UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D. C. 20549

FORM N-CSR

Investment Company Act file number: 811-02021

Deutsche Securities Trust

(Exact Name of Registrant as Specified in Charter)

345 Park Avenue

New York, NY 10154-0004

(Address of Principal Executive Offices) (Zip Code)

Registrant’s Telephone Number, including Area Code: (212) 250-3220

Paul Schubert

60 Wall Street

New York, NY 10005

(Name and Address of Agent for Service)

Date of fiscal year end:	6/30
Date of reporting period:	6/30/2016

ITEM 1. REPORT TO STOCKHOLDERS

June 30, 2016

Annual Report
to Shareholders

Deutsche Enhanced Commodity Strategy Fund

Contents

3 Letter to Shareholders

5 Portfolio Management Review

13 Performance Summary

15 Consolidated Investment Portfolio

37 Consolidated Statement of Assets and Liabilities

39 Consolidated Statement of Operations

41 Consolidated Statement of Changes in Net Assets

42 Consolidated Financial Highlights

47 Notes to Consolidated Financial Statements

68 Report of Independent Registered Public Accounting Firm

69 Information About Your Fund's Expenses

70 Tax Information

71 Advisory Agreement Board Considerations and Fee Evaluation

76 Board Members and Officers

81 Account Management Resources

This report must be preceded or accompanied by a prospectus. To obtain a summary prospectus, if available, or prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The summary prospectus and prospectus contain this and other important information about the fund. Please read the prospectus carefully before you invest.

The fund invests in commodity-linked derivatives which may subject the fund to special risks. Market price movements or regulatory and economic changes will have a significant impact on the fund’s performance. Any fund that concentrates in a particular segment of the market will generally be more volatile than a fund that invests more broadly. A counterparty with whom the fund does business may decline in financial health and become unable to honor its commitments, which could cause losses for the fund. Bond investments are subject to interest-rate, credit, liquidity and market risks to varying degrees. When interest rates rise, bond prices generally fall. Credit risk refers to the ability of an issuer to make timely payments of principal and interest. Investing in derivatives entails special risks relating to liquidity, leverage and credit that may reduce returns and/or increase volatility. Emerging markets tend to be more volatile and less liquid than the markets of more mature economies, and generally have less diverse and less mature economic structures and less stable political systems than those of developed countries. Investing in foreign securities presents certain risks, such as currency fluctuations, political and economic changes, and market risks. The fund may lend securities to approved institutions. See the prospectus for details.

Deutsche Asset Management represents the asset management activities conducted by Deutsche Bank AG or any of its subsidiaries.

NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE  NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY

Letter to Shareholders

Dear Shareholder:

Seven years into our economic recovery, you might be wondering "where’s the proof?" The strong U.S. dollar and sluggish growth have hampered exports and manufacturing. Low oil prices are raising concerns about the energy sector. A steep sell-off in the first quarter, plus a contentious U.S. election campaign and ongoing geopolitical issues, have led many to question what lies ahead.

Our analysts see a case for continued, albeit modest, growth in the U.S. economy. Households have reduced debt and are seeing gains in real income thanks to improving labor markets and lower energy prices. Businesses remain reasonably well positioned financially, with an added boost to purchasing power from lower energy prices. Lastly, while the Federal Reserve Board has initiated the process of raising short-term interest rates, we are confident that "low and slow" will continue to be the watchwords for a while.

The later stages of an economic recovery tend to bring increased volatility and more challenges to achieving positive investment returns. We believe that active management — careful sector allocation and security selection driven by deep research — can make a difference in this environment.

In the end, it is important to remember the core reason for investing: long- term goals and a desire for growth tempered by reasonable risk management. We appreciate your trust and welcome the opportunity to put our resources, experience and expertise to work in helping you meet your goals.

Best regards,

Brian Binder

President, Deutsche Funds

Please note: Deutsche Asset & Wealth Management is now two distinct businesses: Deutsche Asset Management and Deutsche Bank Wealth Management. As a result, our key service providers were renamed Deutsche AM Service Company; Deutsche AM Distributors, Inc. and Deutsche AM Trust Company, effective May 9, 2016.

Assumptions, estimates and opinions contained in this document constitute our judgment as of the date of the document and are subject to change without notice. Any projections are based on a number of assumptions as to market conditions and there can be no guarantee that any projected results will be achieved. Past performance is not a guarantee of future results.

Portfolio Management Review (Unaudited)

Market Overview and Fund Performance

All performance information below is historical and does not guarantee future results. Returns shown are for Class A shares, unadjusted for sales charges. Investment return and principal fluctuate, so your shares may be worth more or less when redeemed. Current performance may differ from performance data shown. Please visit deutschefunds.com for the most recent month-end performance of all share classes. Fund performance includes reinvestment of all distributions. Unadjusted returns do not reflect sales charges and would have been lower if they had. Please refer to pages 13 through 14 for more complete performance information.

Investment Strategy

Under normal circumstances, the fund invests in commodity-linked derivative instruments backed by a portfolio of fixed-income investments.

The fund invests in commodity-linked derivative instruments (a contract whose value is based on a particular commodity), such as commodity-linked swap contracts, commodity-linked structured notes, options and futures contracts, to gain exposure to the investment return of assets that trade in the commodity markets, without investing directly in physical commodities. Physical commodities are assets that have tangible properties, such as gas, heating oil, industrial and other precious metals, livestock or agricultural products.

With respect to the fund’s fixed-income investments, portfolio management uses a relative value style to seek to construct a diversified portfolio of fixed-income securities. Management normally targets a dollar-weighted average portfolio duration of three years or less. Please see the fund’s prospectus for a complete description of the commodity-linked derivative and other securities in which the fund invests, including a variety of fixed-income securities.

Although the fund finished with a return of –6.00% during the 12-month period ended June 30, 2016, it outperformed both the –13.32% return of the benchmark — the Bloomberg Commodity Index — and the –12.01% average return of the funds in its Morningstar peer group, Commodities Broad Basket Funds. The fund has also outpaced both its benchmark and peers in the three-, five- and 10-year periods ended June 30, 2016.

The negative double-digit return for the index reflects the extremely challenging investment conditions that existed from the beginning of the period through mid-February 2016. During this time, prices fell sharply due to investor concerns about the elevated supplies of oil, natural gas and industrial metals, together with the reduction in demand caused by slowing global growth. In addition, the market faced sustained pressure from expectations that the U.S. Federal Reserve Board (the Fed) might raise interest rates as many as four times in 2016.

The backdrop shifted considerably in mid-February, sparking a swift rebound in market performance. Investors were greatly encouraged by the news that the Bank of Japan was cutting interest rates into negative territory, as well the European Central Bank’s decision to enact a larger stimulus package than investors had expected. In addition, the Fed issued a series of public statements indicating its intention to keep rates low for an extended period. In conjunction with an increasingly rational balance of supply and demand in the market, these factors touched off a significant rally that allowed the index to close the period well off its prior low.

Fund Performance

In managing the fund, we strive to generate long-term outperformance using an active, diversified and risk-managed strategy designed to cushion the impact of large market downturns. This methodology worked well in the second half of 2015 and early this year by mitigating a substantial portion of the price weakness in commodities. Notably, we were also able to generate competitive returns once conditions improved in the second quarter — an illustration of the potential benefits of our active, flexible approach.

The fund’s methodology consists of a tactical element, a "roll enhancement" strategy and a relative value strategy.

Tactical strategy: This strategy allows us to shift the fund’s effective weighting to the broader commodity market from a low of 50% to a high of 100%. Quantitative momentum models determine the investment level of the portfolio. When the momentum trend in the market is stable or rising, we may maintain or increase the fund’s overall exposure to commodities. When the momentum trend is negative and falling, we may reduce the fund’s overall exposure to commodities.

"In managing the fund, we strive to generate long-term outperformance using an active, diversified and risk-managed strategy designed to cushion the impact of large market downturns."

This aspect of our strategy, which is designed to alleviate downside risk in commodity prices, added significant value during the past year.Early in the third calendar quarter of 2015, we reduced exposure to the minimum level of 50%, and we proceeded to hold it at or near that level until late March 2016. This approach contributed positively to performance by insulating the fund from the full impact of the substantial decline in commodity prices that occurred in this interval.

We gradually boosted exposure from mid-March onward, reaching 76% at the end of March and 88% by June 30. While being less than fully invested detracted from relative performance somewhat in the final three months of the period, our move off of the 50–55% range — which helped protect against downside risk in 2015 and the early part of 2016 — nonetheless allowed the fund to participate in the rebound in commodity prices. We believe these results illustrate how our active, flexible approach can help the fund capitalize on both up and down markets.

Roll enhancement strategy: Commodity investing entails purchasing a contract to buy or sell a specific commodity on a specific date. Since the fund does not want to take physical delivery of the underlying commodity contracts, we "roll" the contracts (i.e., sell one contract and purchase another) on a regular basis. Our roll enhancement strategy seeks to roll into contracts that maximize return potential.

This strategy helped the fund navigate the difficult environment of the past 12 months. We were tilted toward longer-dated contracts for the majority of the year, which was a plus given that shorter-dated contracts underperformed in the down market. We shifted this positioning near the end of the period, when the improving backdrop prompted us to reduce the average maturity of the fund’s positions.

Relative value strategy: Our relative value strategy actively overweights or underweights the most liquid commodities depending on how "cheap" or "expensive" each appears from a quantitative perspective. This portion of our strategy is based on the principle that commodity prices tend to "mean revert" over time. If the short-term, one-year moving average price of a commodity is above its long-term, five-year moving average price, we may underweight the commodity; if the short-term moving average price is below the long-term moving average price, we may overweight the commodity.

The relative value strategy detracted from the fund’s 12-month returns. We were overweight in crude oil vs. the rest of the market for the majority of the period, which hurt performance during the second half of 2015 and the early part of 2016. However, we made back some of the shortfall once oil began to rally. We believe this helps illustrate the potential benefit of our willingness to maintain an investment through short-term underperformance, providing our models continue to indicate that it is the appropriate positioning. On the plus side, we added value through an underweight in aluminum and an underweight in U.S. wheat vs. European wheat.

The fund gains exposure to commodities using commodity-linked swaps and futures, and the remaining portion of the portfolio is invested in a fixed-income strategy. In the fixed-income portfolio, we emphasize short-term, higher-quality bonds to manage volatility and interest-rate risk, but we also take on a modest degree of credit risk to capture excess yield. While this strategy did not add significantly to returns, it produced enough income to offset the costs of trading in the commodity portion of the fund.

Outlook and Fund Positioning

Although the recent rally in commodities was driven in part by central bank policies and investor sentiment, we also think it is an indicator of improving supply-and-demand dynamics. Lower prices have led to reduced supplies in the metals and energy areas by bringing about bankruptcies, industry consolidation and the closure of unprofitable operations. The demand side has been somewhat less clear due to the changing outlook for global growth, but we think the aggressive policies of the world’s central banks can continue to provide an element of support to the market. While these factors indicate that market conditions have improved considerably in comparison to the second half of 2015, we expect that shifting geopolitical headlines will continue to fuel elevated volatility. We believe our flexible approach and emphasis on risk management is well suited to this highly uncertain environment.

Portfolio Management Team

Eric S. Meyer, CFA, Managing Director

Portfolio Manager of the fund (through August 31, 2016). Began managing the fund in 2010.

— Joined Deutsche Asset Management in 2006 after 16 years of experience in positions of increasing responsibility in corporate banking with First Chicago, Credit Agricole, and most recently, Bank of America’s subsidiary, Flagship Capital Management. Prior to his corporate banking experience, he worked in trust management operations for 10 years at First Chicago and E.F. Hutton.

— Head of US Loan Portfolio Management, High Yield Strategies: New York.

— BA from State University of New York, Albany; MBA from Pace University.

John D. Ryan, Managing Director

Portfolio Manager of the fund. Began managing the fund in 2010.

— Joined Deutsche Asset Management in 2010 from Northern Trust where he served as a senior portfolio manager. Previously, he served as portfolio manager and head of credit trading for Deutsche Asset Management from 1998–2003.

— Investment industry experience began in 1993.

— BA in Economics, University of Chicago; MBA, University of Chicago.

Rick Smith, CFA, Managing Director

Portfolio Manager of the fund. Began managing the fund in 2016.

— Joined Deutsche Asset Management in 2004 with 21 years of industry experience. Prior to joining, he served 11 years as a Fixed Income Investment Grade Portfolio Manager at MFS Investments. Previously, he worked as a Research Analyst at Salomon Brothers.

— Senior Portfolio Manager: New York.

— BA in Economics from Vassar College; MBA in Finance from Vanderbilt University.

Darwei Kung, Director

Portfolio Manager of the fund. Began managing the fund in 2010.

— Joined Deutsche Asset Management in 2006; previously has worked as a Director, Engineering and Business Development at Calpoint LLC from 2001–2004.

— Portfolio Manager: New York.

— BS and MS, University of Washington, Seattle; MS and MBA, Carnegie Mellon University.

Sonali Kapoor, Vice President

Portfolio Manager of the fund. Began managing the fund in 2015.

— Joined Deutsche Asset Management in 2013 with three years of industry experience. Prior to joining, served in Foreign Exchange Sales covering Institutional Clients at BNP Paribas. Prior to that, provided Fixed Income Coverage and Execution to Energy, Utility and Real Estate Companies in the Debt Capital Markets Group at UBS Securities. Started her career in Mathematical Modeling and Quantitative Analysis of Cash CLOs in the Credit Structuring Group at UBS Securities.

— Portfolio Analyst for Fixed Income, Multi-Asset and Commodities: New York.

— BS in Electrical and Computer Engineering, Carnegie Mellon University; MS in Computational Finance, Carnegie Mellon University.

The views expressed reflect those of the portfolio management team only through the end of the period of the report as stated on the cover. The management team's views are subject to change at any time based on market and other conditions and should not be construed as a recommendation. Past performance is no guarantee of future results. Current and future portfolio holdings are subject to risk.

Terms to Know

Derivatives are contracts whose values can be based on a variety of instruments, including indices, currencies or securities. They can be utilized for a variety of reasons, including for hedging purposes, for risk management, for non-hedging purposes to seek to enhance potential gains, or as a substitute for direct investment in a particular asset class or to keep cash on hand to meet shareholder redemptions. Investing in derivatives entails special risks relating to liquidity, leverage and credit that may reduce returns and/or increase volatility.

A swap is an exchange of cash flows that are dependent on the price of an underlying commodity.

A structured note is a hybrid security whose return typically tracks the performance of an underlying debt obligation and a derivative that is embedded within it. The characteristics of the underlying debt obligation and derivative embedded within it adjust the security's risk/return profile.

Options are financial derivatives that offer the right, but not the obligation, to buy or sell a security or financial asset at an agreed-upon price and during a certain period of time or on a specific date.

Futures contracts are contractual agreements to buy or sell a particular commodity or financial instrument at a predetermined price in the future.

The Bloomberg Commodity Index is an unmanaged index that tracks a diversified group of commodities and commodities futures contracts traded on both U.S. and London exchanges. Index returns do not reflect fees or expenses and it is not possible to invest directly into an index.

The Morningstar Commodities Broad Basket Funds category consists of funds that invest in a diversified basket of commodity goods, including, but not limited to, grains, minerals, metals, livestock, cotton, oils, sugar, coffee and cocoa. These funds may invest directly in physical assets or commodity-linked derivative instruments, such as commodity swap agreements.

Overweight means the fund holds a higher weighting in a given sector, security or commodity than the benchmark. Underweight means the fund holds a lower weighting.

Mean reversion is a theory that prices and returns eventually move back toward the mean, or average.

Credit quality is a measure of a bond issuer’s ability to repay interest and principal in a timely manner. Rating agencies assign letter designations, such as AAA, AA and so forth. The lower the rating, the higher the probability of default.

Performance Summary June 30, 2016 (Unaudited)

Class A	1-Year	5-Year	10-Year
Average Annual Total Returns as of 6/30/16
Unadjusted for Sales Charge	–6.00%	–6.62%	–2.98%
Adjusted for the Maximum Sales Charge (max 5.75% load)	–11.40%	–7.72%	–3.55%
Bloomberg Commodity Index†	–13.32%	–10.82%	–5.59%
Class C	1-Year	5-Year	10-Year
Average Annual Total Returns as of 6/30/16
Unadjusted for Sales Charge	–6.72%	–7.35%	–3.72%
Adjusted for the Maximum Sales Charge (max 1.00% CDSC)	–6.72%	–7.35%	3.72%
Bloomberg Commodity Index†	–13.32%	–10.82%	–5.59%
Class S	1-Year	5-Year	10-Year
Average Annual Total Returns as of 6/30/16
No Sales Charges	–5.77%	–6.45%	–2.79%
Bloomberg Commodity Index†	–13.32%	–10.82%	–5.59%
Institutional Class	1-Year	5-Year	10-Year
Average Annual Total Returns as of 6/30/16
No Sales Charges	–5.70%	–6.33%	–2.67%
Bloomberg Commodity Index†	–13.32%	–10.82%	–5.59%

Performance in the Average Annual Total Returns table above and the Growth of an Assumed $10,000 Investment line graph that follows is historical and does not guarantee future results. Investment return and principal fluctuate, so your shares may be worth more or less when redeemed. Current performance may differ from performance data shown. Please visit deutschefunds.com for the Fund's most recent month-end performance. Fund performance includes reinvestment of all distributions. Unadjusted returns do not reflect sales charges and would have been lower if they had.

The gross expense ratios of the Fund, as stated in the fee table of the prospectus dated November 1, 2015 are 1.52%, 2.29%, 1.30% and 1.17% for Class A, Class C, Class S and Institutional Class shares, respectively, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report.

The Fund may charge a 2% fee for redemptions of shares held less than 15 days.

Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.

Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

Growth of an Assumed $10,000 Investment (Adjusted for Maximum Sales Charge)

■ Deutsche Enhanced Commodity Strategy Fund — Class A

■ Bloomberg Commodity Index^†

Yearly periods ended June 30

The Fund's growth of an assumed $10,000 investment is adjusted for the maximum sales charge of 5.75%. This results in a net initial investment of $9,425.

The growth of $10,000 is cumulative.

Performance of other share classes will vary based on the sales charges and the fee structure of those classes.

^† The Bloomberg Commodity Index is an unmanaged index that tracks a diversified group of commodities and commodities futures contracts traded on both U.S. and London exchanges.

	Class A	Class C	Class S	Institutional Class
Net Asset Value
6/30/16	$ 12.60	$ 11.39	$ 12.76	$ 12.80
6/30/15	$ 13.42	$ 12.21	$ 13.58	$ 13.63
Distribution Information as of 6/30/16
Twelve Months: Income Dividends	$ .01	$ —	$ .03	$ .05

Consolidated Investment Portfolio
as of June 30, 2016

		Principal Amount ($)	Value ($)
Corporate Bonds 20.9%
Consumer Discretionary 3.3%
Ally Financial, Inc., 4.25%, 4/15/2021		1,100,000	1,098,625
BMW U.S. Capital LLC, 144A, 1.5%, 4/11/2019		10,840,000	10,917,647
Carnival Corp., 1.875%, 12/15/2017		1,690,000	1,705,644
Charter Communications Operating LLC, 144A, 3.579%, 7/23/2020		1,240,000	1,296,351
CSC Holdings LLC, 8.625%, 2/15/2019		2,500,000	2,757,800
CVS Health Corp., 1.9%, 7/20/2018		4,000,000	4,060,520
Daimler Finance North America LLC, 144A, 1.5%, 7/5/2019 (a)		5,770,000	5,761,403
DISH DBS Corp., 7.875%, 9/1/2019		2,700,000	2,976,750
Ford Motor Credit Co., LLC:
	2.021%, 5/3/2019	3,430,000	3,459,186
	2.375%, 3/12/2019	4,000,000	4,056,104
General Motors Financial Co., Inc.:
	3.2%, 7/13/2020	4,000,000	4,052,284
	3.7%, 11/24/2020	4,000,000	4,109,636
Harley-Davidson Financial Services, Inc., 144A, 2.25%, 1/15/2019		3,615,000	3,687,893
Hyundai Capital America, 144A, 2.0%, 7/1/2019		3,360,000	3,380,748
Hyundai Capital Services, Inc.:
	144A, 1.447%*, 3/18/2017	7,315,000	7,311,716
	144A, 2.625%, 9/29/2020	4,000,000	4,082,984
MGM Resorts International, 5.25%, 3/31/2020		2,000,000	2,100,000
Newell Brands, Inc., 2.6%, 3/29/2019		5,000,000	5,130,905
Nissan Motor Acceptance Corp., 144A, 2.0%, 3/8/2019		4,840,000	4,898,646
RCI Banque SA, 144A, 3.5%, 4/3/2018		5,950,000	6,143,809
TRI Pointe Group, Inc., 4.875%, 7/1/2021		1,695,000	1,690,762
			84,679,413
Consumer Staples 1.1%
Anheuser-Busch InBev Finance, Inc., 2.65%, 2/1/2021		7,725,000	8,010,941
ConAgra Foods, Inc., 2.1%, 3/15/2018		377,000	380,522
Kraft Heinz Foods Co., 144A, 2.8%, 7/2/2020		3,945,000	4,096,650
Post Holdings, Inc., 144A, 6.75%, 12/1/2021		2,600,000	2,749,500
Reynolds American, Inc., 2.3%, 6/12/2018		6,920,000	7,031,011
Safeway, Inc., 3.4%, 12/1/2016		387,000	386,032
Tyson Foods, Inc., 2.65%, 8/15/2019		5,380,000	5,527,111
Wesfarmers Ltd., 144A, 1.874%, 3/20/2018		1,500,000	1,508,445
			29,690,212
Energy 1.4%
Columbia Pipeline Group, Inc., 2.45%, 6/1/2018		2,390,000	2,397,705
ConocoPhillips Co., 4.2%, 3/15/2021		3,630,000	3,930,350
Delek & Avner Tamar Bond Ltd., 144A, 3.839%, 12/30/2018		3,000,000	3,060,000
Energy Transfer Partners LP, 4.15%, 10/1/2020		3,920,000	3,978,608
KazMunayGas National Co. JSC, 144A, 9.125%, 7/2/2018		6,350,000	7,049,770
Pertamina Persero PT, 144A, 5.25%, 5/23/2021		5,000,000	5,353,730
Petroleos Mexicanos, 144A, 5.5%, 2/4/2019		4,400,000	4,624,400
Sunoco LP, 144A, 6.25%, 4/15/2021		2,800,000	2,793,000
Transportadora de Gas Internacional SA ESP, 144A, 5.7%, 3/20/2022		2,000,000	2,085,000
			35,272,563
Financials 10.3%
AerCap Ireland Capital Ltd., 3.95%, 2/1/2022		3,485,000	3,485,000
Ares Capital Corp., 4.875%, 11/30/2018		7,500,000	7,847,227
Australia & New Zealand Banking Group Ltd., 2.7%, 11/16/2020		6,000,000	6,227,268
Bank of America Corp., Series L, 2.6%, 1/15/2019		7,115,000	7,280,559
Bank of Baroda, 144A, 4.875%, 7/23/2019		3,000,000	3,202,122
Bank of India, 144A, 3.625%, 9/21/2018		2,000,000	2,029,280
Bank of New York Mellon Corp., 5.5%, 12/1/2017		4,465,000	4,722,751
Banque Federative du Credit Mutuel SA:
	144A, 2.5%, 10/29/2018	10,000,000	10,214,960
	144A, 2.75%, 1/22/2019	7,500,000	7,707,990
Berkshire Hathaway Finance Corp., 1.7%, 3/15/2019		6,000,000	6,098,022
Capital One Bank U.S.A. NA, 2.25%, 2/13/2019		590,000	597,543
Citigroup, Inc.:
	2.05%, 12/7/2018	3,714,000	3,743,515
	2.05%, 6/7/2019	10,000,000	10,068,830
Citizens Bank NA, 2.5%, 3/14/2019		4,000,000	4,056,956
Commonwealth Bank of Australia, 144A, 1.881%*, 3/31/2017		4,000,000	4,022,852
Credit Agricole SA, 144A, 2.125%, 4/17/2018		3,000,000	3,032,898
Equinix, Inc., (REIT), 5.375%, 1/1/2022		2,700,000	2,787,750
Grupo Aval Ltd., 144A, 5.25%, 2/1/2017		2,250,000	2,284,875
HSBC Holdings PLC, 2.95%, 5/25/2021		10,000,000	10,103,600
ING Bank NV, 144A, 2.3%, 3/22/2019		6,120,000	6,225,142
Intercontinental Exchange, Inc., 2.5%, 10/15/2018		790,000	808,503
Iron Mountain, Inc., 144A, (REIT), 4.375%, 6/1/2021		455,000	458,412
Jefferies Group LLC, 5.125%, 4/13/2018		2,500,000	2,614,875
JPMorgan Chase & Co., 2.35%, 1/28/2019		7,000,000	7,172,592
Lloyds Bank PLC:
	2.05%, 1/22/2019	12,000,000	11,968,872
	2.3%, 11/27/2018	750,000	754,222
Macquarie Bank Ltd.:
	144A, 2.35%, 1/15/2019	8,000,000	8,119,312
	144A, 2.85%, 1/15/2021	6,000,000	6,147,930
Macquarie Group Ltd., 144A, 3.0%, 12/3/2018		8,000,000	8,216,120
Morgan Stanley:
	2.45%, 2/1/2019	4,285,000	4,365,451
	Series F, 5.625%, 9/23/2019	6,000,000	6,657,048
National Australia Bank Ltd., 2.0%, 1/14/2019		12,000,000	12,166,236
National Savings Bank, 144A, 8.875%, 9/18/2018		2,500,000	2,663,950
Principal Life Global Funding II, 144A, 1.5%, 4/18/2019		2,415,000	2,424,389
QBE Insurance Group Ltd., 144A, 2.4%, 5/1/2018		10,300,000	10,386,633
Santander Holdings U.S.A., Inc., 2.7%, 5/24/2019		8,160,000	8,199,258
Santander UK PLC, 2.5%, 3/14/2019		11,885,000	12,006,263
Skandinaviska Enskilda Banken AB, 144A, 1.375%, 5/29/2018		5,000,000	5,003,505
Standard Chartered PLC, 144A, 2.25%, 4/17/2020		2,000,000	1,973,096
Sumitomo Mitsui Banking Corp.:
	2.05%, 1/18/2019	7,750,000	7,822,013
	2.5%, 7/19/2018	2,470,000	2,521,075
Suncorp-Metway Ltd.:
	144A, 1.7%, 3/28/2017	4,500,000	4,516,609
	144A, 2.1%, 5/3/2019	2,615,000	2,643,888
Synchrony Financial:
	2.6%, 1/15/2019	6,200,000	6,267,847
	3.0%, 8/15/2019	4,000,000	4,066,668
The Goldman Sachs Group, Inc., 2.0%, 4/25/2019		5,450,000	5,505,911
The Huntington National Bank, 2.2%, 11/6/2018		5,570,000	5,638,188
Turkiye Halk Bankasi AS, 144A, 4.75%, 6/4/2019		2,000,000	2,029,160
Turkiye Vakiflar Bankasi Tao, 144A, 5.0%, 10/31/2018		1,000,000	1,026,300
VEREIT Operating Partnership LP, (REIT), 4.125%, 6/1/2021		565,000	589,363
WEA Finance LLC, 144A, 1.75%, 9/15/2017		3,500,000	3,510,115
Woori Bank Co., Ltd., 144A, 2.875%, 10/2/2018		3,000,000	3,077,724
			267,060,668
Health Care 0.5%
Actavis Funding SCS, 2.35%, 3/12/2018		5,245,000	5,316,484
Aetna, Inc., 1.7%, 6/7/2018		4,225,000	4,258,906
Community Health Systems, Inc., 5.125%, 8/1/2021		2,000,000	1,985,000
Laboratory Corp. of America Holdings, 2.2%, 8/23/2017		1,885,000	1,898,351
Mallinckrodt International Finance SA, 3.5%, 4/15/2018 (b)		430,000	418,175
			13,876,916
Industrials 0.8%
Fortive Corp., 144A, 1.8%, 6/15/2019		970,000	976,223
Harris Corp., 2.7%, 4/27/2020		570,000	577,747
Hertz Corp., 5.875%, 10/15/2020 (b)		2,800,000	2,870,000
John Deere Capital Corp., 1.95%, 1/8/2019		5,455,000	5,575,943
Mersin Uluslararasi Liman Isletmeciligi AS, 144A, 5.875%, 8/12/2020		3,500,000	3,710,000
Penske Truck Leasing Co. LP, 144A, 3.75%, 5/11/2017		7,250,000	7,387,068
			21,096,981
Information Technology 0.9%
Arrow Electronics, Inc., 3.0%, 3/1/2018		3,000,000	3,030,741
Diamond 1 Finance Corp.:
	144A, 3.48%, 6/1/2019	6,620,000	6,781,594
	144A, 5.875%, 6/15/2021	685,000	698,544
eBay, Inc., 2.5%, 3/9/2018		2,150,000	2,189,238
Hewlett Packard Enterprise Co., 144A, 2.85%, 10/5/2018		10,000,000	10,240,600
Seagate HDD Cayman, 3.75%, 11/15/2018		500,000	500,315
			23,441,032
Materials 1.1%
Anglo American Capital PLC, 144A, 2.625%, 9/27/2017		2,180,000	2,169,100
Celulosa Arauco y Constitucion SA, 7.25%, 7/29/2019		2,500,000	2,834,530
Cemex SAB de CV, 144A, 6.5%, 12/10/2019		5,000,000	5,331,250
Freeport-McMoRan, Inc., 2.375%, 3/15/2018		1,455,000	1,425,900
Glencore Finance Canada Ltd., 144A, 2.7%, 10/25/2017		2,400,000	2,391,000
Glencore Funding LLC, 144A, 2.5%, 1/15/2019		1,660,000	1,595,675
Goldcorp, Inc., 2.125%, 3/15/2018		1,490,000	1,492,183
Huntsman International LLC, 4.875%, 11/15/2020		2,800,000	2,814,000
Inversiones CMPC SA, 144A, 6.125%, 11/5/2019		2,000,000	2,210,132
Reynolds Group Issuer, Inc., 5.75%, 10/15/2020		2,800,000	2,891,000
Teck Resources Ltd.:
	3.0%, 3/1/2019	710,000	667,400
	144A, 8.0%, 6/1/2021	385,000	396,550
United States Steel Corp., 144A, 8.375%, 7/1/2021		2,800,000	2,940,000
			29,158,720
Telecommunication Services 0.9%
AT&T, Inc.:
	1.75%, 1/15/2018	7,000,000	7,038,101
	2.45%, 6/30/2020	8,310,000	8,484,169
CC Holdings GS V LLC, 2.381%, 12/15/2017		1,000,000	1,012,977
CenturyLink, Inc., Series V, 5.625%, 4/1/2020		850,000	881,875
Frontier Communications Corp., 8.875%, 9/15/2020		2,600,000	2,775,500
T-Mobile U.S.A., Inc., 6.125%, 1/15/2022		2,700,000	2,831,625
			23,024,247
Utilities 0.6%
Exelon Corp., 2.85%, 6/15/2020		3,460,000	3,569,225
Exelon Generation Co., LLC, 2.95%, 1/15/2020		3,000,000	3,085,989
FirstEnergy Corp., Series A, 2.75%, 3/15/2018		2,025,000	2,050,217
Israel Electric Corp., Ltd., 144A, 5.625%, 6/21/2018		3,000,000	3,177,000
NextEra Energy Capital Holdings, Inc., 2.3%, 4/1/2019		885,000	902,157
NRG Energy, Inc., 7.875%, 5/15/2021		1,717,000	1,777,095
			14,561,683
Total Corporate Bonds (Cost $534,138,071)			541,862,435
Mortgage-Backed Securities Pass-Throughs 5.1%
Federal Home Loan Mortgage Corp.:
	2.535%*, 6/1/2042	23,417,305	24,141,406
	2.654%*, 5/1/2042	20,873,259	21,596,356
	2.53%*, 5/1/2042	15,057,108	15,487,610
Federal National Mortgage Association:
	3.0%,with various maturities from 5/1/2027 until 6/1/2027	21,409,232	22,621,093
	2.51%*, 9/1/2042	14,151,152	14,500,618
	2.64%*, 5/1/2045	7,780,784	8,035,380
	2.674%*, 9/1/2039	9,337,886	9,878,250
	2.537%*, 7/1/2042	13,981,719	14,573,361
Total Mortgage-Backed Securities Pass-Throughs (Cost $130,464,174)			130,834,074
Asset-Backed 8.4%
Automobile Receivables 3.7%
Ally Auto Receivables Trust, "A3", Series 2016-1, 1.47%, 4/15/2020		9,370,000	9,434,065
AmeriCredit Automobile Receivables Trust:
	"A3", Series 2014-1, 0.9%, 2/8/2019	2,002,764	2,002,248
	"A3", Series 2014-3, 1.15%, 6/10/2019	4,925,000	4,925,145
	"A3", Series 2016-1, 1.81%, 10/8/2020	4,020,000	4,053,954
	"C", Series 2014-2, 2.18%, 6/8/2020	4,000,000	4,018,898
	"D", Series 2012-5, 2.35%, 12/10/2018	5,000,000	5,011,030
	"D", Series 2013-2, 2.42%, 5/8/2019	12,000,000	12,038,693
	"C", Series 2016-2, 2.87%, 11/8/2021	1,500,000	1,529,745
	"C", Series 2016-1, 2.89%, 1/10/2022	4,000,000	4,086,289
	"E", Series 2012-3, 144A, 4.46%, 11/8/2019	9,500,000	9,561,718
Avis Budget Rental Car Funding AESOP LLC, "B", Series 2014-2A, 144A, 3.29%, 2/20/2021		1,500,000	1,524,133
CarMax Auto Owner Trust, "A3", Series 2016-1, 1.61%, 11/16/2020		4,170,000	4,207,873
CPS Auto Receivables Trust:
	"D", Series 2016-A, 144A, 5.0%, 12/15/2021	6,000,000	5,759,110
	"D", Series 2014-D, 144A, 5.33%, 11/16/2020	1,300,000	1,224,029
Ford Credit Auto Owner Trust:
	"A3", Series 2016-A, 1.39%, 7/15/2020	5,700,000	5,734,345
	"A", Series 2014-1, 144A, 2.26%, 11/15/2025	4,000,000	4,080,447
Hyundai Auto Lease Securitization Trust, "A3", Series 2016-A, 144A, 1.6%, 7/15/2019		3,260,000	3,275,009
Santander Drive Auto Receivables Trust, "B", Series 2016-2, 2.08%, 2/16/2021		1,500,000	1,506,635
Skopos Auto Receivables Trust:
	"A", Series 2015-1A, 144A, 3.1%, 12/15/2023	3,711,174	3,699,670
	"A", Series 2015-2A, 144A, 3.55%, 2/15/2020	1,698,226	1,696,444
Toyota Auto Receivables Owner Trust, "A3", Series 2016-A, 1.25%, 3/16/2020		7,290,000	7,318,056
			96,687,536
Credit Card Receivables 0.3%
Chase Issuance Trust, "A", Series 2016-A2, 1.37%, 6/15/2021		6,360,000	6,392,910
Citi Holdings Liquidating Unrated Performing Assets, "A", Series 2013-VM, 144A, 3.326%, 8/15/2020		599,699	600,838
			6,993,748
Miscellaneous 4.2%
A Voce CLO Ltd., "A1B", Series 2014-1A, 144A, 2.082%*, 7/15/2026		1,690,000	1,668,517
ALM XIX LLC, "A1", Series 2016-19A, 144A, 2.184%, 7/15/2028		5,000,000	4,999,920
CIFC Funding Ltd., "A1L", Series 2014-2A, 144A, 2.105%*, 5/24/2026		8,000,000	7,970,136
Domino's Pizza Master Issuer LLC, "A2I", Series 2015-1A, 144A, 3.484%, 10/25/2045		7,960,000	8,085,930
Dryden XXXI Senior Loan Fund, "B", Series 2014-31A, 144A, 2.521%*, 4/18/2026		1,000,000	985,960
Galaxy XXII CLO Ltd., "A1", Series 2016-22A, 144A, 2.236%, 7/16/2028 (a)		10,000,000	10,000,000
Hewett's Island CLO Ltd., "A", Series 2007-1RA, 144A, 1.018%*, 11/12/2019		532,619	531,879
Jamestown CLO IV Ltd., "A1A", Series 2014-4A, 144A, 2.122%*, 7/15/2026		10,000,000	9,849,180
Madison Park Funding XII Ltd., "A", Series 2014-12A, 144A, 2.124%*, 7/20/2026		5,000,000	4,991,460
North End CLO Ltd., "A", Series 2013-1A, 144A, 1.77%*, 7/17/2025		5,000,000	4,937,735
Oak Hill Credit Partners X Ltd., "A", Series 2014-10A, 144A, 2.094%*, 7/20/2026		1,150,000	1,147,991
OCP CLO Ltd., "A1A", Series 2016-11A, 144A, 2.225%, 4/26/2028		7,000,000	6,976,515
Octagon Investment Partners XVI Ltd., "B1", Series 2013-1A, 144A, 2.22%*, 7/17/2025		4,000,000	3,896,144
Octagon Investment Partners XXI Ltd., "A1A", Series 2014-1A, 144A, 2.088%*, 11/14/2026		2,000,000	1,992,478
Taco Bell Funding LLC, "A2I", Series 2016-1A, 144A, 3.832%, 5/25/2046		2,380,000	2,409,036
TCI-FLATIRON CLO Ltd., "A", Series 2016-1A, 144A, 2.212%, 7/17/2028 (a)		10,000,000	9,972,480
Telos CLO Ltd., "A1", Series 2014-6A, 144A, 2.12%*, 1/17/2027		10,000,000	9,834,900
Treman Park CLO LLC, "A", Series 2015-1A, 144A, 2.124%*, 4/20/2027		2,500,000	2,494,780
Venture XVI CLO Ltd., "A1L", Series 2014-16A, 144A, 2.122%*, 4/15/2026		5,000,000	4,965,650
Voya CLO Ltd.:
	"A1", Series 2014-2A, 144A, 2.07%*, 7/17/2026	3,000,000	2,979,282
	"A1", Series 2015-1A, 144A, 2.1%*, 4/18/2027	4,170,000	4,159,796
	"A2", Series 2014-2A, 144A, 2.62%*, 7/17/2026	5,000,000	4,910,730
			109,760,499
Student Loans 0.2%
SLM Student Loan Trust, "A4", Series 2008-5, 2.319%*, 7/25/2023		3,836,165	3,837,364
Total Asset-Backed (Cost $217,294,910)			217,279,147
Commercial Mortgage-Backed Securities 5.0%
BAMLL Re-REMIC Trust, "A3B", Series 2011-07C1, 144A, 5.383%, 12/15/2016		13,000,000	13,030,837
Banc of America Commercial Mortgage Trust:
	"AJ", Series 2006-2, 5.762%*, 5/10/2045	481,381	481,015
	"AM", Series 2006-3, 5.947%*, 7/10/2044	3,125,000	3,100,252
Bear Stearns Commercial Mortgage Securities Trust, "B", Series 2004-PWR6, 144A, 4.945%, 11/11/2041		1,156,930	1,177,910
CD Commercial Mortgage Trust, "A4", Series 2007-CD5, 5.886%, 11/15/2044		1,036,435	1,074,588
Citigroup Commercial Mortgage Trust:
	"A4", Series 2006-C5, 5.431%, 10/15/2049	2,109,115	2,113,166
	"M", Series 2005-EMG, 144A, 5.5%*, 9/20/2051	508,572	469,044
	"A1A", Series 2007-C6, 5.712%*, 12/10/2049	1,337,441	1,379,836
	"A4", Series 2007-C6, 5.712%*, 12/10/2049	1,892,000	1,947,491
	"A4", Series 2008-C7, 6.14%*, 12/10/2049	1,099,749	1,143,892
Commercial Mortgage Trust:
	"E", Series 2005-LP5, 144A, 4.739%*, 5/10/2043	1,980,000	1,977,547
	"A4", Series 2007-C9, 5.813%*, 12/10/2049	2,509,654	2,587,409
Credit Suisse Commercial Mortgage Trust:
	"A3", Series 2006-C5, 5.311%, 12/15/2039	420,003	420,696
	"A1A", Series 2007-C1, 5.361%, 2/15/2040	2,674,050	2,708,286
CSMC Trust, "A", Series 2014-TIKI, 144A, 1.392%*, 9/15/2038		2,000,000	1,965,765
FHLMC Multifamily Structured Pass-Through Certificates, "X1", Series K722, Interest only, 1.312%, 3/25/2023		16,017,000	1,146,782
GE Capital Commercial Mortgage Corp.:
	"J", Series 2005-C2, 144A, 5.464%*, 5/10/2043	1,500,000	1,407,739
	"A4", Series 2007-C1, 5.543%, 12/10/2049	1,500,000	1,528,846
Greenwich Capital Commercial Funding Corp.:
	"A4", Series 2007-GG11, 5.736%, 12/10/2049	569,973	591,883
	"AM", Series 2006-GG7, 5.773%*, 7/10/2038	1,496,496	1,495,048
GS Mortgage Securities Trust, "A1A", Series 2007-GG10, 5.795%*, 8/10/2045		1,937,898	1,994,545
Hilton U.S.A. Trust:
	"CFL", Series 2013-HLF, 144A, 2.363%*, 11/5/2030	942,983	942,374
	"DFL", Series 2013-HLF, 144A, 3.213%*, 11/5/2030	3,699,395	3,697,006
JPMorgan Chase Commercial Mortgage Securities Corp.:
	"D", Series 2015-SGP, 144A, 4.942%*, 7/15/2036	3,000,000	2,973,721
	"B", Series 2005-LDP4, 5.129%, 10/15/2042	3,358,123	3,353,402
	"A3", Series 2006-LDP9, 5.336%, 5/15/2047	7,010,170	7,072,216
	"A3", Series 2007-LDPX, 5.42%, 1/15/2049	4,662,374	4,732,240
	"A4", Series 2006-CB17, 5.429%, 12/12/2043	5,970,872	6,012,340
	"A1A", Series 2007-CB18, 5.431%, 6/12/2047	1,187,903	1,201,912
	"A4", Series 2007-CB18, 5.44%, 6/12/2047	7,213,783	7,323,395
	"A1A", Series 2007-LD12, 5.85%, 2/15/2051	1,253,265	1,297,516
	"F", Series 2003-PM1A, 144A, 6.213%*, 8/12/2040	2,278,385	2,343,850
JPMorgan Commercial Mortgage-Backed Securities Trust, "A4B", Series 2009-RR1, 144A, 5.702%*, 3/18/2051		3,420,000	3,456,414
LB Commercial Mortgage Trust:
	"A4B", Series 2007-C3, 5.517%, 7/15/2044	839,211	867,269
	"J", Series 1998-C4, 144A, 5.6%, 10/15/2035	3,555,000	3,680,408
LB-UBS Commercial Mortgage Trust, "E", Series 2005-C3, 4.983%, 7/15/2040		1,821,000	1,879,561
LSTAR Commercial Mortgage Trust, "A1", Series 2016-4, 144A, 1.823%, 3/10/2049		7,000,000	7,031,157
Merrill Lynch Mortgage Trust, "A4", Series 2007-C1, 5.826%*, 6/12/2050		2,500,000	2,555,503
ML-CFC Commercial Mortgage Trust, "A4", Series 2007-7, 5.739%*, 6/12/2050		4,055,137	4,173,803
Morgan Stanley Capital I Trust:
	"AMFL", Series 2007-HQ11, 0.617%*, 2/12/2044	6,813,124	6,681,441
	"AM", Series 2006-IQ12, 5.37%, 12/15/2043	1,440,000	1,450,350
	"A4", Series 2007-IQ16, 5.809%, 12/12/2049	1,077,344	1,118,613
	"E", Series 2005-IQ10, 144A, 6.121%*, 9/15/2042	3,000,000	2,959,370
Morgan Stanley Re-REMIC Trust:
	"A4B", Series 2009-GG10, 144A, 5.795%*, 8/12/2045	2,000,000	2,039,162
	"A4A", Series 2010-GG10, 144A, 5.795%*, 8/15/2045	7,206,010	7,351,022
Total Commercial Mortgage-Backed Securities (Cost $131,283,532)			129,936,622
Collateralized Mortgage Obligations 1.4%
Fannie Mae Connecticut Avenue Securities:
	"1M1", Series 2015-C01, 1.946%*, 2/25/2025	663,712	664,136
	"1M1", Series 2016-C03, 2.446%*, 10/25/2028	2,099,015	2,113,595
	"1M1", Series 2016-C02, 2.596%*, 9/25/2028	4,948,671	5,007,321
Federal National Mortgage Association:
	"FB", Series 1996-44, 1.253%*, 9/25/2023	87,546	88,793
	"CB", Series 2007-5, 4.25%, 2/25/2037	10,023,873	10,964,398
Freddie Mac Structured Agency Credit Risk Debt Notes:
	"M2", Series 16-DNA3, 2.446%, 12/25/2028	2,768,518	2,786,958
	"M2", Series 2016-DNA2, 2.646%*, 10/25/2028	3,666,667	3,696,397
	"M2", Series 2015-DNA3, 3.296%*, 4/25/2028	5,000,000	5,140,171
	"M2", Series 2016-DNA1, 3.346%*, 7/25/2028	5,000,000	5,155,893
Total Collateralized Mortgage Obligations (Cost $35,038,613)			35,617,662
Government & Agency Obligations 43.7%
Other Government Related (c) 0.9%
Asian Development Bank, 1.125%, 3/15/2017		2,000,000	2,005,676
Corp. Andina de Fomento, 2.0%, 5/10/2019		5,620,000	5,682,776
Fondo MIVIVIENDA SA, 144A, 3.375%, 4/2/2019		2,950,000	3,038,205
Japan Bank for International Cooperation, 1.875%, 4/20/2021		3,200,000	3,249,027
Tokyo Metropolitan Government, 144A, 2.0%, 5/17/2021		5,600,000	5,664,142
Vnesheconombank, 144A, 6.902%, 7/9/2020		2,000,000	2,167,900
			21,807,726
Sovereign Bonds 0.9%
Export-Import Bank of Korea, 1.75%, 5/26/2019		8,860,000	8,934,052
Province of British Columbia, Canada, 1.2%, 4/25/2017		2,855,000	2,868,059
Republic of Colombia, 4.375%, 7/12/2021		4,000,000	4,294,000
Republic of Croatia:
	144A, 6.25%, 4/27/2017	1,000,000	1,032,452
	144A, 6.625%, 7/14/2020	3,350,000	3,654,850
Republic of Hungary, 6.25%, 1/29/2020		2,000,000	2,217,904
			23,001,317
U.S. Treasury Obligations 41.9%
U.S. Treasury Floating Rate Notes:
	0.313%*, 10/31/2016 (d)	52,000,000	52,001,924
	0.337%*, 7/31/2017 (d)	5,000,000	5,000,190
	0.344%*, 1/31/2017 (d)	37,000,000	37,008,029
	0.428%*, 10/31/2017 (d)	206,000,000	206,137,402
	0.45%*, 4/30/2018 (d)	60,000,000	60,006,660
	0.532%*, 1/31/2018 (d)	42,000,000	42,079,506
U.S. Treasury Notes:
	0.625%, 4/30/2018	41,750,000	41,777,722
	0.75%, 12/31/2017	75,000,000	75,196,275
	0.75%, 1/31/2018	25,000,000	25,067,375
	0.875%, 4/30/2017	33,500,000	33,601,773
	0.875%, 11/30/2017	154,000,000	154,637,714
	0.875%, 5/31/2018	87,000,000	87,472,410
	1.0%, 8/31/2016 (d) (e)	15,000,000	15,017,370
	1.0%, 3/15/2019	30,400,000	30,657,701
	1.125%, 1/15/2019	50,000,000	50,560,550
	1.25%, 12/15/2018	111,000,000	112,604,283
	1.625%, 11/30/2020	54,500,000	56,096,686
			1,084,923,570
Total Government & Agency Obligations (Cost $1,123,320,634)			1,129,732,613
Loan Participations and Assignments 1.2%
Senior Loans*
1011778 B.C. Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/2021		498,732	498,732
Advantage Sales & Marketing, Inc., First Lien Term Loan, 4.25%, 7/23/2021		246,241	240,752
Albertson's LLC, Term Loan B6, 4.75%, 6/22/2023		455,895	455,838
Alere, Inc., Term Loan B, 4.25%, 6/18/2022		480,022	478,474
Alkermes, Inc., Term Loan, 3.5%, 9/25/2019		477,571	476,974
AmWINS Group LLC, Term Loan B, 4.75%, 9/6/2019		965,044	965,561
Astoria Energy LLC, Term Loan B, 5.0%, 12/24/2021		464,257	441,819
Asurion LLC:
	Term Loan B1, 5.0%, 5/24/2019	343,246	342,103
	Term Loan B4, 5.0%, 8/4/2022	489,375	483,625
Avago Technologies Cayman Ltd., Term Loan B1, 4.25%, 2/1/2023		468,640	469,776
Avaya, Inc., Term Loan B7, 6.25%, 5/29/2020		344,628	246,697
Axalta Coating Systems U.S. Holdings, Inc., Term Loan, 3.75%, 2/1/2020		498,516	498,710
BATS Global Markets, Inc., Term Loan B2, 5.75%, 1/31/2020		402,606	403,361
Berry Plastics Holding Corp., Term Loan G, 3.5%, 1/6/2021		500,000	496,445
Brickman Group Ltd. LLC, First Lien Term Loan, 4.0%, 12/18/2020		979,949	965,554
Burlington Coat Factory Warehouse Corp., Term Loan B3, 4.25%, 8/13/2021		465,417	465,512
Calpine Corp., Term Loan B5, 3.5%, 5/27/2022		495,000	490,565
Capital Automotive LP, Term Loan B, 4.0%, 4/10/2019		266,881	267,676
CHG Healthcare Services, Inc., Term Loan B, 4.75%, 6/7/2023		509	510
Community Health Systems, Inc., Term Loan G, 3.75%, 12/31/2019		498,741	485,868
CPI Acquisition, Inc., Term Loan B, 5.5%, 8/17/2022		359,195	350,815
Dell, Inc., Term Loan B, 4.0%, 5/24/2023		500,000	498,905
DTZ U.S. Borrower LLC, First Lien Term Loan, 4.25%, 11/4/2021		990,000	978,867
Duff & Phelps Investment Management Co., Term Loan B, 4.75%, 4/23/2020		485,010	483,797
Dynegy Inc, 3.5%, 6/20/2023		150,000	147,981
Energy Transfer Equity LP, Term Loan, 3.25%, 12/2/2019		500,000	484,465
Greenway Medical Technologies, Inc., First Lien Term Loan, 6.0%, 11/4/2020		487,500	468,407
Hargray Communications Group, Inc., Term Loan B, 5.25%, 6/26/2019		493,966	494,583
Hudson's Bay Co., Term Loan B, 4.75%, 9/30/2022		230,415	230,847
IG Investment Holdings LLC, Term Loan B, 6.0%, 10/29/2021		492,347	490,705
Ineos U.S. Finance LLC, 6 Year Term Loan, 3.75%, 5/4/2018		593,680	592,195
ION Media Networks, Inc., Term Loan B, 4.75%, 12/18/2020		474,314	474,611
IQOR U.S., Inc., Term Loan B, 6.0%, 4/1/2021		475,655	390,831
Jeld-Wen, Inc.:
	Term Loan, 4.75%, 7/1/2022	496,250	495,940
	Term Loan B, 5.25%, 10/15/2021	241,941	242,547
Lineage Logistics Holdings LLC, Term Loan, 4.5%, 4/7/2021		290,071	276,293
LPL Holdings, Inc., Term Loan B, 4.75%, 11/20/2022		497,500	498,122
MacDermid, Inc., First Lien Term Loan, 5.5%, 6/7/2020		489,874	484,823
Mallinckrodt International Finance SA, Term Loan B, 3.25%, 3/19/2021		498,724	491,992
Mitel U.S. Holdings, Inc., Term Loan, 5.5%, 4/29/2022		456,931	457,931
Moneygram International, Inc., Term Loan B, 4.25%, 3/27/2020		242,453	230,254
Monitronics International, Inc., Term Loan B1, 4.5%, 4/11/2022		493,750	469,472
NEP/NCP Holdco, Inc., Term Loan, 4.25%, 1/22/2020		488,775	480,832
Neptune Finco Corp., Term Loan B, 5.0%, 10/9/2022		500,000	501,750
NRG Energy, Inc., Term Loan B, 3.5%, 6/8/2023		568,448	564,966
Numericable U.S. LLC, Term Loan B7, 5.0%, 1/15/2024		500,000	497,292
Oberthur Technologies of America Corp., Term Loan B2, 4.5%, 10/18/2019		487,500	482,420
Payless, Inc., First Lien Term Loan, 5.0%, 3/11/2021		831,054	435,265
Quikrete Holdings, Inc., First Lien Term Loan, 4.0%, 9/28/2020		472,673	472,715
Regit Eins GmbH, First Lien Term Loan, 6.0%, 1/8/2021		491,250	487,566
Rexnord LLC, First Lien Term Loan B, 4.0%, 8/21/2020		385,135	381,551
SBA Senior Finance II LLC, Term Loan B, 3.25%, 6/10/2022		495,000	489,639
Sensus U.S.A., Inc., Term Loan, 6.5%, 3/16/2023		550,312	547,561
Steak N' Shake Operations, Inc., Term Loan, 4.75%, 3/19/2021		191,622	188,748
The Men's Wearhouse, Inc., Term Loan, 5.0%, 6/18/2021		500,000	466,250
Toys 'R' Us-Delaware, Inc., Term Loan B4, 9.75%, 4/24/2020		594,263	514,335
TransDigm, Inc., Term Loan E, 3.75%, 5/14/2022		988,101	974,900
U.S. Airways Group, Inc., Term Loan B1, 3.5%, 5/23/2019		485,000	484,030
USS Parent Holding Corp.:
	Term Delay Draw, 5.504%, 8/5/2021	45,914	45,570
	Term Loan B, 5.504%, 8/5/2021	697,875	692,641
ViaWest, Inc., Term Loan B, 4.5%, 3/11/2022		495,000	490,877
Virgin Media Investment Holdings Ltd., Term Loan F, 3.65%, 6/30/2023		500,000	488,552
Zayo Group LLC, Term Loan B, 3.75%, 5/6/2021		885,478	882,078
Ziggo Financing Partnership:
	Term Loan B3, 3.601%, 1/15/2022	391,915	383,342
	Term Loan B2A, 3.648%, 1/15/2022	238,298	233,085
	Term Loan B1, 3.652%, 1/15/2022	369,787	361,698
Total Loan Participations and Assignments (Cost $31,268,788)			30,456,598
Short-Term U.S. Treasury Obligations 7.0%
U.S. Treasury Bills:
	0.246%**, 7/21/2016	8,000,000	7,999,184
	0.327%**, 12/8/2016	20,000,000	19,974,540
	0.345%**, 8/11/2016 (f)	13,322,000	13,318,909
	0.44%**, 12/1/2016 (f)	1,111,000	1,109,655
	0.502%**, 2/2/2017 (d)	60,000,000	59,877,660
	0.545%**, 11/10/2016 (d)	70,000,000	69,934,410
	0.595%**, 12/8/2016	10,000,000	9,987,270
Total Short-Term U.S. Treasury Obligations (Cost $182,048,649)			182,201,628

	Contracts	Value ($)
Call Options Purchased 1.5%
Options on Exchange-Traded Futures Contracts
Crude Oil Futures, Expiration Date 11/15/2017, Strike Price $57.0	1,100	6,754,000
Crude Oil Futures, Expiration Date 11/15/2017, Strike Price $60.0	2,500	12,400,000
Crude Oil Futures, Expiration Date 11/15/2017, Strike Price $62.0	500	2,140,000
Crude Oil Futures, Expiration Date 11/15/2017, Strike Price $65.0	500	1,705,000
Crude Oil Futures, Expiration Date 11/15/2017, Strike Price $77.0	1,100	1,562,000
Crude Oil Futures, Expiration Date 11/15/2017, Strike Price $80.0	2,500	2,925,000
Crude Oil Futures, Expiration Date 11/15/2017, Strike Price $82.0	500	515,000
Crude Oil Futures, Expiration Date 11/15/2017, Strike Price $85.0	1,500	1,290,000
Natural Gas Futures, Expiration Date 12/26/2017, Strike Price $3.0	200	1,342,800
Natural Gas Futures, Expiration Date 1/26/2018, Strike Price $3.0	200	1,312,000
Natural Gas Futures, Expiration Date 2/23/2018, Strike Price $3.0	200	1,259,600
Natural Gas Futures, Expiration Date 3/26/2018, Strike Price $3.0	200	628,800
Natural Gas Futures, Expiration Date 4/25/2018, Strike Price $3.0	200	597,800
Natural Gas Futures, Expiration Date 5/25/2018, Strike Price $3.0	200	636,800
Natural Gas Futures, Expiration Date 6/26/2018, Strike Price $3.0	200	677,200
Natural Gas Futures, Expiration Date 7/26/2018, Strike Price $3.0	200	705,200
Natural Gas Futures, Expiration Date 8/28/2018, Strike Price $3.0	200	689,800
Natural Gas Futures, Expiration Date 9/25/2018, Strike Price $3.0	200	721,000
Natural Gas Futures, Expiration Date 10/26/2018, Strike Price $3.0	200	812,000
Natural Gas Futures, Expiration Date 11/27/2018, Strike Price $3.0	200	993,000
Total Call Options Purchased (Cost $32,125,636)		39,667,000

	Shares	Value ($)
Securities Lending Collateral 0.1%
Daily Assets Fund "Capital Shares", 0.51% (g) (h) (Cost $2,875,159)	2,875,159	2,875,159
Cash Equivalents 7.0%
Deutsche Central Cash Management Government Fund, 0.44% (g)	166,126,979	166,126,979
Deutsche Variable NAV Money Fund "Capital Shares", 0.65% (g)	1,510,490	15,109,435
Total Cash Equivalents (Cost $181,233,395)		181,236,414

	% of Net Assets	Value ($)
Total Consolidated Investment Portfolio (Cost $2,601,091,561)†	101.3	2,621,699,352
Other Assets and Liabilities, Net	(1.3)	(34,052,197)
Net Assets	100.0	2,587,647,155

* Floating rate securities' yields vary with a designated market index or market rate, such as the coupon equivalent of the U.S. Treasury Bill rate. These securities are shown at their current rate as of June 30, 2016.

** Annualized yield at time of purchase; not a coupon rate.

^† The cost for federal income tax purposes was $2,601,099,803. At June 30, 2016, net unrealized appreciation for all securities based on tax cost was $20,599,549. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $25,992,072 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $5,392,523.

(a) When-issued security.

(b) All or a portion of these securities were on loan. In addition, "Other Assets and Liabilities, Net" may include pending sales that are also on loan. The value of securities loaned at June 30, 2016 amounted to $2,775,943, which is 0.1% of net assets.

(c) Government-backed debt issued by financial companies or government-sponsored enterprises.

(d) At June 30, 2016, this security has been pledged, in whole or in part, as collateral for open commodity-linked rate swap contracts.

(e) At June 30, 2016, this security has been pledged, in whole or in part, to cover initial margin requirements for open centrally cleared swap contracts.

(f) At June 30, 2016, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.

(g) Affiliated fund managed by Deutsche Investment Management Americas Inc. The rate shown is the annualized seven-day yield at period end.

(h) Represents collateral held in connection with securities lending. Income earned by the Fund is net of borrower rebates.

144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

CLO: Collateralized Loan Obligation

REIT: Real Estate Investment Trust

Interest Only: Interest Only (IO) bonds represent the "interest only" portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages.

Included in the portfolio are investments in mortgage- or asset-backed securities, which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Federal National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.

At June 30, 2016, open futures contracts purchased were as follows:

Futures	Currency	Expiration Date	Contracts	Notional Value ($)	Unrealized Appreciation/ (Depreciation) ($)
Aluminum Futures	USD	7/26/2016	485	19,946,110	942,458
Aluminum Futures	USD	8/10/2016	270	11,117,655	424,845
Copper Futures	USD	7/11/2016	175	21,184,013	590,765
Copper Futures	USD	8/10/2016	185	22,419,225	678,783
Copper Futures	USD	9/2/2016	120	14,540,070	797,070
Copper Futures	USD	9/21/2016	200	24,240,000	1,098,876
Gold 100 Oz Futures	USD	8/29/2016	190	25,091,400	(44,160)
Nickel Futures	USD	7/11/2016	400	22,568,400	(581,380)
Nickel Futures	USD	9/21/2016	435	24,643,620	1,157,100
Soybean Meal Futures	USD	12/14/2016	338	13,553,800	2,214,258
Zinc Futures	USD	7/26/2016	425	22,327,375	2,260,960
Total net unrealized appreciation					9,539,575

At June 30, 2016, open futures contracts sold were as follows:

Futures	Currency	Expiration Date	Contracts	Notional Value ($)	Unrealized Appreciation/ (Depreciation) ($)
Aluminum Futures	USD	7/26/2016	485	19,946,110	(8,413)
Aluminum Futures	USD	8/10/2016	550	22,647,075	(1,213,460)
Aluminum Futures	USD	9/2/2016	350	14,437,500	(815,937)
Copper Futures	USD	7/11/2016	175	21,184,013	489,865
Copper Futures	USD	8/10/2016	185	22,419,225	(1,493,530)
Copper Futures	USD	9/2/2016	120	14,540,070	(981,180)
Copper Futures	USD	9/21/2016	200	24,240,000	(771,124)
Nickel Futures	USD	7/11/2016	400	22,568,400	(1,820,680)
Nickel Futures	USD	9/21/2016	435	24,643,620	(902,625)
Zinc Futures	USD	7/26/2016	425	22,327,375	(2,636,228)
Total net unrealized depreciation					(10,153,312)

At June 30, 2016, open written option contracts were as follows:

Options on Exchange-Traded Futures Contracts
	Contracts	Expiration Date	Strike Price ($)	Premiums Received ($)	Value ($) (i)
Call Options Crude Oil Futures	1,000	11/15/2017	75.0	1,602,140	(1,640,000)
Crude Oil Futures	1,000	11/15/2017	72.0	1,260,140	(2,030,000)
Crude Oil Futures	2,200	11/15/2017	67.0	2,961,508	(6,468,000)
Crude Oil Futures	5,000	11/15/2017	70.0	10,240,710	(11,750,000)
Natural Gas Futures	200	12/26/2017	4.0	329,228	(606,200)
Natural Gas Futures	200	1/26/2018	4.0	329,228	(608,400)
Natural Gas Futures	200	2/23/2018	4.0	329,228	(605,600)
Natural Gas Futures	200	3/26/2018	4.0	329,228	(200,400)
Natural Gas Futures	200	4/25/2018	4.0	329,228	(189,800)
Natural Gas Futures	200	5/25/2018	4.0	329,228	(211,000)
Natural Gas Futures	200	6/26/2018	4.0	329,228	(231,600)
Natural Gas Futures	200	7/26/2018	4.0	329,228	(251,000)
Natural Gas Futures	200	8/28/2018	4.0	329,228	(248,000)
Natural Gas Futures	200	9/25/2018	4.0	329,228	(267,800)
Natural Gas Futures	200	10/26/2018	4.0	329,228	(308,600)
Natural Gas Futures	200	11/27/2018	4.0	329,228	(397,200)
Total Call Options				20,015,234	(26,013,600)
Put Options Crude Oil Futures	1,000	11/15/2017	30.0	2,646,140	(960,000)
Total				22,661,374	(26,973,600)

(i) Unrealized depreciation on written options on exchange-traded futures contracts at June 30, 2016 was $4,312,226.

Each commodity-linked swap is a commitment to receive the total return of the specified commodity-linked index in exchange for a fixed financing rate. At June 30, 2016, open commodity-linked swap contracts were as follows:

Bilateral Swaps
Expiration Date	Notional Amount ($)	Pay/Receive Return of the Reference Index	Value ($) (j)
Long Positions
7/15/2016	56,050,0001	Bloomberg West Texas Intermediate Crude Oil	(624,110)
7/15/2016	65,390,0002	Bloomberg West Texas Intermediate Crude Oil	(728,134)
7/15/2016	65,390,0003	Bloomberg West Texas Intermediate Crude Oil	(728,134)
7/15/2016	201,190,0004	Bloomberg Commodity Index	146,524
7/15/2016	181,070,0001	Bloomberg Commodity Index	132,715
7/15/2016	287,420,0005	Bloomberg Commodity Index	210,663
7/15/2016	86,230,0006	Bloomberg Commodity Index	61,997
7/15/2016	155,210,0002	Bloomberg Commodity Index	113,760
7/15/2016	258,680,0007	Bloomberg Commodity Index	189,598
7/15/2016	86,230,0008	Bloomberg Commodity Index	61,595
7/15/2016	57,480,0009	Bloomberg Commodity Index	41,625
7/15/2016	143,710,00010	Bloomberg Commodity Index	103,993
7/15/2016	241,890,0003	Bloomberg Commodity Index	177,292
7/15/2016	189,700,00011	Bloomberg Commodity Index	139,923
7/15/2016	172,450,00012	Bloomberg Commodity Index	124,790
7/15/2016	273,560,00013	Citi Cubes Dow Jones-UBS Weighted Index	12,092
8/16/2016	9,000,0003	JPMorgan Ex-Front Month Lean Hogs Excess Return Index	645,508
7/15/2016	22,770,0003	JPMorgan Ranked Alpha Basket Index	(130,082)
7/15/2016	22,770,0003	JPMorgan Seasonal Spread Explorer	613,246
7/15/2016	77,600,0001	Merrill Lynch Enhanced Benchmark — A Pre Roll Excess Return Index	54,327
7/15/2016	103,470,0002	Modified Strategy D177 on the Bloomberg Commodity Index	126,453
7/15/2016	126,460,00011	Societe Generale Commodity Index	244,554
7/15/2016	34,599,00014	UBS Custom Commodity Index	(221,245)
Short Positions
7/15/2016	273,190,0005	Bloomberg Commodity Index 3 Month Forward	(778,225)
7/15/2016	121,420,0004	Bloomberg Commodity Index 3 Month Forward	(345,884)
7/15/2016	45,530,0003	Bloomberg Commodity Index 3 Month Forward	(128,003)
8/16/2016	9,000,0003	Bloomberg Commodity Index Lean Hog Subindex	(458,698)
10/3/2016	10,248,1603	Bloomberg Soybean Meal Subindex 1 Month Forward	(3,284,253)
7/15/2016	24,160,0006	CIBC Milling Wheat Subindex	1,431,503
Total net unrealized depreciation			(2,794,610)

(j) There are no upfront payments on the commodity-linked swaps listed above, therefore unrealized appreciation (depreciation) is equal to their value.

At June 30, 2016, open interest rate swap contracts were as follows:

Centrally Cleared Swaps
Effective/ Expiration Dates	Notional Amount ($)	Cash Flows Paid by the Fund	Cash Flows Received by the Fund	Value ($)	Unrealized Depreciation ($)
6/15/2016 6/15/2021	110,000,000	Fixed — 2.0%	Floating — 3-Month LIBOR	(5,546,474)	(1,627,299)
6/15/2016 6/15/2018	200,000,000	Fixed — 1.25%	Floating — 3-Month LIBOR	(2,060,431)	(670,983)
6/15/2016 6/15/2020	34,200,000	Fixed — 1.75%	Floating — 3-Month LIBOR	(1,162,440)	(333,190)
Total unrealized depreciation					(2,631,472)

LIBOR: London Interbank Offered Rate; 3-Month LIBOR rate at June 30, 2016 is 0.65%.

Counterparties:

¹ Bank of America

² Goldman Sachs & Co.

³ JPMorgan Chase Securities, Inc.

⁴ Barclays Bank PLC

⁵ BNP Paribas

⁶ Canadian Imperial Bank of Commerce

⁷ Wells Fargo Bank N

⁸ Royal Bank of Canada

⁹ Credit Suisse

¹⁰ Macquarie Bank Ltd.

¹¹ Societe Generale

¹² Morgan Stanley

¹³ Citigroup, Inc.

¹⁴ UBS AG

Currency Abbreviation

USD United States Dollar

For information on the Fund's policy and additional disclosures regarding futures contracts, commodity-linked swap contracts, interest rate swap contracts and written and purchased option contracts, please refer to Note B in the accompanying Notes to Consolidated Financial Statements.

Fair Value Measurements

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

The following is a summary of the inputs used as of June 30, 2016 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, please refer to the Security Valuation section of Note A in the accompanying Notes to Consolidated Financial Statements.

Assets		Level 1	Level 2	Level 3	Total
Fixed Income Investments (k)
	Corporate Bonds	$ —	$ 541,862,435	$ —	$ 541,862,435
	Mortgage-Backed Securities Pass-Throughs	—	130,834,074	—	130,834,074
	Asset-Backed	—	197,306,667	19,972,480	217,279,147
	Commercial Mortgage-Backed Securities	—	129,936,622	—	129,936,622
	Collateralized Mortgage Obligations	—	35,617,662	—	35,617,662
	Government & Agency Obligations	—	1,129,732,613	—	1,129,732,613
	Loan Participations and Assignments	—	29,031,517	1,425,081	30,456,598
	Short-Term U.S. Treasury Obligations	—	182,201,628	—	182,201,628
Short-Term Investments (k)		184,111,573	—	—	184,111,573
Derivatives (l)
	Purchased Options	39,667,000	—	—	39,667,000
	Futures Contracts	10,654,980	—	—	10,654,980
	Commodity-Linked Swap Contracts	—	4,632,158	—	4,632,158
Total		$ 234,433,553	$2,381,155,376	$ 21,397,561	$ 2,636,986,490
Liabilities		Level 1	Level 2	Level 3	Total
Derivatives (l)
	Futures Contracts	$ (11,268,717)	$ —	$ —	$ (11,268,717)
	Written Options	(26,973,600)	—	—	(26,973,600)
	Commodity-Linked Swap Contracts	—	(7,426,768)	—	(7,426,768)
	Interest Rate Swap Contracts	—	(2,631,472)	—	(2,631,472)
Total		$ (38,242,317)	$ (10,058,240)	$ —	$ (48,300,557)

During the year ended June 30, 2016, the amount of transfers between Level 2 and Level 3 was $250,038. The investments were transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity.

During the year ended June 30, 2016, the amount of transfers between Level 3 and Level 2 was $494,347. The investments were transferred from Level 3 to Level 2 due to the availability of a pricing source supported by observable inputs.

Transfers between price levels are recognized at the beginning of the reporting period.

(k) See Consolidated Investment Portfolio for additional detailed categorizations.

(l) Derivatives include value of purchased options, unrealized appreciation (depreciation) on open futures contracts, commodity-linked swap contracts, interest rate swap contracts and written options, at value.

The accompanying notes are an integral part of the financial statements.

Consolidated Statement of Assets and Liabilities

as of June 30, 2016
Assets
Investments: Investments in non-affiliated securities, at value (cost $2,416,983,007) — including $2,775,943 of securities loaned	$ 2,437,587,779
Investment in Daily Assets Fund (cost $2,875,159)*	2,875,159
Investment in affiliated Underlying Funds, at value (cost $181,233,395)	181,236,414
Total investments in securities, at value (cost $2,601,091,561)	2,621,699,352
Cash	16,858,596
Foreign currency, at value (cost $142)	142
Receivable for investments sold	2,748,322
Receivable for Fund shares sold	19,454,190
Interest receivable	10,143,448
Unrealized appreciation on bilateral swap contracts	4,632,158
Other assets	124,151
Total assets	$ 2,675,660,359
Liabilities
Payable upon return of securities loaned	2,875,159
Payable for investments purchased	13,273,424
Payable for investments purchased — when-issued/delayed delivery securities	25,733,883
Payable for Fund shares redeemed	7,389,144
Payable for variation margin on futures contracts	1,184,969
Payable for variation margin on centrally cleared swaps	192,058
Options written, at value (premiums received $22,661,374)	26,973,600
Unrealized depreciation on bilateral swap contracts	7,426,768
Accrued management fee	1,130,747
Accrued Trustees' fees	2,940
Other accrued expenses and payables	1,830,512
Total liabilities	88,013,204
Net assets, at value	$ 2,587,647,155

* Represents collateral on securities loaned.

The accompanying notes are an integral part of the financial statements.

Consolidated Statement of Assets and Liabilities as of June 30, 2016 (continued)
Net Assets Consist of
Undistributed net investment income	166,263,000
Net unrealized appreciation (depreciation) on: Investments	20,607,791
Swap contracts	(5,426,082)
Futures	(613,737)
Written options	(4,312,226)
Accumulated net realized gain (loss)	(218,246,645)
Paid-in capital	2,629,375,054
Net assets, at value	$ 2,587,647,155
Net Asset Value
Class A Net Asset Value and redemption price(a) per share ($128,768,917 ÷ 10,221,238 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)	$ 12.60
Maximum offering price per share (100 ÷ 94.25 of $12.60)	$ 13.37
Class C Net Asset Value, offering and redemption price(a) (subject to contingent deferred sales charge) per share ($28,990,632 ÷ 2,545,156 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)	$ 11.39
Class R6 Net Asset Value, offering and redemption price(a) per share ($4,573,177 ÷ 357,559 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)	$ 12.79
Class S Net Asset Value, offering and redemption price(a) per share ($298,025,702 ÷ 23,359,561 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)	$ 12.76
Institutional Class Net Asset Value, offering and redemption price(a) per share ($2,127,288,727 ÷ 166,205,115 outstanding shares of beneficial interest, $.01 par value, unlimited number of shares authorized)	$ 12.80

^(a) Redemption price per share for shares held less than 15 days is equal to net asset value less a 2% redemption fee.

The accompanying notes are an integral part of the financial statements.

Consolidated Statement of Operations

for the year ended June 30, 2016
Investment Income
Income: Interest	$ 22,694,695
Income distributions from affiliated Underlying Funds	352,993
Securities lending income, including income from Daily Assets Fund, net of borrower rebates	51,316
Total income	23,099,004
Expenses: Management fee	13,344,386
Administration fee	1,500,043
Services to shareholders	1,827,207
Distribution and service fees	541,852
Custodian fee	175,617
Professional fees	135,151
Reports to shareholders	344,184
Registration fees	205,662
Trustees' fees and expenses	31,340
Other	62,988
Total expenses before expense reductions	18,168,430
Expense reductions	(1,994,348)
Total expenses after expense reductions	16,174,082
Net investment income (loss)	6,924,922
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from: Investments	571,683
Swap contracts	152,225,981
Futures	(2,072,314)
Written options	(635,664)
Foreign currency	(66,549)
	150,023,137
Change in net unrealized appreciation (depreciation) on: Investments	19,961,113
Swap contracts	(19,469,379)
Unfunded loan commitments	(27)
Futures	(3,301,068)
Written options	(4,367,602)
Foreign currency	2,518
	(7,174,445)
Net gain (loss)	142,848,692
Net increase (decrease) in net assets resulting from operations	$ 149,773,614

The accompanying notes are an integral part of the financial statements.

Consolidated Statement of Changes in Net Assets

Increase (Decrease) in Net Assets	Years Ended June 30,
	2016	2015
Operations: Net investment income (loss)	$ 6,924,922	$ 2,001,942
Net realized gain (loss)	150,023,137	(111,572,821)
Change in net unrealized appreciation (depreciation)	(7,174,445)	15,625,556
Net increase (decrease) in net assets resulting from operations	149,773,614	(93,945,323)
Distributions to shareholders from: Net investment income: Class A	(137,384)	(3,743,894)
Class B	—	(5,330)
Class C	—	(1,039,788)
Class R6*	(14)	—
Class S	(667,057)	(8,419,969)
Institutional Class	(4,243,538)	(8,866,979)
Total distributions	(5,047,993)	(22,075,960)
Fund share transactions: Proceeds from shares sold	2,334,840,923	601,823,860
Reinvestment of distributions	4,960,625	20,670,297
Payments for shares redeemed	(700,329,809)	(442,282,401)
Redemption fees	15,747	7,794
Net increase (decrease) in net assets from Fund share transactions	1,639,487,486	180,219,550
Increase (decrease) in net assets	1,784,213,107	64,198,267
Net assets at beginning of period	803,434,048	739,235,781
Net assets at end of period (including undistributed net investment income of $166,263,000 and $1,450,560, respectively)	$ 2,587,647,155	$ 803,434,048

* For the period from June 1, 2016 (commencement of operations of Class R6) to June 30, 2016.

The accompanying notes are an integral part of the financial statements.

Consolidated Financial Highlights

Class A	Years Ended June 30,
	2016	2015	2014	2013d	2012d
Selected Per Share Data
Net asset value, beginning of period	$ 13.42	$ 15.86	$ 14.95d	$ 16.25	$ 22.10
Income (loss) from investment operations: Net investment income (loss)a	.02	.02	.04	.05	.00*
Net realized and unrealized gain (loss)	(.83)e	(2.01)	.89	(1.00)	(2.60)
Total from investment operations	(.81)	(1.99)	.93	(.95)	(2.60)
Less distributions from: Net investment income	(.01)	(.45)	(.02)	(.05)	(3.25)
Return of capital	—	—	—	(.30)	—
Total distributions	(.01)	(.45)	(.02)	(.35)	(3.25)
Redemption fees	.00*	.00*	.00*	.00*	.00*
Net asset value, end of period	$ 12.60	$ 13.42	$ 15.86	$ 14.95	$ 16.25
Total Return (%)b	(6.00)c	(12.65)c	6.20	(6.14)	(13.24)
Ratios to Average Net Assets and Supplemental Data
Net assets, end of period ($ millions)	129	130	171	209	302
Ratio of expenses before expense reductions (%)	1.44	1.52	1.50	1.46	1.51
Ratio of expenses after expense reductions (%)	1.36	1.49	1.50	1.46	1.51
Ratio of net investment income (loss) (%)	.19	.13	.27	.16	.09
Portfolio turnover rate (%)	92	95	93	71	98
a Based on average shares outstanding during the period. b Total return does not reflect the effect of any sales charges. c Total return would have been lower had certain expenses not been reduced. d On December 6, 2013, the Fund implemented a 1 for 5 reverse stock split. Net asset value and per share information through December 5, 2013 have been updated to reflect the effect of the split. Shareholders received one share for every 5 shares owned and net asset value per share increased correspondingly. e The amount of net realized and unrealized gain shown for a share outstanding for the period ended June 30, 2016 does not correspond with the aggregate net loss on investments for the period due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. * Amount is less than $.005.

Class C	Years Ended June 30,
	2016	2015	2014	2013d	2012d
Selected Per Share Data
Net asset value, beginning of period	$ 12.21	$ 14.48	$ 13.75d	$ 14.95	$ 20.50
Income (loss) from investment operations: Net investment income (loss)a	(.06)	(.08)	(.07)	(.10)	(.10)
Net realized and unrealized gain (loss)	(.76)e	(1.83)	.80	(.85)	(2.50)
Total from investment operations	(.82)	(1.91)	.73	(.95)	(2.60)
Less distributions from: Net investment income	—	(.36)	—	(.05)	(2.95)
Return of capital	—	—	—	(.20)	—
Total distributions	—	(.36)	—	(.25)	(2.95)
Redemption fees	.00*	.00*	.00*	.00*	.00*
Net asset value, end of period	$ 11.39	$ 12.21	$ 14.48	$ 13.75	$ 14.95
Total Return (%)b	(6.72)c	(13.30)c	5.31c	(6.68)	(14.13)
Ratios to Average Net Assets and Supplemental Data
Net assets, end of period ($ millions)	29	32	47	65	90
Ratio of expenses before expense reductions (%)	2.22	2.29	2.28	2.26	2.26
Ratio of expenses after expense reductions (%)	2.11	2.24	2.26	2.26	2.26
Ratio of net investment income (loss) (%)	(.56)	(.61)	(.51)	(.64)	(.66)
Portfolio turnover rate (%)	92	95	93	71	98
a Based on average shares outstanding during the period. b Total return does not reflect the effect of any sales charges. c Total return would have been lower had certain expenses not been reduced. d On December 6, 2013, the Fund implemented a 1 for 5 reverse stock split. Net asset value and per share information through December 5, 2013 have been updated to reflect the effect of the split. Shareholders received one share for every 5 shares owned and net asset value per share increased correspondingly. e The amount of net realized and unrealized gain shown for a share outstanding for the period ended June 30, 2016 does not correspond with the aggregate net loss on investments for the period due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. * Amount is less than $.005.

Class R6	Period Ended 6/30/16a
Selected Per Share Data
Net asset value, beginning of period	$ 12.50
Income (loss) from investment operations: Net investment incomeb	.01
Net realized and unrealized gain (loss)	.30
Total from investment operations	.31
Less distributions from: Net investment income	(.02)
Redemption fees	.00***
Net asset value, end of period	$ 12.79
Total Return (%)c	2.46**
Ratios to Average Net Assets and Supplemental Data
Net assets, end of period ($ millions)	5
Ratio of expenses before expense reductions (%)	1.27*
Ratio of expenses after expense reductions (%)	.95*
Ratio of net investment income (%)	.68*
Portfolio turnover rate (%)	92d
a For the period from June 1, 2016 (commencement of operations) to June 30, 2016. b Based on average shares outstanding during the period. c Total return would have been lower had certain expenses not been reduced. d Represents the Fund's portfolio turnover rate for the year ended June 30, 2016. * Annualized ** Not annualized *** Amount is less than $.005.

Class S	Years Ended June 30,
	2016	2015	2014	2013c	2012c
Selected Per Share Data
Net asset value, beginning of period	$ 13.58	$ 16.05	$ 15.10c	$ 16.40	$ 22.35
Income (loss) from investment operations: Net investment income (loss)a	.05	.04	.07	.05	.05
Net realized and unrealized gain (loss)	(.84)d	(2.03)	.91	(1.00)	(2.65)
Total from investment operations	(.79)	(1.99)	.98	(.95)	(2.60)
Less distributions from: Net investment income	(.03)	(.48)	(.03)	(.05)	(3.35)
Return of capital	—	—	—	(.30)	—
Total distributions	(.03)	(.48)	(.03)	(.35)	(3.35)
Redemption fees	.00*	.00*	.00*	.00*	.00*
Net asset value, end of period	$ 12.76	$ 13.58	$ 16.05	$ 15.10	$ 16.40
Total Return (%)	(5.77)b	(12.51)b	6.46	(5.92)	(13.23)
Ratios to Average Net Assets and Supplemental Data
Net assets, end of period ($ millions)	298	283	240	219	231
Ratio of expenses before expense reductions (%)	1.25	1.30	1.30	1.29	1.32
Ratio of expenses after expense reductions (%)	1.17	1.28	1.30	1.29	1.32
Ratio of net investment income (loss) (%)	.39	.32	.47	.35	.28
Portfolio turnover rate (%)	92	95	93	71	98
a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. c On December 6, 2013, the Fund implemented a 1 for 5 reverse stock split. Net asset value and per share information through December 5, 2013 have been updated to reflect the effect of the split. Shareholders received one share for every 5 shares owned and net asset value per share increased correspondingly. d The amount of net realized and unrealized gain shown for a share outstanding for the period ended June 30, 2016 does not correspond with the aggregate net loss on investments for the period due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. * Amount is less than $.005.

Institutional Class	Years Ended June 30,
	2016	2015	2014	2013c	2012c
Selected Per Share Data
Net asset value, beginning of period	$ 13.63	$ 16.10	$ 15.15c	$ 16.45	$ 22.40
Income (loss) from investment operations: Net investment income (loss)a	.06	.06	.09	.10	.10
Net realized and unrealized gain (loss)	(.84)d	(2.03)	.89	(1.00)	(2.70)
Total from investment operations	(.78)	(1.97)	.98	(.90)	(2.60)
Less distributions from: Net investment income	(.05)	(.50)	(.03)	(.10)	(3.35)
Return of capital	—	—	—	(.30)	—
Total distributions	(.05)	(.50)	(.03)	(.40)	(3.35)
Redemption fees	.00*	.00*	.00*	.00*	.00*
Net asset value, end of period	$ 12.80	$ 13.63	$ 16.10	$ 15.15	$ 16.45
Total Return (%)	(5.70)b	(12.36)	6.48	(5.78)	(13.02)
Ratios to Average Net Assets and Supplemental Data
Net assets, end of period ($ millions)	2,127	358	281	300	289
Ratio of expenses before expense reductions (%)	1.16	1.17	1.16	1.14	1.16
Ratio of expenses after expense reductions (%)	1.01	1.17	1.16	1.14	1.16
Ratio of net investment income (loss) (%)	.53	.44	.60	.51	.44
Portfolio turnover rate (%)	92	95	93	71	98
a Based on average shares outstanding during the period. b Total return would have been lower had certain expenses not been reduced. c On December 6, 2013, the Fund implemented a 1 for 5 reverse stock split. Net asset value and per share information through December 5, 2013 have been updated to reflect the effect of the split. Shareholders received one share for every 5 shares owned and net asset value per share increased correspondingly. d The amount of net realized and unrealized gain shown for a share outstanding for the period ended June 30, 2016 does not correspond with the aggregate net loss on investments for the period due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. * Amount is less than $.005.

Notes to Consolidated Financial Statements

A. Organization and Significant Accounting Policies

Deutsche Enhanced Commodity Strategy Fund (the "Fund'') is a diversified series of Deutsche Securities Trust (the "Trust"), which is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Massachusetts business trust.

The Fund offers multiple classes of shares which provide investors with different purchase options. Class A shares are subject to an initial sales charge. Class B shares automatically converted to Class A shares on February 10, 2016 and are no longer offered. Class B shares were not subject to an initial sales charge and were subject to higher ongoing expenses than Class A shares and a contingent deferred sales charge payable upon certain redemptions. Class C shares are not subject to an initial sales charge but are subject to higher ongoing expenses than Class A shares and a contingent deferred sales charge payable upon certain redemptions within one year of purchase. Class C shares do not automatically convert into another class. Class S shares are not subject to initial or contingent deferred sales charges and are only available to a limited group of investors. Institutional Class shares are not subject to initial or contingent deferred sales charges and are generally available only to qualified institutions. Class R6 commenced operations on June 1, 2016. Class R6 shares are not subject to initial or contingent deferred sales charges and are generally available only to certain retirement plans.

Investment income, realized and unrealized gains and losses, and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of all classes of shares, except that each class bears certain expenses unique to that class such as distribution and service fees, services to shareholders and certain other class-specific expenses. Differences in class-level expenses may result in payment of different per share dividends by class. All shares of the Fund have equal rights with respect to voting subject to class-specific arrangements.

The Fund's consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its consolidated financial statements.

Principles of Consolidation. The Fund invests indirectly in commodities markets through a wholly owned subsidiary, Cayman Commodity II, Ltd., organized under the laws of the Cayman Islands (the "Subsidiary"). Among other investments, the Subsidiary may invest in commodity-linked derivative instruments, such as swaps and futures. The Subsidiary may also invest in debt securities, some of which are intended to serve as margin or collateral for the Subsidiary's derivatives positions. The Subsidiary may also invest available cash in affiliated money market funds. The Subsidiary is managed by the same portfolio managers that manage the Fund. As of June 30, 2016, the Fund's investment in the Subsidiary was $558,777,259, representing 21.6% of the Fund's net assets. The Fund's Investment Portfolio has been consolidated and includes the portfolio holdings of the Fund and the Subsidiary.

The consolidated financial statements include the accounts of the Fund and the Subsidiary. All inter-company transactions and balances have been eliminated.

Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading.

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

Debt securities and loan participations and assignments are valued at prices supplied by independent pricing services approved by the Fund's Board. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, prepayment speeds and other data, as well as broker quotes. If the pricing services are unable to provide valuations, debt securities are valued at the average of the most recent reliable bid quotations or evaluated prices, as applicable, obtained from broker-dealers and loan participations and assignments are valued at the mean of the most recent bid and ask quotations or evaluated prices, as applicable, obtained from one or more broker-dealers. Certain securities may be valued on the basis of a price provided by a single source or broker-dealer. No active trading market may exist for some senior loans and they may be subject to restrictions on resale. The inability to dispose of senior loans in a timely fashion could result in losses. These securities are generally categorized as Level 2.

Investments in open-end investment companies are valued at their net asset value each business day and are categorized as Level 1.

Futures contracts are generally valued at the settlement prices established each day on the exchange on which they are traded and are categorized as Level 1.

Swap contracts are valued daily based upon prices supplied by a Board approved pricing vendor, if available, and otherwise are valued at the price provided by the broker-dealer. Swap contracts are generally categorized as Level 2.

Exchange-traded options are valued at the last sale price or, in the absence of a sale, the mean between the closing bid and asked prices or at the most recent asked price (bid for purchased options) if no bid or asked price are available. Exchange-traded options are generally categorized as Level 1. Over-the-counter written or purchased options are valued at prices supplied by a Board approved pricing vendor, if available, and otherwise are valued at the price provided by the broker-dealer with which the option was traded. Over-the-counter written or purchased options are generally categorized as Level 2.

Securities and other assets for which market quotations are not readily available or for which the above valuation procedures are deemed not to reflect fair value are valued in a manner that is intended to reflect their fair value as determined in accordance with procedures approved by the Board and are generally categorized as Level 3. In accordance with the Fund's valuation procedures, factors considered in determining value may include, but are not limited to, the type of the security; the size of the holding; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers and/or pricing services; information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities); an analysis of the company's or issuer's financial statements; an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold; and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination and the movement of the market in which the security is normally traded. The value determined under these procedures may differ from published values for the same securities.

Disclosure about the classification of fair value measurements is included in a table following the Fund's Consolidated Investment Portfolio.

Securities Lending. Brown Brothers Harriman & Co., as lending agent, lends securities of the Fund to certain financial institutions under the terms of the Security Lending Agreement. The Fund retains benefits of owning the securities it has loaned and continues to receive interest and dividends generated by the securities and to participate in any changes in their market value. The Fund requires the borrowers of the securities to maintain collateral with the Fund consisting of either cash or liquid, unencumbered assets having a value at least equal to the value of the securities loaned. When the collateral falls below specified amounts, the lending agent will use its best efforts to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. As of period end, any securities on loan were collateralized by cash. As of period end, any securities on loan were collateralized by cash. The Fund may invest the cash collateral into a joint trading account in an affiliated money market fund. During the period ended June 30, 2016, the Fund invested the cash collateral in Daily Assets Fund, an affiliated money market fund managed by Deutsche Investment Management Americas Inc. Deutsche Investment Management Americas Inc. receives a management/administration fee (0.08% annualized effective rate as of June 30, 2016) on the cash collateral invested in Daily Assets Fund. The Fund receives compensation for lending its securities either in the form of fees or by earning interest on invested cash collateral net of borrower rebates and fees paid to a lending agent. Either the Fund or the borrower may terminate the loan at any time, and the borrower, after notice, is required to return borrowed securities within a standard time period. There may be risks of delay and costs in recovery of securities or even loss of rights in the collateral should the borrower of the securities fail financially. If the Fund is not able to recover securities lent, the Fund may sell the collateral and purchase a replacement investment in the market, incurring the risk that the value of the replacement security is greater than the value of the collateral. The Fund is also subject to all investment risks associated with the reinvestment of any cash collateral received, including, but not limited to, interest rate, credit and liquidity risk associated with such investments.

As of June 30, 2016, the Fund had securities on loan, which were classified as corporate bonds in the Consolidated Investment Portfolio. The value of the related collateral exceeded the value of the securities loaned at period end.

When-Issued/Delayed Delivery Securities. The Fund may purchase or sell securities with delivery or payment to occur at a later date beyond the normal settlement period. At the time the Fund enters into a commitment to purchase or sell a security, the transaction is recorded and the value of the transaction is reflected in the net asset value. The price of such security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the security may vary with market fluctuations. At the time the Fund enters into a purchase transaction it is required to segregate cash or other liquid assets at least equal to the amount of the commitment. Additionally, the Fund may be required to post securities and/or cash collateral in accordance with the terms of the commitment.

Certain risks may arise upon entering into when-issued or delayed delivery transactions from the potential inability of counterparties to meet the terms of their contracts or if the issuer does not issue the securities due to political, economic, or other factors. Additionally, losses may arise due to changes in the value of the underlying securities.

Loan Participations and Assignments. Loan Participations and Assignments are portions of loans originated by banks and sold in pieces to investors. These floating rate loans ("Loans") in which the Fund invests, are arranged between the borrower and one or more financial institutions ("Lenders"). These Loans may take the form of Senior Loans, which are corporate obligations often issued in connection with recapitalizations, acquisitions, leveraged buy-outs and refinancing. The Fund invests in such Loans in the form of participations in Loans ("Participations") or assignments of all or a portion of Loans from third parties ("Assignments"). Participations typically result in the Fund having a contractual relationship only with the Lender, not with the borrower. The Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower. In connection with purchasing Participations, the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement relating to the Loan, or any rights of set-off against the borrower, and the Fund will not benefit directly from any collateral supporting the Loan in which it has purchased the Participation. As a result, the Fund assumes the credit risk of both the borrower and the Lender that is selling the Participation. Assignments typically result in the Fund having a direct contractual relationship with the borrower, and the Fund may enforce compliance by the borrower with the terms of the loan agreement. Loans held by the Fund are generally in the form of Assignments but the Fund may also invest in Participations. All Loans involve interest rate risk, liquidity risk and credit risk, including the potential default or insolvency of the borrower.

Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies and to distribute all of its taxable income to its shareholders.

Income from certain commodity-linked derivatives does not constitute "qualifying income" to the Fund. Receipt of such income could cause the Fund to be subject to tax at the Fund level. The IRS has issued a private letter ruling to the Fund stating that such income earned through its wholly-owned Subsidiary constitutes qualifying income. The Fund is required to increase its taxable income by its share of the Subsidiary's income, including net gains from commodity-linked transactions. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income for future periods.

Under the Regulated Investment Company Modernization Act of 2010, net capital losses incurred post-enactment may be carried forward indefinitely, and their character is retained as short-term and/or long-term. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At June 30, 2016, the Fund had net tax basis capital loss carryforwards of approximately $215,941,000, including $188,211,000 of pre-enactment losses, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until June 30, 2017 ($102,120,000), June 30, 2018 ($77,996,000) and June 30, 2019 ($8,095,000), the respective expiration dates, whichever occurs first; and approximately $27,730,000 of post-enactment losses, including short-term losses ($19,815,000) and long-term losses ($7,915,000), which may be applied against realized net taxable capital gains indefinitely.

The Fund has reviewed the tax positions for the open tax years as of June 30, 2016 and has determined that no provision for income tax and/or uncertain tax provisions is required in the Fund's consolidated financial statements. The Fund's federal tax returns for the prior three fiscal years remain open subject to examination by the Internal Revenue Service.

Distribution of Income and Gains. Distributions from net investment income of the Fund, if any, are declared and distributed to shareholders quarterly. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to the Fund if not distributed and, therefore, will be distributed to shareholders at least annually. The Fund may also make additional distributions for tax purposes if necessary.

The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to investments in futures and swap contracts and investment in the Subsidiary. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.

At June 30, 2016, the Fund's components of distributable earnings (accumulated losses) on a tax basis were as follows:

Undistributed ordinary income*	$ 166,127,329
Capital loss carryforward	$ (215,941,000)
Unrealized appreciation (depreciation) on investments	$ 20,599,549

In addition, the tax character of distributions paid to shareholders by the Fund is summarized as follows:

	Years Ended June 30,
	2016	2015
Distributions from ordinary income*	$ 5,047,993	$ 22,075,960

* For tax purposes, short-term capital gain distributions, and income and net realized gains from certain commodity-linked derivative instruments are considered ordinary income distributions.

Redemption Fees. The Fund imposes a redemption fee of 2% of the total redemption amount on Fund shares redeemed or exchanged within 15 days of buying them, either by purchase or exchange (subject to certain exceptions). This fee is assessed and retained by the Fund for the benefit of the remaining shareholders. The redemption fee is accounted for as an addition to paid-in capital.

Expenses. Expenses of the Trust arising in connection with a specific fund are allocated to that fund. Other Trust expenses which cannot be directly attributed to a fund are apportioned among the funds in the Trust based upon the relative net assets or other appropriate measures.

Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.

Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is recorded on the accrual basis. Realized gains and losses from investment transactions are recorded on an identified cost basis. Proceeds from litigation payments, if any, are included in net realized gain (loss) from investments. All discounts and premiums are accreted/amortized for both tax and financial reporting purposes.

B. Derivative Instruments

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on the notional amount of the swap. A bilateral swap is a transaction between the fund and a counterparty where cash flows are exchanged between the two parties. A centrally cleared swap is a transaction executed between the fund and a counterparty, then cleared by a clearing member through a central clearinghouse. The central clearinghouse serves as the counterparty, with whom the fund exchanges cash flows.

The value of a swap is adjusted daily, and the change in value, if any, is recorded as unrealized appreciation or depreciation in the Consolidated Statement of Assets and Liabilities. Gains or losses are realized when the swap expires or is closed. Certain risks may arise when entering into swap transactions including counterparty default; liquidity; or unfavorable changes in interest rates or the value of the underlying reference security, commodity or index. In connection with bilateral swaps, securities and/or cash may be identified as collateral in accordance with the terms of the swap agreement to provide assets of value and recourse in the event of default. The maximum counterparty credit risk is the net present value of the cash flows to be received from or paid to the counterparty over the term of the swap, to the extent that this amount is beneficial to the Fund, in addition to any related collateral posted to the counterparty by the Fund. This risk may be partially reduced by a master netting arrangement between the Fund and the counterparty. Upon entering into a centrally cleared swap, the Fund is required to deposit with a financial intermediary cash or securities ("initial margin") in an amount equal to a certain percentage of the notional amount of the swap. Subsequent payments ("variation margin") are made or received by the Fund dependent upon the daily fluctuations in the value of the swap. In a cleared swap transaction, counterparty risk is minimized as the central clearinghouse acts as the counterparty.

Interest Rate Swaps. Interest rate swaps are agreements in which the Fund agrees to pay to the counterparty a fixed rate payment in exchange for the counterparty agreeing to pay to the Fund a variable rate payment, or the Fund agrees to receive from the counterparty a fixed rate payment in exchange for the counterparty agreeing to receive from the Fund a variable rate payment. The payment obligations are based on the notional amount of the swap. For the year ended June 30, 2016, the Fund entered into interest rate swap agreements to gain exposure to different parts of the yield curve while managing overall duration.

A summary of the open interest rate swap contracts as of the year ended June 30, 2016 is included in a table following the Fund's Consolidated Investment Portfolio. For the year ended June 30, 2016, the investment in interest rate swap contracts had a total notional amount generally indicative of a range from $107,000,000 to $344,200,000.

Commodity-Linked Swaps. Commodity-linked swap agreements involve a commitment to pay interest in exchange for a commodity-linked return based on a notional amount. To the extent the return of the reference commodity or commodity index underlying the commodity-linked swap exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment or make a payment to the counterparty, respectively. For the year ended June 30, 2016, the Fund entered into commodity-linked swap agreements to gain exposure to the investment return of assets that trade in the commodity markets, without investing directly in physical commodities.

A summary of the open commodity-linked swap contracts as of June 30, 2016 is included in a table following the Fund's Consolidated Investment Portfolio. For the year ended June 30, 2016, the investment in long commodity-linked swap contracts had a total notional amount generally indicative of a range from $738,500,000 to $2,918,319,000, and the the investment in short commodity-linked swap contracts had a total notional amount generally indicative of a range from $101,348,000 to $506,818,000.

Options. An option contract is a contract in which the writer (seller) of the option grants the buyer of the option, upon payment of a premium, the right to purchase from (call option), or sell to (put option), the writer a designated instrument at a specified price within a specified period of time. The Fund may write or purchase interest rate swaption agreements which are options to enter into a pre-defined swap agreement. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise. Certain options, including options on indices, will require cash settlement by the Fund if exercised. For the year ended June 30, 2016, the Fund entered into options on interest rate swaps in order to hedge against potential adverse interest rate movements of portfolio assets and options on commodity futures contracts to gain exposure to the investment return of assets that trade in the commodity markets, without investing directly in physical commodities.

If the Fund writes a covered call option, the Fund foregoes, in exchange for the premium, the opportunity to profit during the option period from an increase in the market value of the underlying security above the exercise price. If the Fund writes a put option it accepts the risk of a decline in the value of the underlying security below the exercise price.

Over-the-counter options have the risk of the potential inability of counterparties to meet the terms of their contracts. The Fund's maximum exposure to purchased options is limited to the premium initially paid. In addition, certain risks may arise upon entering into option contracts including the risk that an illiquid secondary market will limit the Fund's ability to close out an option contract prior to the expiration date and that a change in the value of the option contract may not correlate exactly with changes in the value of the securities or currencies hedged.

A summary of open purchased option contracts as of June 30, 2016 is included in the Fund's Consolidated Investment Portfolio. A summary of open written option contracts is included in the table following the Fund's Consolidated Investment Portfolio. For the year ended June 30, 2016, the investment in purchased options contracts had a total value generally indicative of a range from $0 to approximately $39,667,000, and the investment in written options contracts had a total value generally indicative of a range from approximately $2,000 to $26,974,000.

Futures Contracts. A futures contract is an agreement between a buyer or seller and an established futures exchange or its clearinghouse in which the buyer or seller agrees to take or make a delivery of a specific amount of a financial instrument at a specified price on a specific date (settlement date). For the year ended June 30, 2016, the Fund entered into commodity futures contracts to gain exposure to the investment return of assets that trade in the commodity markets, without investing directly in physical commodities and interest rate futures contracts to gain exposure to different parts of the yield curve while managing overall duration.

Upon entering into a futures contract, the Fund is required to deposit with a financial intermediary cash or securities ("initial margin") in an amount equal to a certain percentage of the face value indicated in the futures contract. Subsequent payments ("variation margin") are made or received by the Fund dependent upon the daily fluctuations in the value and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. Gains or losses are realized when the contract expires or is closed. Since all futures contracts are exchange traded, counterparty risk is minimized as the exchange's clearinghouse acts as the counterparty, and guarantees the futures against default.

Certain risks may arise upon entering into futures contracts, including the risk that an illiquid market will limit the Fund's ability to close out a futures contract prior to the settlement date and the risk that the futures contract is not well correlated with the security, index or currency to which it relates. Risk of loss may exceed amounts disclosed in the Consolidated Statement of Assets and Liabilities.

A summary of the open futures contracts as of June 30, 2016 is included in the table following the Fund's Consolidated Investment Portfolio. For the year ended June 30, 2016, the investment in futures contracts purchased had a total notional value generally indicative of a range from approximately $29,921,000 to $221,632,000, and the investment in futures contracts sold had a total notional value generally indicative of a range from approximately $32,160,000 to $281,749,000.

Forward Foreign Currency Exchange Contracts. A forward foreign currency exchange contract ("forward currency contract") is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. For the year ended June 30, 2016, the Fund entered into forward currency contracts in order to hedge against anticipated currency market changes and for non-hedging purposes to seek to enhance potential gains.

Forward currency contracts are valued at the prevailing forward exchange rate of the underlying currencies and unrealized gain (loss) is recorded daily. On the settlement date of the forward currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was closed. Certain risks may arise upon entering into forward currency contracts from the potential inability of counterparties to meet the terms of their contracts. The maximum counterparty credit risk to the Fund is measured by the unrealized gain on appreciated contracts. Additionally, when utilizing forward currency contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.

There were no open forward currency contracts as of June 30, 2016. For the year ended June 30, 2016, the investment in forward currency contracts short vs. U.S. dollars had a total contract value generally indicative of a range from $0 to approximately $3,243,000, and the investment in forward currency contracts long vs. U.S. dollars had a total contract value generally indicative of a range from $0 to approximately $3,299,000.

The following tables summarize the value of the Fund's derivative instruments held as of June 30, 2016 and the related location in the accompanying Consolidated Statement of Assets and Liabilities, presented by primary underlying risk exposure:

Asset Derivatives	Purchased Options	Swap Contracts	Futures Contracts	Total
Commodity Contracts (a) (b)	$ 39,667,000	$ 4,632,158	$ 10,654,980	$ 54,954,138
Each of the above derivatives is located in the following Consolidated Statement of Assets and Liabilities accounts: (a) Includes cumulative appreciation of futures contracts as disclosed in the Consolidated Investment Portfolio. Unsettled variation margin is disclosed separately within the Consolidated Statement of Assets and Liabilities. (b) Investments in securities at value (includes purchased options) and unrealized appreciation on bilateral swap contracts

Liability Derivatives	Written Options	Swap Contracts	Futures Contracts	Total
Interest Rate Contracts (a)	$ —	$ (2,631,472)	$ —	$ (2,631,472)
Commodity Contracts (a) (b)	(26,973,600)	(7,426,768)	(11,268,717)	(45,669,085)
	$ (26,973,600)	$ (10,058,240)	$ (11,268,717)	$ (48,300,557)
Each of the above derivatives is located in the following Consolidated Statement of Assets and Liabilities accounts: (a) Includes cumulative depreciation of futures contracts and centrally cleared swap contracts as disclosed in the Consolidated Investment Portfolio. Unsettled variation margin is disclosed separately within the Consolidated Statement of Assets and Liabilities. (b) Written options, at value and unrealized depreciation on bilateral swap contracts

Additionally, the amount of unrealized and realized gains and losses on derivative instruments recognized in Fund earnings during the year ended June 30, 2016 and the related location on the accompanying Consolidated Statement of Operations is summarized in the following tables by primary underlying risk exposure:

Realized Gain (Loss)	Purchased Options	Written Options	Forward Contracts	Swap Contracts	Futures Contracts	Total
Interest Rate Contracts (a)	$ —	$ 57,600	$ —	$ (3,740,024)	$ (3,071,842)	$ (6,754,266)
Commodity Contracts (a)	1,622,736	(693,264)	—	155,966,005	999,528	157,895,005
Foreign Exchange Contracts (b)	—	—	(56,409)	—	—	(56,409)
	$ 1,622,736	$ (635,664)	$ (56,409)	$ 152,225,981	$ (2,072,314)	$ 151,084,330
Each of the above derivatives is located in the following Consolidated Statement of Operations accounts: (a) Net realized gain (loss) from investments (includes purchased options), written options, futures and swap contracts, 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	Swap Contracts	Futures Contracts	Total
Interest Rate Contracts (a)	$ —	$ (55,376)	$ (1,036,649)	$ (48,823)	$ (1,140,848)
Commodity Contracts (a)	7,541,364	(4,312,226)	(18,432,730)	(3,252,245)	(18,455,837)
	$ 7,541,364	$ (4,367,602)	$ (19,469,379)	$ (3,301,068)	$ (19,596,685)
Each of the above derivatives is located in the following Consolidated Statement of Operations accounts: (a) Change in net unrealized appreciation (depreciation) on investments (includes purchased options), written options, swap contracts and futures, respectively

As of June 30, 2016, the Fund has transactions subject to enforceable master netting agreements. A reconciliation of the gross amounts on the Consolidated Statement of Assets and Liabilities to the net amounts by counterparty, including any collateral exposure, is included in the following tables:

Counterparty	Gross Amounts of Assets Presented in the Consolidated Statement of Assets and Liabilities	Financial Instruments and Derivatives Available for Offset	Non-Cash Collateral Received	Cash Collateral Received	Net Amount of Derivative Assets
Bank of America	$ 187,042	$ (187,042)	$ —	$ —	$ —
Barclays Bank PLC	146,524	(146,524)	—	—	—
BNP Paribas	210,663	(210,663)	—	—	—
Canadian Imperial Bank of Commerce	1,493,500	—	—	—	1,493,500
Citigroup, Inc.	12,092	—	—	—	12,092
Credit Suisse	41,625	—	—	—	41,625
Goldman Sachs & Co.	240,213	(240,213)	—	—	—
JPMorgan Chase Securities, Inc.	1,436,046	(1,436,046)	—	—	—
Macquarie Bank Ltd.	103,993	—	—	—	103,993
Morgan Stanley	124,790	—	—	—	124,790
Royal Bank of Canada	61,595	—	—	—	61,595
Societe Generale	384,477	—	—	—	384,477
Wells Fargo Bank NA	189,598	—	—	—	189,598
	$ 4,632,158	$ (2,220,488)	$ —	$ —	$ 2,411,670
Counterparty	Gross Amounts of Liabilities Presented in the Consolidated Statement of Assets and Liabilities	Financial Instruments and Derivatives Available for Offset	Non-Cash Collateral Pledged (a)	Cash Collateral Pledged	Net Amount of Derivative Liabilities
Bank of America	$ 624,110	$ (187,042)	$ (437,068)	$ —	$ —
Barclays Bank PLC	345,884	(146,524)	(199,360)	—	—
BNP Paribas	778,225	(210,663)	(567,562)	—	—
Goldman Sachs & Co.	728,134	(240,213)	(487,921)	—	—
JPMorgan Chase Securities, Inc.	4,729,170	(1,436,046)	(3,293,124)	—	—
UBS AG	221,245	—	(221,245)	—	—
	$ 7,426,768	$ (2,220,488)	$ (5,206,280)	$ —	$ —

(a) The actual collateral pledged may be more than the amount shown.

C. Purchases and Sales of Securities

During the year ended June 30, 2016, purchases and sales of investment securities (excluding short-term investments and U.S. Treasury obligations) aggregated $1,642,130,122 and $489,344,321, respectively. Purchases and sales of U.S. Treasury obligations aggregated $1,118,814,804 and $708,164,406, respectively.

For the year ended June 30, 2016, transactions for written options on futures and interest rate swap contracts were as follows:

	Contracts/ Contract Amount	Premiums
Outstanding, beginning of period	8,000,000	$ 57,600
Options written	13,800	23,496,742
Options bought back	(1,200)	(835,368)
Options expired	(8,000,000)	(57,600)
Outstanding, end of period	12,600	$ 22,661,374

D. Related Parties

Management Agreement. Under the Investment Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor directs the investments of the Fund in accordance with its investment objectives, policies and restrictions. The Advisor determines the securities, instruments and other contracts relating to investments to be purchased, sold or entered into by the Fund.

Under the Investment Management Agreement with the Advisor, the Fund pays a monthly management fee based on the Fund's average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:

First $500 million of the Fund's average daily net assets	.950%
Next $500 million of such net assets	.900%
Next $500 million of such net assets	.850%
Over $1.5 billion of such net assets	.825%

Accordingly, for the year ended June 30, 2016, the fee pursuant to the Investment Management Agreement was equivalent to an annual rate (exclusive of any applicable waivers/reimbursements) of 0.89% of the Fund's average daily net assets.

For the period from July 1, 2015 through October 31, 2015, the Advisor had contractually agreed to waive all or a portion of its fees and/or reimburse certain operating expenses of the Fund to the extent necessary to maintain the total annual operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) of each class as follows:

Class A	1.48%
Class B	2.23%
Class C	2.23%
Class S	1.28%
Institutional Class	1.23%

Effective from November 1, 2015 through October 31, 2016 (through February 10, 2016 for Class B shares), the Advisor has contractually agreed to waive all or a portion of its fees and/or reimburse certain operating expenses of the Fund to the extent necessary to maintain the total annual operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) of each class as follows:

Class A	1.30%
Class B	2.05%
Class C	2.05%
Class S	1.10%
Institutional Class	.99%

For the period from June 1, 2016 through May 31, 2017, the Advisor has contractually agreed to waive its fees and/or reimburse certain operating expenses to the extent necessary to maintain the total annual operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest expense) at 0.95% for Class R6 shares.

For the year ended June 30, 2016 (through February 10, 2016 for Class B shares) and for the period from June 1, 2016 (commencement of operations) through June 30, 2016 for Class R6, fees waived and/or expenses reimbursed for each class are as follows:

Class A	$ 94,463
Class B	220
Class C	27,966
Class R6	3
Class S	178,650
Institutional Class	1,693,046
	$ 1,994,348

Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the year ended June 30, 2016, the Administration Fee was $1,500,043, of which $208,666 is unpaid.

Service Provider Fees. Deutsche AM Service Company ("DSC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for the Fund. Pursuant to a sub-transfer agency agreement between DSC and DST Systems, Inc. ("DST"), DSC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DSC compensates DST out of the shareholder servicing fee it receives from the Fund. For the year ended June 30, 2016 (through February 10, 2016 for Class B shares) and for the period from June 1, 2016 (commencement of operations) through June 30, 2016 for Class R6, the amounts charged to the Fund by DSC were as follows:

Services to Shareholders	Total Aggregated	Unpaid at June 30, 2016
Class A	$ 16,773	$ 3,939
Class B	206	—
Class C	3,192	766
Class R6	1	1
Class S	16,631	3,995
Institutional Class	30,788	12,259
	$ 67,591	$ 20,960

Distribution and Service Fees. Under the Fund's Class B and Class C 12b-1 Plans, Deutsche AM Distributors, Inc. ("DDI"), an affiliate of the Advisor, receives a fee ("Distribution Fee") of 0.75% of average daily net assets of each of Class B and C shares. In accordance with the Fund's Underwriting and Distribution Services Agreement, DDI enters into related selling group agreements with various firms at various rates for sales of Class B and C shares. For the year ended June 30, 2016 (through February 10, 2016 for Class B shares), the Distribution Fee was as follows:

Distribution Fee	Total Aggregated	Unpaid at June 30, 2016
Class B	$ 229	$ —
Class C	201,702	17,337
	$ 201,931	$ 17,337

In addition, DDI provides information and administrative services for a fee ("Service Fee") to Class A, B, and C shareholders at an annual rate of up to 0.25% of average daily net assets for each such class. DDI in turn has various agreements with financial services firms that provide these services and pays these fees based upon the assets of shareholder accounts the firms service. For the year ended June 30, 2016 (through February 10, 2016 for Class B shares), the Service Fee was as follows:

Service Fee	Total Aggregated	Unpaid at June 30, 2016	Annual Rate
Class A	$ 272,644	$ 48,208	.23%
Class B	76	—	.25%
Class C	67,201	11,688	.25%
	$ 339,921	$ 59,896

Underwriting Agreement and Contingent Deferred Sales Charge. DDI is the principal underwriter for the Fund. Underwriting commissions paid in connection with the distribution of Class A shares for the year ended June 30, 2016 aggregated $12,552.

In addition, DDI receives any contingent deferred sales charge ("CDSC") from Class B share redemptions occurring within six years of purchase and Class C share redemptions occurring within one year of purchase. There is no such charge upon redemption of any share appreciation or reinvested dividends. The CDSC is based on declining rates ranging from 4% to 1% for Class B and 1% for Class C, of the value of the shares redeemed. For the year ended June 30, 2016 (through February 10, 2016 for Class B shares), the CDSC for the Fund's Class B and C shares was $40 and $6,203, respectively. A deferred sales charge of up to 1% is assessed on certain redemptions of Class A shares. For the year ended June 30, 2016, DDI received $10,845 for Class A shares.

Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the year ended June 30, 2016, the amount charged to the Fund by DIMA included in the Consolidated Statement of Operations under "Reports to shareholders" aggregated $23,147, of which $9,678 is unpaid.

Trustees' Fees and Expenses. The Fund paid retainer fees to each Trustee not affiliated with the Advisor, plus specified amounts to the Board Chairperson and Vice Chairperson and to each committee Chairperson.

Affiliated Cash Management Vehicles. The Fund may invest uninvested cash balances in Deutsche Central Cash Management Government Fund and Deutsche Variable NAV Money Fund, affiliated money market funds which are managed by the Advisor. Each affiliated money market fund is managed in accordance with Rule 2a-7 under the 1940 Act, which governs the quality, maturity, diversity and liquidity of instruments in which a money market fund may invest. Deutsche Central Cash Management Government Fund seeks to maintain a stable net asset value, and Deutsche Variable NAV Money Fund maintains a floating net asset value. The Fund indirectly bears its proportionate share of the expenses of each affiliated money market fund in which it invests. Deutsche Central Cash Management Government Fund does not pay the Advisor an investment management fee. To the extent that Deutsche Variable NAV Money Fund pays an investment management fee to the Advisor, the Advisor will waive an amount of the investment management fee payable to the Advisor by the Fund equal to the amount of the investment management fee payable on the Fund's assets invested in Deutsche Variable NAV Money Fund.

E. Line of Credit

The Fund and other affiliated funds (the "Participants") share in a $400 million revolving credit facility provided by a syndication of banks. The Fund may borrow for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is allocated based on net assets, among each of the Participants. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1.25 percent plus if the one-month LIBOR exceeds the Federal Funds Rate, the amount of such excess. The Fund may borrow up to a maximum of 33 percent of its net assets under the agreement. The Fund had no outstanding loans at June 30, 2016.

F. Investing in Commodities-Related Investments

The Fund invests in commodity-linked derivative instruments such as commodity-linked swaps, commodity-linked structured notes and options and futures contracts that are designed to provide exposure to the investment return of assets that trade in the commodity markets, without investing directly in physical commodities. The commodities-linked derivatives instruments in which the Fund invests are more volatile than many other types of securities and may subject the Fund to special risks that do not apply to all derivatives transactions. The value of a commodity-linked derivative investment generally is based upon the price movements of a physical commodity (such as energy, minerals, or agricultural products), a futures contract, swap or commodity index, or other economic variables based upon changes in the value of commodities or the commodities markets. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, changes in storage costs, embargoes, tariffs, policies of commodity cartels and international economic, political and regulatory developments. Also, a liquid secondary market may not exist for the types of commodity-linked derivative instruments the Fund buys, which may make it difficult for the Fund to sell them at an acceptable price.

G. Share Transactions

The following table summarizes share and dollar activity in the Fund:

	Year Ended June 30, 2016		Year Ended June 30, 2015
	Shares	Dollars	Shares	Dollars
Shares sold
Class A	7,260,353	$ 84,983,380	5,078,514	$ 69,596,881
Class B	—	—	268	3,331
Class C	810,193	8,654,841	614,163	7,701,593
Class R6**	357,571	4,573,091	—	—
Class S	20,256,040	243,428,209	19,948,927	282,147,740
Institutional Class	173,320,814	1,993,201,402	17,513,869	242,374,315
		$ 2,334,840,923		$ 601,823,860
Shares issued to shareholders in reinvestment of distributions
Class A	10,723	$ 127,125	260,908	$ 3,650,042
Class B	—	—	391	5,001
Class C	—	—	63,178	809,005
Class R6**	.95	12	—	—
Class S	49,054	591,522	520,103	7,350,761
Institutional Class	346,797	4,241,966	625,507	8,855,488
		$ 4,960,625		$ 20,670,297
Shares redeemed
Class A	(6,773,798)	$ (79,135,520)	(6,393,542)	$ (91,799,897)
Class B	(8,257)*	(87,768)*	(16,035)	(209,973)
Class C	(886,481)	(9,435,562)	(1,309,932)	(16,820,011)
Class R6**	(12.50)	(158)	—	—
Class S	(17,812,925)	(209,704,305)	(14,543,423)	(202,454,195)
Institutional Class	(33,702,172)	(401,966,496)	(9,354,266)	(130,998,325)
		$ (700,329,809)		$ (442,282,401)
Redemption fees		$ 15,747		$ 7,794
Net increase (decrease)
Class A	497,278	$ 5,977,496	(1,054,120)	$ (18,551,379)
Class B	(8,257)*	(87,768)*	(15,376)	(201,641)
Class C	(76,288)	(780,711)	(632,591)	(8,309,357)
Class R6**	357,559	4,572,945	—	—
Class S	2,492,169	34,324,612	5,925,607	87,046,906
Institutional Class	139,965,439	1,595,480,912	8,785,110	120,235,021
		$ 1,639,487,486		$ 180,219,550

* For the period from July 1, 2015 to February 10, 2016 (see Note A).

** For the period from June 1, 2016 (commencement of operations of Class R6) to June 30, 2016.

H. Transactions with Affiliates

The Underlying Deutsche Funds in which the Fund invests are considered to be affiliated investments. A summary of the Fund's transactions with affiliated Underlying Deutsche Funds for the year ended June 30, 2016 is as follows:

Affiliate	Value ($) at 6/30/2015	Purchases Cost ($)	Sales Proceeds ($)	Realized Gain/ (Loss) ($)	Income Distributions ($)	Value ($) at 6/30/2016
Deutsche Variable NAV Money Fund	15,044,636	61,780	—	—	66,171	15,109,435
Deutsche Central Cash Management Government Fund	48,552,708	3,186,194,882	3,068,620,611	—	286,822	166,126,979
Total	63,597,344	3,186,256,662	3,068,620,611	—	352,993	181,236,414

Report of Independent Registered Public Accounting Firm

To the Trustees of Deutsche Securities Trust and Shareholders of Deutsche Enhanced Commodity Strategy Fund:

In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated investment portfolio, and the related consolidated statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Deutsche Enhanced Commodity Strategy Fund (the "Fund") at June 30, 2016, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America. These consolidated financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the custodian, transfer agent, brokers, agent banks and the application of alternative auditing procedures where confirmations had not been received, provide a reasonable basis for our opinion.

Boston, Massachusetts
August 24, 2016 PricewaterhouseCoopers LLP

Information About Your Fund's Expenses

As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads), redemption fees and account maintenance fees, which are not shown in this section. The following tables are intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, the Fund limited these expenses; had it not done so, expenses would have been higher. The example in the table is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period (January 1, 2016 to June 30, 2016).

The tables illustrate your Fund's expenses in two ways:

—Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.

—Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. Subject to certain exceptions, an account maintenance fee of $20.00 assessed once per calendar year for Classes A, C and S shares may apply for accounts with balances less than $10,000. This fee is not included in these tables. If it was, the estimate of expenses paid for Classes A, C and S shares during the period would be higher, and account value during the period would be lower, by this amount.

Expenses and Value of a $1,000 Investment for the six months ended June 30, 2016 (Unaudited)
Actual Fund Return	Class A	Class C	Class R6*	Class S	Institutional Class
Beginning Account Value 1/1/16	$ 1,000.00	$ 1,000.00	$ 1,000.00	$ 1,000.00	$ 1,000.00
Ending Account Value 6/30/16	$ 1,120.20	$ 1,116.70	$ 1,024.60	$ 1,122.20	$ 1,122.60
Expenses Paid per $1,000**	$ 6.85	$ 10.79	$ .79	$ 5.80	$ 5.22
Hypothetical 5% Fund Return	Class A	Class C	Class R6	Class S	Institutional Class
Beginning Account Value 1/1/16	$ 1,000.00	$ 1,000.00	$ 1,000.00	$ 1,000.00	$ 1,000.00
Ending Account Value 6/30/16	$ 1,018.40	$ 1,014.67	$ 1,020.14	$ 1,019.39	$ 1,019.94
Expenses Paid per $1,000**	$ 6.52	$ 10.27	$ 4.77	$ 5.52	$ 4.97

* For the period from June 1, 2016 (commencement of operations of Class R6) to June 30, 2016.

** Expenses (hypothetical expenses if Class R6 had been in existence from January 1, 2016) are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by 182 (the number of days in the most recent six-month period), then divided by 366.

Annualized Expense Ratios	Class A	Class C	Class R6	Class S	Institutional Class
Deutsche Enhanced Commodity Strategy Fund	1.30%	2.05%	.95%	1.10%	.99%

For more information, please refer to the Fund's prospectus.

For an analysis of the fees associated with an investment in the Fund or similar funds, please refer to http://apps.finra.org/fundanalyzer/1/fa.aspx.

Tax Information (Unaudited)

A total of 18% of the dividends distributed during the fiscal year was derived from interest on U.S. government securities, which is generally exempt from state income tax.

Please consult a tax advisor if you have questions about federal or state income tax laws, or on how to prepare your tax returns. If you have specific questions about your account, please call (800) 728-3337.

Advisory Agreement Board Considerations and Fee Evaluation

The Board of Trustees approved the renewal of Deutsche Enhanced Commodity Strategy Fund’s investment management agreement (the "Agreement") with Deutsche Investment Management Americas Inc. ("DIMA") in September 2015.

In terms of the process that the Board followed prior to approving the Agreement, shareholders should know that:

— In September 2015, all of the Fund’s Trustees were independent of DIMA and its affiliates.

— The Trustees met frequently during the past year to discuss fund matters and dedicated a substantial amount of time to contract review matters. Over the course of several months, the Board’s Contract Committee reviewed comprehensive materials received from DIMA, independent third parties and independent counsel. These materials included an analysis of the Fund’s performance, fees and expenses, and profitability from a fee consultant retained by the Fund’s Independent Trustees (the "Fee Consultant"). The Board also received extensive information throughout the year regarding performance of the Fund.

— The Independent Trustees regularly meet privately with counsel to discuss contract review and other matters. In addition, the Independent Trustees were advised by the Fee Consultant in the course of their review of the Fund’s contractual arrangements and considered a comprehensive report prepared by the Fee Consultant in connection with their deliberations.

— In connection with reviewing the Agreement, the Board also reviewed the terms of the Fund’s Rule 12b-1 plan, distribution agreement, administrative services agreement, transfer agency agreement and other material service agreements.

— Based on its evaluation of the information provided, the Contract Committee presented its findings and recommendations to the Board. The Board then reviewed the Contract Committee’s findings and recommendations.

In connection with the contract review process, the Contract Committee and the Board considered the factors discussed below, among others. The Board also considered that DIMA and its predecessors have managed the Fund since its inception, and the Board believes that a long-term relationship with a capable, conscientious advisor is in the best interests of the Fund. The Board considered, generally, that shareholders chose to invest or remain invested in the Fund knowing that DIMA managed the Fund. DIMA is part of Deutsche Bank AG’s ("Deutsche Bank") Asset and Wealth Management ("Deutsche AWM") division. Deutsche AWM is a global asset management business that offers a wide range of investing expertise and resources, including research capabilities in many countries throughout the world. Deutsche Bank has advised the Independent Trustees that the U.S. asset management business continues to be a critical and integral part of Deutsche Bank, and that Deutsche Bank will continue to make significant investments in Deutsche AWM, including ongoing enhancements to Deutsche AWM’s investment platform. Deutsche Bank also has confirmed its commitment to maintaining strong legal and compliance groups within the Deutsche AWM division.

As part of the contract review process, the Board carefully considered the fees and expenses of each Deutsche fund overseen by the Board in light of the fund’s performance. In many cases, this led to the negotiation and implementation of expense caps. As part of these negotiations, the Board indicated that it would consider relaxing these caps in future years following sustained improvements in performance, among other considerations.

While shareholders may focus primarily on fund performance and fees, the Fund’s Board considers these and many other factors, including the quality and integrity of DIMA’s personnel and such other issues as back-office operations, fund valuations, and compliance policies and procedures.

Nature, Quality and Extent of Services. The Board considered the terms of the Agreement, including the scope of advisory services provided under the Agreement. The Board noted that, under the Agreement, DIMA provides portfolio management services to the Fund and that, pursuant to a separate administrative services agreement, DIMA provides administrative services to the Fund. The Board considered the experience and skills of senior management and investment personnel, the resources made available to such personnel, the ability of DIMA to attract and retain high-quality personnel, and the organizational depth and stability of DIMA. The Board reviewed the Fund’s performance over short-term and long-term periods and compared those returns to various agreed-upon performance measures, including market index(es) and a peer universe compiled using information supplied by Morningstar Direct ("Morningstar"), an independent fund data service. The Board also noted that it has put into place a process of identifying "Focus Funds" (e.g., funds performing poorly relative to a peer universe), and receives additional reporting from DIMA regarding such funds and, where appropriate, DIMA’s plans to address underperformance. The Board believes this process is an effective manner of identifying and addressing underperforming funds. Based on the information provided, the Board noted that for the one-, three- and five-year periods ended December 31, 2014, the Fund’s performance (Class A shares) was in the 1st quartile of the applicable Morningstar universe (the 1st quartile being the best performers and the 4th quartile being the worst performers). The Board also observed that the Fund has outperformed its benchmark in each of the one-, three- and five-year periods ended December 31, 2014.

Fees and Expenses. The Board considered the Fund’s investment management fee schedule, operating expenses and total expense ratios, and comparative information provided by Lipper Inc. ("Lipper") and the Fee Consultant regarding investment management fee rates paid to other investment advisors by similar funds (1st quartile being the most favorable and 4th quartile being the least favorable). With respect to management fees paid to other investment advisors by similar funds, the Board noted that the contractual fee rates paid by the Fund, which include a 0.10% fee paid to DIMA under the Fund’s administrative services agreement, were higher than the median (3rd quartile) of the applicable Lipper peer group (based on Lipper data provided as of December 31, 2014). The Board noted that the Fund’s Class A shares total (net) operating expenses (excluding 12b-1 fees) were expected to be higher than the median (3rd quartile) of the applicable Lipper expense universe (based on Lipper data provided as of December 31, 2014, and analyzing Lipper expense universe Class A (net) expenses less any applicable 12b-1 fees) ("Lipper Universe Expenses"). The Board also reviewed data comparing each share class’s total (net) operating expenses to the applicable Lipper Universe Expenses. The Board noted that the expense limitations agreed to by DIMA were expected to help the Fund’s total (net) operating expenses remain competitive. The Board considered the Fund’s management fee rate as compared to fees charged by DIMA to a comparable Deutsche U.S. registered fund ("Deutsche Funds") and considered differences between the Fund and the comparable Deutsche Fund. The information requested by the Board as part of its review of fees and expenses also included information about institutional accounts (including any sub-advised funds and accounts) and funds offered primarily to European investors ("Deutsche Europe funds") managed by Deutsche AWM. The Board noted that DIMA indicated that Deutsche AWM manages an institutional account comparable to the Fund, but Deutsche AWM does not manage any comparable Deutsche Europe funds. The Board took note of the differences in services provided to Deutsche Funds as compared to institutional accounts and that such differences made comparison difficult. The Board noted that, in connection with the 2011 contract renewal process, DIMA agreed to implement a new management fee breakpoint.

On the basis of the information provided, the Board concluded that management fees were reasonable and appropriate in light of the nature, quality and extent of services provided by DIMA.

Profitability. The Board reviewed detailed information regarding revenues received by DIMA under the Agreement. The Board considered the estimated costs and pre-tax profits realized by DIMA from advising the Deutsche Funds, as well as estimates of the pre-tax profits attributable to managing the Fund in particular. The Board also received information regarding the estimated enterprise-wide profitability of DIMA and its affiliates with respect to all fund services in totality and by fund. The Board and the Fee Consultant reviewed DIMA’s methodology in allocating its costs to the management of the Fund. Based on the information provided, the Board concluded that the pre-tax profits realized by DIMA in connection with the management of the Fund were not unreasonable. The Board also reviewed certain publicly available information regarding the profitability of certain similar investment management firms. The Board noted that while information regarding the profitability of such firms is limited (and in some cases is not necessarily prepared on a comparable basis), DIMA and its affiliates’ overall profitability with respect to the Deutsche Funds (after taking into account distribution and other services provided to the funds by DIMA and its affiliates) was lower than the overall profitability levels of most comparable firms for which such data was available.

Economies of Scale. The Board considered whether there are economies of scale with respect to the management of the Fund and whether the Fund benefits from any economies of scale. The Board noted that the Fund’s investment management fee schedule includes fee breakpoints. The Board concluded that the Fund’s fee schedule represents an appropriate sharing between the Fund and DIMA of such economies of scale as may exist in the management of the Fund at current asset levels.

Other Benefits to DIMA and Its Affiliates. The Board also considered the character and amount of other incidental benefits received by DIMA and its affiliates, including any fees received by DIMA for administrative services provided to the Fund and any fees received by an affiliate of DIMA for distribution services. The Board also considered benefits to DIMA related to brokerage and soft-dollar allocations, including allocating brokerage to pay for research generated by parties other than the executing broker dealers, which pertain primarily to funds investing in equity securities, along with the incidental public relations benefits to DIMA related to Deutsche Funds advertising and cross-selling opportunities among DIMA products and services. The Board considered these benefits in reaching its conclusion that the Fund’s management fees were reasonable.

Compliance. The Board considered the significant attention and resources dedicated by DIMA to documenting and enhancing its compliance processes in recent years. The Board noted in particular (i) the experience and seniority of the individual serving as DIMA’s and the Fund’s chief compliance officer; (ii) the large number of DIMA compliance personnel; and (iii) the substantial commitment of resources by DIMA and its affiliates to compliance matters.

Based on all of the information considered and the conclusions reached, the Board unanimously determined that the continuation of the Agreement is in the best interests of the Fund. In making this determination, the Board did not give particular weight to any single factor identified above. The Board considered these factors over the course of numerous meetings, certain of which were in executive session with only the Independent Trustees and counsel present. It is possible that individual Trustees may have weighed these factors differently in reaching their individual decisions to approve the continuation of the Agreement.

Board Members and Officers

The following table presents certain information regarding the Board Members and Officers of the fund. Each Board Member's year of birth is set forth in parentheses after his or her name. Unless otherwise noted, (i) each Board Member has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity; and (ii) the address of each Independent Board Member is c/o Kenneth C. Froewiss, Chairman, Deutsche Mutual Funds, P.O. Box 390601, Cambridge, MA 02139. Except as otherwise noted below, the term of office for each Board Member is until the election and qualification of a successor, or until such Board Member sooner dies, resigns, is removed or as otherwise provided in the governing documents of the fund. Because the fund does not hold an annual meeting of shareholders, each Board Member will hold office for an indeterminate period. The Board Members may also serve in similar capacities with other funds in the fund complex.

Independent Board Members
Name, Year of Birth, Position with the Fund and Length of Time Served1	Business Experience and Directorships During the Past Five Years	Number of Funds in Deutsche Fund Complex Overseen	Other Directorships Held by Board Member
Kenneth C. Froewiss (1945) Chairperson since 2013, and Board Member since 2001	Retired Clinical Professor of Finance, NYU Stern School of Business (1997–2014); Member, Finance Committee, Association for Asian Studies (2002–present); Director, Mitsui Sumitomo Insurance Group (US) (2004–present); prior thereto, Managing Director, J.P. Morgan (investment banking firm) (until 1996)	103	—
William McClayton (1944) Vice Chairperson since 2013, and Board Member since 2004	Private equity investor (since October 2009); previously, Managing Director, Diamond Management & Technology Consultants, Inc. (global consulting firm) (2001–2009); Directorship: Board of Managers, YMCA of Metropolitan Chicago; formerly: Senior Partner, Arthur Andersen LLP (accounting) (1966–2001); Trustee, Ravinia Festival	103	—
John W. Ballantine (1946) Board Member since 1999	Retired; formerly, Executive Vice President and Chief Risk Management Officer, First Chicago NBD Corporation/The First National Bank of Chicago (1996–1998); Executive Vice President and Head of International Banking (1995–1996); former Directorships: Director and former Chairman of the Board, Healthways, Inc.2 (population well-being and wellness services) (2003–2014); Stockwell Capital Investments PLC (private equity); First Oak Brook Bancshares, Inc. and Oak Brook Bank; Prisma Energy International	103	Portland General Electric2 (utility company) (2003– present)
Henry P. Becton, Jr. (1943) Board Member since 1990	Vice Chair and former President, WGBH Educational Foundation. Directorships: Public Radio International; Public Radio Exchange (PRX); former Directorships: Becton Dickinson and Company2 (medical technology company); Belo Corporation2 (media company); The PBS Foundation; Association of Public Television Stations; Boston Museum of Science; American Public Television; Concord Academy; New England Aquarium; Mass. Corporation for Educational Telecommunications; Committee for Economic Development; Public Broadcasting Service; Connecticut College; North Bennett Street School (Boston)	103	—
Dawn-Marie Driscoll (1946) Board Member since 1987	Emeritus Executive Fellow, Center for Business Ethics, Bentley University; formerly: President, Driscoll Associates (consulting firm); Partner, Palmer & Dodge (law firm) (1988–1990); Vice President of Corporate Affairs and General Counsel, Filene's (retail) (1978–1988). Directorships: Advisory Board, Center for Business Ethics, Bentley University; Trustee and former Chairman of the Board, Southwest Florida Community Foundation (charitable organization); former Directorships: ICI Mutual Insurance Company (2007–2015); Sun Capital Advisers Trust (mutual funds) (2007–2012), Investment Company Institute (audit, executive, nominating committees) and Independent Directors Council (governance, executive committees)	103	—
Keith R. Fox, CFA (1954) Board Member since 1996	Managing General Partner, Exeter Capital Partners (a series of private investment funds) (since 1986). Directorships: Progressive International Corporation (kitchen goods importer and distributor); The Kennel Shop (retailer); former Chairman, National Association of Small Business Investment Companies; former Directorships: BoxTop Media Inc. (advertising); Sun Capital Advisers Trust (mutual funds) (2011–2012)	103	—
Paul K. Freeman (1950) Board Member since 1993	Consultant, World Bank/Inter-American Development Bank; Chair, Independent Directors Council; Investment Company Institute (executive and nominating committees); formerly, Chairman of Education Committee of Independent Directors Council; Project Leader, International Institute for Applied Systems Analysis (1998–2001); Chief Executive Officer, The Eric Group, Inc. (environmental insurance) (1986–1998); Directorships: Denver Zoo Foundation (December 2012–present); former Directorships: Prisma Energy International	103	—
Richard J. Herring (1946) Board Member since 1990	Jacob Safra Professor of International Banking and Professor, Finance Department, The Wharton School, University of Pennsylvania (since July 1972); Co-Director, Wharton Financial Institutions Center; formerly: Vice Dean and Director, Wharton Undergraduate Division (July 1995–June 2000); Director, Lauder Institute of International Management Studies (July 2000–June 2006)	103	Director, Aberdeen Singapore and Japan Funds (since 2007); Independent Director of Barclays Bank Delaware (since September 2010)
Rebecca W. Rimel (1951) Board Member since 1995	President, Chief Executive Officer and Director, The Pew Charitable Trusts (charitable organization) (1994 to present); formerly: Executive Vice President, The Glenmede Trust Company (investment trust and wealth management) (1983–2004); Board Member, Investor Education (charitable organization) (2004–2005); Trustee, Executive Committee, Philadelphia Chamber of Commerce (2001–2007); Director, Viasys Health Care2 (January 2007–June 2007); Trustee, Thomas Jefferson Foundation (charitable organization) (1994–2012)	103	Director, Becton Dickinson and Company2 (medical technology company) (2012– present); Director, BioTelemetry Inc.2 (health care) (2009– present)
William N. Searcy, Jr. (1946) Board Member since 1993	Private investor since October 2003; formerly: Pension & Savings Trust Officer, Sprint Corporation2 (telecommunications) (November 1989–September 2003); Trustee, Sun Capital Advisers Trust (mutual funds) (1998–2012)	103	—
Jean Gleason Stromberg (1943) Board Member since 1997	Retired. Formerly, Consultant (1997–2001); Director, Financial Markets U.S. Government Accountability Office (1996–1997); Partner, Norton Rose Fulbright, L.L.P. (law firm) (1978–1996); former Directorships: The William and Flora Hewlett Foundation (charitable organization) (2000–2015); Service Source, Inc. (nonprofit), Mutual Fund Directors Forum (2002–2004), American Bar Retirement Association (funding vehicle for retirement plans) (1987–1990 and 1994–1996)	103	—

Officers4
Name, Year of Birth, Position with the Fund and Length of Time Served5	Business Experience and Directorships During the Past Five Years
Brian E. Binder8 (1972) President and Chief Executive Officer, 2013–present	Managing Director3 and Head of US Product and Fund Administration, Deutsche Asset Management (2013–present); Director and President, Deutsche AM Service Company (since 2016); Director and Vice President, Deutsche AM Distributors, Inc. (since 2016); Director and President, DB Investment Managers, Inc. (since 2016); formerly, Head of Business Management and Consulting at Invesco, Ltd. (2010–2012)
John Millette7 (1962) Vice President and Secretary, 1999–present	Director,3 Deutsche Asset Management; Chief Legal Officer and Secretary, Deutsche Investment Management Americas Inc. (2015–present); and Director and Vice President, Deutsche AM Trust Company (since 2016)
Hepsen Uzcan6 (1974) Vice President, since 20169 Assistant Secretary, 2013–present	Director,3 Deutsche Asset Management
Paul H. Schubert6 (1963) Chief Financial Officer, 2004–present Treasurer, 2005–present	Managing Director,3 Deutsche Asset Management, and Chairman, Director and President, Deutsche AM Trust Company (since 2013); formerly, Director, Deutsche AM Trust Company (2004–2013)
Caroline Pearson7 (1962) Chief Legal Officer, 2010–present	Managing Director,3 Deutsche Asset Management; Secretary, Deutsche AM Distributors, Inc.; and Secretary, Deutsche AM Service Company
Scott D. Hogan7 (1970) Chief Compliance Officer, since 201610	Director,3 Deutsche Asset Management
Wayne Salit6 (1967) Anti-Money Laundering Compliance Officer, 2014–present	Director,3 Deutsche Asset Management; formerly: Managing Director, AML Compliance Officer at BNY Mellon (2011–2014); and Director, AML Compliance Officer at Deutsche Bank (2004–2011)
Paul Antosca7 (1957) Assistant Treasurer, 2007–present	Director,3 Deutsche Asset Management
Jack Clark7 (1967) Assistant Treasurer, 2007–present	Director,3 Deutsche Asset Management
Diane Kenneally7 (1966) Assistant Treasurer, 2007–present	Director,3 Deutsche Asset Management

¹ The length of time served represents the year in which the Board Member joined the board of one or more Deutsche funds currently overseen by the Board.

² A publicly held company with securities registered pursuant to Section 12 of the Securities Exchange Act of 1934.

³ Executive title, not a board directorship.

⁴ As a result of their respective positions held with the Advisor, these individuals are considered "interested persons" of the Advisor within the meaning of the 1940 Act. Interested persons receive no compensation from the fund.

⁵ The length of time served represents the year in which the officer was first elected in such capacity for one or more Deutsche funds.

⁶ Address: 60 Wall Street, New York, NY 10005.

⁷ Address: One Beacon Street, Boston, MA 02108.

⁸ Address: 222 South Riverside Plaza, Chicago, IL 60606.

⁹ Effective as of May 11, 2016.

¹⁰ Mr. Hogan became Chief Compliance Officer effective June 1, 2016.

The fund's Statement of Additional Information ("SAI") includes additional information about the Board Members. The SAI is available, without charge, upon request. If you would like to request a copy of the SAI, you may do so by calling the following toll-free number: (800) 728-3337.

Account Management Resources

For More Information	The automated telephone system allows you to access personalized account information and obtain information on other Deutsche funds using either your voice or your telephone keypad. Certain account types within Classes A, C and S also have the ability to purchase, exchange or redeem shares using this system. For more information, contact your financial advisor. You may also access our automated telephone system or speak with a Shareholder Service representative by calling: (800) 728-3337
Web Site	deutschefunds.com View your account transactions and balances, trade shares, monitor your asset allocation, subscribe to fund and account updates by e-mail, and change your address, 24 hours a day. Obtain prospectuses and applications, blank forms, interactive worksheets, news about Deutsche funds, retirement planning information, and more.
Written Correspondence	Deutsche Asset Management PO Box 219151 Kansas City, MO 64121-9151
Proxy Voting	The fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — deutschefunds.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 728-3337.
Portfolio Holdings	Following the fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. This form will be available on the SEC's Web site at sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330. The fund's portfolio holdings are also posted on deutschefunds.com from time to time. Please see the fund's current prospectus for more information.
Principal Underwriter	If you have questions, comments or complaints, contact: Deutsche AM Distributors, Inc. 222 South Riverside Plaza Chicago, IL 60606-5808 (800) 621-1148
Investment Management	Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), which is part of Deutsche Asset Management, is the investment advisor for the fund. DIMA and its predecessors have more than 80 years of experience managing mutual funds and DIMA provides a full range of investment advisory services to both institutional and retail clients. DIMA is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution engaged in a wide variety of financial services, including investment management, retail, private and commercial banking, investment banking and insurance. Deutsche Asset Management is the retail brand name in the U.S. for the asset management activities of Deutsche Bank AG and DIMA. Deutsche Asset Management is committed to delivering the investing expertise, insight and resources of this global investment platform to American investors.

	Class A	Class C	Class S	Institutional Class
Nasdaq Symbol	SKNRX	SKCRX	SKSRX	SKIRX
CUSIP Number	25159L 877	25159L 851	25159L 844	25159L 836
Fund Number	485	785	2085	817

For shareholders of Class R6
Automated Information Line	Deutsche AM Flex Plan Access (800) 728-3337 24-hour access to your retirement plan account.
Web Site	deutschefunds.com Click "Retirement Plans" to reallocate assets, process transactions, review your funds, and subscribe to fund updates by e-mail through our secure online account access. Obtain prospectuses and applications, blank forms, interactive worksheets, news about Deutsche funds, retirement planning information, and more.
For More Information	(800) 728-3337 To speak with a service representative.
Written Correspondence	Deutsche AM Service Company 222 South Riverside Plaza Chicago, IL 60606-5806

	Class R6
Nasdaq Symbol	SKRRX
CUSIP Number	25159L 448
Fund Number	1685

Notes

ITEM 2.	CODE OF ETHICS
	As of the end of the period covered by this report, the registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Principal Executive Officer and Principal Financial Officer. There have been no amendments to, or waivers from, a provision of the code of ethics during the period covered by this report that would require disclosure under Item 2. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
ITEM 3.	AUDIT COMMITTEE FINANCIAL EXPERT
	The fund’s audit committee is comprised solely of trustees who are "independent" (as such term has been defined by the Securities and Exchange Commission ("SEC") in regulations implementing Section 407 of the Sarbanes-Oxley Act (the "Regulations")). The fund’s Board of Trustees has determined that there are several "audit committee financial experts" (as such term has been defined by the Regulations) serving on the fund’s audit committee including Mr. Paul K. Freeman, the chair of the fund’s audit committee. An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933 and the designation or identification of a person as an “audit committee financial expert” does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.
ITEM 4.	PRINCIPAL ACCOUNTANT FEES AND SERVICES

Deutsche Enhanced Commodity Strategy Fund
form n-csr disclosure re: AUDIT FEES

The following table shows the amount of fees that PricewaterhouseCoopers, LLP (“PWC”), the Fund’s independent registered public accounting firm, billed to the Fund during the Fund’s last two fiscal years. The Audit Committee approved in advance all audit services and non-audit services that PWC provided to the Fund.

Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Fund

Fiscal Year Ended June 30,	Audit Fees Billed to Fund	Audit-Related Fees Billed to Fund	Tax Fees Billed to Fund	All Other Fees Billed to Fund
2016	$98,515	$0	$0	$0
2015	$99,475	$0	$0	$0

Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Adviser and Affiliated Fund Service Providers

The following table shows the amount of fees billed by PWC to Deutsche Investment Management Americas Inc. (“DIMA” or the “Adviser”), and any entity controlling, controlled by or under common control with DIMA (“Control Affiliate”) that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two fiscal years.

Fiscal Year Ended June 30,	Audit-Related Fees Billed to Adviser and Affiliated Fund Service Providers	Tax Fees Billed to Adviser and Affiliated Fund Service Providers	All Other Fees Billed to Adviser and Affiliated Fund Service Providers
2016	$0	$30,661	$0
2015	$0	$63,439	$0

The “Tax Fees Billed to the Advisor” were billed for services associated with foreign tax filings.

Non-Audit Services

The following table shows the amount of fees that PWC billed during the Fund’s last two fiscal years for non-audit services. The Audit Committee pre-approved all non-audit services that PWC provided to the Adviser and any Affiliated Fund Service Provider that related directly to the Fund’s operations and financial reporting. The Audit Committee requested and received information from PWC about any non-audit services that PWC rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider. The Committee considered this information in evaluating PWC’s independence.

Fiscal Year Ended June 30,	Total Non-Audit Fees Billed to Fund (A)	Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (engagements related directly to the operations and financial reporting of the Fund) (B)	Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (all other engagements) (C)	Total of (A), (B) and (C)
2016	$0	$30,661	$0	$30,661
2015	$0	$63,439	$0	$63,439

Audit Committee Pre-Approval Policies and Procedures. Generally, each Fund’s Audit Committee must pre approve (i) all services to be performed for a Fund by a Fund’s Independent Registered Public Accounting Firm and (ii) all non-audit services to be performed by a Fund’s Independent Registered Public Accounting Firm for the DIMA Entities with respect to operations and financial reporting of the Fund, except that the Chairperson or Vice Chairperson of each Fund’s Audit Committee may grant the pre-approval for non-audit services described in items (i) and (ii) above for non-prohibited services for engagements of less than $100,000. All such delegated pre approvals shall be presented to each Fund’s Audit Committee no later than the next Audit Committee meeting.

There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception under Rule 2-01 of Regulation S-X.

According to the registrant’s principal Independent Registered Public Accounting Firm, substantially all of the principal Independent Registered Public Accounting Firm's hours spent on auditing the registrant's financial statements were attributed to work performed by full-time permanent employees of the principal Independent Registered Public Accounting Firm.

***

In connection with the audit of the 2015 and 2016 financial statements, the Fund entered into an engagement letter with PwC. The terms of the engagement letter required by PwC, and agreed to by the Fund’s Audit Committee, include a provision mandating the use of mediation and arbitration to resolve any controversy or claim between the parties arising out of or relating to the engagement letter or the services provided there-under.

***

In a letter provided to the Audit Committee pursuant to PCAOB Rule 3526 and dated July 19, 2016, PwC informed the Audit Committee that PwC had identified circumstances where PwC maintains lending relationships with owners of greater than 10% of the shares of certain investment companies within the “investment company complex” as defined under Rule 2-01(f)(14) of Regulation S-X. PwC informed the Audit Committee that these lending relationships are inconsistent with the SEC Staff’s interpretation of Rule 2-01(c)(l)(ii)(A) of Regulation S-X (referred to as the “Loan Rule”).

The Loan Rule specifically provides that an accounting firm would not be independent if it receives a loan from a lender that is a record or beneficial owner of more than ten percent of an audit client’s equity securities. For purposes of the Loan Rule, audit clients include the Fund as well as all registered investment companies advised by Deutsche Investment Management Americas Inc. (the “Adviser”), the Fund’s investment adviser, and its affiliates, including other subsidiaries of the Adviser’s parent company, Deutsche Bank AG (collectively, the “Deutsche Funds Complex”). PwC’s lending relationships effect PwC’s independence under the SEC Staff’s interpretation of the Loan Rule with respect to all investment companies in the Deutsche Funds Complex.

In its July 19, 2016 letter, PwC affirmed to the Audit Committee that, as of the date of the letter, PwC is an independent accountant with respect to the Fund, within the meaning of PCAOB Rule 3520. In its letter, PwC also informed the Audit Committee that, after evaluating the facts and circumstances and the applicable independence rules, PwC has concluded that with regard to its compliance with the independence criteria set forth in the rules and regulations of the SEC related to the Loan Rule, it believes that it remains objective and impartial despite matters that may ultimately be determined to be inconsistent with these criteria and therefore it can continue to serve as the Fund’s registered public accounting firm. PwC informed the Audit Committee that its conclusion was based on a number of factors, including, among others, PwC’s belief that the lenders are not able to impact the impartiality of PwC or assert any influence over the investment companies in the Deutsche Funds Complex whose shares the lenders own or the applicable investment company’s investment adviser; and the lenders receive no direct benefit from their ownership of the investment companies in the Deutsche Funds Complex in separate accounts maintained on behalf of their insurance contract holders. In addition, the individuals at PwC who arranged PwC’s lending relationships have no oversight of, or ability to influence, the individuals at PwC who conducted the audits of the Fund’s financial statements.

On June 20, 2016, the SEC Staff issued a “no-action” letter to another mutual fund complex (see Fidelity Management & Research Company et al., No-Action Letter) related to similar Loan Rule issues as those described above. In that letter, the SEC Staff confirmed that it would not recommend enforcement action against an investment company that relied on the audit services performed by an audit firm that was not in compliance with the Loan Rule in certain specified circumstances. The circumstances described in the no-action letter appear to be substantially similar to the circumstances that effected PwC’s independence under the Loan Rule with respect to the Fund. PwC confirmed to the Audit Committee that it meets the conditions of the no-action letter. In the no-action letter, the SEC Staff stated that the relief under the letter is temporary and will expire 18 months after the issuance of the letter.

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)	Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.
	(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.

SIGNATURES

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

Registrant:	Deutsche Enhanced Commodity Strategy Fund, a series of Deutsche Securities Trust
By:	/s/Brian E. Binder Brian E. Binder President
Date:	8/29/2016

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

By:	/s/Brian E. Binder Brian E. Binder President
Date:	8/29/2016
By:	/s/Paul Schubert Paul Schubert Chief Financial Officer and Treasurer
Date:	8/29/2016