenses and payables
|
89,010 | |||
Total liabilities
|
274,855 | |||
Net assets, at value
|
$ | 166,023,688 | ||
Net Assets Consist of
|
||||
Undistributed net investment income
|
712 | |||
Accumulated net realized gain (loss)
|
(81 | ) | ||
Paid-in capital
|
166,023,057 | |||
Net assets, at value
|
$ | 166,023,688 | ||
Class A
Net Asset Value, offering and redemption price per share ($166,023,688 ÷ 166,106,772 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 1.00 |
for the six months ended June 30, 2014 (Unaudited)
|
||||
Investment Income
|
||||
Income:
Interest
|
$ | 158,452 | ||
Expenses:
Management fee
|
239,350 | |||
Administration fee
|
83,983 | |||
Services to shareholders
|
1,066 | |||
Custodian fee
|
12,961 | |||
Professional fees
|
25,803 | |||
Reports to shareholders
|
40,406 | |||
Trustees' fee and expenses
|
4,344 | |||
Other
|
4,726 | |||
Total expenses before expense reductions
|
412,639 | |||
Expense reductions
|
(262,592 | ) | ||
Total expenses after expense reductions
|
150,047 | |||
Net investment income
|
8,405 | |||
Net realized gain (loss)
|
(81 | ) | ||
Net increase (decrease) in net assets resulting from operations
|
$ | 8,324 |
Increase (Decrease) in Net Assets
|
Six Months Ended June 30, 2014 (Unaudited)
|
Year Ended December 31, 2013
|
||||||
Operations:
Net investment income
|
$ | 8,405 | $ | 18,768 | ||||
Operations:
Net investment income
|
$ | 8,405 | $ | 18,768 | ||||
Net realized gain (loss)
|
(81 | ) | 509 | |||||
Net increase (decrease) in net assets resulting from operations
|
8,324 | 19,277 | ||||||
Distributions to shareholders from:
Net investment income
Class A
|
(8,405 | ) | (18,768 | ) | ||||
Total distributions
|
(8,405 | ) | (18,768 | ) | ||||
Fund share transactions:
Class A
Proceeds from shares sold
|
29,657,906 | 93,469,677 | ||||||
Reinvestment of distributions
|
8,485 | 18,849 | ||||||
Cost of shares redeemed
|
(37,322,402 | ) | (115,953,059 | ) | ||||
Net increase (decrease) in net assets from Class A share transactions
|
(7,656,011 | ) | (22,464,533 | ) | ||||
Increase (decrease) in net assets
|
(7,656,092 | ) | (22,464,024 | ) | ||||
Net assets at beginning of period
|
173,679,780 | 196,143,804 | ||||||
Net assets at end of period (including undistributed net investment income of $712 and $712, respectively)
|
$ | 166,023,688 | $ | 173,679,780 | ||||
Other Information
|
||||||||
Class A
Shares outstanding at beginning of period
|
173,762,783 | 196,227,316 | ||||||
Shares sold
|
29,657,906 | 93,469,677 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
8,485 | 18,849 | ||||||
Shares redeemed
|
(37,322,402 | ) | (115,953,059 | ) | ||||
Net increase (decrease) in Class A shares
|
(7,656,011 | ) | (22,464,533 | ) | ||||
Shares outstanding at end of period
|
166,106,772 | 173,762,783 |
Years Ended December 31,
|
||||||||||||||||||||||||
Class A
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | ||||||||||||
Income from investment operations:
Net investment income
|
.000 | *** | .000 | *** | .000 | *** | .000 | *** | .000 | *** | .003 | |||||||||||||
Net realized gain (loss)
|
(.000 | )*** | .000 | *** | .000 | *** | .000 | *** | .000 | *** | .000 | *** | ||||||||||||
Total from investment operations
|
.000 | *** | .000 | *** | .000 | *** | .000 | *** | .000 | *** | .003 | |||||||||||||
Less distributions from:
Net investment income
|
(.000 | )*** | (.000 | )*** | (.000 | )*** | (.000 | )*** | (.000 | )*** | (.003 | ) | ||||||||||||
Net asset value, end of period
|
$ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | $ | 1.000 | ||||||||||||
Total Return (%)
|
.00 | a,b** | .01 | a | .01 | a | .01 | a | .01 | a | .34 | |||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
166 | 174 | 196 | 217 | 220 | 270 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)
|
.49 | * | .49 | .45 | .51 | .46 | .43 | |||||||||||||||||
Ratio of expenses after expense reductions (%)
|
.18 | * | .20 | .31 | .25 | .34 | .43 | |||||||||||||||||
Ratio of net investment income (%)
|
.01 | * | .01 | .01 | .01 | .01 | .37 | |||||||||||||||||
a Total return would have been lower had certain expenses not been reduced.
b Amount is less than .005%.
* Annualized
** Not annualized
*** Amount is less than $.0005.
|
First $500 million
|
.285 | % | ||
Next $500 million
|
.270 | % | ||
Next $1.0 billion
|
.255 | % | ||
Over $2.0 billion
|
.240 | % |
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2014
|
||||
Actual Fund Return
|
Class A
|
|||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | ||
Ending Account Value 6/30/14
|
$ | 1,000.05 | ||
Expenses Paid per $1,000*
|
$ | .89 | ||
Hypothetical 5% Fund Return
|
Class A
|
|||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | ||
Ending Account Value 6/30/14
|
$ | 1,023.90 | ||
Expenses Paid per $1,000*
|
$ | .90 |
Annualized Expense Ratio
|
Class A
|
|
Deutsche Variable Series II — Deutsche Money Market VIP
|
.18%
|
3 Letter to Shareholders
4 Performance Summary
5 Portfolio Summary
5 Portfolio Management Team
6 Investment Portfolio
9 Statement of Assets and Liabilities
9 Statement of Operations
10 Statement of Changes in Net Assets
11 Financial Highlights
12 Notes to Financial Statements
16 Information About Your Fund's Expenses
17 Proxy Voting
18 Advisory Agreement Board Considerations and Fee Evaluation
|
Former Name
|
New name, effective August 11, 2014
|
DWS Investments Distributors, Inc.
|
DeAWM Distributors, Inc.
|
DWS Trust Company
|
DeAWM Trust Company
|
DWS Investments Service Company
|
DeAWM Service Company
|
Growth of an Assumed $10,000 Investment in Deutsche Small Mid Cap Growth VIP
|
||
The Russell 2500™ Growth Index is an unmanaged index that measures the performance of the small- to mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500 companies with higher price-to-book ratios and higher forecasted growth values.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
|
||
Yearly periods ended June 30
|
Comparative Results
|
|||||||||||||||||||||
Deutsche Small Mid Cap Growth VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class A
|
Growth of $10,000
|
$ | 10,181 | $ | 12,787 | $ | 14,460 | $ | 26,057 | $ | 18,389 | ||||||||||
Average annual total return
|
1.81 | % | 27.87 | % | 13.08 | % | 21.11 | % | 6.28 | % | |||||||||||
Russell 2500 Growth Index
|
Growth of $10,000
|
$ | 10,397 | $ | 12,626 | $ | 15,161 | $ | 26,643 | $ | 25,788 | ||||||||||
Average annual total return
|
3.97 | % | 26.26 | % | 14.88 | % | 21.65 | % | 9.94 | % |
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
Common Stocks
|
97%
|
97%
|
Cash Equivalents
|
2%
|
2%
|
Exchange-Traded Fund
|
1%
|
1%
|
Warrants
|
0%
|
—
|
100%
|
100%
|
Sector Diversification (As a % of Common Stocks, Exchange-Traded Fund and Warrants)
|
6/30/14
|
12/31/13
|
Consumer Discretionary
|
21%
|
20%
|
Information Technology
|
20%
|
23%
|
Industrials
|
19%
|
16%
|
Health Care
|
16%
|
16%
|
Financials
|
7%
|
10%
|
Energy
|
6%
|
5%
|
Materials
|
6%
|
4%
|
Consumer Staples
|
3%
|
5%
|
Telecommunication Services
|
2%
|
1%
|
100%
|
100%
|
Shares
|
Value ($)
|
|||||||
Common Stocks 96.6%
|
||||||||
Consumer Discretionary 19.8%
|
||||||||
Auto Components 2.7%
|
||||||||
American Axle & Manufacturing Holdings, Inc.*
|
91,630 | 1,730,891 | ||||||
Gentherm, Inc.*
|
20,569 | 914,292 | ||||||
Tenneco, Inc.*
|
32,782 | 2,153,777 | ||||||
4,798,960 | ||||||||
Hotels, Restaurants & Leisure 2.9%
|
||||||||
Jack in the Box, Inc.
|
34,893 | 2,087,997 | ||||||
Life Time Fitness, Inc.* (a)
|
26,743 | 1,303,454 | ||||||
Panera Bread Co. "A"*
|
11,769 | 1,763,349 | ||||||
5,154,800 | ||||||||
Household Durables 2.3%
|
||||||||
Jarden Corp.*
|
42,198 | 2,504,451 | ||||||
Ryland Group, Inc. (a)
|
40,629 | 1,602,408 | ||||||
4,106,859 | ||||||||
Leisure Products 1.3%
|
||||||||
Polaris Industries, Inc. (a)
|
16,804 | 2,188,553 | ||||||
Media 0.8%
|
||||||||
Cinemark Holdings, Inc.
|
40,900 | 1,446,224 | ||||||
Specialty Retail 7.4%
|
||||||||
Advance Auto Parts, Inc.
|
12,291 | 1,658,302 | ||||||
Ascena Retail Group, Inc.*
|
74,530 | 1,274,463 | ||||||
DSW, Inc. "A"
|
42,345 | 1,183,119 | ||||||
Outerwall, Inc.* (a)
|
24,026 | 1,425,943 | ||||||
Penske Automotive Group, Inc.
|
27,392 | 1,355,904 | ||||||
PetSmart, Inc. (a)
|
24,023 | 1,436,576 | ||||||
The Children's Place, Inc. (a)
|
33,610 | 1,668,064 | ||||||
Ulta Salon, Cosmetics & Fragrance, Inc.*
|
19,007 | 1,737,430 | ||||||
Urban Outfitters, Inc.*
|
37,243 | 1,261,048 | ||||||
13,000,849 | ||||||||
Textiles, Apparel & Luxury Goods 2.4%
|
||||||||
Carter's, Inc.
|
17,868 | 1,231,641 | ||||||
Hanesbrands, Inc.
|
31,125 | 3,063,945 | ||||||
4,295,586 | ||||||||
Consumer Staples 3.5%
|
||||||||
Food & Staples Retailing 1.0%
|
||||||||
United Natural Foods, Inc.*
|
28,232 | 1,837,903 | ||||||
Food Products 1.5%
|
||||||||
Hain Celestial Group, Inc.*
|
19,720 | 1,749,953 | ||||||
The WhiteWave Foods Co.*
|
30,260 | 979,516 | ||||||
2,729,469 | ||||||||
Household Products 1.0%
|
||||||||
Church & Dwight Co., Inc. (a)
|
23,957 | 1,675,792 | ||||||
Energy 5.7%
|
||||||||
Energy Equipment & Services 2.3%
|
||||||||
Dresser-Rand Group, Inc.*
|
17,075 | 1,088,190 | ||||||
Dril-Quip, Inc.*
|
16,577 | 1,810,871 | ||||||
RPC, Inc.
|
52,767 | 1,239,497 | ||||||
4,138,558 | ||||||||
Oil, Gas & Consumable Fuels 3.4%
|
||||||||
Diamondback Energy, Inc.*
|
19,917 | 1,768,630 | ||||||
Goodrich Petroleum Corp.* (a)
|
60,043 | 1,657,187 | ||||||
Shares
|
Value ($)
|
|||||||
Oasis Petroleum, Inc.*
|
29,199 | 1,631,932 | ||||||
Western Refining, Inc.
|
24,540 | 921,477 | ||||||
5,979,226 | ||||||||
Financials 7.1%
|
||||||||
Banks 1.2%
|
||||||||
Signature Bank*
|
16,921 | 2,135,092 | ||||||
Capital Markets 3.1%
|
||||||||
Financial Engines, Inc. (a)
|
39,619 | 1,793,948 | ||||||
Lazard Ltd. "A"
|
37,921 | 1,955,207 | ||||||
Oaktree Capital Group LLC
|
34,742 | 1,736,753 | ||||||
5,485,908 | ||||||||
Consumer Finance 2.0%
|
||||||||
Encore Capital Group, Inc.* (a)
|
33,531 | 1,522,978 | ||||||
Portfolio Recovery Associates, Inc.*
|
33,827 | 2,013,721 | ||||||
3,536,699 | ||||||||
Thrifts & Mortgage Finance 0.8%
|
||||||||
Ocwen Financial Corp.*
|
36,283 | 1,346,099 | ||||||
Health Care 14.9%
|
||||||||
Biotechnology 4.4%
|
||||||||
Alkermes PLC*
|
23,937 | 1,204,749 | ||||||
Cubist Pharmaceuticals, Inc.*
|
11,690 | 816,196 | ||||||
Isis Pharmaceuticals, Inc.* (a)
|
35,226 | 1,213,536 | ||||||
Momenta Pharmaceuticals, Inc.*
|
35,575 | 429,746 | ||||||
Orexigen Therapeutics, Inc.* (a)
|
141,597 | 875,070 | ||||||
Puma Biotechnology, Inc.*
|
11,422 | 753,852 | ||||||
Retrophin, Inc.*
|
70,883 | 832,166 | ||||||
Spectrum Pharmaceuticals, Inc.* (a)
|
121,106 | 984,592 | ||||||
Sunesis Pharmaceuticals, Inc.* (a)
|
31,537 | 205,621 | ||||||
Synta Pharmaceuticals Corp.*
|
123,326 | 504,403 | ||||||
7,819,931 | ||||||||
Health Care Equipment & Supplies 3.9%
|
||||||||
HeartWare International, Inc.*
|
17,274 | 1,528,749 | ||||||
SurModics, Inc.*
|
67,578 | 1,447,521 | ||||||
Thoratec Corp.*
|
56,331 | 1,963,699 | ||||||
Zeltiq Aesthetics, Inc.* (a)
|
129,287 | 1,963,869 | ||||||
6,903,838 | ||||||||
Health Care Providers & Services 4.9%
|
||||||||
Catamaran Corp.*
|
33,508 | 1,479,713 | ||||||
Centene Corp.*
|
33,658 | 2,544,881 | ||||||
Kindred Healthcare, Inc.
|
68,707 | 1,587,132 | ||||||
Molina Healthcare, Inc.* (a)
|
39,939 | 1,782,477 | ||||||
Providence Service Corp.*
|
33,662 | 1,231,693 | ||||||
8,625,896 | ||||||||
Life Sciences Tools & Services 0.6%
|
||||||||
PAREXEL International Corp.*
|
21,889 | 1,156,615 | ||||||
Pharmaceuticals 1.1%
|
||||||||
Pacira Pharmaceuticals, Inc.*
|
11,034 | 1,013,583 | ||||||
Questcor Pharmaceuticals, Inc. (a)
|
10,256 | 948,578 | ||||||
1,962,161 | ||||||||
Industrials 18.6%
|
||||||||
Aerospace & Defense 2.1%
|
||||||||
BE Aerospace, Inc.*
|
18,848 | 1,743,251 | ||||||
HEICO Corp.*
|
36,222 | 1,881,371 | ||||||
3,624,622 | ||||||||
Shares
|
Value ($)
|
|||||||
Building Products 0.8%
|
||||||||
Fortune Brands Home & Security, Inc.
|
34,821 | 1,390,403 | ||||||
Commercial Services & Supplies 1.7%
|
||||||||
Interface, Inc. (a)
|
74,389 | 1,401,489 | ||||||
Team, Inc.*
|
40,219 | 1,649,783 | ||||||
3,051,272 | ||||||||
Construction & Engineering 1.0%
|
||||||||
Primoris Services Corp.
|
63,365 | 1,827,447 | ||||||
Electrical Equipment 3.0%
|
||||||||
Acuity Brands, Inc.
|
9,303 | 1,286,139 | ||||||
AZZ, Inc.
|
40,373 | 1,860,388 | ||||||
Thermon Group Holdings, Inc.*
|
80,490 | 2,118,497 | ||||||
5,265,024 | ||||||||
Machinery 6.4%
|
||||||||
Altra Industrial Motion Corp.
|
52,647 | 1,915,824 | ||||||
Chart Industries, Inc.* (a)
|
19,919 | 1,648,098 | ||||||
Manitowoc Co., Inc. (a)
|
82,944 | 2,725,540 | ||||||
Middleby Corp.*
|
15,240 | 1,260,653 | ||||||
Valmont Industries, Inc. (a)
|
8,530 | 1,296,134 | ||||||
WABCO Holdings, Inc.*
|
23,970 | 2,560,475 | ||||||
11,406,724 | ||||||||
Professional Services 0.6%
|
||||||||
Huron Consulting Group, Inc.*
|
65 | 4,603 | ||||||
TriNet Group, Inc.*
|
40,684 | 979,264 | ||||||
983,867 | ||||||||
Road & Rail 1.3%
|
||||||||
Swift Transportation Co.* (a)
|
94,328 | 2,379,896 | ||||||
Trading Companies & Distributors 1.7%
|
||||||||
NOW, Inc.*
|
26,570 | 962,100 | ||||||
United Rentals, Inc.* (a)
|
18,821 | 1,971,123 | ||||||
2,933,223 | ||||||||
Information Technology 19.7%
|
||||||||
Communications Equipment 2.0%
|
||||||||
Harris Corp.
|
30,982 | 2,346,887 | ||||||
Palo Alto Networks, Inc.*
|
13,799 | 1,157,046 | ||||||
3,503,933 | ||||||||
Electronic Equipment, Instruments & Components 2.3%
|
||||||||
Cognex Corp.*
|
65,096 | 2,499,686 | ||||||
IPG Photonics Corp.* (a)
|
24,459 | 1,682,779 | ||||||
4,182,465 | ||||||||
Internet Software & Services 1.7%
|
||||||||
Cornerstone OnDemand, Inc.*
|
27,675 | 1,273,604 | ||||||
CoStar Group, Inc.*
|
11,084 | 1,753,156 | ||||||
3,026,760 | ||||||||
IT Services 4.9%
|
||||||||
Cardtronics, Inc.*
|
64,591 | 2,201,261 | ||||||
MAXIMUS, Inc.
|
45,192 | 1,944,160 | ||||||
VeriFone Systems, Inc.*
|
69,916 | 2,569,413 | ||||||
Virtusa Corp.*
|
53,949 | 1,931,374 | ||||||
8,646,208 | ||||||||
Semiconductors & Semiconductor Equipment 1.7%
|
||||||||
Advanced Energy Industries, Inc.*
|
108,432 | 2,087,316 | ||||||
Ultra Clean Holdings, Inc.*
|
97,325 | 880,791 | ||||||
2,968,107 | ||||||||
Shares
|
Value ($)
|
|||||||
Software 5.9%
|
||||||||
Aspen Technology, Inc.*
|
35,546 | 1,649,334 | ||||||
Imperva, Inc.*
|
36,830 | 964,209 | ||||||
PTC, Inc.*
|
65,897 | 2,556,804 | ||||||
Splunk, Inc.*
|
32,011 | 1,771,169 | ||||||
Tyler Technologies, Inc.*
|
27,373 | 2,496,691 | ||||||
Ultimate Software Group, Inc.*
|
7,250 | 1,001,733 | ||||||
10,439,940 | ||||||||
Technology Hardware, Storage & Peripherals 1.2%
|
||||||||
Western Digital Corp.
|
23,146 | 2,136,376 | ||||||
Materials 5.6%
|
||||||||
Chemicals 2.0%
|
||||||||
A. Schulman, Inc.
|
46,359 | 1,794,093 | ||||||
Minerals Technologies, Inc.
|
26,308 | 1,725,279 | ||||||
3,519,372 | ||||||||
Construction Materials 1.4%
|
||||||||
Eagle Materials, Inc.
|
26,276 | 2,477,301 | ||||||
Containers & Packaging 0.7%
|
||||||||
Crown Holdings, Inc.*
|
26,354 | 1,311,375 | ||||||
Metals & Mining 1.5%
|
||||||||
Constellium NV "A"*
|
49,879 | 1,599,121 | ||||||
Haynes International, Inc.
|
19,129 | 1,082,510 | ||||||
2,681,631 | ||||||||
Telecommunication Services 1.7%
|
||||||||
Diversified Telecommunication Services 0.8%
|
||||||||
inContact, Inc.*
|
149,568 | 1,374,530 | ||||||
Wireless Telecommunication Services 0.9%
|
||||||||
SBA Communications Corp. "A"*
|
15,663 | 1,602,325 | ||||||
Total Common Stocks (Cost $124,499,601)
|
171,057,819 | |||||||
Exchange-Traded Fund 1.0%
|
||||||||
SPDR S&P Biotech (a) (Cost $1,281,707)
|
11,388 | 1,754,321 | ||||||
Warrants 0.1%
|
||||||||
Health Care
|
||||||||
Sunesis Pharmaceuticals, Inc.:
|
||||||||
Series A, Expiration Date 3/31/2016*
|
31,537 | 89,881 | ||||||
Series B, Expiration Date 3/31/2016*
|
31,537 | 63,862 | ||||||
Total Warrants (Cost $86,096)
|
153,743 | |||||||
Securities Lending Collateral 18.6%
|
||||||||
Daily Assets Fund Institutional, 0.08% (b) (c) (Cost $32,938,265)
|
32,938,265 | 32,938,265 | ||||||
Cash Equivalents 2.3%
|
||||||||
Central Cash Management Fund, 0.06% (b) (Cost $4,045,999)
|
4,045,999 | 4,045,999 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $162,851,668)†
|
118.6 | 209,950,147 | ||||||
Other Assets and Liabilities, Net
|
(18.6 | ) | (32,858,536 | ) | ||||
Net Assets
|
100.0 | 177,091,611 |
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Common Stocks (d)
|
$ | 171,057,819 | $ | — | $ | — | $ | 171,057,819 | ||||||||
Exchange-Traded Fund
|
1,754,321 | — | — | 1,754,321 | ||||||||||||
Warrant
|
153,743 | — | — | 153,743 | ||||||||||||
Short-Term Investments (d)
|
36,984,264 | — | — | 36,984,264 | ||||||||||||
Total
|
$ | 209,950,147 | $ | — | $ | — | $ | 209,950,147 |
as of June 30, 2014 (Unaudited)
|
||||
Assets
|
||||
Investments:
Investments in non-affiliated securities, at value (cost $125,867,404) — including $31,905,100 of securities loaned
|
$ | 172,965,883 | ||
Investment in Daily Assets Fund Institutional (cost $32,938,265)*
|
32,938,265 | |||
Investment in Central Cash Management Fund (cost $4,045,999)
|
4,045,999 | |||
Total investments in securities, at value (cost $162,851,668)
|
209,950,147 | |||
Cash
|
367,141 | |||
Receivable for investments sold
|
2,086,629 | |||
Receivable for Fund shares sold
|
3,330 | |||
Dividends receivable
|
34,265 | |||
Interest receivable
|
13,858 | |||
Other assets
|
1,093 | |||
Total assets
|
212,456,463 | |||
Liabilities
|
||||
Payable upon return of securities loaned
|
32,938,265 | |||
Payable for investments purchased
|
2,083,874 | |||
Payable for Fund shares redeemed
|
186,369 | |||
Accrued management fee
|
78,586 | |||
Accrued Trustees' fees
|
234 | |||
Other accrued expenses and payables
|
77,524 | |||
Total liabilities
|
35,364,852 | |||
Net assets, at value
|
$ | 177,091,611 | ||
Net Assets Consist of
|
||||
Net investment income (loss)
|
(99,060 | ) | ||
Net unrealized appreciation (depreciation) on investments
|
47,098,479 | |||
Accumulated net realized gain (loss)
|
9,187,532 | |||
Paid-in capital
|
120,904,660 | |||
Net assets, at value
|
$ | 177,091,611 | ||
Class A
Net Asset Value, offering and redemption price per share ($177,091,611 ÷ 8,057,925 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 21.98 |
for the six months ended June 30, 2014 (Unaudited)
|
||||
Investment Income
|
||||
Income:
Dividends
|
$ | 422,094 | ||
Income distributions — Central Cash Management Fund
|
1,044 | |||
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates
|
122,330 | |||
Total income
|
545,468 | |||
Expenses:
Management fee
|
487,813 | |||
Administration fee
|
88,693 | |||
Services to shareholders
|
1,440 | |||
Custodian fee
|
6,001 | |||
Professional fees
|
35,868 | |||
Reports to shareholders
|
16,297 | |||
Trustees' fees and expenses
|
4,222 | |||
Other
|
4,194 | |||
Total expenses
|
644,528 | |||
Net investment income (loss)
|
(99,060 | ) | ||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) from investments
|
17,013,722 | |||
Change in net unrealized appreciation (depreciation) on investments
|
(13,883,645 | ) | ||
Net gain (loss)
|
3,130,077 | |||
Net increase (decrease) in net assets resulting from operations
|
$ | 3,031,017 |
Increase (Decrease) in Net Assets
|
Six Months Ended June 30, 2014 (Unaudited)
|
Year Ended December 31, 2013
|
||||||
Operations:
Net investment income (loss)
|
$ | (99,060 | ) | $ | (363,396 | ) | ||
Operations:
Net investment income (loss)
|
$ | (99,060 | ) | $ | (363,396 | ) | ||
Net realized gain (loss)
|
17,013,722 | 23,261,132 | ||||||
Change in net unrealized appreciation (depreciation)
|
(13,883,645 | ) | 35,857,105 | |||||
Net increase (decrease) in net assets resulting from operations
|
3,031,017 | 58,754,841 | ||||||
Distributions to shareholders from:
Net investment income:
Class A
|
— | (194,886 | ) | |||||
Total distributions
|
— | (194,886 | ) | |||||
Fund share transactions:
Class A
Proceeds from shares sold
|
3,139,745 | 5,697,979 | ||||||
Reinvestment of distributions
|
— | 194,886 | ||||||
Cost of shares redeemed
|
(16,356,558 | ) | (22,634,498 | ) | ||||
Net increase (decrease) in net assets from Class A share transactions
|
(13,216,813 | ) | (16,741,633 | ) | ||||
Increase (decrease) in net assets
|
(10,185,796 | ) | 41,818,322 | |||||
Net assets at beginning of period
|
187,277,407 | 145,459,085 | ||||||
Net assets at end of period (including net investment loss and undistributed net investment income of $99,060 and $0, respectively)
|
$ | 177,091,611 | $ | 187,277,407 | ||||
Other Information
|
||||||||
Class A
Shares outstanding at beginning of period
|
8,676,171 | 9,604,576 | ||||||
Shares sold
|
145,187 | 313,223 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
— | 11,761 | ||||||
Shares redeemed
|
(763,433 | ) | (1,253,389 | ) | ||||
Net increase (decrease) in Class A shares
|
(618,246 | ) | (928,405 | ) | ||||
Shares outstanding at end of period
|
8,057,925 | 8,676,171 |
Years Ended December 31,
|
||||||||||||||||||||||||
Class A
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 21.59 | $ | 15.14 | $ | 13.24 | $ | 13.85 | $ | 10.70 | $ | 7.61 | ||||||||||||
Income (loss) from investment operations:
Net investment income (loss)a
|
(.01 | ) | (.04 | ) | .02 | (.03 | ) | (.01 | ) | (.02 | ) | |||||||||||||
Net realized and unrealized gain (loss)
|
.40 | 6.51 | 1.88 | (.50 | ) | 3.16 | 3.11 | |||||||||||||||||
Total from investment operations
|
.39 | 6.47 | 1.90 | (.53 | ) | 3.15 | 3.09 | |||||||||||||||||
Less distributions from:
Net investment income
|
— | (.02 | ) | — | (.08 | ) | — | — | ||||||||||||||||
Net asset value, end of period
|
$ | 21.98 | $ | 21.59 | $ | 15.14 | $ | 13.24 | $ | 13.85 | $ | 10.70 | ||||||||||||
Total Return (%)
|
1.81 | ** | 42.78 | 14.35 | (3.91 | ) | 29.44 | 40.60 | ||||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
177 | 187 | 145 | 147 | 88 | 80 | ||||||||||||||||||
Ratio of expenses (%)
|
.73 | * | .72 | .74 | .73 | .78 | .77 | |||||||||||||||||
Ratio of net investment income (loss) (%)
|
(.11 | )* | (.22 | ) | .11 | (.23 | ) | (.12 | ) | (.22 | ) | |||||||||||||
Portfolio turnover rate (%)
|
25 | ** | 56 | 57 | 84 | 64 | 93 | |||||||||||||||||
a Based on average shares outstanding during the period.
* Annualized
** Not annualized
|
First $250 million
|
.550 | % | ||
Next $750 million
|
.525 | % | ||
Over $1 billion
|
.500 | % |
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2014
|
||||
Actual Fund Return
|
Class A
|
|||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | ||
Ending Account Value 6/30/14
|
$ | 1,018.10 | ||
Expenses Paid per $1,000*
|
$ | 3.65 | ||
Hypothetical 5% Fund Return
|
Class A
|
|||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | ||
Ending Account Value 6/30/14
|
$ | 1,021.17 | ||
Expenses Paid per $1,000*
|
$ | 3.66 |
Annualized Expense Ratio
|
Class A
|
|
Deutsche Variable Series II — Deutsche Small Mid Cap Growth VIP
|
.73%
|
3 Letter to Shareholders
4 Performance Summary
5 Portfolio Summary
5 Portfolio Manager
6 Investment Portfolio
8 Statement of Assets and Liabilities
8 Statement of Operations
9 Statement of Changes in Net Assets
10 Financial Highlights
12 Notes to Financial Statements
16 Information About Your Fund's Expenses
17 Proxy Voting
18 Advisory Agreement Board Considerations and Fee Evaluation
|
Former Name
|
New name, effective August 11, 2014
|
DWS Investments Distributors, Inc.
|
DeAWM Distributors, Inc.
|
DWS Trust Company
|
DeAWM Trust Company
|
DWS Investments Service Company
|
DeAWM Service Company
|
Growth of an Assumed $10,000 Investment in Deutsche Small Mid Cap Value VIP
|
||
The Russell 2500™ Value Index is an unmanaged Index of those securities in the Russell 3000® Index with lower price-to-book ratios and lower forecasted growth values.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
|
||
Yearly periods ended June 30
|
Comparative Results
|
|||||||||||||||||||||
Deutsche Small Mid Cap Value VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class A
|
Growth of $10,000
|
$ | 10,523 | $ | 12,430 | $ | 14,551 | $ | 23,965 | $ | 26,233 | ||||||||||
Average annual total return
|
5.23 | % | 24.30 | % | 13.32 | % | 19.10 | % | 10.12 | % | |||||||||||
Russell 2500 Value Index
|
Growth of $10,000
|
$ | 10,787 | $ | 12,494 | $ | 15,616 | $ | 26,570 | $ | 24,563 | ||||||||||
Average annual total return
|
7.87 | % | 24.94 | % | 16.02 | % | 21.58 | % | 9.40 | % | |||||||||||
Deutsche Small Mid Cap Value VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class B
|
Growth of $10,000
|
$ | 10,497 | $ | 12,375 | $ | 14,386 | $ | 23,535 | $ | 25,301 | ||||||||||
Average annual total return
|
4.97 | % | 23.75 | % | 12.89 | % | 18.67 | % | 9.73 | % | |||||||||||
Russell 2500 Value Index
|
Growth of $10,000
|
$ | 10,787 | $ | 12,494 | $ | 15,616 | $ | 26,570 | $ | 24,563 | ||||||||||
Average annual total return
|
7.87 | % | 24.94 | % | 16.02 | % | 21.58 | % | 9.40 | % |
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
Common Stocks
|
96%
|
96%
|
Cash Equivalents
|
4%
|
4%
|
100%
|
100%
|
Sector Diversification (As a % of Common Stocks)
|
6/30/14
|
12/31/13
|
Industrials
|
23%
|
29%
|
Information Technology
|
21%
|
14%
|
Financials
|
15%
|
16%
|
Consumer Discretionary
|
13%
|
12%
|
Materials
|
9%
|
7%
|
Energy
|
8%
|
5%
|
Health Care
|
7%
|
10%
|
Consumer Staples
|
2%
|
2%
|
Utilities
|
2%
|
5%
|
100%
|
100%
|
Shares
|
Value ($)
|
|||||||
Common Stocks 95.2%
|
||||||||
Consumer Discretionary 12.1%
|
||||||||
Auto Components 2.0%
|
||||||||
Visteon Corp.*
|
50,570 | 4,905,796 | ||||||
Diversified Consumer Services 1.4%
|
||||||||
Ascent Capital Group, Inc. "A"*
|
51,303 | 3,386,511 | ||||||
Hotels, Restaurants & Leisure 1.5%
|
||||||||
The Wendy's Co.
|
421,696 | 3,597,067 | ||||||
Household Durables 3.1%
|
||||||||
Newell Rubbermaid, Inc.
|
245,170 | 7,597,818 | ||||||
Media 1.5%
|
||||||||
Scripps Networks Interactive, Inc. "A"
|
44,420 | 3,604,239 | ||||||
Specialty Retail 1.4%
|
||||||||
Ross Stores, Inc.
|
52,295 | 3,458,268 | ||||||
Textiles, Apparel & Luxury Goods 1.2%
|
||||||||
Hanesbrands, Inc.
|
28,238 | 2,779,749 | ||||||
Consumer Staples 2.3%
|
||||||||
Food Products
|
||||||||
Ingredion, Inc.
|
73,603 | 5,523,169 | ||||||
Energy 7.1%
|
||||||||
Energy Equipment & Services 3.4%
|
||||||||
Superior Energy Services, Inc.
|
124,276 | 4,491,335 | ||||||
TETRA Technologies, Inc.*
|
316,162 | 3,724,388 | ||||||
8,215,723 | ||||||||
Oil, Gas & Consumable Fuels 3.7%
|
||||||||
Cimarex Energy Co.
|
29,351 | 4,210,694 | ||||||
QEP Resources, Inc.
|
140,350 | 4,842,075 | ||||||
9,052,769 | ||||||||
Financials 14.3%
|
||||||||
Banks 3.6%
|
||||||||
Capital Bank Financial Corp. "A"*
|
150,950 | 3,563,929 | ||||||
Investors Bancorp., Inc.
|
470,281 | 5,196,605 | ||||||
8,760,534 | ||||||||
Capital Markets 2.4%
|
||||||||
Lazard Ltd. "A"
|
114,296 | 5,893,102 | ||||||
Insurance 6.7%
|
||||||||
Axis Capital Holdings Ltd.
|
52,977 | 2,345,822 | ||||||
CNO Financial Group, Inc.
|
368,608 | 6,561,222 | ||||||
PartnerRe Ltd.
|
33,313 | 3,638,113 | ||||||
Reinsurance Group of America, Inc.
|
46,427 | 3,663,090 | ||||||
16,208,247 | ||||||||
Real Estate Investment Trusts 1.6%
|
||||||||
Plum Creek Timber Co., Inc. (REIT)
|
86,738 | 3,911,884 | ||||||
Health Care 6.9%
|
||||||||
Health Care Equipment & Supplies 1.9%
|
||||||||
CareFusion Corp.*
|
104,820 | 4,648,767 | ||||||
Health Care Providers & Services 3.7%
|
||||||||
HealthSouth Corp.
|
148,405 | 5,323,287 | ||||||
Omnicare, Inc.
|
55,065 | 3,665,677 | ||||||
8,988,964 | ||||||||
Shares
|
Value ($)
|
|||||||
Life Sciences Tools & Services 1.3%
|
||||||||
PerkinElmer, Inc.
|
65,050 | 3,046,942 | ||||||
Industrials 21.8%
|
||||||||
Aerospace & Defense 1.4%
|
||||||||
Curtiss-Wright Corp.
|
53,300 | 3,494,348 | ||||||
Air Freight & Logistics 0.2%
|
||||||||
Forward Air Corp.
|
7,431 | 355,573 | ||||||
Building Products 2.1%
|
||||||||
Owens Corning, Inc.
|
130,702 | 5,055,553 | ||||||
Commercial Services & Supplies 3.4%
|
||||||||
Covanta Holding Corp.
|
186,540 | 3,844,589 | ||||||
The Brink's Co.
|
158,544 | 4,474,112 | ||||||
8,318,701 | ||||||||
Electrical Equipment 2.1%
|
||||||||
The Babcock & Wilcox Co.
|
158,183 | 5,134,620 | ||||||
Machinery 8.6%
|
||||||||
Harsco Corp.
|
220,691 | 5,877,001 | ||||||
ITT Corp.
|
85,280 | 4,101,968 | ||||||
Snap-on, Inc.
|
25,653 | 3,040,394 | ||||||
Stanley Black & Decker, Inc.
|
39,090 | 3,432,884 | ||||||
Xylem, Inc.
|
111,667 | 4,363,946 | ||||||
20,816,193 | ||||||||
Marine 2.0%
|
||||||||
Kirby Corp.*
|
42,382 | 4,964,628 | ||||||
Trading Companies & Distributors 2.0%
|
||||||||
AerCap Holdings NV*
|
104,598 | 4,790,589 | ||||||
Information Technology 20.3%
|
||||||||
Communications Equipment 3.0%
|
||||||||
Harris Corp.
|
49,741 | 3,767,881 | ||||||
Juniper Networks, Inc.*
|
144,586 | 3,548,140 | ||||||
7,316,021 | ||||||||
Electronic Equipment, Instruments & Components 6.0%
|
||||||||
Belden, Inc.
|
69,500 | 5,432,120 | ||||||
Dolby Laboratories, Inc. "A"*
|
106,600 | 4,605,120 | ||||||
Zebra Technologies Corp. "A"*
|
54,513 | 4,487,510 | ||||||
14,524,750 | ||||||||
IT Services 7.8%
|
||||||||
Amdocs Ltd.
|
96,752 | 4,482,520 | ||||||
Convergys Corp.
|
271,794 | 5,827,263 | ||||||
Global Payments, Inc.
|
65,730 | 4,788,431 | ||||||
NeuStar, Inc. "A"*
|
150,621 | 3,919,159 | ||||||
19,017,373 | ||||||||
Software 3.5%
|
||||||||
ACI Worldwide, Inc.*
|
53,993 | 3,014,429 | ||||||
Verint Systems, Inc.*
|
109,912 | 5,391,184 | ||||||
8,405,613 | ||||||||
Materials 8.9%
|
||||||||
Chemicals 5.2%
|
||||||||
Ashland, Inc.
|
44,523 | 4,841,431 | ||||||
Celanese Corp. "A"
|
60,868 | 3,912,595 | ||||||
Cytec Industries, Inc.
|
37,243 | 3,926,157 | ||||||
12,680,183 | ||||||||
Shares
|
Value ($)
|
|||||||
Containers & Packaging 2.6%
|
||||||||
Sealed Air Corp.
|
184,770 | 6,313,591 | ||||||
Metals & Mining 1.1%
|
||||||||
Materion Corp.
|
75,204 | 2,781,796 | ||||||
Utilities 1.5%
|
||||||||
Electric Utilities 0.5%
|
||||||||
Northeast Utilities
|
26,316 | 1,243,957 | ||||||
Gas Utilities 0.5%
|
||||||||
UGI Corp.
|
24,877 | 1,256,289 | ||||||
Multi-Utilities 0.5%
|
||||||||
CMS Energy Corp.
|
40,953 | 1,275,687 | ||||||
Total Common Stocks (Cost $192,884,395)
|
231,325,014 | |||||||
Shares
|
Value ($)
|
|||||||
Cash Equivalents 3.7%
|
||||||||
Central Cash Management Fund, 0.06% (a) (Cost $9,066,705)
|
9,066,705 | 9,066,705 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $201,951,100)†
|
98.9 | 240,391,719 | ||||||
Other Assets and Liabilities, Net
|
1.1 | 2,619,910 | ||||||
Net Assets
|
100.0 | 243,011,629 |
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Common Stocks (b)
|
$ | 231,325,014 | $ | — | $ | — | $ | 231,325,014 | ||||||||
Short-Term Investments
|
9,066,705 | — | — | 9,066,705 | ||||||||||||
Total
|
$ | 240,391,719 | $ | — | $ | — | $ | 240,391,719 |
as of June 30, 2014 (Unaudited)
|
||||
Assets
|
||||
Investments:
Investments in non-affiliated securities, at value (cost $192,884,395)
|
$ | 231,325,014 | ||
Investment in Central Cash Management Fund (cost $9,066,705)
|
9,066,705 | |||
Total investments in securities, at value (cost $201,951,100)
|
240,391,719 | |||
Receivable for investments sold
|
4,274,757 | |||
Receivable for Fund shares sold
|
55,545 | |||
Dividends receivable
|
167,628 | |||
Interest receivable
|
444 | |||
Other assets
|
1,625 | |||
Total assets
|
244,891,718 | |||
Liabilities
|
||||
Payable for investments purchased
|
829,342 | |||
Payable for Fund shares redeemed
|
816,250 | |||
Accrued management fee
|
129,511 | |||
Accrued Trustees' fees
|
686 | |||
Other accrued expenses and payables
|
104,300 | |||
Total liabilities
|
1,880,089 | |||
Net assets, at value
|
$ | 243,011,629 | ||
Net Assets Consist of
|
||||
Undistributed net investment income
|
431,249 | |||
Net unrealized appreciation (depreciation) on investments
|
38,440,619 | |||
Accumulated net realized gain (loss)
|
8,915,203 | |||
Paid-in capital
|
195,224,558 | |||
Net assets, at value
|
$ | 243,011,629 | ||
Class A
Net Asset Value, offering and redemption price per share ($224,966,496 ÷ 12,683,655 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 17.74 | ||
Class B
Net Asset Value, offering and redemption price per share ($18,045,133 ÷ 1,016,345 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 17.75 |
for the six months ended June 30, 2014 (Unaudited)
|
||||
Investment Income
|
||||
Income:
Dividends
|
$ | 1,467,450 | ||
Income distributions — Central Cash Management Fund
|
2,481 | |||
Total income
|
1,469,931 | |||
Expenses:
Management fee
|
786,497 | |||
Administration fee
|
121,021 | |||
Services to shareholders
|
3,823 | |||
Record keeping fees (Class B)
|
9,359 | |||
Distribution service fee (Class B)
|
23,167 | |||
Custodian fee
|
6,157 | |||
Professional fees
|
33,696 | |||
Reports to shareholders
|
27,157 | |||
Trustees' fees and expenses
|
5,595 | |||
Other
|
4,753 | |||
Total expenses
|
1,021,225 | |||
Net investment income (loss)
|
448,706 | |||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) from investments
|
9,038,541 | |||
Change in net unrealized appreciation (depreciation) on investments
|
2,349,037 | |||
Net gain (loss)
|
11,387,578 | |||
Net increase (decrease) in net assets resulting from operations
|
$ | 11,836,284 |
Increase (Decrease) in Net Assets
|
Six Months Ended June 30, 2014 (Unaudited)
|
Year Ended December 31, 2013
|
||||||
Operations:
Net investment income (loss)
|
$ | 448,706 | $ | 1,914,959 | ||||
Operations:
Net investment income (loss)
|
$ | 448,706 | $ | 1,914,959 | ||||
Net realized gain (loss)
|
9,038,541 | 72,681,616 | ||||||
Change in net unrealized appreciation (depreciation)
|
2,349,037 | (601,679 | ) | |||||
Net increase (decrease) in net assets resulting from operations
|
11,836,284 | 73,994,896 | ||||||
Distributions to shareholders from:
Net investment income:
Class A
|
(1,782,045 | ) | (2,660,096 | ) | ||||
Class B
|
(85,579 | ) | (150,280 | ) | ||||
Net realized gains:
Class A
|
(1,065,847 | ) | — | |||||
Class B
|
(91,018 | ) | — | |||||
Total distributions
|
(3,024,489 | ) | (2,810,376 | ) | ||||
Fund share transactions:
Class A
Proceeds from shares sold
|
4,703,220 | 17,897,526 | ||||||
Reinvestment of distributions
|
2,847,892 | 2,660,096 | ||||||
Payments for shares redeemed
|
(30,612,559 | ) | (65,359,482 | ) | ||||
Net increase (decrease) in net assets from Class A share transactions
|
(23,061,447 | ) | (44,801,860 | ) | ||||
Class B
Proceeds from shares sold
|
1,754,326 | 4,288,905 | ||||||
Reinvestment of distributions
|
176,597 | 150,280 | ||||||
Payments for shares redeemed
|
(4,367,974 | ) | (6,805,298 | ) | ||||
Net increase (decrease) in net assets from Class B share transactions
|
(2,437,051 | ) | (2,366,113 | ) | ||||
Increase (decrease) in net assets
|
(16,686,703 | ) | 24,016,547 | |||||
Net assets at beginning of period
|
259,698,332 | 235,681,785 | ||||||
Net assets at end of period (including undistributed net investment income of $431,249 and $1,850,167, respectively)
|
$ | 243,011,629 | $ | 259,698,332 | ||||
Other Information
|
||||||||
Class A
Shares outstanding at beginning of period
|
14,042,897 | 17,113,875 | ||||||
Shares sold
|
276,727 | 1,211,679 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
170,839 | 190,143 | ||||||
Shares redeemed
|
(1,806,808 | ) | (4,472,800 | ) | ||||
Net increase (decrease) in Class A shares
|
(1,359,242 | ) | (3,070,978 | ) | ||||
Shares outstanding at end of period
|
12,683,655 | 14,042,897 | ||||||
Class B
Shares outstanding at beginning of period
|
1,160,889 | 1,321,925 | ||||||
Shares sold
|
103,397 | 288,710 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
10,581 | 10,719 | ||||||
Shares redeemed
|
(258,522 | ) | (460,465 | ) | ||||
Net increase (decrease) in Class B shares
|
(144,544 | ) | (161,036 | ) | ||||
Shares outstanding at end of period
|
1,016,345 | 1,160,889 |
Years Ended December 31,
|
||||||||||||||||||||||||
Class A
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 17.08 | $ | 12.78 | $ | 11.36 | $ | 12.21 | $ | 10.04 | $ | 7.93 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.03 | .12 | .14 | .13 | .12 | .16 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.85 | 4.35 | 1.42 | (.85 | ) | 2.19 | 2.11 | |||||||||||||||||
Total from investment operations
|
.88 | 4.47 | 1.56 | (.72 | ) | 2.31 | 2.27 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.14 | ) | (.17 | ) | (.14 | ) | (.13 | ) | (.14 | ) | (.16 | ) | ||||||||||||
Net realized gains on investment transactions
|
(.08 | ) | — | — | — | — | — | |||||||||||||||||
Total distributions
|
(.22 | ) | (.17 | ) | (.14 | ) | (.13 | ) | (.14 | ) | (.16 | ) | ||||||||||||
Net asset value, end of period
|
$ | 17.74 | $ | 17.08 | $ | 12.78 | $ | 11.36 | $ | 12.21 | $ | 10.04 | ||||||||||||
Total Return (%)
|
5.23 | ** | 35.24 | 13.77 | (6.08 | ) | 23.07 | 29.70 | ||||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
225 | 240 | 219 | 216 | 247 | 235 | ||||||||||||||||||
Ratio of expenses (%)
|
.82 | * | .82 | .82 | .81 | .82 | .79 | |||||||||||||||||
Ratio of net investment income (%)
|
.40 | * | .81 | 1.18 | 1.08 | 1.14 | 1.92 | |||||||||||||||||
Portfolio turnover rate (%)
|
20 | ** | 115 | 11 | 36 | 38 | 72 | |||||||||||||||||
a Based on average shares outstanding during the period.
* Annualized
** Not annualized
|
Years Ended December 31,
|
||||||||||||||||||||||||
Class B
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 17.07 | $ | 12.78 | $ | 11.36 | $ | 12.20 | $ | 10.03 | $ | 7.92 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.00 | *** | .07 | .10 | .09 | .08 | .13 | |||||||||||||||||
Net realized and unrealized gain (loss)
|
.84 | 4.34 | 1.42 | (.85 | ) | 2.19 | 2.12 | |||||||||||||||||
Total from investment operations
|
.84 | 4.41 | 1.52 | (.76 | ) | 2.27 | 2.25 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.08 | ) | (.12 | ) | (.10 | ) | (.08 | ) | (.10 | ) | (.14 | ) | ||||||||||||
Net realized gains on investment transactions
|
(.08 | ) | — | — | — | — | — | |||||||||||||||||
Total distributions
|
(.16 | ) | (.12 | ) | (.10 | ) | (.08 | ) | (.10 | ) | (.14 | ) | ||||||||||||
Net asset value, end of period
|
$ | 17.75 | $ | 17.07 | $ | 12.78 | $ | 11.36 | $ | 12.20 | $ | 10.03 | ||||||||||||
Total Return (%)
|
4.97 | ** | 34.70 | 13.38 | (6.33 | ) | 22.66 | 29.28 | ||||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
18 | 20 | 17 | 20 | 26 | 23 | ||||||||||||||||||
Ratio of expenses (%)
|
1.17 | * | 1.17 | 1.16 | 1.15 | 1.17 | 1.14 | |||||||||||||||||
Ratio of net investment income (%)
|
.04 | * | .45 | .81 | .74 | .79 | 1.57 | |||||||||||||||||
Portfolio turnover rate (%)
|
20 | ** | 115 | 11 | 36 | 38 | 72 | |||||||||||||||||
a Based on average shares outstanding during the period.
* Annualized
** Not annualized
*** Amount is less than $.005.
|
First $250 million
|
.650 | % | ||
Next $750 million
|
.620 | % | ||
Next $1.5 billion
|
.600 | % | ||
Next $2.5 billion
|
.580 | % | ||
Next $2.5 billion
|
.550 | % | ||
Next $2.5 billion
|
.540 | % | ||
Next $2.5 billion
|
.530 | % | ||
Over $12.5 billion
|
.520 | % |
Class A
|
.83%
|
Class B
|
1.19%
|
Service to Shareholders
|
Total Aggregated
|
Unpaid at June 30, 2014
|
||||||
Class A
|
$ | 298 | $ | 147 | ||||
Class B
|
296 | 145 | ||||||
$ | 594 | $ | 292 |
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2014
|
||||||||
Actual Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,052.30 | $ | 1,049.70 | ||||
Expenses Paid per $1,000*
|
$ | 4.17 | $ | 5.95 | ||||
Hypothetical 5% Fund Return
|
Class A
|
Class B
|
||||||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value 6/30/14
|
$ | 1,020.73 | $ | 1,018.99 | ||||
Expenses Paid per $1,000*
|
$ | 4.11 | $ | 5.86 |
Annualized Expense Ratios
|
Class A
|
Class B
|
||
Deutsche Variable Series II — Deutsche Small Mid Cap Value VIP
|
.82%
|
1.17%
|
3 Letter to Shareholders
4 Performance Summary
5 Portfolio Summary
5 Portfolio Management Team
6 Investment Portfolio
21 Statement of Assets and Liabilities
22 Statement of Operations
23 Statement of Changes in Net Assets
24 Financial Highlights
25 Notes to Financial Statements
34 Information About Your Fund's Expenses
35 Proxy Voting
36 Advisory Agreement Board Considerations and Fee Evaluation
|
Former Name
|
New name, effective August 11, 2014
|
DWS Investments Distributors, Inc.
|
DeAWM Distributors, Inc.
|
DWS Trust Company
|
DeAWM Trust Company
|
DWS Investments Service Company
|
DeAWM Service Company
|
Growth of an Assumed $10,000 Investment in Deutsche Unconstrained Income VIP
|
||
The Barclays U.S. Universal Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index and the non-ERISA portion of the CMBS Index.
The Barclays U.S. Aggregate Bond Index is an unmanaged index representing domestic taxable investment-grade bonds, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities with an average maturity of one year or more.
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
|
||
Yearly periods ended June 30
|
Comparative Results
|
|||||||||||||||||||||
Deutsche Unconstrained Income VIP
|
6-Month‡
|
1-Year
|
3-Year
|
5-Year
|
10-Year
|
||||||||||||||||
Class A
|
Growth of $10,000
|
$ | 10,487 | $ | 10,796 | $ | 12,018 | $ | 15,285 | $ | 19,955 | ||||||||||
Average annual total return
|
4.87 | % | 7.96 | % | 6.32 | % | 8.86 | % | 7.15 | % | |||||||||||
Barclays U.S. Universal Index
|
Growth of $10,000
|
$ | 10,419 | $ | 10,520 | $ | 11,321 | $ | 13,120 | $ | 16,705 | ||||||||||
Average annual total return
|
4.19 | % | 5.20 | % | 4.22 | % | 5.58 | % | 5.27 | % | |||||||||||
Barclays U.S. Aggregate Bond Index
|
Growth of $10,000
|
$ | 10,393 | $ | 10,437 | $ | 11,140 | $ | 12,674 | $ | 16,187 | ||||||||||
Average annual total return
|
3.93 | % | 4.37 | % | 3.66 | % | 4.85 | % | 4.93 | % |
Asset Allocation (As a % of Investment Portfolio excluding Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
Corporate Bonds
|
56%
|
60%
|
Government & Agency Obligations
|
14%
|
19%
|
Cash Equivalents
|
10%
|
2%
|
Loan Participations and Assignments
|
5%
|
5%
|
Exchange-Traded Fund
|
5%
|
1%
|
Commercial Mortgage-Backed Securities
|
3%
|
3%
|
Collateralized Mortgage Obligations
|
3%
|
5%
|
Asset-Backed
|
2%
|
1%
|
Municipal Bonds and Notes
|
2%
|
2%
|
Mortgage-Backed Securities Pass-Throughs
|
—
|
2%
|
100%
|
100%
|
Quality (Excludes Cash Equivalents and Securities Lending Collateral)
|
6/30/14
|
12/31/13
|
AAA
|
8%
|
20%
|
AA
|
5%
|
3%
|
A
|
4%
|
3%
|
BBB
|
17%
|
18%
|
BB
|
31%
|
25%
|
B
|
20%
|
19%
|
CCC or Below
|
6%
|
4%
|
Not Rated
|
9%
|
8%
|
100%
|
100%
|
Interest Rate Sensitivity
|
6/30/14
|
12/31/13
|
Effective Maturity
|
6.3 years
|
6.6 years
|
Effective Duration
|
3.9 years
|
4.3 years
|
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Corporate Bonds 56.1%
|
|||||||||
Consumer Discretionary 6.8%
|
|||||||||
Ally Financial, Inc., 8.3%, 2/12/2015
|
135,000 | 140,653 | |||||||
AMC Entertainment, Inc., 5.875%, 2/15/2022 (b)
|
30,000 | 31,200 | |||||||
AMC Networks, Inc., 7.75%, 7/15/2021
|
15,000 | 16,781 | |||||||
AmeriGas Finance LLC:
|
|||||||||
6.75%, 5/20/2020
|
70,000 | 75,950 | |||||||
7.0%, 5/20/2022
|
60,000 | 66,450 | |||||||
APX Group, Inc.:
|
|||||||||
8.75%, 12/1/2020
|
5,000 | 5,075 | |||||||
144A, 8.75%, 12/1/2020
|
20,000 | 20,300 | |||||||
Asbury Automotive Group, Inc., 8.375%, 11/15/2020
|
85,000 | 94,350 | |||||||
Ashtead Capital, Inc., 144A, 6.5%, 7/15/2022
|
45,000 | 49,162 | |||||||
Ashton Woods U.S.A. LLC, 144A, 6.875%, 2/15/2021
|
50,000 | 50,000 | |||||||
Avis Budget Car Rental LLC, 5.5%, 4/1/2023
|
30,000 | 30,675 | |||||||
BC Mountain LLC, 144A, 7.0%, 2/1/2021
|
30,000 | 29,025 | |||||||
Block Communications, Inc., 144A, 7.25%, 2/1/2020
|
65,000 | 69,225 | |||||||
Boyd Gaming Corp., 9.0%, 7/1/2020 (b)
|
25,000 | 27,562 | |||||||
Cablevision Systems Corp.:
|
|||||||||
5.875%, 9/15/2022
|
15,000 | 15,281 | |||||||
8.0%, 4/15/2020 (b)
|
10,000 | 11,356 | |||||||
CCO Holdings LLC:
|
|||||||||
6.5%, 4/30/2021
|
120,000 | 127,800 | |||||||
6.625%, 1/31/2022
|
70,000 | 75,250 | |||||||
7.0%, 1/15/2019 (b)
|
20,000 | 21,100 | |||||||
7.25%, 10/30/2017
|
90,000 | 94,950 | |||||||
7.375%, 6/1/2020
|
10,000 | 10,900 | |||||||
8.125%, 4/30/2020
|
25,000 | 27,063 | |||||||
Cequel Communications Holdings I LLC:
|
|||||||||
144A, 5.125%, 12/15/2021
|
89,000 | 88,666 | |||||||
144A, 6.375%, 9/15/2020
|
160,000 | 170,000 | |||||||
Clear Channel Communications, Inc.:
|
|||||||||
9.0%, 12/15/2019
|
70,000 | 74,637 | |||||||
11.25%, 3/1/2021
|
40,000 | 45,350 | |||||||
Clear Channel Worldwide Holdings, Inc.:
|
|||||||||
Series A, 6.5%, 11/15/2022
|
15,000 | 16,013 | |||||||
Series A, 7.625%, 3/15/2020
|
20,000 | 21,400 | |||||||
Series B, 7.625%, 3/15/2020
|
185,000 | 199,569 | |||||||
Cogeco Cable, Inc., 144A, 4.875%, 5/1/2020
|
5,000 | 5,063 | |||||||
Columbus International, Inc., 144A, 7.375%, 3/30/2021
|
200,000 | 215,500 | |||||||
Crown Media Holdings, Inc., 10.5%, 7/15/2019
|
55,000 | 61,944 | |||||||
CSC Holdings LLC, 144A, 5.25%, 6/1/2024
|
75,000 | 73,781 | |||||||
Cumulus Media Holdings, Inc., 7.75%, 5/1/2019 (b)
|
65,000 | 68,494 | |||||||
Delphi Corp., 5.0%, 2/15/2023
|
40,000 | 43,000 | |||||||
DISH DBS Corp.:
|
|||||||||
4.25%, 4/1/2018
|
40,000 | 41,600 | |||||||
5.0%, 3/15/2023
|
50,000 | 50,937 | |||||||
6.625%, 10/1/2014
|
65,000 | 65,812 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
6.75%, 6/1/2021
|
10,000 | 11,400 | |||||||
7.125%, 2/1/2016
|
155,000 | 167,594 | |||||||
General Motors Financial Co., Inc., 3.25%, 5/15/2018
|
15,000 | 15,225 | |||||||
Getty Images, Inc., 144A, 7.0%, 10/15/2020
|
50,000 | 45,812 | |||||||
Group 1 Automotive, Inc., 144A, 5.0%, 6/1/2022
|
25,000 | 25,000 | |||||||
Harron Communications LP, 144A, 9.125%, 4/1/2020
|
60,000 | 66,900 | |||||||
Hertz Corp., 6.75%, 4/15/2019
|
50,000 | 53,000 | |||||||
Hot Topic, Inc., 144A, 9.25%, 6/15/2021
|
20,000 | 22,200 | |||||||
Isle of Capri Casinos, Inc., 5.875%, 3/15/2021
|
15,000 | 15,169 | |||||||
Jo-Ann Stores Holdings, Inc., 144A, 9.75%, 10/15/2019 (PIK)
|
25,000 | 25,563 | |||||||
Johnson Controls, Inc., 4.95%, 7/2/2064
|
40,000 | 40,521 | |||||||
L Brands, Inc., 7.0%, 5/1/2020
|
20,000 | 22,975 | |||||||
Live Nation Entertainment, Inc.:
|
|||||||||
144A, 5.375%, 6/15/2022
|
5,000 | 5,063 | |||||||
144A, 7.0%, 9/1/2020
|
50,000 | 54,750 | |||||||
MDC Partners, Inc., 144A, 6.75%, 4/1/2020
|
30,000 | 31,650 | |||||||
Mediacom Broadband LLC:
|
|||||||||
144A, 5.5%, 4/15/2021
|
5,000 | 5,063 | |||||||
6.375%, 4/1/2023
|
65,000 | 68,575 | |||||||
Mediacom LLC, 7.25%, 2/15/2022
|
20,000 | 21,800 | |||||||
MGM Resorts International:
|
|||||||||
6.75%, 10/1/2020
|
76,000 | 84,835 | |||||||
8.625%, 2/1/2019
|
85,000 | 101,256 | |||||||
Numericable Group SA, 144A, 4.875%, 5/15/2019
|
70,000 | 71,837 | |||||||
Pinnacle Entertainment, Inc., 6.375%, 8/1/2021
|
35,000 | 36,925 | |||||||
Quebecor Media, Inc., 5.75%, 1/15/2023
|
30,000 | 30,825 | |||||||
RCI Banque SA, 144A, 3.5%, 4/3/2018
|
200,000 | 208,506 | |||||||
Sabre Holdings Corp., 8.35%, 3/15/2016
|
55,000 | 60,844 | |||||||
Seminole Hard Rock Entertainment, Inc., 144A, 5.875%, 5/15/2021
|
15,000 | 15,038 | |||||||
Seminole Tribe of Florida, Inc., 144A, 7.804%, 10/1/2020
|
70,000 | 78,750 | |||||||
Serta Simmons Holdings LLC, 144A, 8.125%, 10/1/2020
|
35,000 | 37,975 | |||||||
Sirius XM Radio, Inc., 144A, 5.875%, 10/1/2020
|
30,000 | 31,725 | |||||||
Springs Industries, Inc., 6.25%, 6/1/2021
|
35,000 | 35,700 | |||||||
Starz LLC, 5.0%, 9/15/2019
|
25,000 | 26,031 | |||||||
Taylor Morrison Communities, Inc., 144A, 5.25%, 4/15/2021
|
40,000 | 40,600 | |||||||
The Men's Wearhouse, Inc., 144A, 7.0%, 7/1/2022 (b)
|
20,000 | 20,700 | |||||||
Time Warner Cable, Inc., 7.3%, 7/1/2038
|
35,000 | 47,083 | |||||||
Travelport LLC, 144A, 13.875%, 3/1/2016 (PIK)
|
6,912 | 7,119 | |||||||
UCI International, Inc., 8.625%, 2/15/2019
|
20,000 | 19,000 | |||||||
Univision Communications, Inc., 144A, 7.875%, 11/1/2020
|
25,000 | 27,500 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Viking Cruises Ltd., 144A, 8.5%, 10/15/2022
|
30,000 | 33,150 | |||||||
Weyerhaeuser Real Estate Co.:
|
|||||||||
144A, 4.375%, 6/15/2019
|
20,000 | 20,050 | |||||||
144A, 5.875%, 6/15/2024
|
10,000 | 10,288 | |||||||
4,075,871 | |||||||||
Consumer Staples 3.2%
|
|||||||||
Ajecorp BV, 144A, 6.5%, 5/14/2022 (b)
|
150,000 | 138,000 | |||||||
Big Heart Pet Brands, 7.625%, 2/15/2019
|
55,000 | 57,315 | |||||||
BRF SA, 144A, 5.875%, 6/6/2022
|
200,000 | 216,500 | |||||||
Chiquita Brands International, Inc., 7.875%, 2/1/2021
|
24,000 | 26,130 | |||||||
Controladora Mabe SA de CV, 144A, 7.875%, 10/28/2019
|
100,000 | 114,500 | |||||||
Cott Beverages, Inc., 144A, 5.375%, 7/1/2022
|
35,000 | 35,088 | |||||||
Delhaize Group SA, 4.125%, 4/10/2019
|
140,000 | 147,015 | |||||||
FAGE Dairy Industry SA, 144A, 9.875%, 2/1/2020
|
85,000 | 90,950 | |||||||
JBS Investments GmbH:
|
|||||||||
144A, 7.25%, 4/3/2024
|
70,000 | 72,450 | |||||||
144A, 7.75%, 10/28/2020
|
200,000 | 214,000 | |||||||
JBS U.S.A. LLC:
|
|||||||||
144A, 7.25%, 6/1/2021
|
80,000 | 85,800 | |||||||
144A, 8.25%, 2/1/2020
|
25,000 | 27,125 | |||||||
Marfrig Overseas Ltd., 144A, 9.5%, 5/4/2020
|
100,000 | 107,500 | |||||||
Pilgrim's Pride Corp., 7.875%, 12/15/2018
|
45,000 | 47,646 | |||||||
Post Holdings, Inc.:
|
|||||||||
144A, 6.0%, 12/15/2022
|
30,000 | 30,600 | |||||||
144A, 6.75%, 12/1/2021
|
60,000 | 63,750 | |||||||
Reynolds Group Issuer, Inc.:
|
|||||||||
5.75%, 10/15/2020
|
235,000 | 247,925 | |||||||
6.875%, 2/15/2021
|
100,000 | 107,912 | |||||||
Roundy's Supermarkets, Inc., 144A, 10.25%, 12/15/2020
|
30,000 | 31,688 | |||||||
Smithfield Foods, Inc., 6.625%, 8/15/2022
|
30,000 | 32,850 | |||||||
1,894,744 | |||||||||
Energy 9.3%
|
|||||||||
Access Midstream Partners LP, 6.125%, 7/15/2022
|
55,000 | 60,775 | |||||||
Afren PLC, 144A, 10.25%, 4/8/2019
|
140,000 | 158,725 | |||||||
Antero Resources Finance Corp., 5.375%, 11/1/2021
|
15,000 | 15,563 | |||||||
Baytex Energy Corp.:
|
|||||||||
144A, 5.125%, 6/1/2021
|
15,000 | 15,094 | |||||||
144A, 5.625%, 6/1/2024
|
15,000 | 15,056 | |||||||
Berry Petroleum Co., LLC:
|
|||||||||
6.375%, 9/15/2022
|
30,000 | 31,950 | |||||||
6.75%, 11/1/2020
|
140,000 | 147,350 | |||||||
BreitBurn Energy Partners LP:
|
|||||||||
7.875%, 4/15/2022
|
95,000 | 102,837 | |||||||
8.625%, 10/15/2020
|
35,000 | 38,500 | |||||||
Chaparral Energy, Inc., 7.625%, 11/15/2022
|
20,000 | 21,600 | |||||||
Chesapeake Energy Corp., 3.479%**, 4/15/2019
|
40,000 | 40,450 | |||||||
Chesapeake Oilfield Operating LLC, 6.625%, 11/15/2019
|
25,000 | 26,875 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
CITGO Petroleum Corp., 144A, 11.5%, 7/1/2017
|
105,000 | 111,300 | |||||||
CONSOL Energy, Inc., 144A, 5.875%, 4/15/2022
|
15,000 | 15,713 | |||||||
Crestwood Midstream Partners LP:
|
|||||||||
144A, 6.125%, 3/1/2022
|
20,000 | 21,050 | |||||||
7.75%, 4/1/2019
|
65,000 | 69,713 | |||||||
Dresser-Rand Group, Inc., 6.5%, 5/1/2021
|
75,000 | 80,250 | |||||||
Ecopetrol SA, 5.875%, 5/28/2045
|
250,000 | 258,570 | |||||||
EDC Finance Ltd., 144A, 4.875%, 4/17/2020
|
200,000 | 195,500 | |||||||
El Paso LLC, 7.25%, 6/1/2018
|
55,000 | 62,631 | |||||||
Endeavor Energy Resources LP, 144A, 7.0%, 8/15/2021
|
75,000 | 80,063 | |||||||
EP Energy LLC:
|
|||||||||
6.875%, 5/1/2019
|
60,000 | 63,825 | |||||||
7.75%, 9/1/2022
|
40,000 | 45,100 | |||||||
9.375%, 5/1/2020
|
25,000 | 28,625 | |||||||
EV Energy Partners LP, 8.0%, 4/15/2019
|
140,000 | 147,000 | |||||||
EXCO Resources, Inc., 8.5%, 4/15/2022
|
20,000 | 21,600 | |||||||
Halcon Resources Corp.:
|
|||||||||
8.875%, 5/15/2021
|
95,000 | 102,125 | |||||||
9.75%, 7/15/2020
|
80,000 | 87,300 | |||||||
Hilcorp Energy I LP, 144A, 5.0%, 12/1/2024 (c)
|
25,000 | 25,000 | |||||||
Holly Energy Partners LP, 6.5%, 3/1/2020
|
20,000 | 21,550 | |||||||
Kodiak Oil & Gas Corp., 5.5%, 1/15/2021 (b)
|
60,000 | 62,550 | |||||||
Linn Energy LLC, 6.25%, 11/1/2019
|
95,000 | 99,512 | |||||||
MEG Energy Corp.:
|
|||||||||
144A, 6.5%, 3/15/2021
|
40,000 | 42,400 | |||||||
144A, 7.0%, 3/31/2024
|
75,000 | 82,688 | |||||||
Memorial Resource Development Corp., 144A, 5.875%, 7/1/2022 (c)
|
25,000 | 25,188 | |||||||
Midstates Petroleum Co., Inc.:
|
|||||||||
9.25%, 6/1/2021
|
85,000 | 93,287 | |||||||
10.75%, 10/1/2020
|
85,000 | 96,475 | |||||||
Murphy Oil U.S.A., Inc., 6.0%, 8/15/2023
|
40,000 | 42,100 | |||||||
Northern Oil & Gas, Inc., 8.0%, 6/1/2020
|
90,000 | 96,075 | |||||||
Nostrum Oil & Gas Finance BV, 144A, 6.375%, 2/14/2019
|
200,000 | 209,000 | |||||||
Oasis Petroleum, Inc.:
|
|||||||||
6.5%, 11/1/2021
|
25,000 | 26,875 | |||||||
144A, 6.875%, 3/15/2022
|
60,000 | 65,400 | |||||||
6.875%, 1/15/2023
|
25,000 | 27,250 | |||||||
7.25%, 2/1/2019
|
40,000 | 42,400 | |||||||
Offshore Drilling Holding SA, 144A, 8.375%, 9/20/2020
|
200,000 | 221,500 | |||||||
Offshore Group Investment Ltd.:
|
|||||||||
7.125%, 4/1/2023
|
60,000 | 60,900 | |||||||
7.5%, 11/1/2019
|
20,000 | 21,150 | |||||||
Pacific Rubiales Energy Corp., 144A, 7.25%, 12/12/2021
|
250,000 | 277,500 | |||||||
Pertamina Persero PT, 144A, 5.625%, 5/20/2043
|
200,000 | 179,500 | |||||||
Petrobras Global Finance BV, 4.875%, 3/17/2020
|
200,000 | 205,420 | |||||||
Petroleos de Venezuela SA, 144A, 9.0%, 11/17/2021
|
300,000 | 254,970 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Regency Energy Partners LP, 5.875%, 3/1/2022
|
5,000 | 5,431 | |||||||
Reliance Holding U.S.A., Inc., 144A, 5.4%, 2/14/2022
|
250,000 | 269,940 | |||||||
Rowan Companies, Inc., 4.75%, 1/15/2024
|
80,000 | 84,642 | |||||||
Sabine Pass Liquefaction LLC, 5.625%, 2/1/2021
|
105,000 | 111,037 | |||||||
Samson Investment Co., 144A, 10.75%, 2/15/2020
|
20,000 | 21,075 | |||||||
SandRidge Energy, Inc., 7.5%, 3/15/2021
|
105,000 | 113,794 | |||||||
SESI LLC:
|
|||||||||
6.375%, 5/1/2019
|
40,000 | 42,700 | |||||||
7.125%, 12/15/2021
|
115,000 | 129,662 | |||||||
Seventy Seven Energy, Inc., 144A, 6.5%, 7/15/2022
|
5,000 | 5,125 | |||||||
Swift Energy Co., 7.875%, 3/1/2022
|
55,000 | 57,475 | |||||||
Talos Production LLC, 144A, 9.75%, 2/15/2018
|
60,000 | 63,600 | |||||||
Tesoro Corp., 4.25%, 10/1/2017
|
35,000 | 36,575 | |||||||
Transocean, Inc., 3.8%, 10/15/2022
|
145,000 | 143,510 | |||||||
Whiting Petroleum Corp., 5.0%, 3/15/2019
|
40,000 | 42,100 | |||||||
WPX Energy, Inc., 5.25%, 1/15/2017
|
40,000 | 42,600 | |||||||
5,513,096 | |||||||||
Financials 9.9%
|
|||||||||
Assured Guaranty U.S. Holdings, Inc., 5.0%, 7/1/2024
|
65,000 | 64,613 | |||||||
Banco do Brasil SA, 144A, 9.0%, 12/31/2049
|
200,000 | 198,241 | |||||||
Banco Nacional de Costa Rica, 144A, 4.875%, 11/1/2018
|
200,000 | 205,000 | |||||||
Banco Santander Brasil SA, 144A, 8.0%, 3/18/2016
|
BRL
|
400,000 | 172,890 | ||||||
Barclays Bank PLC, 7.625%, 11/21/2022
|
400,000 | 456,600 | |||||||
BBVA Bancomer SA, 144A, 6.5%, 3/10/2021
|
200,000 | 225,500 | |||||||
CIT Group, Inc.:
|
|||||||||
3.875%, 2/19/2019
|
145,000 | 147,262 | |||||||
5.0%, 5/15/2017
|
80,000 | 85,250 | |||||||
5.25%, 3/15/2018
|
90,000 | 96,637 | |||||||
Citigroup, Inc., 4.05%, 7/30/2022
|
70,000 | 71,715 | |||||||
Country Garden Holdings Co., Ltd., 144A, 11.125%, 2/23/2018
|
200,000 | 218,240 | |||||||
Development Bank of Kazakhstan JSC, Series 3, 6.5%, 6/3/2020
|
500,000 | 535,600 | |||||||
E*TRADE Financial Corp., 6.75%, 6/1/2016
|
130,000 | 141,050 | |||||||
Everest Reinsurance Holdings, Inc., 4.868%, 6/1/2044
|
150,000 | 150,426 | |||||||
Hellas Telecommunications Finance, 144A, 8.328%**, 7/15/2015 (PIK)*
|
EUR
|
109,187 | 0 | ||||||
Hospitality Properties Trust, (REIT), 5.0%, 8/15/2022
|
110,000 | 116,372 | |||||||
ING Bank NV, 144A, 2.0%, 9/25/2015
|
200,000 | 203,218 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
International Lease Finance Corp.:
|
|||||||||
3.875%, 4/15/2018
|
65,000 | 66,625 | |||||||
5.75%, 5/15/2016
|
20,000 | 21,425 | |||||||
6.25%, 5/15/2019
|
50,000 | 56,000 | |||||||
8.625%, 9/15/2015
|
40,000 | 43,300 | |||||||
8.75%, 3/15/2017
|
120,000 | 139,500 | |||||||
Intesa Sanpaolo SpA:
|
|||||||||
3.875%, 1/16/2018
|
240,000 | 252,945 | |||||||
144A, 5.017%, 6/26/2024
|
200,000 | 202,363 | |||||||
Jefferies Group LLC, 5.125%, 1/20/2023
|
60,000 | 64,324 | |||||||
Macquarie Group Ltd., 144A, 6.0%, 1/14/2020
|
200,000 | 226,568 | |||||||
Morgan Stanley:
|
|||||||||
3.75%, 2/25/2023
|
85,000 | 86,469 | |||||||
4.1%, 5/22/2023
|
85,000 | 86,225 | |||||||
Series H, 5.45%, 7/29/2049
|
20,000 | 20,365 | |||||||
MPT Operating Partnership LP:
|
|||||||||
(REIT), 6.375%, 2/15/2022
|
45,000 | 48,262 | |||||||
(REIT), 6.875%, 5/1/2021
|
50,000 | 54,500 | |||||||
Navient Corp., 5.5%, 1/25/2023
|
125,000 | 123,906 | |||||||
Neuberger Berman Group LLC:
|
|||||||||
144A, 5.625%, 3/15/2020
|
25,000 | 26,438 | |||||||
144A, 5.875%, 3/15/2022
|
45,000 | 48,038 | |||||||
Omega Healthcare Investors, Inc., (REIT), 144A, 4.95%, 4/1/2024
|
130,000 | 132,777 | |||||||
Popular, Inc., 7.0%, 7/1/2019 (c)
|
20,000 | 20,300 | |||||||
Royal Bank of Scotland Group PLC, 6.1%, 6/10/2023
|
100,000 | 109,459 | |||||||
Schahin II Finance Co. SPV Ltd., 144A, 5.875%, 9/25/2023 (b)
|
185,733 | 182,947 | |||||||
Societe Generale SA, 144A, 7.875%, 12/29/2049 (b)
|
110,000 | 117,287 | |||||||
The Goldman Sachs Group, Inc., Series L, 5.7%, 12/29/2049
|
35,000 | 36,159 | |||||||
Trust F/1401, (REIT), 144A, 5.25%, 12/15/2024
|
200,000 | 210,000 | |||||||
Turkiye Is Bankasi, 144A, 6.0%, 10/24/2022
|
250,000 | 250,125 | |||||||
Yapi ve Kredi Bankasi AS, 144A, 5.5%, 12/6/2022
|
200,000 | 189,860 | |||||||
5,904,781 | |||||||||
Health Care 2.9%
|
|||||||||
Aviv Healthcare Properties LP:
|
|||||||||
6.0%, 10/15/2021
|
15,000 | 15,900 | |||||||
7.75%, 2/15/2019
|
85,000 | 90,525 | |||||||
Biomet, Inc.:
|
|||||||||
6.5%, 8/1/2020
|
55,000 | 59,262 | |||||||
6.5%, 10/1/2020
|
15,000 | 16,013 | |||||||
Community Health Systems, Inc.:
|
|||||||||
5.125%, 8/15/2018
|
185,000 | 194,019 | |||||||
144A, 5.125%, 8/1/2021
|
5,000 | 5,125 | |||||||
144A, 6.875%, 2/1/2022
|
30,000 | 31,800 | |||||||
7.125%, 7/15/2020
|
60,000 | 64,950 | |||||||
Crimson Merger Sub, Inc., 144A, 6.625%, 5/15/2022
|
70,000 | 69,475 | |||||||
Endo Finance LLC:
|
|||||||||
144A, 5.375%, 1/15/2023
|
35,000 | 34,956 | |||||||
144A, 5.75%, 1/15/2022
|
35,000 | 35,700 | |||||||
Fresenius Medical Care U.S. Finance II, Inc., 144A, 5.625%, 7/31/2019
|
35,000 | 38,150 | |||||||
Fresenius Medical Care U.S. Finance, Inc., 144A, 6.5%, 9/15/2018
|
20,000 | 22,600 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
HCA, Inc.:
|
|||||||||
6.5%, 2/15/2020
|
210,000 | 236,250 | |||||||
7.5%, 2/15/2022
|
80,000 | 92,300 | |||||||
Hologic, Inc., 6.25%, 8/1/2020
|
30,000 | 31,650 | |||||||
LifePoint Hospitals, Inc., 144A, 5.5%, 12/1/2021
|
35,000 | 36,663 | |||||||
Mallinckrodt International Finance SA, 4.75%, 4/15/2023
|
75,000 | 72,937 | |||||||
Par Pharmaceutical Companies, Inc., 7.375%, 10/15/2020
|
55,000 | 59,125 | |||||||
Physio-Control International, Inc., 144A, 9.875%, 1/15/2019
|
48,000 | 53,040 | |||||||
Salix Pharmaceuticals Ltd., 144A, 6.0%, 1/15/2021
|
30,000 | 32,175 | |||||||
Tenet Healthcare Corp., 6.25%, 11/1/2018
|
80,000 | 88,800 | |||||||
Valeant Pharmaceuticals International, Inc.:
|
|||||||||
144A, 6.375%, 10/15/2020
|
35,000 | 37,187 | |||||||
144A, 6.75%, 8/15/2018
|
70,000 | 75,425 | |||||||
144A, 7.5%, 7/15/2021
|
140,000 | 155,050 | |||||||
Warner Chilcott Co., LLC, 7.75%, 9/15/2018
|
75,000 | 78,847 | |||||||
1,727,924 | |||||||||
Industrials 5.5%
|
|||||||||
ADT Corp.:
|
|||||||||
3.5%, 7/15/2022
|
20,000 | 18,200 | |||||||
4.125%, 4/15/2019
|
5,000 | 5,031 | |||||||
6.25%, 10/15/2021 (b)
|
25,000 | 26,500 | |||||||
Alphabet Holding Co., Inc., 7.75%, 11/1/2017 (PIK)
|
65,000 | 67,113 | |||||||
Armored Autogroup, Inc., 9.25%, 11/1/2018
|
105,000 | 110,512 | |||||||
Artesyn Escrow, Inc., 144A, 9.75%, 10/15/2020
|
40,000 | 39,300 | |||||||
BE Aerospace, Inc., 6.875%, 10/1/2020
|
25,000 | 27,156 | |||||||
Belden, Inc., 144A, 5.5%, 9/1/2022
|
55,000 | 56,925 | |||||||
Bombardier, Inc.:
|
|||||||||
144A, 4.75%, 4/15/2019
|
20,000 | 20,350 | |||||||
144A, 5.75%, 3/15/2022
|
55,000 | 56,375 | |||||||
144A, 6.0%, 10/15/2022
|
35,000 | 35,875 | |||||||
144A, 7.75%, 3/15/2020
|
45,000 | 50,857 | |||||||
Casella Waste Systems, Inc., 7.75%, 2/15/2019
|
90,000 | 94,050 | |||||||
Cemex Finance LLC, 144A, 9.375%, 10/12/2022
|
200,000 | 235,250 | |||||||
Covanta Holding Corp., 5.875%, 3/1/2024
|
30,000 | 31,013 | |||||||
CTP Transportation Products LLC, 144A, 8.25%, 12/15/2019
|
35,000 | 37,713 | |||||||
Darling Ingredients, Inc., 144A, 5.375%, 1/15/2022
|
30,000 | 31,125 | |||||||
DigitalGlobe, Inc., 5.25%, 2/1/2021
|
25,000 | 24,750 | |||||||
Ducommun, Inc., 9.75%, 7/15/2018
|
65,000 | 72,333 | |||||||
Florida East Coast Holdings Corp., 144A, 6.75%, 5/1/2019
|
65,000 | 68,656 | |||||||
FTI Consulting, Inc., 6.75%, 10/1/2020
|
145,000 | 154,787 | |||||||
Garda World Security Corp., 144A, 7.25%, 11/15/2021
|
45,000 | 47,306 | |||||||
Gates Global LLC, 144A, 6.0%, 7/15/2022
|
30,000 | 30,000 | |||||||
GenCorp, Inc., 7.125%, 3/15/2021
|
80,000 | 87,400 | |||||||
Grupo KUO SAB De CV, 144A, 6.25%, 12/4/2022
|
200,000 | 209,500 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Huntington Ingalls Industries, Inc.:
|
|||||||||
6.875%, 3/15/2018
|
50,000 | 52,875 | |||||||
7.125%, 3/15/2021
|
10,000 | 10,925 | |||||||
Interactive Data Corp., 144A, 5.875%, 4/15/2019
|
35,000 | 35,525 | |||||||
KazAgro National Management Holding JSC, 144A, 4.625%, 5/24/2023
|
200,000 | 193,480 | |||||||
Kenan Advantage Group, Inc., 144A, 8.375%, 12/15/2018
|
25,000 | 26,750 | |||||||
Meritor, Inc.:
|
|||||||||
6.25%, 2/15/2024
|
30,000 | 31,425 | |||||||
6.75%, 6/15/2021
|
40,000 | 43,024 | |||||||
Navios Maritime Holdings, Inc.:
|
|||||||||
144A, 7.375%, 1/15/2022
|
110,000 | 113,300 | |||||||
8.125%, 2/15/2019
|
75,000 | 78,844 | |||||||
Nortek, Inc., 8.5%, 4/15/2021
|
75,000 | 82,875 | |||||||
Odebrecht Offshore Drilling Finance Ltd., 144A, 6.75%, 10/1/2022
|
192,840 | 206,435 | |||||||
Oshkosh Corp., 5.375%, 3/1/2022
|
22,500 | 23,175 | |||||||
Ply Gem Industries, Inc., 144A, 6.5%, 2/1/2022 (b)
|
40,000 | 38,700 | |||||||
Spirit AeroSystems, Inc.:
|
|||||||||
144A, 5.25%, 3/15/2022
|
40,000 | 40,600 | |||||||
6.75%, 12/15/2020
|
75,000 | 80,625 | |||||||
Titan International, Inc., 6.875%, 10/1/2020
|
90,000 | 91,350 | |||||||
TransDigm, Inc.:
|
|||||||||
144A, 6.0%, 7/15/2022
|
40,000 | 41,100 | |||||||
144A, 6.5%, 7/15/2024
|
25,000 | 26,031 | |||||||
7.5%, 7/15/2021
|
75,000 | 83,063 | |||||||
Triumph Group, Inc., 144A, 5.25%, 6/1/2022
|
20,000 | 20,050 | |||||||
United Rentals North America, Inc.:
|
|||||||||
5.75%, 7/15/2018
|
60,000 | 63,450 | |||||||
7.375%, 5/15/2020
|
95,000 | 104,975 | |||||||
7.625%, 4/15/2022
|
95,000 | 106,637 | |||||||
Watco Companies LLC, 144A, 6.375%, 4/1/2023
|
25,000 | 25,500 | |||||||
3,258,791 | |||||||||
Information Technology 2.3%
|
|||||||||
ACI Worldwide, Inc., 144A, 6.375%, 8/15/2020
|
15,000 | 15,788 | |||||||
Activision Blizzard, Inc., 144A, 5.625%, 9/15/2021
|
130,000 | 140,075 | |||||||
Audatex North America, Inc., 144A, 6.0%, 6/15/2021
|
25,000 | 26,688 | |||||||
BMC Software Finance, Inc., 144A, 8.125%, 7/15/2021
|
65,000 | 66,869 | |||||||
Boxer Parent Co., Inc., 144A, 9.0%, 10/15/2019 (PIK)
|
40,000 | 39,000 | |||||||
CDW LLC, 8.5%, 4/1/2019
|
45,000 | 48,712 | |||||||
eAccess Ltd., 144A, 8.25%, 4/1/2018
|
60,000 | 64,800 | |||||||
EarthLink Holdings Corp., 7.375%, 6/1/2020
|
30,000 | 31,988 | |||||||
Entegris, Inc., 144A, 6.0%, 4/1/2022
|
20,000 | 20,600 | |||||||
Equinix, Inc.:
|
|||||||||
5.375%, 4/1/2023
|
105,000 | 107,362 | |||||||
7.0%, 7/15/2021
|
40,000 | 44,200 | |||||||
First Data Corp.:
|
|||||||||
144A, 6.75%, 11/1/2020
|
72,000 | 77,940 | |||||||
144A, 7.375%, 6/15/2019
|
45,000 | 48,319 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
144A, 8.75%, 1/15/2022 (PIK)
|
60,000 | 66,225 | |||||||
144A, 8.875%, 8/15/2020
|
85,000 | 94,031 | |||||||
Freescale Semiconductor, Inc., 144A, 6.0%, 1/15/2022
|
40,000 | 42,600 | |||||||
Hughes Satellite Systems Corp.:
|
|||||||||
6.5%, 6/15/2019
|
70,000 | 78,050 | |||||||
7.625%, 6/15/2021
|
40,000 | 45,800 | |||||||
Jabil Circuit, Inc., 7.75%, 7/15/2016
|
30,000 | 33,937 | |||||||
Micron Technology, Inc., 144A, 5.875%, 2/15/2022
|
15,000 | 16,088 | |||||||
NCR Corp.:
|
|||||||||
144A, 5.875%, 12/15/2021
|
10,000 | 10,550 | |||||||
144A, 6.375%, 12/15/2023
|
20,000 | 21,700 | |||||||
NXP BV, 144A, 3.75%, 6/1/2018
|
35,000 | 35,087 | |||||||
Sanmina Corp., 144A, 4.375%, 6/1/2019
|
5,000 | 4,994 | |||||||
Tencent Holdings Ltd., 144A, 3.375%, 5/2/2019
|
200,000 | 204,474 | |||||||
1,385,877 | |||||||||
Materials 6.7%
|
|||||||||
ALROSA Finance SA, 144A, 7.75%, 11/3/2020
|
200,000 | 221,260 | |||||||
Anglo American Capital PLC, 144A, 4.125%, 9/27/2022
|
250,000 | 251,881 | |||||||
Ashland, Inc., 3.875%, 4/15/2018
|
20,000 | 20,575 | |||||||
AuRico Gold, Inc., 144A, 7.75%, 4/1/2020
|
20,000 | 19,800 | |||||||
Berry Plastics Corp., 5.5%, 5/15/2022
|
60,000 | 60,337 | |||||||
BOE Intermediate Holding Corp., 144A, 9.0%, 11/1/2017 (PIK)
|
43,858 | 45,996 | |||||||
Braskem Finance Ltd., 6.45%, 2/3/2024
|
200,000 | 213,750 | |||||||
Cascades, Inc., 144A, 5.5%, 7/15/2022
|
20,000 | 19,950 | |||||||
Clearwater Paper Corp., 7.125%, 11/1/2018
|
65,000 | 68,250 | |||||||
Cliffs Natural Resources, Inc., 3.95%, 1/15/2018
|
115,000 | 116,533 | |||||||
Crown Americas LLC, 6.25%, 2/1/2021
|
10,000 | 10,700 | |||||||
Exopack Holding Corp., 144A, 10.0%, 6/1/2018
|
40,000 | 43,000 | |||||||
First Quantum Minerals Ltd.:
|
|||||||||
144A, 6.75%, 2/15/2020
|
70,000 | 72,100 | |||||||
144A, 7.0%, 2/15/2021
|
70,000 | 72,012 | |||||||
FMG Resources (August 2006) Pty Ltd.:
|
|||||||||
144A, 6.0%, 4/1/2017
|
55,000 | 56,787 | |||||||
144A, 8.25%, 11/1/2019
|
45,000 | 48,994 | |||||||
Fresnillo PLC, 144A, 5.5%, 11/13/2023
|
200,000 | 209,000 | |||||||
Glencore Funding LLC, 144A, 4.125%, 5/30/2023
|
110,000 | 110,478 | |||||||
Greif, Inc., 7.75%, 8/1/2019
|
195,000 | 224,250 | |||||||
GTL Trade Finance, Inc., 144A, 5.893%, 4/29/2024 (b)
|
200,000 | 209,800 | |||||||
Hexion U.S. Finance Corp.:
|
|||||||||
6.625%, 4/15/2020
|
70,000 | 74,200 | |||||||
8.875%, 2/1/2018
|
60,000 | 62,400 | |||||||
Huntsman International LLC:
|
|||||||||
8.625%, 3/15/2020
|
60,000 | 64,950 | |||||||
8.625%, 3/15/2021
|
25,000 | 27,625 | |||||||
IAMGOLD Corp., 144A, 6.75%, 10/1/2020
|
40,000 | 37,000 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Kaiser Aluminum Corp., 8.25%, 6/1/2020
|
40,000 | 45,000 | |||||||
KGHM International Ltd., 144A, 7.75%, 6/15/2019
|
115,000 | 123,481 | |||||||
Metalloinvest Finance Ltd., 144A, 5.625%, 4/17/2020
|
200,000 | 194,000 | |||||||
Novelis, Inc., 8.75%, 12/15/2020
|
215,000 | 238,650 | |||||||
Owens-Brockway Glass Container, Inc., 7.375%, 5/15/2016
|
30,000 | 33,000 | |||||||
Packaging Dynamics Corp., 144A, 8.75%, 2/1/2016
|
90,000 | 92,430 | |||||||
Plastipak Holdings, Inc., 144A, 6.5%, 10/1/2021
|
40,000 | 42,200 | |||||||
Polymer Group, Inc., 7.75%, 2/1/2019
|
49,000 | 52,063 | |||||||
Rain CII Carbon LLC, 144A, 8.0%, 12/1/2018
|
45,000 | 47,250 | |||||||
Samarco Mineracao SA, 144A, 5.75%, 10/24/2023
|
200,000 | 209,940 | |||||||
Sealed Air Corp.:
|
|||||||||
144A, 8.125%, 9/15/2019
|
30,000 | 33,038 | |||||||
144A, 8.375%, 9/15/2021
|
30,000 | 34,350 | |||||||
Signode Industrial Group Lux SA, 144A, 6.375%, 5/1/2022
|
30,000 | 30,375 | |||||||
Tronox Finance LLC, 6.375%, 8/15/2020
|
30,000 | 30,975 | |||||||
Turkiye Sise ve Cam Fabrikalari AS, 144A, 4.25%, 5/9/2020
|
300,000 | 289,500 | |||||||
Yamana Gold, Inc., 144A, 4.95%, 7/15/2024
|
120,000 | 120,789 | |||||||
3,978,669 | |||||||||
Telecommunication Services 7.9%
|
|||||||||
B Communications Ltd., 144A, 7.375%, 2/15/2021
|
35,000 | 37,625 | |||||||
CC Holdings GS V LLC, 3.849%, 4/15/2023
|
70,000 | 70,272 | |||||||
CenturyLink, Inc.:
|
|||||||||
Series V, 5.625%, 4/1/2020
|
15,000 | 15,825 | |||||||
Series W, 6.75%, 12/1/2023
|
35,000 | 38,238 | |||||||
Cincinnati Bell, Inc.:
|
|||||||||
8.375%, 10/15/2020
|
235,000 | 257,619 | |||||||
8.75%, 3/15/2018 (b)
|
210,000 | 220,237 | |||||||
Colombia Telecomunicaciones SA ESP, 144A, 5.375%, 9/27/2022
|
200,000 | 199,700 | |||||||
CommScope, Inc., 144A, 5.0%, 6/15/2021
|
35,000 | 35,700 | |||||||
CPI International, Inc., 8.75%, 2/15/2018
|
45,000 | 47,138 | |||||||
Digicel Group Ltd.:
|
|||||||||
144A, 7.125%, 4/1/2022
|
35,000 | 36,488 | |||||||
144A, 8.25%, 9/30/2020
|
105,000 | 114,450 | |||||||
Digicel Ltd., 144A, 8.25%, 9/1/2017
|
300,000 | 308,640 | |||||||
Frontier Communications Corp.:
|
|||||||||
7.125%, 1/15/2023
|
200,000 | 212,000 | |||||||
8.25%, 4/15/2017
|
62,000 | 71,997 | |||||||
8.5%, 4/15/2020
|
20,000 | 23,600 | |||||||
Intelsat Jackson Holdings SA:
|
|||||||||
5.5%, 8/1/2023
|
55,000 | 54,725 | |||||||
7.25%, 10/15/2020
|
195,000 | 210,112 | |||||||
7.5%, 4/1/2021
|
215,000 | 235,425 | |||||||
8.5%, 11/1/2019
|
100,000 | 106,250 | |||||||
Intelsat Luxembourg SA:
|
|||||||||
7.75%, 6/1/2021
|
95,000 | 100,581 | |||||||
8.125%, 6/1/2023
|
10,000 | 10,813 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Level 3 Communications, Inc., 8.875%, 6/1/2019
|
10,000 | 10,938 | |||||||
Level 3 Financing, Inc.:
|
|||||||||
144A, 6.125%, 1/15/2021
|
20,000 | 21,425 | |||||||
7.0%, 6/1/2020
|
75,000 | 81,937 | |||||||
8.125%, 7/1/2019
|
75,000 | 81,844 | |||||||
8.625%, 7/15/2020
|
50,000 | 56,000 | |||||||
MetroPCS Wireless, Inc.:
|
|||||||||
6.625%, 11/15/2020
|
65,000 | 69,387 | |||||||
7.875%, 9/1/2018
|
75,000 | 78,772 | |||||||
Millicom International Cellular SA, 144A, 4.75%, 5/22/2020
|
200,000 | 200,000 | |||||||
SBA Communications Corp., 5.625%, 10/1/2019
|
30,000 | 31,763 | |||||||
SBA Telecommunications, Inc., 8.25%, 8/15/2019
|
16,000 | 16,768 | |||||||
Sprint Communications, Inc.:
|
|||||||||
144A, 7.0%, 3/1/2020
|
40,000 | 46,000 | |||||||
144A, 9.0%, 11/15/2018
|
175,000 | 212,187 | |||||||
9.125%, 3/1/2017
|
50,000 | 58,563 | |||||||
Sprint Corp., 144A, 7.125%, 6/15/2024
|
110,000 | 116,600 | |||||||
T-Mobile U.S.A., Inc.:
|
|||||||||
6.125%, 1/15/2022
|
15,000 | 15,919 | |||||||
6.5%, 1/15/2024
|
15,000 | 16,031 | |||||||
6.625%, 4/1/2023 (b)
|
35,000 | 37,975 | |||||||
tw telecom holdings, Inc.:
|
|||||||||
5.375%, 10/1/2022
|
40,000 | 43,750 | |||||||
6.375%, 9/1/2023
|
35,000 | 39,813 | |||||||
UPCB Finance V Ltd., 144A, 7.25%, 11/15/2021
|
30,000 | 33,000 | |||||||
UPCB Finance VI Ltd., 144A, 6.875%, 1/15/2022
|
10,000 | 10,925 | |||||||
Verizon Communications, Inc., 6.55%, 9/15/2043
|
200,000 | 251,688 | |||||||
VimpelCom Holdings BV, 144A, 7.504%, 3/1/2022
|
200,000 | 215,750 | |||||||
Wind Acquisition Finance SA, 144A, 6.5%, 4/30/2020
|
30,000 | 32,513 | |||||||
Windstream Corp.:
|
|||||||||
6.375%, 8/1/2023
|
40,000 | 40,550 | |||||||
7.5%, 4/1/2023
|
75,000 | 81,187 | |||||||
7.75%, 10/15/2020
|
20,000 | 21,675 | |||||||
7.75%, 10/1/2021
|
55,000 | 60,087 | |||||||
7.875%, 11/1/2017
|
205,000 | 236,006 | |||||||
8.125%, 9/1/2018
|
70,000 | 73,500 | |||||||
4,699,988 | |||||||||
Utilities 1.6%
|
|||||||||
AES Corp.:
|
|||||||||
3.229%**, 6/1/2019
|
20,000 | 20,150 | |||||||
8.0%, 10/15/2017
|
2,000 | 2,330 | |||||||
8.0%, 6/1/2020
|
175,000 | 210,437 | |||||||
Calpine Corp.:
|
|||||||||
144A, 7.5%, 2/15/2021
|
64,000 | 69,440 | |||||||
144A, 7.875%, 7/31/2020
|
70,000 | 75,950 | |||||||
Electricite de France SA, 144A, 5.25%, 1/29/2049
|
100,000 | 102,013 | |||||||
Energy Future Holdings Corp., Series Q, 6.5%, 11/15/2024*
|
100,000 | 75,500 | |||||||
FirstEnergy Transmission LLC, 144A, 4.35%, 1/15/2025
|
100,000 | 101,032 | |||||||
IPALCO Enterprises, Inc., 5.0%, 5/1/2018
|
145,000 | 154,787 | |||||||
NGL Energy Partners LP, 144A, 5.125%, 7/15/2019 (c)
|
30,000 | 30,075 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
NRG Energy, Inc.:
|
|||||||||
144A, 6.25%, 5/1/2024
|
100,000 | 104,500 | |||||||
7.875%, 5/15/2021
|
30,000 | 33,263 | |||||||
979,477 | |||||||||
Total Corporate Bonds (Cost $31,913,830)
|
33,419,218 | ||||||||
Asset-Backed 1.6%
|
|||||||||
Home Equity Loans 0.4%
|
|||||||||
CIT Group Home Equity Loan Trust, "AF6", Series 2002-1, 6.2%, 2/25/2030
|
52,609 | 52,467 | |||||||
Citifinancial Mortgage Securities, Inc., "AFS", Series 2003-4, 5.826%**, 10/25/2033
|
190,000 | 198,205 | |||||||
250,672 | |||||||||
Miscellaneous 1.2%
|
|||||||||
ARES CLO Ltd., "D", Series 2012-3A, 144A, 4.876%**, 1/17/2024
|
250,000 | 250,544 | |||||||
Domino's Pizza Master Issuer LLC, "A2", Series 2012-1A, 144A, 5.216%, 1/25/2042
|
144,938 | 155,753 | |||||||
Hilton Grand Vacations Trust, "B", Series 2014-AA, 144A, 2.07%, 11/25/2026
|
300,000 | 299,983 | |||||||
706,280 | |||||||||
Total Asset-Backed (Cost $923,823)
|
956,952 | ||||||||
Commercial Mortgage-Backed Securities 3.3%
|
|||||||||
Commercial Mortgage Trust, "AM", Series 2007-GG11, 5.867%, 12/10/2049
|
290,000 | 320,482 | |||||||
Del Coronado Trust, "M", Series 2013-HDMZ, 144A, 5.152%**, 3/15/2018
|
80,000 | 80,504 | |||||||
JPMorgan Chase Commercial Mortgage Securities Corp., "C", Series 2012-HSBC, 144A, 4.021%, 7/5/2032
|
150,000 | 156,087 | |||||||
Prudential Commercial Mortgage Trust, "F", Series 2003-PWR1, 144A, 5.233%**, 2/11/2036
|
500,000 | 500,782 | |||||||
Wachovia Bank Commercial Mortgage Trust, "A4", Series 2005-C22, 5.455%**, 12/15/2044
|
140,000 | 146,814 | |||||||
WFRBS Commercial Mortgage Trust, "A5", Series 2013-C14, 3.337%, 6/15/2046
|
750,000 | 757,990 | |||||||
Total Commercial Mortgage-Backed Securities (Cost $1,903,454)
|
1,962,659 | ||||||||
Collateralized Mortgage Obligations 3.2%
|
|||||||||
Banc of America Mortgage Securities, "2A2", Series 2004-A, 2.680%**, 2/25/2034
|
100,950 | 101,187 | |||||||
Bear Stearns Adjustable Rate Mortgage Trust, "2A1", Series 2005-11, 2.999%**, 12/25/2035
|
126,765 | 127,680 | |||||||
Countrywide Home Loans, "2A5", Series 2004-13, 5.75%, 8/25/2034
|
90,126 | 93,197 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Federal Home Loan Mortgage Corp.:
|
|||||||||
"AI", Series 4016, Interest Only, 3.0%, 9/15/2025
|
1,204,739 | 115,723 | |||||||
"ZG", Series 4213, 3.5%, 6/15/2043
|
108,429 | 108,521 | |||||||
"JI", Series 3558, Interest Only, 4.5%, 12/15/2023
|
44,781 | 1,657 | |||||||
"PI", Series 3843, Interest Only, 4.5%, 5/15/2038
|
431,567 | 54,995 | |||||||
"HI", Series 2934, Interest Only, 5.0%, 2/15/2020
|
118,217 | 11,844 | |||||||
"WI", Series 3010, Interest Only, 5.0%, 7/15/2020
|
186,375 | 17,659 | |||||||
"JS", Series 3572, Interest Only, 6.648%***, 9/15/2039
|
700,892 | 112,143 | |||||||
Federal National Mortgage Association:
|
|||||||||
"BI", Series 2010-13, Interest Only, 5.0%, 12/25/2038
|
79,076 | 6,267 | |||||||
"PI", Series 2006-20, Interest Only, 6.528%***, 11/25/2030
|
419,504 | 72,558 | |||||||
"SI", Series 2007-23, Interest Only, 6.618%***, 3/25/2037
|
277,830 | 39,284 | |||||||
Government National Mortgage Association:
|
|||||||||
"ZJ", Series 2013-106, 3.5%, 7/20/2043
|
353,928 | 344,646 | |||||||
"MI", Series 2009-76, Interest Only, 5.0%, 3/20/2035
|
18,207 | 22 | |||||||
"IV", Series 2009-69, Interest Only, 5.5%, 8/20/2039
|
380,982 | 67,033 | |||||||
"IN", Series 2009-69, Interest Only, 5.5%, 8/20/2039
|
383,720 | 64,599 | |||||||
"IJ", Series 2009-75, Interest Only, 6.0%, 8/16/2039
|
353,566 | 64,975 | |||||||
"AI", Series 2007-38, Interest Only, 6.308%***, 6/16/2037
|
98,515 | 15,023 | |||||||
JPMorgan Mortgage Trust, "2A1", Series 2006-A2, 2.657%**, 4/25/2036
|
292,866 | 267,337 | |||||||
Merrill Lynch Mortgage Investors Trust, "2A", Series 2003-A6, 2.654%**, 10/25/2033
|
80,061 | 80,815 | |||||||
Wells Fargo Mortgage-Backed Securities Trust, "2A3", Series 2004-EE, 2.612%**, 12/25/2034
|
114,076 | 114,722 | |||||||
Total Collateralized Mortgage Obligations (Cost $1,729,312)
|
1,881,887 | ||||||||
Government & Agency Obligations 14.6%
|
|||||||||
Other Government Related (d) 3.0%
|
|||||||||
Bank of Moscow, 144A, 6.699%, 3/11/2015
|
250,000 | 257,028 | |||||||
MMC Norilsk Nickel OJSC, 144A, 5.55%, 10/28/2020
|
200,000 | 201,000 | |||||||
Queensland Treasury Corp., Series 33, 6.5%, 3/14/2033
|
AUD
|
828,000 | 978,394 | ||||||
Sberbank of Russia, 144A, 5.25%, 5/23/2023
|
200,000 | 187,500 | |||||||
TMK OAO, 144A, 6.75%, 4/3/2020
|
200,000 | 195,000 | |||||||
1,818,922 | |||||||||
Sovereign Bonds 8.1%
|
|||||||||
Federative Republic of Brazil:
|
|||||||||
4.25%, 1/7/2025
|
200,000 | 202,700 | |||||||
12.5%, 1/5/2016
|
BRL
|
250,000 | 118,522 | ||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Government of France, 0.7%, 7/25/2030
|
EUR
|
566,085 | 786,148 | ||||||
Kingdom of Morocco, 144A, 4.25%, 12/11/2022
|
250,000 | 250,313 | |||||||
Province of New Brunswick Canada, 3.55%, 6/3/2043
|
CAD
|
900,000 | 806,926 | ||||||
Republic of Argentina-Inflation Linked Bond, 5.83%, 12/31/2033
|
ARS
|
375 | 122 | ||||||
Republic of Belarus, REG S, 8.75%, 8/3/2015
|
145,000 | 149,176 | |||||||
Republic of Croatia, 144A, 6.75%, 11/5/2019
|
400,000 | 448,500 | |||||||
Republic of El Salvador, 144A, 7.65%, 6/15/2035
|
200,000 | 216,300 | |||||||
Republic of Ghana, 144A, 8.5%, 10/4/2017
|
100,000 | 105,000 | |||||||
Republic of Hungary, 4.125%, 2/19/2018
|
50,000 | 52,125 | |||||||
Republic of Romania, 4.875%, 11/7/2019
|
EUR
|
100,000 | 155,203 | ||||||
Republic of Singapore, 3.375%, 9/1/2033
|
SGD
|
1,243,000 | 1,052,347 | ||||||
Republic of Slovenia, 144A, 4.75%, 5/10/2018
|
200,000 | 215,500 | |||||||
Republic of South Africa, Series R204, 8.0%, 12/21/2018
|
ZAR
|
550,000 | 52,553 | ||||||
Republic of Sri Lanka, 144A, 5.125%, 4/11/2019
|
200,000 | 203,250 | |||||||
4,814,685 | |||||||||
U.S. Treasury Obligations 3.5%
|
|||||||||
U.S. Treasury Bills:
|
|||||||||
0.03%****, 12/11/2014 (e)
|
57,000 | 56,987 | |||||||
0.055%****, 8/14/2014 (e)
|
15,000 | 15,000 | |||||||
0.055%****, 12/11/2014 (e)
|
150,000 | 149,966 | |||||||
0.065%****, 8/14/2014
|
239,000 | 238,993 | |||||||
U.S. Treasury Notes:
|
|||||||||
1.0%, 8/31/2016 (f)
|
500,000 | 505,156 | |||||||
1.0%, 9/30/2016
|
500,000 | 504,844 | |||||||
1.5%, 5/31/2019
|
232,600 | 231,437 | |||||||
2.5%, 5/15/2024
|
360,000 | 359,494 | |||||||
2,061,877 | |||||||||
Total Government & Agency Obligations (Cost $8,440,245)
|
8,695,484 | ||||||||
Loan Participations and Assignments 5.0%
|
|||||||||
Senior Loans**
|
|||||||||
American Rock Salt Holdings LLC:
|
|||||||||
First Lien Term Loan, 4.75%, 5/20/2021
|
84,635 | 84,725 | |||||||
Term Delay Draw, 4.75%, 5/20/2021
|
20,365 | 20,387 | |||||||
Avis Budget Car Rental LLC, Term Loan B, 3.0%, 3/15/2019
|
59,548 | 59,567 | |||||||
Buffalo Gulf Coast Terminals LLC, Term Loan, 5.25%, 10/31/2017
|
73,875 | 74,337 | |||||||
Burger King Corp., Term Loan B, 3.75%, 9/28/2019
|
68,775 | 69,162 | |||||||
Calpine Corp., Term Loan B1, 4.0%, 4/1/2018
|
192,513 | 193,455 | |||||||
Crown Castle International Corp., Term Loan B, 2.4%, 1/31/2019
|
49,005 | 49,112 | |||||||
CSC Holdings, Inc., Term Loan B, 2.65%, 4/17/2020
|
128,256 | 127,075 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Cumulus Media Holdings, Inc., Term Loan, 4.25%, 12/23/2020
|
29,539 | 29,687 | |||||||
DaVita HealthCare Partners, Inc., Term Loan B, 3.75%, 6/24/2021
|
70,000 | 70,402 | |||||||
Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/2019
|
220,000 | 221,616 | |||||||
HJ Heinz Co., Term Loan B2, 3.5%, 6/5/2020
|
247,500 | 249,637 | |||||||
MacDermid, Inc., First Lien Term Loan, 4.0%, 6/7/2020
|
54,450 | 54,552 | |||||||
MEG Energy Corp., Term Loan, 3.75%, 3/31/2020
|
256,710 | 257,433 | |||||||
NRG Energy, Inc., Term Loan B, 2.75%, 7/2/2018
|
117,827 | 117,753 | |||||||
Par Pharmaceutical Companies, Inc., Term Loan B2, 4.0%, 9/30/2019
|
117,324 | 117,324 | |||||||
Pilot Travel Centers LLC:
|
|||||||||
Term Loan B, 3.75%, 3/30/2018
|
89,374 | 89,652 | |||||||
Term Loan B2, 4.25%, 8/7/2019
|
334,050 | 335,511 | |||||||
Quebecor Media, Inc., Term Loan B1, 3.25%, 8/17/2020
|
89,325 | 88,339 | |||||||
Samson Investment Co., Second Lien Term Loan, 5.0%, 9/25/2018
|
175,000 | 175,066 | |||||||
Tallgrass Operations LLC:
|
|||||||||
Term Loan B, 4.25%, 11/13/2018
|
161,008 | 162,450 | |||||||
Term Delay Draw, 4.75%, 11/13/2017
|
50,000 | 50,344 | |||||||
Travelport LLC, Second Lien Term Loan, 9.5%, 1/29/2016
|
5,040 | 5,204 | |||||||
Valeant Pharmaceuticals International, Inc.:
|
|||||||||
Term Loan B, 3.75%, 2/13/2019
|
157,990 | 158,237 | |||||||
Term Loan B, 3.75%, 12/11/2019
|
133,304 | 133,373 | |||||||
Total Loan Participations and Assignments (Cost $2,989,135)
|
2,994,400 | ||||||||
Municipal Bonds and Notes 1.6%
|
|||||||||
Chicago, IL, Airport Revenue, O'Hare International Airport, Series B, 6.0%, 1/1/2041
|
145,000 | 166,237 | |||||||
Massachusetts, State School Building Authority, Sales Tax Revenue, Qualified School Construction Bond, Series A, 4.885%, 7/15/2028
|
300,000 | 318,540 | |||||||
Orlando & Orange County, FL, Expressway Authority Revenue, Series C, 5.0%, 7/1/2040
|
145,000 | 154,782 | |||||||
Port Authority of New York & New Jersey, 4.926%, 10/1/2051
|
260,000 | 289,190 | |||||||
Total Municipal Bonds and Notes (Cost $850,516)
|
928,749 | ||||||||
Convertible Bond 0.4%
|
|||||||||
Materials
|
|||||||||
GEO Specialty Chemicals, Inc., 144A, 7.5%, 3/31/2015 (Cost $119,305)
|
120,175 | 241,972 | |||||||
Principal Amount ($)(a)
|
Value ($)
|
||||||||
Preferred Security 0.1%
|
|||||||||
Materials
|
|||||||||
Hercules, Inc., 6.5%, 6/30/2029 (Cost $59,811)
|
95,000 | 85,975 |
Shares
|
Value ($)
|
|||||||
Common Stocks 0.0%
|
||||||||
Consumer Discretionary 0.0%
|
||||||||
Dawn Holdings, Inc.* (g)
|
1 | 4,366 | ||||||
Trump Entertainment Resorts, Inc.*
|
6 | 0 | ||||||
4,366 | ||||||||
Industrials 0.0%
|
||||||||
Congoleum Corp.*
|
2,500 | 0 | ||||||
Materials 0.0%
|
||||||||
GEO Specialty Chemicals, Inc.*
|
2,058 | 1,590 | ||||||
Total Common Stocks (Cost $25,217)
|
5,956 | |||||||
Preferred Stock 0.2%
|
||||||||
Financials
|
||||||||
Ally Financial, Inc., Series G, 144A, 7.0% (Cost $85,127)
|
89 | 89,670 | ||||||
Warrants 0.0%
|
||||||||
Materials
|
||||||||
GEO Specialty Chemicals, Inc., Expiration Date 3/31/2015*
|
11,138 | 8,526 | ||||||
Hercules Trust II, Expiration Date 3/31/2029*
|
85 | 547 | ||||||
Total Warrants (Cost $17,432)
|
9,073 | |||||||
Exchange-Traded Fund 4.9%
|
||||||||
SPDR Barclays Convertible Securities (Cost $2,777,628)
|
58,300 | 2,944,150 |
Contract Amount
|
Value ($)
|
|||||||
Call Options Purchased 0.2%
|
||||||||
Options on Interest Rate Swap Contracts
|
||||||||
Pay Fixed Rate — 3.72% – Receive Floating — LIBOR, Swap Expiration Date 4/22/2026, Option Expiration Date 4/20/20161
|
1,300,000 | 28,066 | ||||||
Pay Fixed Rate — 4.19% – Receive Floating — LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/20172
|
1,500,000 | 34,213 | ||||||
Pay Fixed Rate — 4.32% – Receive Floating — LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/20173
|
1,400,000 | 28,088 | ||||||
Total Call Options Purchased (Cost $191,320)
|
90,367 | |||||||
Contract Amount
|
Value ($)
|
|||||||
Put Options Purchased 0.0%
|
||||||||
Options on Interest Rate Swap Contracts
|
||||||||
Receive Fixed Rate — 2.19% – Pay Floating — LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/20172
|
1,500,000 | 11,638 | ||||||
Receive Fixed Rate — 2.32% – Pay Floating — LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/20173
|
1,400,000 | 13,450 | ||||||
Total Put Options Purchased (Cost $98,573)
|
25,088 |
Shares
|
Value ($)
|
|||||||
Securities Lending Collateral 2.1%
|
||||||||
Daily Assets Fund Institutional, 0.08% (h) (i) (Cost $1,252,899)
|
1,252,899 | 1,252,899 | ||||||
Cash Equivalents 9.9%
|
||||||||
Central Cash Management Fund, 0.06% (h) (Cost $5,887,663)
|
5,887,663 | 5,887,663 |
% of Net Assets
|
Value ($)
|
|||||||
Total Investment Portfolio (Cost $59,265,290)†
|
103.2 | 61,472,162 | ||||||
Other Assets and Liabilities, Net (b)
|
(3.2 | ) | (1,921,405 | ) | ||||
Net Assets
|
100.0 | 59,550,757 |
Security
|
Coupon
|
Maturity
Date
|
Principal
Amount
|
Cost ($)
|
Value ($)
|
|||||||||||||
Energy Future Holdings Corp.*
|
6.5 | % |
11/15/2024
|
USD
|
100,000 | 58,139 | 75,500 | |||||||||||
Hellas Telecommunications Finance*
|
8.328 | % |
7/15/2015
|
EUR
|
109,187 | 32,169 | 0 | |||||||||||
90,308 | 75,500 |
Schedule of Restricted Securities
|
Acquisition Date
|
Cost ($)
|
Value ($)
|
Value as % of Net Assets
|
|||||||||
Dawn Holdings, Inc.*
|
August 2013
|
5,273 | 4,366 | .01 |
Futures
|
Currency
|
Expiration Date
|
Contracts
|
Notional Value ($)
|
Unrealized Appreciation ($)
|
|||||||||
10 Year U.S. Treasury Note
|
USD
|
9/19/2014
|
22 | 2,753,781 | 25,202 | |||||||||
5 Year U.S. Treasury Note
|
USD
|
9/30/2014
|
48 | 5,734,125 | 33,415 | |||||||||
Total unrealized appreciation
|
58,617 |
Futures
|
Currency
|
Expiration Date
|
Contracts
|
Notional Value ($)
|
Unrealized Depreciation ($)
|
|||||||||
10 Year Canadian Government Bond
|
CAD
|
9/19/2014
|
19 | 2,421,274 | (25,713 | ) | ||||||||
10 Year U.S. Treasury Note
|
USD
|
9/19/2014
|
26 | 3,254,469 | (7,313 | ) | ||||||||
Euro-BTP Italian Government Bond
|
EUR
|
9/8/2014
|
9 | 1,555,005 | (27,868 | ) | ||||||||
Euro-OAT French Government Bond
|
EUR
|
9/8/2014
|
14 | 2,693,989 | (39,563 | ) | ||||||||
U.S. Treasury Long Bond
|
USD
|
9/19/2014
|
7 | 960,313 | (2,695 | ) | ||||||||
Ultra Long U.S. Treasury Bond
|
USD
|
9/19/2014
|
9 | 1,349,438 | (17,267 | ) | ||||||||
Total unrealized depreciation
|
(120,419 | ) |
Options on Interest Rate Swap Contracts
|
Swap Effective/
Expiration Date
|
Contract Amount
|
Option Expiration Date
|
Premiums Received ($)
|
Value ($) (j)
|
|||||||||
Call Options
Receive Fixed — 3.19% – Pay Floating — LIBOR
|
2/3/2017
2/3/2027
|
700,000 | 2 |
2/1/2017
|
50,400 | (39,614 | ) | |||||||
Receive Fixed — 3.32% – Pay Floating — LIBOR
|
2/3/2017
2/3/2027
|
700,000 | 3 |
2/1/2017
|
50,631 | (35,539 | ) | |||||||
Receive Fixed — 4.22% – Pay Floating — LIBOR
|
4/22/2016
4/22/2026
|
1,300,000 | 1 |
4/20/2016
|
46,345 | (14,895 | ) | |||||||
Total Call Options
|
147,376 | (90,048 | ) | |||||||||||
Put Options
Pay Fixed — 3.19% – Receive Floating — LIBOR
|
2/3/2017
2/3/2027
|
700,000 | 2 |
2/1/2017
|
50,400 | (22,203 | ) | |||||||
Pay Fixed — 3.32% – Receive Floating — LIBOR
|
2/3/2017
2/3/2027
|
700,000 | 3 |
2/1/2017
|
50,631 | (25,686 | ) | |||||||
Total Put Options
|
101,031 | (47,889 | ) | |||||||||||
Total
|
248,407 | (137,937 | ) |
Bilateral Swaps
|
|||||||||||||||||||||
Effective/
Expiration Dates
|
Notional Amount ($) (k)
|
Fixed Cash Flows Received
|
Underlying Debt Obligation/
Quality Rating (l)
|
Value ($)
|
Upfront Payments Paid/
(Received) ($)
|
Unrealized Appreciation ($)
|
|||||||||||||||
6/21/2010
9/20/2015
|
90,000 | 4 | 5.0 | % |
Ford Motor Co.,
6.5%, 8/1/2018, BBB–
|
5,509 | (391 | ) | 5,900 | ||||||||||||
3/21/2011
6/20/2016
|
120,000 | 2 | 5.0 | % |
HCA, Inc.,
6.375%, 1/15/2015, B–
|
10,368 | 1,772 | 8,596 | |||||||||||||
12/20/2011
3/20/2017
|
60,000 | 5 | 5.0 | % |
CIT Group, Inc.,
5.5%, 2/15/2019, BB–
|
6,664 | 1,376 | 5,288 | |||||||||||||
9/20/2012
12/20/2017
|
75,000 | 6 | 5.0 | % |
General Motors Corp.,
3.3%, 12/20/2017, BB+
|
10,727 | 3,872 | 6,855 | |||||||||||||
6/20/2013
9/20/2018
|
40,000 | 5 | 5.0 | % |
DISH DBS Corp.,
6.75%, 6/1/2021, BB–
|
6,084 | 3,018 | 3,066 | |||||||||||||
6/20/2013
9/20/2018
|
125,000 | 7 | 5.0 | % |
HCA, Inc.,
8.0%, 10/1/2018, B–
|
17,215 | 8,438 | 8,777 | |||||||||||||
6/20/2013
9/20/2018
|
100,000 | 4 | 5.0 | % |
Sprint Communications, Inc.,
6.0%, 12/1/2016, BB–
|
12,322 | 5,016 | 7,306 | |||||||||||||
Total unrealized appreciation
|
45,788 |
Centrally Cleared Swaps
|
||||||||||||||
Effective/
Expiration Dates
|
Notional Amount ($)
|
Cash Flows Paid by the Fund
|
Cash Flows Received by the Fund
|
Value ($)
|
Unrealized Appreciation/
(Depreciation) ($)
|
|||||||||
12/30/2014
12/30/2016
|
1,900,000 |
Fixed — 1.173%
|
Floating — LIBOR
|
(9,758 | ) | (9,956 | ) | |||||||
12/30/2014
12/30/2019
|
500,000 |
Floating — LIBOR
|
Fixed — 2.522%
|
12,683 | 13,111 | |||||||||
12/30/2014
12/30/2024
|
2,300,000 |
Fixed — 3.524%
|
Floating — LIBOR
|
(147,415 | ) | (147,188 | ) | |||||||
12/30/2014
12/30/2034
|
100,000 |
Floating — LIBOR
|
Fixed — 4.01%
|
10,697 | 11,394 | |||||||||
12/30/2014
12/30/2044
|
200,000 |
Floating — LIBOR
|
Fixed — 4.081%
|
26,639 | 26,887 | |||||||||
Total net unrealized depreciation
|
(105,752 | ) |
Contracts to Deliver
|
In Exchange For
|
Settlement Date
|
Unrealized Appreciation ($)
|
Counterparty
|
|||||||||||
USD
|
1,770,812 |
EUR
|
1,300,000 |
7/21/2014
|
9,406 |
Australia & New Zealand Banking Group Ltd.
|
|||||||||
USD
|
689,530 |
CAD
|
752,000 |
7/23/2014
|
14,859 |
Canadian Imperial Bank of Commerce
|
|||||||||
USD
|
1,775,745 |
JPY
|
180,000,000 |
8/4/2014
|
1,504 |
Macquarie Bank Ltd.
|
|||||||||
USD
|
289,619 |
MXN
|
3,800,000 |
8/18/2014
|
2,341 |
Commonwealth Bank of Australia
|
|||||||||
USD
|
570,355 |
ZAR
|
6,200,000 |
8/18/2014
|
8,113 |
Commonwealth Bank of Australia
|
|||||||||
ZAR
|
6,200,000 |
USD
|
578,794 |
8/18/2014
|
326 |
Commonwealth Bank of Australia
|
|||||||||
ZAR
|
560,000 |
USD
|
52,522 |
8/18/2014
|
273 |
Nomura International PLC
|
|||||||||
RUB
|
10,050,000 |
USD
|
291,859 |
9/30/2014
|
2,108 |
Societe Generale
|
|||||||||
Total unrealized appreciation
|
38,930 |
Contracts to Deliver
|
In Exchange For
|
Settlement Date
|
Unrealized Depreciation ($)
|
Counterparty
|
|||||||||||
USD
|
1,473,039 |
NOK
|
8,900,000 |
7/21/2014
|
(23,089 | ) |
Societe Generale
|
||||||||
USD
|
595,898 |
NOK
|
3,600,000 |
7/21/2014
|
(9,401 | ) |
Citigroup. Inc.
|
||||||||
USD
|
2,099,640 |
NZD
|
2,400,000 |
7/21/2014
|
(1,945 | ) |
Citigroup. Inc.
|
||||||||
NZD
|
1,700,000 |
USD
|
1,474,369 |
7/21/2014
|
(11,498 | ) |
Australia & New Zealand Banking Group Ltd.
|
||||||||
NOK
|
6,300,000 |
USD
|
1,025,416 |
7/21/2014
|
(954 | ) |
Barclays Bank PLC
|
||||||||
NOK
|
6,300,000 |
USD
|
1,025,503 |
7/21/2014
|
(866 | ) |
Societe Generale
|
||||||||
NZD
|
700,000 |
USD
|
607,716 |
7/21/2014
|
(4,112 | ) |
Citigroup. Inc.
|
||||||||
AUD
|
1,154,230 |
USD
|
1,073,188 |
7/23/2014
|
(13,559 | ) |
Nomura International PLC
|
||||||||
SGD
|
1,641,500 |
USD
|
1,313,554 |
7/23/2014
|
(2,918 | ) |
Commonwealth Bank of Australia
|
||||||||
CAD
|
2,095,672 |
USD
|
1,902,096 |
7/23/2014
|
(60,891 | ) |
Barclays Bank PLC
|
||||||||
EUR
|
567,300 |
USD
|
769,957 |
7/23/2014
|
(6,908 | ) |
Australia & New Zealand Banking Group Ltd.
|
||||||||
Total unrealized depreciation
|
(136,141 | ) |
Currency Abbreviations
|
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
EUR Euro
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
RUB Russian Ruble
SGD Singapore Dollar
USD United States Dollar
ZAR South African Rand
|
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Fixed Income Investments (m)
|
||||||||||||||||
Corporate Bonds
|
$ | — | $ | 33,419,218 | $ | 0 | $ | 33,419,218 | ||||||||
Asset-Backed
|
— | 956,952 | — | 956,952 | ||||||||||||
Commercial Mortgage-Backed Securities
|
— | 1,962,659 | — | 1,962,659 | ||||||||||||
Collateralized Mortgage Obligations
|
— | 1,881,887 | — | 1,881,887 | ||||||||||||
Government & Agency Obligations
|
— | 8,695,484 | — | 8,695,484 | ||||||||||||
Loan Participations and Assignments
|
— | 2,920,063 | 74,337 | 2,994,400 | ||||||||||||
Municipal Bonds and Notes
|
— | 928,749 | — | 928,749 | ||||||||||||
Convertible Bond
|
— | — | 241,972 | 241,972 | ||||||||||||
Preferred Security
|
— | 85,975 | — | 85,975 | ||||||||||||
Common Stocks (m)
|
— | — | 5,956 | 5,956 | ||||||||||||
Preferred Stock
|
— | 89,670 | — | 89,670 | ||||||||||||
Warrants
|
— | — | 9,073 | 9,073 | ||||||||||||
Exchange-Traded Fund
|
2,944,150 | — | — | 2,944,150 | ||||||||||||
Short-Term Investments (m)
|
7,140,562 | — | — | 7,140,562 | ||||||||||||
Derivatives (n)
Purchased Options
|
— | 115,455 | — | 115,455 | ||||||||||||
Futures Contracts
|
58,617 | — | — | 58,617 | ||||||||||||
Credit Default Swap Contracts
|
— | 45,788 | — | 45,788 | ||||||||||||
Interest Rate Swap Contracts
|
— | 51,392 | — | 51,392 | ||||||||||||
Forward Foreign Currency Exchange Contracts
|
— | 38,930 | — | 38,930 | ||||||||||||
Total
|
$ | 10,143,329 | $ | 51,192,222 | $ | 331,338 | $ | 61,666,889 | ||||||||
Liabilities
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Derivatives (n)
Futures Contracts
|
$ | (120,419 | ) | $ | — | $ | — | $ | (120,419 | ) | ||||||
Written Options
|
— | (137,937 | ) | — | (137,937 | ) | ||||||||||
Interest Rate Swap Contracts
|
— | (157,144 | ) | — | (157,144 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts
|
— | (136,141 | ) | — | (136,141 | ) | ||||||||||
Total
|
$ | (120,419 | ) | $ | (431,222 | ) | $ | — | $ | (551,641 | ) |
as of June 30, 2014 (Unaudited)
|
||||
Assets
|
||||
Investments:
Investments in non-affiliated securities, at value (cost $52,124,728) — including $1,197,256 of securities loaned
|
$ | 54,331,600 | ||
Investment in Daily Assets Fund Institutional (cost $1,252,899)*
|
1,252,899 | |||
Investment in Central Cash Management Fund (cost $5,887,663)
|
5,887,663 | |||
Total investments in securities, at value (cost $59,265,290)
|
61,472,162 | |||
Foreign currency, at value (cost $423,279)
|
424,572 | |||
Receivable for investments sold
|
1,046,928 | |||
Receivable for investments sold — when-issued/delayed delivery securities
|
39,744 | |||
Receivable for Fund shares sold
|
128 | |||
Interest receivable
|
639,328 | |||
Receivable for variation margin on futures contracts
|
4,180 | |||
Receivable for variation margin on centrally cleared swaps
|
6,654 | |||
Unrealized appreciation on bilateral swap contracts
|
45,788 | |||
Unrealized appreciation on forward foreign currency exchange contracts
|
38,930 | |||
Upfront payments paid on bilateral swap contracts
|
23,492 | |||
Other assets
|
605 | |||
Total assets
|
$ | 63,742,511 | ||
Liabilities
|
||||
Cash overdraft
|
143,206 | |||
Payable upon return of securities loaned
|
1,252,899 | |||
Payable for investments purchased
|
2,229,489 | |||
Payable for investments purchased — when-issued/delayed delivery securities
|
139,906 | |||
Payable for Fund shares redeemed
|
51,581 | |||
Options written, at value (premiums received $248,407)
|
137,937 | |||
Unrealized depreciation on forward foreign currency exchange contracts
|
136,141 | |||
Upfront payments received on bilateral swap contracts
|
391 | |||
Accrued management fee
|
13,489 | |||
Accrued Trustees' fees
|
573 | |||
Other accrued expenses and payables
|
86,142 | |||
Total liabilities
|
4,191,754 | |||
Net assets, at value
|
$ | 59,550,757 | ||
Net Assets Consist of
|
||||
Undistributed net investment income
|
988,899 | |||
Net unrealized appreciation (depreciation) on:
Investments
|
2,206,872 | |||
Swap contracts
|
(59,964 | ) | ||
Futures
|
(61,802 | ) | ||
Foreign currency
|
(95,255 | ) | ||
Written options
|
110,470 | |||
Accumulated net realized gain (loss)
|
(1,105,169 | ) | ||
Paid-in capital
|
57,566,706 | |||
Net assets, at value
|
$ | 59,550,757 | ||
Class A
Net Asset Value, offering and redemption price per share ($59,550,757 ÷ 5,183,668 outstanding shares of beneficial interest, no par value, unlimited number of shares authorized)
|
$ | 11.49 |
for the six months ended June 30, 2014 (Unaudited)
|
||||
Investment Income
|
||||
Income:
Interest
|
$ | 1,491,595 | ||
Dividends
|
21,026 | |||
Income distributions — Central Cash Management Fund
|
705 | |||
Securities lending income, including income from Daily Assets Fund Institutional, net of borrower rebates
|
2,031 | |||
Total income
|
1,515,357 | |||
Expenses:
Management fee
|
161,443 | |||
Administration fee
|
29,353 | |||
Services to shareholders
|
424 | |||
Custodian fee
|
35,067 | |||
Professional fees
|
40,952 | |||
Reports to shareholders
|
13,941 | |||
Pricing fee
|
25,645 | |||
Trustees' fees and expenses
|
2,293 | |||
Other
|
1,779 | |||
Total expenses before expense reductions
|
310,897 | |||
Expense reductions
|
(87,682 | ) | ||
Total expenses after expense reductions
|
223,215 | |||
Net investment income
|
1,292,142 | |||
Realized and Unrealized Gain (Loss)
|
||||
Net realized gain (loss) from:
Investments
|
(426,572 | ) | ||
Swap contracts
|
15,275 | |||
Futures
|
(70,584 | ) | ||
Foreign currency
|
413,907 | |||
(67,974 | ) | |||
Change in net unrealized appreciation (depreciation) on:
Investments
|
1,974,254 | |||
Swap contracts
|
(109,289 | ) | ||
Unfunded loan commitment
|
125 | |||
Futures
|
(57,685 | ) | ||
Written options
|
99,763 | |||
Foreign currency
|
(346,572 | ) | ||
1,560,596 | ||||
Net gain (loss)
|
1,492,622 | |||
Net increase (decrease) in net assets resulting from operations
|
$ | 2,784,764 |
Increase (Decrease) in Net Assets
|
Six Months Ended June 30, 2014 (Unaudited)
|
Year Ended December 31, 2013
|
||||||
Operations:
Net investment income
|
$ | 1,292,142 | $ | 2,911,005 | ||||
Operations:
Net investment income
|
$ | 1,292,142 | $ | 2,911,005 | ||||
Net realized gain (loss)
|
(67,974 | ) | (1,186,626 | ) | ||||
Change in net unrealized appreciation (depreciation)
|
1,560,596 | (2,619,441 | ) | |||||
Net increase (decrease) in net assets resulting from operations
|
2,784,764 | (895,062 | ) | |||||
Distributions to shareholders from:
Net investment income:
Class A
|
(2,905,554 | ) | (3,703,120 | ) | ||||
Net realized gains:
Class A
|
— | (2,113,421 | ) | |||||
Total distributions
|
(2,905,554 | ) | (5,816,541 | ) | ||||
Fund share transactions:
Class A
Proceeds from shares sold
|
1,959,692 | 8,233,284 | ||||||
Reinvestment of distributions
|
2,905,554 | 5,816,541 | ||||||
Payments for shares redeemed
|
(6,150,708 | ) | (19,881,192 | ) | ||||
Net increase (decrease) in net assets from Class A share transactions
|
(1,285,462 | ) | (5,831,367 | ) | ||||
Increase (decrease) in net assets
|
(1,406,252 | ) | (12,542,970 | ) | ||||
Net assets at beginning of period
|
60,957,009 | 73,499,979 | ||||||
Net assets at end of period (including undistributed net investment income of $988,899 and $2,602,311, respectively)
|
$ | 59,550,757 | $ | 60,957,009 | ||||
Other Information
|
||||||||
Class A
Shares outstanding at beginning of period
|
5,284,551 | 5,832,490 | ||||||
Shares sold
|
171,230 | 666,814 | ||||||
Shares issued to shareholders in reinvestment of distributions
|
258,501 | 491,677 | ||||||
Shares redeemed
|
(530,614 | ) | (1,706,430 | ) | ||||
Net increase (decrease) in Class A shares
|
(100,883 | ) | (547,939 | ) | ||||
Shares outstanding at end of period
|
5,183,668 | 5,284,551 |
Years Ended December 31,
|
||||||||||||||||||||||||
Class A
|
Six Months Ended 6/30/14 (Unaudited)
|
2013
|
2012
|
2011
|
2010
|
2009
|
||||||||||||||||||
Selected Per Share Data
|
||||||||||||||||||||||||
Net asset value, beginning of period
|
$ | 11.53 | $ | 12.60 | $ | 11.90 | $ | 11.96 | $ | 11.61 | $ | 10.03 | ||||||||||||
Income (loss) from investment operations:
Net investment incomea
|
.25 | .49 | .57 | .63 | .66 | .63 | ||||||||||||||||||
Net realized and unrealized gain (loss)
|
.30 | (.59 | ) | .92 | (.01 | ) | .47 | 1.50 | ||||||||||||||||
Total from investment operations
|
.55 | (.10 | ) | 1.49 | .62 | 1.13 | 2.13 | |||||||||||||||||
Less distributions from:
Net investment income
|
(.59 | ) | (.62 | ) | (.76 | ) | (.68 | ) | (.78 | ) | (.55 | ) | ||||||||||||
Net realized gains
|
— | (.35 | ) | (.03 | ) | — | — | — | ||||||||||||||||
Total distributions
|
(.59 | ) | (.97 | ) | (.79 | ) | (.68 | ) | (.78 | ) | (.55 | ) | ||||||||||||
Net asset value, end of period
|
$ | 11.49 | $ | 11.53 | $ | 12.60 | $ | 11.90 | $ | 11.96 | $ | 11.61 | ||||||||||||
Total Return (%)b
|
4.87 | ** | (1.04 | ) | 13.08 | 5.31 | 10.05 | 22.73 | ||||||||||||||||
Ratios to Average Net Assets and Supplemental Data
|
||||||||||||||||||||||||
Net assets, end of period ($ millions)
|
60 | 61 | 73 | 69 | 76 | 74 | ||||||||||||||||||
Ratio of expenses before expense reductions (%)
|
1.06 | * | 1.02 | .99 | .99 | .95 | .86 | |||||||||||||||||
Ratio of expenses after expense reductions (%)
|
.76 | * | .74 | .77 | .79 | .86 | .80 | |||||||||||||||||
Ratio of net investment income (%)
|
4.40 | * | 4.16 | 4.72 | 5.38 | 5.62 | 5.96 | |||||||||||||||||
Portfolio turnover rate (%)
|
59 | ** | 183 | 164 | 144 | 167 | 370 | |||||||||||||||||
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
* Annualized
** Not annualized
|
Asset Derivatives
|
Purchased Options
|
Forward Contracts
|
Swap Contracts
|
Futures Contracts
|
Total
|
|||||||||||||||
Interest Rate Contracts (a) (b)
|
$ | 115,455 | $ | — | $ | 51,392 | $ | 58,617 | $ | 225,464 | ||||||||||
Credit Contracts (b)
|
— | — | 45,788 | — | 45,788 | |||||||||||||||
Foreign Exchange Contracts (c)
|
— | 38,930 | — | — | 38,930 | |||||||||||||||
$ | 115,455 | $ | 38,930 | $ | 97,180 | $ | 58,617 | $ | 310,182 | |||||||||||
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
(a) Includes cumulative appreciation of futures and centrally cleared swap contracts as disclosed in the Investment Portfolio. Unsettled variation margin is disclosed separately within the Statement of Assets and Liabilities.
(b) Investments in securities, at value (includes purchased options) and unrealized appreciation on bilateral swap contracts, respectively
(c) Unrealized appreciation on forward foreign currency exchange contracts
|
Liability Derivatives
|
Written Options
|
Forward Contracts
|
Swap Contracts
|
Futures Contracts
|
Total
|
|||||||||||||||
Interest Rate Contracts (a) (b)
|
$ | (137,937 | ) | $ | — | $ | (157,144 | ) | $ | (120,419 | ) | $ | (415,500 | ) | ||||||
Foreign Exchange Contracts (c)
|
— | (136,141 | ) | — | — | (136,141 | ) | |||||||||||||
$ | (137,937 | ) | $ | (136,141 | ) | $ | (157,144 | ) | $ | (120,419 | ) | $ | (551,641 | ) | ||||||
Each of the above derivatives is located in the following Statement of Assets and Liabilities accounts:
(a) Includes cumulative depreciation of futures and centrally cleared swap contracts as disclosed in the Investment Portfolio. Unsettled variation margin is disclosed separately within the Statement of Assets and Liabilities.
(b) Options written, at value
(c) Unrealized depreciation on forward foreign currency exchange contracts
|
Realized Gain (Loss)
|
Forward Contracts
|
Swap Contracts
|
Futures Contracts
|
Total
|
||||||||||||
Interest Rate Contracts (a)
|
$ | — | $ | (3,036 | ) | $ | (70,584 | ) | $ | (73,620 | ) | |||||
Credit Contracts (a)
|
— | 18,311 | — | 18,311 | ||||||||||||
Foreign Exchange Contracts (b)
|
386,528 | — | — | 386,528 | ||||||||||||
$ | 386,528 | $ | 15,275 | (70,584 | ) | $ | 331,219 | |||||||||
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Net realized gain (loss) from swap contracts and futures, respectively
(b) Net realized gain (loss) from foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
|
Change in Net Unrealized Appreciation (Depreciation)
|
Purchased Options
|
Written Options
|
Forward Contracts
|
Swap Contracts
|
Futures Contracts
|
Total
|
||||||||||||||||||
Interest Rate Contracts (a)
|
$ | (160,242 | ) | $ | 99,763 | $ | — | $ | (109,256 | ) | $ | (57,685 | ) | $ | (227,420 | ) | ||||||||
Credit Contracts (a)
|
— | — | — | (33 | ) | — | (33 | ) | ||||||||||||||||
Foreign Exchange Contracts (b)
|
— | — | (339,314 | ) | — | — | (339,314 | ) | ||||||||||||||||
$ | (160,242 | ) | $ | 99,763 | $ | (339,314 | ) | $ | (109,289 | ) | $ | (57,685 | ) | $ | (566,767 | ) | ||||||||
Each of the above derivatives is located in the following Statement of Operations accounts:
(a) Change in net unrealized appreciation (depreciation) on investments (includes purchased options), written options, swap contracts and futures, respectively
(b) Change in net unrealized appreciation (depreciation) on foreign currency (Statement of Operations includes both forward currency contracts and foreign currency transactions)
|
Counterparty
|
Gross Amounts of Assets Presented in the Statement of Assets and Liabilities
|
Financial Instruments and Derivatives Available for Offset
|
Collateral Received
|
Net Amount of Derivative Assets
|
||||||||||||
Australia & New Zealand Banking Group Ltd.
|
$ | 9,406 | $ | (9,406 | ) | $ | — | $ | — | |||||||
Bank of America
|
13,206 | — | — | 13,206 | ||||||||||||
BNP Paribas
|
41,538 | (41,538 | ) | — | — | |||||||||||
Canadian Imperial Bank of Commerce
|
14,859 | — | — | 14,859 | ||||||||||||
Commonwealth Bank of Australia
|
10,780 | (2,918 | ) | — | 7,862 | |||||||||||
Credit Suisse
|
8,354 | — | — | 8,354 | ||||||||||||
Goldman Sachs & Co.
|
8,777 | — | — | 8,777 | ||||||||||||
JPMorgan Chase Securities, Inc.
|
54,447 | (54,447 | ) | — | — | |||||||||||
Macquarie Bank Ltd.
|
1,504 | — | — | 1,504 | ||||||||||||
Nomura International PLC
|
28,339 | (28,339 | ) | — | — | |||||||||||
Societe Generale
|
2,108 | (2,108 | ) | — | — | |||||||||||
UBS AG
|
6,855 | — | — | 6,855 | ||||||||||||
$ | 200,173 | $ | (138,756 | ) | $ | — | $ | 61,417 | ||||||||
Counterparty
|
Gross Amounts of Liabilities Presented in the Statement of Assets and Liabilities
|
Financial Instruments and Derivatives Available for Offset
|
Collateral Pledged
|
Net Amount of Derivative Liabilities
|
||||||||||||
Australia & New Zealand Banking Group Ltd.
|
$ | 18,406 | $ | (9,406 | ) | $ | — | $ | 9,000 | |||||||
Barclays Bank PLC
|
61,845 | — | — | 61,845 | ||||||||||||
BNP Paribas
|
61,225 | (41,538 | ) | — | 19,687 | |||||||||||
Citigroup, Inc.
|
15,458 | — | — | 15,458 | ||||||||||||
Commonwealth Bank of Australia
|
2,918 | (2,918 | ) | — | — | |||||||||||
JPMorgan Chase Securities, Inc.
|
61,817 | (54,447 | ) | — | 7,370 | |||||||||||
Nomura International PLC
|
28,454 | (28,339 | ) | — | 115 | |||||||||||
Societe Generale
|
23,955 | (2,108 | ) | — | 21,847 | |||||||||||
$ | 274,078 | $ | (138,756 | ) | $ | — | $ | 135,322 |
Contract Amount
|
Premiums
|
|||||||
Outstanding, beginning of period
|
4,100,000 | $ | 248,407 | |||||
Outstanding, end of period
|
4,100,000 | $ | 248,407 |
First $250 million
|
.550 | % | ||
Next $750 million
|
.520 | % | ||
Next $1.5 billion
|
.500 | % | ||
Next $2.5 billion
|
.480 | % | ||
Next $2.5 billion
|
.450 | % | ||
Next $2.5 billion
|
.430 | % | ||
Next $2.5 billion
|
.410 | % | ||
Over $12.5 billion
|
.390 | % |
Expenses and Value of a $1,000 Investment for the six months ended June 30, 2014
|
||||
Actual Fund Return
|
Class A
|
|||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | ||
Ending Account Value 6/30/14
|
$ | 1,048.70 | ||
Expenses Paid per $1,000*
|
$ | 3.86 | ||
Hypothetical 5% Fund Return
|
Class A
|
|||
Beginning Account Value 1/1/14
|
$ | 1,000.00 | ||
Ending Account Value 6/30/14
|
$ | 1,021.03 | ||
Expenses Paid per $1,000*
|
$ | 3.81 |
Annualized Expense Ratio
|
Class A
|
|
Deutsche Variable Series II — Deutsche Unconstrained Income VIP
|
.76%
|
|
||
ITEM 2.
|
CODE OF ETHICS
|
|
Not applicable.
|
||
ITEM 3.
|
AUDIT COMMITTEE FINANCIAL EXPERT
|
|
Not applicable
|
||
ITEM 4.
|
PRINCIPAL ACCOUNTANT FEES AND SERVICES
|
|
Not applicable
|
||
ITEM 5.
|
AUDIT COMMITTEE OF LISTED REGISTRANTS
|
|
Not applicable
|
||
ITEM 6.
|
SCHEDULE OF INVESTMENTS
|
|
Not applicable
|
||
ITEM 7.
|
DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
|
|
Not applicable
|
||
ITEM 8.
|
PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
|
|
Not applicable
|
||
ITEM 9.
|
PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
|
|
Not applicable
|
||
ITEM 10.
|
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
|
|
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board. The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Kenneth C. Froewiss, Independent Chairman, Deutsche Mutual Funds, P.O. Box 390601, Cambridge, MA 02139.
|
||
ITEM 11.
|
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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
|
|
ITEM 12.
|
EXHIBITS
|
|
(a)(1)
|
Not applicable
|
|
(a)(2)
|
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.
|
|
(b)
|
Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.
|
Registrant:
|
Deutsche Variable Series II
|
By:
|
/s/Brian E. Binder
Brian E. Binder
President
|
Date:
|
August 20, 2014
|
By:
|
/s/Brian E. Binder
Brian E. Binder
President
|
Date:
|
August 20, 2014
|
By:
|
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
|
Date:
|
August 20, 2014
|
1.
|
I have reviewed this report, filed on behalf of Deutsche Variable Series II, on Form N-CSRS;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5.
|
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
August 20, 2014
|
/s/Brian E. Binder
|
Brian E. Binder
|
|
President
|
1.
|
I have reviewed this report, filed on behalf of Deutsche Variable Series II, on Form N-CSRS;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5.
|
The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
August 20, 2014
|
/s/Paul Schubert
|
Paul Schubert
|
|
Chief Financial Officer and Treasurer
|
1.
|
I have reviewed this report, filed on behalf of Deutsche Variable Series II, on Form N-CSRS;
|
2.
|
Based on my knowledge and pursuant to 18 U.S.C. § 1350, the periodic report on Form N-CSRS (the “Report”) fully complies with the requirements of § 13 (a) or § 15 (d), as applicable, of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
1.
|
I have reviewed this report, filed on behalf of Deutsche Variable Series II, on Form N-CSRS;
|
2.
|
Based on my knowledge and pursuant to 18 U.S.C. § 1350, the periodic report on Form N-CSRS (the “Report”) fully complies with the requirements of § 13 (a) or § 15 (d), as applicable, of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
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